Let X, X 1 , , X n be random variables defined on the filtered probability space (, F, P) Prove the following properties on conditional expectations (a) E XI B E I B E X F for all B F, (b) E max(X 1 , ,X n ) F max(E X 1 F , ,E X n F ) ...

To prove the properties on conditional expectations lets consider the following a EXIB EIBEXF for al ...

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

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

(a) E[XI_B] = E[I_BE[X|F]] for all B ∈ F,

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

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Dec 02, 2023 03:16 AM

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

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Mathematical Models Of Financial Derivative

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