Let (Ω,F,P) be a probability space, let K≥0 be a real number, and let X and Y be random variables on it with ∣X(ω)∣≤K and ∣Y(ω)∣≤K for every ω∈Ω. Suppose there is an event Ω∗∈F with P(Ω∗)=1.
1. (Domination.) If X(ω)≤Y(ω) for every ω∈Ω∗, then E[X]≤E[Y].
2. (Equality.) If X(ω)=Y(ω) for every ω∈Ω∗, then E[X]=E[Y].
3. (Bound.) If c≥0 is a real number and ∣X(ω)∣≤c for every ω∈Ω∗, then ∣E[X]∣≤c.
4. (One-sided version.) Let K′≥0 be a real number, let W be a random variable with W(ω)≥−K′ for every ω∈Ω, and let U be a random variable with ∣U(ω)∣≤K for every ω∈Ω such that ∣W(ω)∣≤U(ω) for every ω∈Ω∗. Then W is integrable and ∣E[W]∣≤E[U].
Here E denotes the expectation, which for a bounded random variable exists because P is a finite measure.