Conditional expectation on a sigma-algebra
Research context
postgraduate concept · established · As of 2026-10-10
For integrable X and a sub-sigma-algebra G, E[X|G] is a G-measurable integrable random variable whose integral over every event in G equals that of X.
Key knowledge
For integrable X and a sub-sigma-algebra G, E[X|G] is a G-measurable integrable random variable whose integral over every event in G equals that of X. It exists and is unique almost surely through the Radon–Nikodym theorem. For X in L2 it is the orthogonal projection onto the G-measurable L2 subspace; conditioning on an event of probability zero cannot be implemented by simple division.
Values and equations
integral_A E[X|G] dP=integral_A X dP for every A in G
- G
- Sub-sigma-algebra
- X
- Integrable random variable
- P
- Probability measure
Conditions and scope
- X is integrable and G is a sub-sigma-algebra of the probability space.
- Almost-sure equivalence leaves versions on null sets undetermined; regular conditional distributions need further measurable-space hypotheses.
Sources · 2
References
Sources retain their recorded scope. A source link alone does not establish verification of every statement.
Evidence and review
Author checked this English statement, displayed equation where present and stated hypotheses against these source locations: Definition/Theorem 1.10, p. 4; measurable and integral identities; Lecture 17, minimizer theorem, orthogonal projection and Theorem 184. The check is bounded to the recorded claims; no complete proof reconstruction, software proof replay or universal literature completeness is claimed.
2026-10-10 · Author source-body/statement/equation/domain check, with graph associations scoped individually. Separate independent content/source/inventory review is required before branch closure.
Entry details
Permanent link to this entry ↗- Record identity
- research-math-measure-conditional-expectation
- Revision
- research.1
- Structured reference record
- Postgraduate & research reference