Search results with tag "Measurable random"

Stochastic Calculus: An Introduction with Applications

;F;P) is a probability space and Yis an integrable random variable. Suppose Gis a sub ˙-algebra of F. Then E[Y jG] is de ned to be the unique (up to an event of measure zero) G-measurable random variable such that if A2G, E[Y1 A] = E[E[Y jG]1 A]: Uniqueness follows from the fact that if Z 1;Z 2 are G-measurable ran-dom variables with E[Z 1 1 A ...

  Applications, Introduction, With, Variable, Measurable, Calculus, Random, Stochastic, Stochastic calculus, An introduction with applications, Measurable random, Measurable ran dom variables