ABSTRACT
In this chapter, we begin to study a new and important nowadays type of process. We assume all r.v.’s under consideration to have finite expectations.
Throughout this chapter, we systematically use the notion of conditional expectation E{Y |X} introduced in Section 3.6 and clarified there and in subsequent chapters. In what follows below, the symbol X in E{Y |X} may stand for a random vector as well as for a random variable, which has been mentioned in (6.5.2.10). In particular, we will repeatedly use the formula for total expectation (see, e.g., (3.6.2.1))
E{E{Y |X}}= E{Y}. (1.1.1) We will need two more simple relations. In the first reading, the reader may take these
relations at a heuristic level. Consider two r.v.’s or r.vec.’s: X and X˜ .
