Introduction to Stochastic Processes - Lecture Notes
1.3 Discrete random variables A random variable is said to be discrete if it takes at most countably many values. More precisely, Xis said to be discrete if there exists a finite or countable set SˆR such that P[X2S] = 1, i.e., if we know with certainty that the only values Xcan take are those in S. The smallest set S
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