Conditional Expectation and Ordering
de Jonge, Ep
Ann. Probab., Tome 7 (1979) no. 6, p. 179-183 / Harvested from Project Euclid
Let $(\Omega, \mathscr{A}, \mu)$ be a probability space and let $L$ be an ideal in $M(\Omega, \mathscr{A}, \mu)$ containing $\chi_\Omega$. A one-one correspondence between the class of "order closed" linear subspaces of $L$ and the sub $\sigma$-algebras of $\mathscr{A}$ is proved. Furthermore, if $T : L \rightarrow M(\Omega, \mathscr{A}, \mu)$ is a strictly positive order continuous projectionlike linear map then $T$ is shown to be a conditional expectation $E_\nu(\cdot \mid\mathscr{A}_0)$. It follows that if $T: L \rightarrow M(\Omega, \mathscr{A}, \mu)$ is a positive expectation invariant projectionlike linear map, then even $T = E_\mu(\cdot \mid \mathscr{A}_0)$.
Publié le : 1979-02-14
Classification:  Conditional expectation,  measurable subspace,  60A05,  46E30,  47B55
@article{1176995162,
     author = {de Jonge, Ep},
     title = {Conditional Expectation and Ordering},
     journal = {Ann. Probab.},
     volume = {7},
     number = {6},
     year = {1979},
     pages = { 179-183},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995162}
}
de Jonge, Ep. Conditional Expectation and Ordering. Ann. Probab., Tome 7 (1979) no. 6, pp.  179-183. http://gdmltest.u-ga.fr/item/1176995162/