I have a conditional expectation question: how to calculate this expectation?
$$E[X-E(X|Y)|Y]$$
Conditional expectations are linear: $$E[X-E(X|Y)|Y]=E[X|Y]-E[E(X|Y)|Y]$$ By the tower property (requiring that the sigma algebra of the outer expectation is in the sigma algebra of the inner expectation). $$E[X|Y]-E[E(X|Y)|Y]=E[X|Y]-E[X|Y]=0$$
Hint:
$$E\bigg(E(X|Y)|Y\bigg)=E(g(Y)|Y)=g(Y)=E(X|Y)$$
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Conditional expectations are linear: $$E[X-E(X|Y)|Y]=E[X|Y]-E[E(X|Y)|Y]$$ By the tower property (requiring that the sigma algebra of the outer expectation is in the sigma algebra of the inner expectation). $$E[X|Y]-E[E(X|Y)|Y]=E[X|Y]-E[X|Y]=0$$