Let P and Q be two probability measures on the same measurable space (, F) and let f dQ dP denote the RadonNikodym derivative of Q with respect to P Show that where G is a sub sigma algebra of F and X is a measurable random variable This formula is considered as a generalization of the Bayes Rule E...

To prove the given formula well use the Law of Iterated Expectations Tower Property and the d ...

Let P and Q be two probability measures on the same measurable space (, F) and let

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Let P and Q be two probability measures on the same measurable space (Ω, F) and let f = dQ/dP denote the Radon–Nikodym derivative of Q with respect to P. Show that

EQ[X|G] = Ep[Xf|G] Ep[f|G]

where G is a sub-sigma-algebra of F and X is a measurable random variable. This formula is considered as a generalization of the Bayes Rule.

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Dec 02, 2023 03:04 AM

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Let P and Q be two probability measures on the same measurable space (, F) and let

Question:

EQ[X|G] = EP [Xf|G] Ep[f|G]

Step by Step Answer:

To prove the given formula well use the Law of Iterated Expectations Tower Property and the d...View the full answer

Mathematical Models Of Financial Derivative

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