Let X, X 1 , , X n be random variables defined on the filtered probability

Question:

Let X, X1, ··· , Xn be random variables defined on the filtered probability space (Ω, F, P). Prove the following properties on conditional expectations: 

(a) E[XIB] = E[IBE[X|F]] for all B ∈ F,

(b) E[max(X1, ··· ,Xn)|F] ≥ max(E[X1|F], ··· ,E[Xn|F]).

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question
Question Posted: