Introduction: Loosely speaking a random variable provides us with a numerical value, depending on the outcome of an experiment. More precisely, a random variable can be viewed as a function from the sample space to the real numbers, and we will use the notation X(ω) to denote the numerical value of a random variable X, when the outcome of the experiment is some particular ω.
Continuous random variables:
The definition of a continuous random variable is more subtle. It is not enough for a random variable to have a “continuous range.”
There is some ambiguity in the above definition, because the meaning of the integral of a measurable function may be unclear. For now, we just note that the integral is well-defined, and agrees with the Riemann integral encountered in calculus, if the function is continuous, or more generally, if it has a finite number of discontinuities.