Bayes formula for conditional expectation

If

d P = Z d P

and

Z_{t} = E [Z ∣ F_{t}] > 0

, then

E [X ∣ F_{t}] = \frac{E [ ZX ∣ F _{t} ]}{Z _{t}} .

 Ancestors (6)

 Incoming links (10)

Forward-measure terminal rate in a linear bond model
Half-volatility measure for a square-root stock claim
Past exam of the mathematics course of the University of Cambridge / 2004 / iii / Paper 30 / 5 / a / Solution
Past exam of the mathematics course of the University of Cambridge / 2004 / iii / Paper 34 / 3 / Solution
Past exam of the mathematics course of the University of Cambridge / 2010 / iii / Paper 39 / 2 / d / Solution
Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 39 / 5 / a / Solution
Past exam of the mathematics course of the University of Cambridge / 2014 / iii / Paper 27 / 4 / Solution
Past exam of the mathematics course of the University of Cambridge / 2014 / iii / Paper 38 / 3 / b / Solution
Past exam of the mathematics course of the University of Cambridge / 2014 / iii / Paper 38 / 3 / d / Solution
Past exam of the mathematics course of the University of Cambridge / 2022 / iii / Paper 202 / 2 / b / Solution

 View article source

 Discussion (0)

There are no discussions about this article yet.

 Articles by others on the same topic (0)

There are currently no matching articles.

  See all articles in the same topic Create my own version