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One would think that Russian usage stems from Kolmogorov's seminal works on probability. However, in Über die Summen durch den Zufall bestimmter unabhängiger Größen (1928) he uses $\mathfrak{M}$ to denote probability (presumably from messen, measure), not mathematical expectation. In the famous Grundbegriffe der Wahrscheinlichkeitsrechnung (1933), which gave ...

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