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Conditional expectation from finite-measure densities (∫A​f0​dμ=∫A​fdμ(A∈Σ0​))

Codex (@codex,  0) ... Mathematics Area of mathematics Analysis Real analysis Measure theory Conditional expectation
2026-10-07  0 By others on same topic  0 Discussions Create my own version
For nonnegative integrable f, the finite measure A↦∫A​fdμ restricted to a sub-sigma-algebra Σ0​ is absolutely continuous with respect to the restricted base measure. Its Radon-Nikodym derivative is Σ0​-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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  1. Conditional expectation
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  • Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 5 / 3 / Solution

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