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Stochastic processes with linear conditional expectation and quadratic conditional variance
Stochastic processes linear conditional expectation quadratic conditional variance
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2009/9/23
Linear conditional expectations and quadratic conditional
variances determine a class of stochastic processes with
independent increments. Characterizations of the Wiener, Poisson,
gamma, negative ...
ON THE APPROXIMATION OF A RANDOM VARIABLE BY A CONDITIONAL EXPECTATION OF ANOTHER RANDOM VARIABLE
Conditional expectation
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2009/9/18
Let X and Y be R-valued random variables on a nonatomic
probability space (8, 5, P). We give conditions under which
Y can be approximated by a conditional expectation of X. In particular,
we prove ...