Continuous Random Variable
We say that a random variable X is continuous if P ( X = x ) = 0 for every x R
Continuous Uniform Distribution
The random variable U is said to have a (continuous) uniform distribution on the unit interval [ 0 , 1 ] denoted by U  unif  [ 0 , 1 ] iff P ( U u ) = u 0 u 1 .
Probability of an Interval in the Uniform Distribution
P ( a X b ) = b a
Density Function
Let f : R R be a function, then we say that f is a density function if f ( x ) 0 for any x R and f ( x ) d x = 1
Absolutely Continuous Random Variable
A random varaible X is said to be absolutely continuousif there is a density function f such that P ( a X b ) = a b f ( x ) d x whenever a b R
A Random Variable has a Density Function
We say that a random variable X has a density function f if it is absolutely continuous using this density function.
Probability of a Point is Zero for an Absolutely Continuous Random Variable
Suppose that X is an absolutely continuous random variable then P ( X = a ) = 0 for any a R
Exponential 1 Distribution
Suppose that Z is a random varaible, then we write Z exp ( 1 ) iff Z = ln ( U ) where U unif [ 0 , 1 ]
Probability of an Interval in the Exponential Distribution
Suppose that Z exp ( 1 ) , then P ( s Z t ) = e s e t
Observe that the following sets are equal: s Z t = s ln ( U ) t = t ln ( U ) s = e t U e s therefore we know that P ( s Z t ) = P ( e t U e s ) = e s e t