E[X|Y] = E[Y E[X|Y]]证明:
|| **1.Just use the following:
For an integrable random variable
Z
,
对于一个可积随机变量
E[Z]=E[ E[Z|F] ]
for any
σ−algebra F
. If
Y
is then
E[XY∣F]=YE[X∣F]
.
|| **2.Basically
E[XY]=E[ E[XY|Y] ]=E[ YE[X|Y] ] .
* * The first step is the iterated rule of conditional expectation.
* * 第一步是条件期望的迭代规则。
*
* * For the second, use the fact that given Y, Y is like a constant.
* * 第二,使用假设 给出Y , Y是一个常数。
* * However if you are looking for the usage of rigorous definition of conditional expectation, the solution by Davide Giraudo is the one to go for.
* * 但如果你在寻找条件期望严格定义的使用,还请参考Davide Giraudo提出的方法。