User:Caliburn/s/prob/Cumulative Distribution Function as Integral of Probability Density Function

Theorem
Let $\struct {\Omega, \Sigma, \Pr}$ be a probability space.

Let $X$ be an absolutely continuous random variable.

Let $f_X$ be a probability density function for $X$.

Let $F_X$ be the cumulative distribution function for $X$.

Let $\map \BB \R$ be the Borel $\sigma$-algebra on $\R$.

Let $\lambda$ be the Lebesgue measure on $\struct {\R, \map \BB \R}$.

Then:


 * $\ds \map {F_X} x = \int_{-\infty}^x f_X \rd \lambda$

for each $x \in \R$.

Proof
Let $P_X$ be the probability distribution of $X$.

We then have:


 * $\ds f_X$ is a Radon-Nikodym derivative of $P_X$ with respect to $\lambda$.

So that: