Conditional Expectation: Properties & Jensen's Inequality

In course

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Description

This lecture covers the properties of conditional expectation, including the tower property and linearity. It also introduces Jensen's inequality and its application in probability theory. The geometric interpretation of conditional expectation in a Hilbert space is discussed, along with the unique properties of conditional expectation. The lecture concludes with a proof of the properties of conditional expectation and their implications.

Instructors (2)

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Official source

https://mediaspace.epfl.ch/media/0_xmo1nw6c

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Ontological neighbourhood

Mathematics

Analysis: Measure theory, Functional analysis

Probability theory: Topics in probability theory

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