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Measurable majorants in L1
Published online by Cambridge University Press: 18 May 2009
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Given a probability space (X, ℱ, μ) and a σ-algebra A ⊂ ℱ, arguably the most powerful tool in gaining information about an ℱ-measurable function f from restricted knowledge of -measurability is that of the conditional expectation E(f |
); written
throughout the remainder of this note. Two properties of conditional expectation that may be exploited to gain information, but which also limit conditional expectation's use are the following.
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- Copyright © Glasgow Mathematical Journal Trust 1997
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