Hi,

My background is in engineering (not in math) so I am having trouble with this stuff... Question:

$\displaystyle X_i$ random vars such that $\displaystyle E[\Sigma _{i=1} ^\infty |X_i|] < \infty$

Show that $\displaystyle E[\Sigma _{i=1} ^\infty X_i] = \Sigma_{i=1} ^\infty E[X_i]$

I would like some advice of where to start; I don't need a full proof.

Thanks!