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Question: let x1 and x2 be random variables not necessarily independent...

Question details
Let X1 and X2 be random variables, not necessarily independent.

Show that E [X1 + X2] = E [X1] + E [X2].

You may assume that X1 and X2 are discrete with a joint probability mass function for this problem, while the above inequality is true also for continuous random variables.

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