Let $1\le p<\infty$, let $X\in L^p(\Omega,\mathcal F,\mathbb P)$, and let $\mathcal G\subset\mathcal F$ be a sub-$\sigma$-algebra. Then
\begin{align*}
\|\mathbb E[X\mid\mathcal G]\|_{L^p}\le\|X\|_{L^p}.
\end{align*}
Probability & Statistics
Discussion
Conditional expectation is a contraction on Lp spaces, so conditioning cannot increase the Lp norm of an integrable random variable.
Proof
No proof available for this theorem.
Prerequisites
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Prerequisites Graph
Interactive dependency map showing how this theorem builds on foundational concepts