Alphabeta Math

Conditional Expectation

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1 · Prerequisites
Abstract Algebra
Combinatorics
Linear Algebra
Measure Theory
Probability
Real Analysis
Set Theory
Topology
2 · Logical flowchart

3 · Items

Definition

Conditional expectation given a sigma algebra

Theorem

Conditional expectation exists by radon nikodym

Lemma

Conditional expectation is unique almost surely

Definition

Conditional expectation as an ae class

Theorem

Basic algebra and order properties of conditional expectation

Theorem

Taking out what is known

Theorem

Tower property of conditional expectation

Lemma

Conditioning a known variable and an independent variable

Definition

Conditional expectation for nonnegative variables

Theorem

Conditional monotone convergence

Theorem

Conditional fatou and dominated convergence

Lemma

Convex functions have countable supporting line representations

Theorem

Conditional jensen inequality

Lemma

Absolute real powers are Borel measurable and convex

Corollary

Conditional lp contraction

Theorem

Conditional expectation is the l2 orthogonal projection

Definition

Conditional variance

Lemma

Conditional variance is well-defined and has the second-moment formula

Corollary

Conditional variance decomposition

Theorem

Uniform integrability of conditional expectations of one variable

Remark

Conditional expectation is a class not a canonical pointwise function

Corollary

Conditional cauchy schwarz inequality

Sources