ThmDex – An index of mathematical definitions, results, and conjectures.
Expectation of conditional expectation for a 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 $\Omega$
(ii) $Z : \Omega \to \mathbb{C}$ is a D4877: Random complex number on $P$
(iii) \begin{equation} \mathbb{E} |Z| < \infty \end{equation}
Then \begin{equation} \mathbb{E}(\mathbb{E}(Z \mid \mathcal{G})) = \mathbb{E}(Z) \end{equation}
Subresults
R4782: Expectation of conditional expectation for a random real number
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 $\Omega$
(ii) $Z : \Omega \to \mathbb{C}$ is a D4877: Random complex number on $P$
(iii) \begin{equation} \mathbb{E} |Z| < \infty \end{equation}