Iterated conditional expectations

DOI10.1016/J.JMAA.2010.02.001MaRDI QIDQ968865zbMATH OpenOpenAlexFDO

Authors J. Quinn, Alexander Y. Gordon

Publication date 10 May 2010

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2010.02.001

zbMATH Keywords

conditional expectationdilatation monotone mapequidistributed functionslaw invariance theoremNonatomic probability space

Mathematics Subject Classification ID

Foundations of probability theory (60A99)

Review text

The paper discusses two results of \textit{A. S. Cherny} and \textit{P. G. Grigoriev} [Finance Stoch. 11, No. 2, 291--298 (2007; Zbl 1144.91008)]. The first one is general and concerns the distance between arbitrary equidistributed bounded random variables on a nonatomic probability space. The second one is a consequence of the first one and establishes a law invariance theorem for \(L^{\infty}\) dilatation monotone maps (in the nonatomic setting). The authors give a straightforward analytic proof of the second result. This proof is motivated by a simple geometric idea. Then it is shown that the first result is implied by the second one. It is emphasized that both the theorems, when properly interpreted physically, have many counterintuitive consequences, not only in coherent risk theory, as in [Zbl 1144.91008].

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Cites work

• Dilatation monotone risk measures are law invariant

Cited in

(2)

• Compositions of conditional expectations, Amemiya-Andô conjecture and paradoxes of thermodynamics
• Iterates of a product of conditional expectation operators

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