Article | REF: AF566 V1

Brownian motion and stochastic calculus

Author: Sylvie MÉLÉARD

Publication date: July 10, 2003

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1. Conditional expectation

In this section, we'll explain how partial information is modelled in the experiment under consideration, and how this information influences the "statistical knowledge" of the random phenomenon observed.

1.1 Elementary conditional expectation

Here, we use the abstract probabilistic framework described in the article . We therefore introduce a probability space (Ω,A,P) where Ω denotes the space of hazards,

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Conditional expectation