CONDITIONAL EXPECTATION - University of Chicago
http://galton.uchicago.edu/~lalley/Courses/385/ConditionalExpectation.pdf
WebCONDITIONAL EXPECTATION 1. CONDITIONAL EXPECTATION: L2¡THEORY Definition 1. Let (›,F,P) be a probability space and let G be a ¾¡algebra contained in F.For any real random variable X 2 L2(›,F,P), define E(X jG) to be the orthogonal projection of X onto the closed subspace L2(›,G,P). This definition may seem a bit strange at first, as it seems not to have any connection with
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