ThmDex – An index of mathematical definitions, results, and conjectures.
Probability calculus expression for basic real conditional expectation given a complement partition of the sample space
Formulation 0
Let $P = (\Omega, \mathcal{F}, \mathbb{P})$ be a D1159: Probability space such that
(i) $E \in \mathcal{F}$ is an D1716: Event in $P$
(ii) \begin{equation} \mathbb{P}(E) > 0 \end{equation}
(iii) $\mathcal{G} = \sigma \langle E \rangle$ is a D318: Generated sigma-algebra on $\Omega$ with generator $E$
(iv) $X : \Omega \to \mathbb{R}$ is an D3161: Random real number on $P$
(v) \begin{equation} \mathbb{E} |X| < \infty \end{equation}
Then \begin{equation} \forall \, \omega \in \Omega \left( \omega \in E \quad \implies \quad \mathbb{E}(X \mid \mathcal{G}) = \frac{\mathbb{E}(X I_E)}{\mathbb{P}(E)} \right) \end{equation}
Formulation 1
Let $P = (\Omega, \mathcal{F}, \mathbb{P})$ be a D1159: Probability space such that
(i) $G \in \mathcal{F}$ is an D1716: Event in $P$
(ii) \begin{equation} \mathbb{P}(G) > 0 \end{equation}
(iii) $X : \Omega \to \mathbb{R}$ is an D3161: Random real number on $P$
(iv) \begin{equation} \mathbb{E} |X| < \infty \end{equation}
Then \begin{equation} \forall \, \omega \in \Omega \left( \omega \in E \quad \implies \quad \mathbb{E}(X \mid G) = \frac{\mathbb{E}(X I_G)}{\mathbb{P}(G)} \right) \end{equation}