Probabilistic properties of the conditional expectation #
This file contains some properties about the conditional expectation which does not belong in the main conditional expectation file.
Main result #
m₁, m₂are independent σ-algebras and
m₁-measurable function, then
𝔼[f | m₂] = 𝔼[f]almost everywhere.
m₁, m₂ are independent σ-algebras and
𝔼[f | m₂] = 𝔼[f]