Let X be a (real-valued) random variable. We define the law of X Lx(B) := P(X¯¹(B)) = P(w ≤ N : X(w) Є B), for all (Borel) sets B = B(R), to be the distribution of X. Prove that Lx is a probability measure on B(R).

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Let X be a (real-valued) random variable. We define the law of X
Lx(B) :3 P(X"(В)) — P(w € N: X(u) € В),
for all (Borel) sets BE B(R), to be the distribution of X. Prove that Lx is a probability
measure on B(R).
Transcribed Image Text:Let X be a (real-valued) random variable. We define the law of X Lx(B) :3 P(X"(В)) — P(w € N: X(u) € В), for all (Borel) sets BE B(R), to be the distribution of X. Prove that Lx is a probability measure on B(R).
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