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Conditioning and Martingales

In: Applied Probability

Author

Listed:
  • Valérie Girardin

    (Université de Caen Normandie, Laboratoire de Mathématiques Nicolas Oresme)

  • Nikolaos Limnios

    (Université de Technologie de Compiègne, Laboratoire de Mathématiques Appliquées de Compiègne)

Abstract

In this chapter, conditional distributions and expectations are presented, following steps of increasing difficulty. Conditional distributions are first supposed to exist, which is true for all random variables taking values in ℝ d $$\mathbb {R}^d$$ . Still, conditional expectation is defined in the most general case. A section is dedicated to determining practically conditional distributions and expectations, and another to the linear model in which a random phenomenon is assumed to be linearly related to other simultaneously observed phenomena.

Suggested Citation

  • Valérie Girardin & Nikolaos Limnios, 2018. "Conditioning and Martingales," Springer Books, in: Applied Probability, chapter 2, pages 59-111, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-97412-5_2
    DOI: 10.1007/978-3-319-97412-5_2
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