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