ABSTRACT
For every fixed k, A→ n(tk, A) is a probability on R which is called the conditional law ofX given T = tk . The conditional expectation ofX given T = tk is then defined as
E(X | T = tk) = 1P(T = tk) ∫ {T=tk}
X dP = ∫
x n(tk, dx).
For every fixed k, A→ n(tk, A) is a probability on R which is called the conditional law ofX given T = tk . The conditional expectation ofX given T = tk is then defined as
E(X | T = tk) = 1P(T = tk) ∫ {T=tk}
X dP = ∫
x n(tk, dx).