If X is any nonnegative integrable random variable and a > 0, then
In the language of measure theory, Markov's inequality states that if (X, Σ, μ) is a measure space, ƒ is a measurable extended real-valued function, and , then
证明
For any event E, let IE be the indicator random variable of E, that is, IE = 1 if E occurs and IE = 0 otherwise.
Using this notation, we have I(X ≥ a) = 1 if the event X ≥ a occurs, and I(X ≥ a) = 0 if X < a. Then, given a > 0,
which is clear if we consider the two possible values of I(X ≥ a). If X < a, then I(X ≥ a) = 0, and so aI(X ≥ a) = 0 ≤ X. Otherwise, we have X ≥ a, for which I(X ≥ a) = 1 and so aI(X ≥ a) = a ≤ X.
Since is a monotonically increasing function, taking expectation of both sides of an inequality cannot reverse it. Therefore
Now, using linearity of expectations, the left side of this inequality is the same as
Thus we have
and since a > 0, we can divide both sides by a.