1.4: Continuous Probability Distributions

Last updated
Save as PDF

Page ID: 15723

$ \newcommand{\vecs}[1]{\overset { \scriptstyle \rightharpoonup} {\mathbf{#1}} } $ $ \newcommand{\vecd}[1]{\overset{-\!-\!\rightharpoonup}{\vphantom{a}\smash {#1}}} $$\newcommand{\id}{\mathrm{id}}$ $ \newcommand{\Span}{\mathrm{span}}$ $ \newcommand{\kernel}{\mathrm{null}\,}$ $ \newcommand{\range}{\mathrm{range}\,}$ $ \newcommand{\RealPart}{\mathrm{Re}}$ $ \newcommand{\ImaginaryPart}{\mathrm{Im}}$ $ \newcommand{\Argument}{\mathrm{Arg}}$ $ \newcommand{\norm}[1]{\| #1 \|}$ $ \newcommand{\inner}[2]{\langle #1, #2 \rangle}$ $ \newcommand{\Span}{\mathrm{span}}$ $\newcommand{\id}{\mathrm{id}}$ $ \newcommand{\Span}{\mathrm{span}}$ $ \newcommand{\kernel}{\mathrm{null}\,}$ $ \newcommand{\range}{\mathrm{range}\,}$ $ \newcommand{\RealPart}{\mathrm{Re}}$ $ \newcommand{\ImaginaryPart}{\mathrm{Im}}$ $ \newcommand{\Argument}{\mathrm{Arg}}$ $ \newcommand{\norm}[1]{\| #1 \|}$ $ \newcommand{\inner}[2]{\langle #1, #2 \rangle}$ $ \newcommand{\Span}{\mathrm{span}}$$\newcommand{\AA}{\unicode[.8,0]{x212B}}$

Suppose that the variable $u$ can take on a continuous range of possible values. In general, we expect the probability that $u$ takes on a value in the range $u$ to $u+du$ to be directly proportional to $du$, in the limit that $du\rightarrow 0$. In other words, \[P(u\in u:u+du) = P(u)\,du,\] where $P(u)$ is known as the probability density. The earlier results (1.2.4), (1.3.4), and (1.3.11) generalize in a straightforward manner to give: \[\begin{aligned} 1&= \int_{-\infty}^\infty P(u)\,du,\\[0.5ex] \langle u\rangle &= \int_{-\infty}^\infty P(u)\,u\,du,\\[0.5ex] \left\langle({\mit\Delta} u)^2\right\rangle &= \int_{-\infty}^\infty P(u)\, (u-\langle u\rangle)^2\,du = \left\langle u^{\,2}\right\rangle-\langle u\rangle^2,\end{aligned}\] respectively.

Contributors and Attributions

Richard Fitzpatrick (Professor of Physics, The University of Texas at Austin)

$ \newcommand {\ltapp} {\stackrel {_{\normalsize<}}{_{\normalsize \sim}}}$ $\newcommand {\gtapp} {\stackrel {_{\normalsize>}}{_{\normalsize \sim}}}$ $\newcommand {\btau}{\mbox{\boldmath$\tau$}}$ $\newcommand {\bmu}{\mbox{\boldmath$\mu$}}$ $\newcommand {\bsigma}{\mbox{\boldmath$\sigma$}}$ $\newcommand {\bOmega}{\mbox{\boldmath$\Omega$}}$ $\newcommand {\bomega}{\mbox{\boldmath$\omega$}}$ $\newcommand {\bepsilon}{\mbox{\boldmath$\epsilon$}}$