TheoremBase

Almost Sure Equality Preserves Square-Integrability and the Mean-Square Norm

Statement

Let (Ω,F,P)(\Omega,\mathcal{F},P) be a probability space, and let XX and YY be random variables on it that are almost surely equal, in the sense that there is an event A′∈FA'\in\mathcal{F} with P(A′)=0P(A')=0 such that X(ω)=Y(ω)X(\omega)=Y(\omega) for every ω∈Ω∖A′\omega\in\Omega\setminus A'.

If XX is square-integrable, then YY is square-integrable, the expectations E[X2]\mathbb{E}[X^{2}] and E[Y2]\mathbb{E}[Y^{2}] are equal, and XX and YY have the same mean-square norm.

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