Monotonicity of Expectation¶
Theorem¶
Let and be random variables with finite expectations. If almost surely (that is, ), then monotonicity of expectation states that
Interpretation¶
Monotonicity says that if one random variable is never larger than another, its average is not larger either: taking expectations preserves the inequality .
Write . The hypothesis says that with probability one, and an average of nonnegative values cannot be negative; by linearity of expectation, . An event of probability zero cannot affect any average, which is why the comparison need only hold with probability one. The converse fails: for a fair die roll and the means are equal, yet whenever .
The theorem is mostly used to bound an expectation by a simpler one. If for a constant , then . For and , the inequality together with the fundamental bridge gives : a nonnegative variable with a small mean rarely takes large values.
Key Results¶
- If almost surely, then when expectations exist.
- Strict inequality is not guaranteed unless the ordering is strict with positive probability.
- Monotonicity is often used to bound expectations.
Examples¶
- If a premium service always costs at least as much as a basic service, its expected cost is at least as large.
- If one policy always pays no more than another, its expected payout is no larger.
- Truncating losses from above produces a random variable with no larger expectation.
Prerequisites¶
Related Concepts¶
- Linearity of Expectation: if integrable variables satisfy almost surely, then .
- LOTUS: computes the expectations being compared from their distributions.
- Almost Surely
Sources¶
- Probability Theory for EOR · Week 4
Aliases: expectation monotonicity Keywords: monotone expectation
Last updated: 20 October 2026 03:02
Monotonicity of ExpectationExpectationInequalityLinearity of ExpectationLOTUSAlmost Surely