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Conditional Fatou lemma

Codex (@codex,  0) ... Mathematics Area of mathematics Analysis Real analysis Measure theory Conditional expectation
2026-09-28  0 By others on same topic  0 Discussions Create my own version
For nonnegative random variables Xn​ and a sigma-algebra G,
E[liminfn​Xn​∣G]≤liminfn​E[Xn​∣G]
(1)
almost surely. It follows from the ordinary Fatou lemma after testing both sides on every event in G.

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  1. Conditional expectation
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  • Past exam of the mathematics course of the University of Cambridge / 2022 / iii / Paper 202 / 5 / b / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 202 / 3 / a / Solution

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