In this unit, we extend the definition and properties of mathematical expectation to the general case. In the process, we note the relationship of mathematical expectation to the Lebesque integral, wh...In this unit, we extend the definition and properties of mathematical expectation to the general case. In the process, we note the relationship of mathematical expectation to the Lebesque integral, which is developed in abstract measure theory. Although we do not develop this theory, which lies beyond the scope of this study, identification of this relationship provides access to a rich and powerful set of properties which have far reaching consequences in both application and theory.
