On the continuity of conditional expectations
โ Scribed by Helga Fetter
- Publisher
- Elsevier Science
- Year
- 1977
- Tongue
- English
- Weight
- 194 KB
- Volume
- 61
- Category
- Article
- ISSN
- 0022-247X
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๐ SIMILAR VOLUMES
A necessary and sufficient condition on a sequence n nโN of ฯ-subalgebras that assures L p -convergence of the conditional expectations is given. This result generalizes the L p -martingales, the Fetter and the Boylan (equiconvergence) theorems.
We prove that the martingale convergence theorem for generalized conditional expectations in von Neumann algebras holds in the weak topology without restrictions. The situation is therefore different fom the strong topology case, where there are restrictive conditions which distinguish between incre
## Abstract Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable __Y__~__t__~ with special reference to the case when auxiliary information is available in the form of a set of predictors