Assuming that $X \sim N\left( {0,a} \right)$, $Y \sim N\left( {0,b} \right)$ and that they have a correlation of $\rho $, can we compute ${\rm{E}}\left[ {{\rm{X - Y|2X + Y}}} \right]$
2026-03-30 11:17:11.1774869431
${\rm{E}}\left[ {{\rm{X - Y|2X + Y}}} \right]$ given that X and Y are correlated Gaussian r.v.
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