 Conditional-expectation martingale (source code)

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= Conditional-expectation martingale

For an integrable random variable $Z$ and an increasing <filtration> $(\mathcal F_n)$, the process $M_n=\mathbb E[Z\mid\mathcal F_n]$ is a <martingale>. The <tower property of conditional expectation> gives the martingale identity.

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