A remark on conditional expectations
type: Item
instance of: scholarly article
title: A remark on conditional expectations
zbMATH Open document ID: 0704.60007
published in: Chinese Science Bulletin
publication date: 1990-01-01T00:00:00Z
review text: Let (\(\Omega\),\({\mathcal F},P)\) be a probability space, \({\mathcal G}\subseteq {\mathcal F}\) a sub \(\sigma\)-algebra and X an \({\mathcal F}\)-measurable random variable with values in [-\(\infty,\infty]\) which is not supposed to be integrable. The author defines E(X \(| {\mathcal G}):=E(X^+ | {\mathcal G})-E(X^- | {\mathcal G})\) if the right-hand side is not of the form \(\infty - \infty\) and derives the well-known rules for handling the conditional expectation.
reviewed by: M.Breger
Mathematics Subject Classification ID: 60A10
zbMATH DE Number: 4155542
zbMATH Keywords: conditional expectation
author: Jia-An Yan
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 4155542