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Math Help - conditional expectation

  1. #1
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    conditional expectation

    what is X*E(X|G)? Is it just E(X^2|G)?

    and What is E[(E(X|G))^2] ?

    help please.
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  2. #2
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    Quote Originally Posted by Kat-M View Post
    what is X*E(X|G)? Is it just E(X^2|G)?
    No. Take M_t to be a martingale, then M_t\mathbb{E}[M_t|\mathcal{F}_s]=M_tM_s \neq \mathbb{E}[M_t^2|\mathcal{F}_s]
    and What is E[(E(X|G))^2] ?
    It is exactly what you wrote.
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