随机过程及应用（二） - E[X|Y] = E[Y E[X|Y]]证明

E[X|Y] = E[Y E[X|Y]]证明：

||   **1.Just use the following: 

For an integrable random variable $Z$,
对于一个可积随机变量$Z$，

$$E[Z] =E[\ E[Z|F]\ ]$$ for any $σ-algebra \ F$ . If $Y$ is $F-measurable,$

then

$$E[XY∣F]=YE[X∣F]$$ .

||   **2.Basically                                                     

$$E[XY]=E[\ E[XY|Y]\ ]=E[\ YE[X|Y]\ ]\ .$$
* * The first step is the iterated rule of conditional expectation.
* * 第一步是条件期望的迭代规则。
*
* * For the second, use the fact that given Y, Y is like a constant.
* * 第二,使用假设 给出Y , Y是一个常数。
* * However if you are looking for the usage of rigorous definition of conditional expectation, the solution by Davide Giraudo is the one to go for.
* * 但如果你在寻找条件期望严格定义的使用,还请参考Davide Giraudo提出的方法。