A question: how to prove iterated conditioning expectation - Quant版 - 未名存档

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Quant版 - A question: how to prove iterated conditioning expectation

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话题: iterated

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y**********0 发帖数: 425	1 i.e. E[I(t)\|F(s)]=E[E[I(t)\|F(p)]\|F(s)] where F(t)is filtration and time t>p>s thank you very much
r**a 发帖数: 536	2 go check Shreve's book page 71. 【在 y**********0 的大作中提到】 : i.e. : E[I(t)\|F(s)]=E[E[I(t)\|F(p)]\|F(s)] : where F(t)is filtration : and time t>p>s : thank you very much

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话题: iterated

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