Conditioning and Martingales

Valérie Girardin and Nikolaos Limnios
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Valérie Girardin: Université de Caen Normandie, Laboratoire de Mathématiques Nicolas Oresme
Nikolaos Limnios: Université de Technologie de Compiègne, Laboratoire de Mathématiques Appliquées de Compiègne

Chapter 2 in Applied Probability, 2018, pp 59-111 from Springer

Abstract: Abstract In this chapter, conditional distributions and expectations are presented, following steps of increasing difficulty. Conditional distributions are first supposed to exist, which is true for all random variables taking values in ℝ d $$\mathbb {R}^d$$ . Still, conditional expectation is defined in the most general case. A section is dedicated to determining practically conditional distributions and expectations, and another to the linear model in which a random phenomenon is assumed to be linearly related to other simultaneously observed phenomena.

Date: 2018
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DOI: 10.1007/978-3-319-97412-5_2

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