Conditional Expectation and Martingale Theory
In the theories of estimation and control involving stochastic differential systems, a central role is played by the concept of Martingales (due largely to Doob [l]). The Martingale theory in turn requires the notion of Conditional Expectation. In view of their importance, we shall now study these two concepts and some of the related results of particular relevance to our purposes.
KeywordsConditional Expectation Simple Function Wiener Process Borel Function Martingale Theory
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