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Given a [[probability space]] <math>(\Omega,\mathcal{F},\mathbb{P})</math>, then for any [[random variable]] <math>X</math> and any distortion function <math>g</math> we can define a new [[probability measure]] <math>\mathbb{Q}</math> such that for any <math>A \in \mathcal{F}</math> it follows that
: <math>\mathbb{Q}(A) = g(\mathbb{P}(X \in A)).</math> <ref name="PropertiesDRM"/>
== References ==
{{Reflist}}
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