Theorem (xzemap REA A ® cn) do be the iochefinite inseqva2 aB X over 4 Sue yxcR) = xt TCH) - ach), % Tem 2 6 (Aj) J J ae let Pp and ¢ be two s-addhetive Sot Aunet do nara Adined ond, ter + 4 said do be P-continuou, Cy p-abscludely Conbrnuniss 1h &CAI=O - Whenever pm, sper A eH. Ths & admoted cH, b 2 Pp For ae functon on MH , 1h PE Le ntnunus than 61, 4 -ordinu0y , (i) b& & Ptontmucus Cp abvscukely continuous), 8 PCA)=0 ,duen T CAy= 0 as ard hone XZICn)=0 as es fuze = $= O- pact i PCAn) —s0. and XB Insegralle then OF bounded — convevoence dheovern , OCAnD =o ” Sometimes this acre Teron we ave Ho Such 48 indesved,(RADON-NIKODYM) PERIVATIVE Cn) = f XT CAA Prope (1) Pi) continue do hold for gh Will p- contimaty yveploed by — U-comtrnunity If Xs0 as then Och)20 aod Nene ua measure. IW geneva bend & te AiWLerenw of two measve ib Can taker bed Stans anda a signed measure IB xX & \ntegrable bcare wo for evem AEM. and hence & & Pincke If X B finite for almost all up then Wwe can partition ~2 indo a@ eounkhe no of | sels. Avo (we x emi] ) = 0, £1, +2, Suco hah bw Pinile on eacks An jth du o Pnite $ cd: (x de> fxxen ap, aed. A pesca as, x. 7 io comotinies This ° velacktove - ie omens ApRaden-Nikodym devvattive GG Uniques Up do og te er P-measuve zoo: pk hot x ey be A-menmsuvatle Such thas 5 element of AEN PCR > Sx = i vd P A A ther, Gopi - Pe A Os Say x Tass vps thak, | ee as <1 Cthencue suppose dhat Ae fhex-v) > GB Suth thet PCA) >Oo 3 jsdhen we have i J oar PfEdP sre Pcadso 11> a whieh Ww due confvadiches to QD , Hone prrved 103) oo! Brandy owe # measuvable and f{* efy y AeA 2 Se: j Atase ; ows Suppose A=[xX-y>¢] wido PCAD>O (txwde > ef a “ull A mt f c-wae > € Pca >0 a (cn) ar ay > { xar - {var >o a 4 n » {xe >{vae 3) e A which YB contraditten do @. Henw by corsvadlichioo mehned, we Can conclude dhod , Sear ee my Mey ee 2 18 {x4 exe g- measurable and “if S xn 2 f* ay neh é A Ai, Ss x phi onien § Kn ss F A Dio {Year — Non {xde ao N22 50 ° | iro { o- aP 20 ne go, { Cxn-% apo ad MOO | i a| &, previous Domma, we now dhak Radon-Nikodynn Sonuchs | UW umqns up te sets of te xdp = Syde n nas ne => Xv» A >5* we can say dual F Gnade 90 nea | | | © Raden Nikodyno ‘Theovero Fuoper? Wu a eo Pintle measwe «r €.2,0) and oo xu, | pope abd U-conkimous — Seb Bung then b U Fe inde ‘et eh Ae AO a ae dln ee Up i> y- measure zow- | DA o additive set Bune o, Adined 07 CUM O Saas, | | a M-singwlay 18 4, vanishes oulside sntull set N. Thy fer a Ach | “be CM a de CAND Sine be Candao. we may rote ead Mabie Unt by, | Vanuhy insiae any A-null set i! Consider the combting measure 0 1935 Waking Gattiedh with each 08 dhe points 0, 41,¢2,--. Since the Lebeogue measure af dho St N= fo 41,42,..) b emo “sna ? vanicho oudside dus prnutl sob (9 os Mesinguar | fact Oca) .0 CAN), a : writ oe Fw" Lebesque Devompositon [4 MW & a o finite | o-fPinite set Pune. j Ody ons decompositb. and a [-eingular and c-additle set see une b, U the indie 4, 42, b> d.4g,- Move over pune ywegral Bo — Binde — mansuvable Bune. datemnined! uniquely &P ay Menaul set- ge? Ang DF/F ean be decomposed uniquly into a step ese. Fan nds gett state errant gro, $4 and be ave he Lovrespondiny Lebesgue - Stciljes mearuimes ov (R,8) dur bs O.+ bd: By above theorem, be can he further cplit ip 40 two such wes dae and Pee. in a unique manner tt 6,, a Ueabsotetly continuous @ bes 4 MU -Singnloy by, car we expressed pi-being lebesgue monsure « ao indepiwike indegral in the horn dae CRD> SiGe) j Fae © Fc, denote duo conver. PFs’ Fac CX? U deg @U the inddf inie indegyal a CoolSee Let vA and M be a oifinike meat ong jy Wecmnces ak © wo B- Niatenbia” Guncy 2 itearad, Pied exgs , dher Bor every Ach mm dem > Peau. fxan ee" ik % ol aé 2% dA A OY equiv, | Hid waQowetiy ad ae Ay me eq aA au A | | peck: The aie © oa Conypared? do tre Chonge ag Vai gt,» ue ate 4, Poveda AB calc Qus. Sinco Ab and Xi du oA dA j 7 PG Uniguencss af Radon-Nikodym Adriane | they are ena as. Renee duc two Borrmudaith © ag Squivalent Ret x-mps dd ped: du using Radon. Nikedyns dueovem , Cinee At Y A- continuowp @ Gy alse 4- continuvus ,2) CONDITONAL we EXPE CTATI ON ca Pehinction Suppse thet x & ap iniemvatis® eG > as Cat Ww gas ee 2 ot hads ae Ah ehicy a Rv ELxig) ated due Conditional) expected vatuo BX given B having gree two Prpertier | ) ECXle] & Gmeawabe ~@ insegrable - 1 W E[xle\satishier’ dhe equation Selxielar . (xar , BEG = B jConstdey a (Pwo apace C2,A,p) and K be a RV defied oo ib. Let X be g_measuvable func whose integrad exisds fo Sx coo Let @csAa and be a2 o-fiold shen C0 8)- Sxade 7 BEB. B Ti, “weyers S fo_cear fag @ vAonsted bate ie & a @_measuvable, P-tontinunw and v-addetie set Bure. Hence foy Radon. Nikedym tisover, 20, mie, ales db , carted “he conditioned expectation a8 X given & a as by ex tt B defined by, ap (MPRRE waialmoonas fefxar- ( Ate de -(xde _¥ BEB —>0 a 8 a : a3 \ Suppose @ - (8,8', 62) i » Gxae- remap, a 4 Zcox. @ 1B) 4¢, 2089 . 6 eee eC, Wher we®B and we ® > PEA) «CP ePedp -[wdP + G PCB) s 8 f PCA) ig PCB 79 PCB) MY ule uweetre we B D evxKec 8° 5 j Gye OCAB2 1 oP CBO>0 PC8°) @ E tas). [ POD weg ; PCB) PCaBS) se : Pee) | | Here we nok that the condition) expectation of zc) | Aven @ dealers the vale PCAIg) fpr wes ord e(Alat) ter 2 66% This Bune, will be caltecl He conditional probability 8 A giver BY #1 BY a Pati-nuil ator of B50 that PB)>0 % grr dake a coment vats bor uw 6B 0 ® exe) 2 | e° Cxeu a5 sf BO as eg Ae Let CX) be a Mmeasuvable space and WM be 4 moa re apib, a Sek ACK B called Bo adore “if iM) >0 aod OF any measurable —cubset BOA witls 4408. dhe set B has measure Teo. ja Conskinb-H's eat, Od von-wul atu BEB, €°x value U dhe Avorage of, value 0g X of B wrt P Rte vale of C2) gor weB U dhe avevagt of Walt 08 Kcus) westvcteal bo 2 €@, dre aworage bowy ken wey bt Pemweasure vermced to B- 2 The operat? of conditioning, yous oud dhe BidBerent Values o replace dhem by @ common value.» He, ano indegysh, oh x peres 8 eae condiional probit measuve i cadded dhe basic Smootleina pers 08 tae tonditiona) expectation - 5 Ge Sonenegpe let x be qa discrete RY daking dhe tolln positive probabilety ; tet @ be dre o-field in epield jndurcedd by Rvtet Z2-q my) be Pees Gd, Ue “tor! Bune af cK? i E72), fzae -Se* cpap .66@ S B But a eres) ts a constant “on Ai, $94 € Cecany Zeon, Then + Le Ai conditions) expectation 08 = gtum y | GB cdebined as, a €* 2c) « 6-etai) \ 24 {eae = — fe AF 6%Gu) Pai) Ae Pood) (yer, xx) : | -2 Cu, 4). AF CYIM) FCS loa), FHy) ee si Foy | roohere FOGY) Bw She OF B CuY)d. PCAs per) ePl(xox ) and FC Ula)” eee) ober : er WU called dhe conditionaD distvibudtén oh Y given Xu.ty Ropet — off Condittoral Expectatfon mParability Properties, Recadl, COnaitiond) “eynentation, peb X be @ A-measurable Qunc whose inbegreD exists per BCA Ard be a o-freld, Thon, (8). fxade en 8 vesbiction af > Seb do B , donokd by te - Sie @cA, and cn) & &- measurable | P-continuow- and c-additive set func, dcp) G also B- measurable pPeconkivrou4 Y c-additive set une ey ean agithllodisro «.Thenvenn dhone eust 2 B- moa wvabus Gon eae> ak called eonditrend) expectater ah X given B , denesed by e*y. | Je xaP Seaeeoae Sa = $_? ("dey Con draened exp ectatio> of % iwdicatuy Bune pouets the pro ponedy of a pavlby measure, We have © ®row Bw sho condi wonad prov: ° Now, so sre ee en D> a4 me shat dere, © I) oc # ca? ¢! 3 pea? sez off B- Osuwidh PCN 2 NX Now considewy , a fp 9% HAF @D follows wm the pact dat, os OP I Cee PCAla) a p(Ales) Me bw OF Poy 1B A~n, 0, When A-A Been pies PLE! =, Pex) PB Pees efi when Ard Pp cgde 264) Bos Oe Pca) i B - PUD use, SWiceg CTH) Ws) =f Tpos 6 Popp? ase Re PCR) peed In genta, sviee for any B68, o¢ Sede 2 PLAB): fe®zcmar & 8 Suice pCA® =pce) % PlB>s fide B POF fe%xen) £ fae. a 8 Now, Sica o1 Y © °CAD ave @ -mensuvable,- ? fren ‘ (7a) 8 =.P Cre) 2P (AaB) =» (23 fe read ¢fe% rom rd, BEB. . B 2 rem) 2 6? x 04,9 > Pecan ce PPea.) A HO 1B Ai Pa,-~ ave Mutually exclusive , eds of A - eo oe PCR ad~ € Pm) as CFD. o By mono done convergent theorem, SsPeilen 1 pes yar) -21my > © Gen Teor fz Counsd.{ exe) 2 {ace Je*zcvei) -& { e®reni , BEB. & B Cb) Expectation WD Conditional eci oad s park 2 By definition af conditening ard Linearity oo 4 of eapcctedti on, e _ fe® caver (exayraP = [xd0 + Syvde B & 8 B @ z Pf { c4xaP elie YAF 8 B b) Similarly , f e®ctadare f axar . a (xdP . ales, B B B 8 a OO vey coe xey = = Sxar = fae peels ete se ns > a e erxdp €& €* vAPe Brom (1) we can imply that , "X20. Ae Since x 2 I + [| 2? xe[ aa dij) (Dix le, > FePen —> | 2, (pea) 8 & pa CX a e°x pee y © Other — Smoothing "Propertiesfe MAR TING ALES ca gotet C2, F, PD be a probability spac, and for CT, <) be & partially ovdeved Set’ [Partially ordered 5 2b, dhe velatton GQ) For $.tTxnd ya martingale » be Heme sequence hxay & said fe 5 Arting Sequence ‘Bg € Linh ee and Xn7 ECXnat | %,---¥n) 4S or Curve Qowty Sy = { x, BEB CH-- Xr) (ny, nel B B Hy.) | Xn canbe Rovbune of A gambles afer ” play, Mana Property says thab dhe expected fortune afier CO pag | ir pts hy portune after n PHS no maddey ibe WO fortune ene eantier The game & faly 1g Key Bom o mantrngale oh dhe game U favorable do player Shen Xr 2 € Ckny [¥,---xnd ans Then dinky "1B ue sub-manting ole. Ge UY Untavourbla rit super MateInnele re, Xone ECKna ly LeXn) ars,_— = ECan) & Yt---45 Co Mets ane independant ae gunchin 08 RV is siedienre = E CY) + Xn LA —~ve E C=) =%Xn acs (tae (eae ¥ne 29 Ye 44 aa) ¥ 2. av " dvr ib cur-m nae 18 Ch) 20 ep a oper maringele if ECny do Ch22,3- =) EON) anbieny. 2 Let x be any integrabe vv ond {yb be a awbiiang alle Sou Cah Zna € CKIY-- Yn) & & Martingale sequins re © Czy ene)? ,, Ape Cy--- a) Ba Zneeo"x Can moasuyable ) Moveouy Jany G a monojone increasivg af, a= Bretts Henie By CAn . Using smootlong papery {iD \ C18 Bc@ mn 8% e%x) - cox. ® (ex) ae), a a a 4 Coase (6 nes’i. | Go fen Ske Orn €On=t €Crntow-6-LE Lin Onn¥}Oe> eine; 1x) Valeting ena 0. Os, | Soli gen) = Mri" | Nn} Rin) 8% maringale | Conversely, 18 Ixny & a marti ng Le, by crmoathe y She Rare © Gacy 4, ee eee Cem wad vs aE ergo) 3 een ah iors @ pee mn O- 8" 2 Xm os , ee ree : wt ni ~ | LEE (BH trovitingpber= Def ning property) "Ca ast Chaka the same | - € Chee oe gore PEA vi: For sioroortingedie | , = EXe: eye Mme Cay 5 Spray vO) , [nf A manangate —-@©- . cy, fis, Wa, -9 Yn) deadening 0%, %ay / bean’) and Comvurcely dot oo @ Ch) X,-- une Ce Ih De ec The Sa, Axn} és martingale VB OMe Eerie eee Ae se (Yon \yun.- € Gre Mnerd [m1 %o} 24,4 € Cx) 2 Sn- Cleswly it i supficient Ho assume drat € [Xen I¥1-mtdag, AP n> 1. @ iwdeperdance of the Xo u nol venuered. fly 1B lsnh cy a martingale — Sequence, thon bg Sethvy XM 2S_- Sy) Br nal. S20 ,we howe Blea [si- x0 - € [Cong 50) L>4,-- Xe 2 Sp- SH ZO a-S. BE | ct. x), vo, - -, bemiuaaeee date RV cot €C%n)el YA R @ (xjl <2 yn ia 4; prposttio? a tet A¥%rh be a martingale UW Mek g be a Convex porction oO IR Then Lacy a a submartingate provided gna - € | 96x Hw , Por not. 1B [xn a Swmawivgale and gs a conver, en-decre. asiuy Hue such that © | alxn>) 2 Aner Sgcxory aa gubmartange Le « 2 Let {x be Ss Len a noarangale- By Tensen's inequality fer X be 42 Rv clegined on CA, PD 6 Cod ensE dee 4g be & Gontmuows) conve function oB RS gg) exist: Let pe S “be «2 eibietd: Then, mCenurny ye =1.g coy} | % 2 4c0Se, Pe acai hx ye, --. Xnin se 3,CE Realm -- -knay ) Onda On re Odhey hand, ib Amy 4O suomarangcde ttwen € (xnn 1x, me --- IS Xe aes We use che non- decreasing property a Gg do obtain Ho vesult re, 9CE Ln (%-- % 4) eg henry as a a vis adBe ay. 5 4 ; v e {x + [x* xa | Ya as ni cubmartinggbe Bor a, | Rests Ctet sh a.f: Sy Ore e § "ha, t } Ehalx, e BL vnajful near’: seats a Yt Be lita, c nd ‘ "1 tra, ie Mtit Mite Ayre Ag a max (xq ,4) > Can-a)'t 4 Mnos a. Fae! max (a, 02 4 Pen Wiieas CA-1 rs! = 4: 4. E[C¥nn -at4 a | Cx-a4 a > Cn a¥'s a} $e Gm At | Greate). Lien at sd] + €(al@r-ay wa 8 Commas +a, 2 Cm-a)ty ae MO Cyne. Kence proved drat mar Om, 4) a Sub-maningale,we note — dhark fenh Ga backward marringeto iQ ber moan: E Axa) Mn, msi Ye Xm arse Aso 'B XB an Integrable ev o { Oyu 4 non- &ygereRpiry, Gapene ob Sony of 2. &n eS =. Xn2E [x On Deore 3 One Take X2X%, Y Onre Cinvon, > HO oe ES t n>) @ E{x)Ory=& Ay lita tricot ao cena