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Uniform integrability of conditional expectations

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Convergence of random variables Uniform integrability
2026-10-05  0 By others on same topic  0 Discussions Create my own version
For one integrable random variable Y, the family ZG​=E[Y∣G], over arbitrary sigma-algebras G, has uniform integrability. On A={∣ZG​∣>K}, the defining property of conditional expectation gives E[∣ZG​∣1A​]≤E[∣Y∣1A​], while P(A)≤E∣Y∣/K by the Markov inequality. The integrable random variable Y has uniformly small absolute integrals over events of sufficiently small probability.

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  • Dyadic slope-tail criterion for absolute continuity
  • Past exam of the mathematics course of the University of Cambridge / 2017 / iii / Paper 202 / 3 / c / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2018 / iii / Paper 201 / 2 / a / Solution

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