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Connected Guides
  • The Lebesgue integral
  • Expectation, variance and inequalities
  • Probability spaces, σ-algebras and random variables
  • Monte Carlo option pricing

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Expectation by sorting

Controls

Thrower — the measure P
0.20
0.050.50

used when aimed

Darts
2,000
1020,000
E[X] on a board with no left or right
0½10½1105210Ω = the board · X = the score of a dart · P = area (uniform thrower)Sort by value, then add value × areascore 10area 0.0314score 5area 0.1649score 2area 0.3063score 1area 0.2827score 0area 0.2146E[score] = 10 × 0.0314+ 5 × 0.1649 + 2 × 0.3063+ 1 × 0.2827 + 0 × 0.2146= 2.034
E[score] = Σ value × P(score = value)
2.034
average of 2,000 darts
2.069
P(score ≥ 5)
0.196
level sets used
5

About this tool

A dart board has no left and right to slice along, yet its expected score is easy to find: sort the board into the regions that score each value, then add value times area. That is the Lebesgue integral of a simple function, and it is how expectations over price paths are computed, where no left-to-right order of the outcomes exists. Throw darts and watch the average score settle on the sorted sum. Switch the thrower from uniform to aimed: every region keeps its score, only the measure changes, and the expectation changes with it.