ThmDex – An index of mathematical definitions, results, and conjectures.
Conditional expectation given independent sigma-algebra
Formulation 2
Let $P = (\Omega, \mathcal{F}, \mathbb{P})$ be a D1159: Probability space such that
(i) $\mathcal{G} \subseteq \mathcal{F}$ is a D470: Subsigma-algebra of $\mathcal{F}$ on $\Omega$
(ii) $X : \Omega \to \Xi$ is an D3066: Absolutely integrable random number on $P$
(iii) $\sigma_{\text{pullback}} \langle X \rangle, \mathcal{G}$ is an D471: Independent collection of sigma-algebras in $P$
Then \begin{equation} \mathbb{E}(X \mid \mathcal{G}) \overset{a.s.}{=} \mathbb{E}(X) \end{equation}