XV: 35, 526-528, LNM 850 (1981)
YOR, Marc
Sur certains commutateurs d'une filtration (General theory of processes)
Let $({\cal F}_t)$ be a filtration satisfying the usual conditions and ${\cal G}$ be a $\sigma$-field. Then the conditional expectation $E[.|{\cal G}]$ commutes with $E[.|{\cal F}_T]$ for all stopping times $T$ if and only if for some stopping time $S$ ${\cal G}$ lies between ${\cal F}_{S-}]$ and ${\cal F}_S]$
Keywords: Conditional expectations
Nature: Original
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