ThmDex – An index of mathematical definitions, results, and conjectures.
Almost idempotency of conditional expectation of random complex number
Formulation 0
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 $\Omega$
(i) $Z : \Omega \to \mathbb{C}$ be a D4877: Random complex number on $P$
(i) \begin{equation} \mathbb{E} |Z| < \infty \end{equation}
Then \begin{equation} \mathbb{E}( \mathbb{E}(Z \mid \mathcal{G}) \mid \mathcal{G} ) \overset{a.s.}{=} \mathbb{E}(Z \mid \mathcal{G}) \end{equation}
Proofs
Proof 0
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 $\Omega$
(i) $Z : \Omega \to \mathbb{C}$ be a D4877: Random complex number on $P$
(i) \begin{equation} \mathbb{E} |Z| < \infty \end{equation}
By definition, $\mathbb{E}(Z \mid \mathcal{G}) \in \mathcal{G}$. Thus, this result is a particular case of R2160: Conditional expectation of known random complex number. $\square$