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Independent sigma-algebras have trivial intersection

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
If sub-sigma-algebras G and H are independent, every event in G∩H is independent of itself and consequently has probability zero or one. Thus
E[X∣G∩H]=E[X]
(1)
almost surely for every integrable random variable X.

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  • Past exam of the mathematics course of the University of Cambridge / 2021 / iii / Paper 201 / 1 / c / Solution

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