Let $X: \Omega \to \mathbb{R}$ be a random variable. In a proof I'm reading, they use that:
$E[X] = 0 \implies |E[XI_{\{|X|>n\}}]| = |E[XI_{\{|X|\leq n\}}]|$
Here, $I_A$ is the indicator function on the Borel set $A$
Does anyone have an idea why this would be true?
I might be missing something trivial here.
$E[XI_{\{|X|>n\}}]=-E[XI_{\{|X|\leq n\}}]$ (because if $a+b=0$ then $a =-b$).