Conditional expectation from finite-measure densities

ID: conditional-expectation-from-finite-measure-densities

For nonnegative integrable , the finite measure restricted to a sub-sigma-algebra is absolutely continuous with respect to the restricted base measure. Its Radon-Nikodym derivative is -measurable and has the required integral identities. Positive and negative parts extend the construction to real integrable functions; real and imaginary parts extend it to complex functions. The result is unique almost everywhere.

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