So, assume that X and Y are two random variables such that Y=E[X|Y] almost surely and X=E[Y|X] almost surely. We need to prove that X=Y almost surely.

funnyantyLEy

funnyantyLEy

Answered question

2022-12-01

So, assume that X and Y are two random variables such that Y = E [ X | Y ] almost surely and X = E [ Y | X ] almost surely. We need to prove that X = Y almost surely.

Answer & Explanation

Maryjane Estrada

Maryjane Estrada

Beginner2022-12-02Added 10 answers

Write like this k N , E [ min ( X , k ) | min ( Y , k ) ] = min ( Y , k ) and E [ min ( Y , k ) | min ( X , k ) ] = min ( X , k ) by noticing that E [ min ( X , k ) | min ( Y , k ) ] min ( E [ X | min ( Y , k ) ] , k ) and that E [ X | min ( Y , k ) ] = E [ E [ X | Y ] | min ( Y , k ) ] = E [ Y | min ( Y , k ) ] also we have min ( E [ Y | min ( Y , k ) ] , k ) = min ( Y , k )
This method can be used for integrable functions and functions that take on values in a given space. [ 0 , ] by truncating the random variables, and then we can consider the L 2 case.

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