$\theta$, $\phi$ are integrable random variables on a probability space $(\Omega,\mathcal{F},P)$ and $\mathcal{G}$ is $\sigma$-field on $\Omega$ contained in $\mathcal{F}$. Now we want to prove $E(\theta\mid\mathcal{G})=E(\theta)$ if $\theta$ is independent of $\mathcal{G}$. The proof is, for any $B\in \mathcal{G}$, by independence, $\theta$ and $1_{B}$ are independent. And,$$\int_{B}E(\theta)dP=E(\theta)E(1_{B})=E(\theta 1_{B})=\int_{B}\theta dP,$$ and the conclusion follows. I'm really confused with the first equality $\int_{B}E(\theta)dP=E(\theta)E(1_{B})$. Can anyone explain this to me? Thanks!
2026-04-13 09:45:02.1776073502
Results about conditional expectations
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$$\int_{B}E[\theta]dP=E[E[\theta]I_{B}]=E[I_{B}]E[\theta]$$,that's all.