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Let $X, Y$ be two $L^1$ random variables on the probablity space $(\Omega, \mathcal{F}, P)$. Let $\mathcal{G} \subset \mathcal{F}$ be a sub-$\sigma$-algebra. Consider the conditional expectation operator $E(\cdot|\mathcal{G}) \colon L^1(\mathcal{F}) \to L^1(\mathcal{G})$. When is $E(X \ast Y|\mathcal{G}) = E(X|\mathcal{G}) \ast E(Y|\mathcal{G})$? Here $\ast$ is the convolution product on $L^1$ (which makes $(L^1, \ast)$ a Banach algebra, so I'm asking when is $E(\cdot|\mathcal{G})$ an algebra homomorphism?).

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I'm not quite sure how you're defining convolution - normally one can only define convolution of (equivalence classes of) L^1-functions which are defined on some semigroup that carries a suitable measure. Could you please write out your definition? –  Yemon Choi Dec 10 '09 at 3:13
    
@davidk01 I think that this is indeed the usual notion of conditional expectation wrt a sub $\sigma$-algebra; so I don't think that bit needs changing - or at least, it's not so important –  Yemon Choi Dec 10 '09 at 6:33
    
@Yemon Choi: You are right. I completely ignored the question of what kind of structure Omega has. –  davidk01 Dec 10 '09 at 8:12
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-1 since it is still (at time of writing) not clear what semigroup structure the author is assuming on the measure space, and hence I still don't follows what the "convolution product is supposed to be... –  Yemon Choi Dec 11 '09 at 5:34
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As long as $\mathcal{G}$ is invariant under whatever operation you use in the convolution ("+", say), $\mathcal{G}$-measurable functions will convolve to $\mathcal G$-measurable functions and the equalities of integrals that define the conditional expectation will be automatic: for any $H \in \mathcal G$ we have $$ \int_{\Omega} E(X|\mathcal{G}) * E(Y|\mathcal{G}) (t) \chi_H(t) dP(t) = $$ $$ = \int_{\Omega\times\Omega} E(X|\mathcal{G})(x)E(Y|\mathcal{G})(y) \chi_{H}(x+y) dP(x)dP(y) = $$ $$ = \int_{\Omega} E(X|\mathcal{G})(x) \int_{\Omega} E(Y|\mathcal{G})(y) \chi_{H}(x+y) dP(y)dP(x) = $$ $$ = \int_{\Omega} E(X|\mathcal{G})(x) \int_{\Omega} Y(y) \chi_{H}(x+y) dP(y)dP(x) = $$ $$ = \int_{\Omega} Y(y) \int_{\Omega} E(X|\mathcal{G})(x) \chi_{H}(x+y) dP(x)dP(y) = $$ $$ = \int_{\Omega} Y(y) \int_{\Omega} X(x) \chi_{H}(x+y) dP(x)dP(y) = $$ $$ = \int_{\Omega} X*Y(t) \chi_H(t) dP(t) = \int_{\Omega} E(X*Y|\mathcal{G})(t) \chi_H(t) dP(t) $$ If $\mathcal{G}$ is not invariant under the operation, though, I see no reason for the convolution to be $\mathcal{G}$-measurable. Is an example for that what you're requesting?

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Assuming $\Omega$ has the structure for defining convolutions I don't think it is ever an algebra homomorphism. Take $X$ to be supported on $\mathcal{G}^c$, i.e. take some set of non-zero measure in $\mathcal{G}^c$ and let $X$ be a function whose support lies in that set, then $E(X\ast Y|\mathcal{G})\neq 0$ but $E(X|\mathcal{G})=0$ so $E(X|\mathcal{G})\ast E(Y|\mathcal{G})=0$.

Edit: Scratch what I said. I was confusing sub-$\sigma$-algebra with sub-algebra of random variables and even in the finite case my statement is completely incorrect. In almost every instance $E(X|\mathcal{G})$ will not be zero as Jonas points out in the comments.

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What do you mean when you say that X is supported on the complement of a sigma algebra of subsets of \Omega? –  Jonas Meyer Dec 10 '09 at 10:48
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I don't understand. There may be an element of F\G on which X is supported, but that doesn't imply that E(X|G) = 0. Of course the support of X lies in $\Omega\in\mathcal{G}$. –  Jonas Meyer Dec 11 '09 at 2:26
    
As I mentioned, G will always contain one particular set which contains the support of X, namely $\Omega$, and G will typically contain many more sets on which X is not identically zero, even if the support itself is an element of F\G. Consider for example Omega = the unit circle, F = the set of Lebesgue measurable sets, G = the set of sets that are countable or have countable complement, X = a function that is identically 1 on a semicircle and 0 otherwise. Then the support of X is not an element of G, but E(X|G) is not zero because its integral over sets with countable complement is > 0. –  Jonas Meyer Dec 11 '09 at 3:11
    
I'm glad that's cleared up, but I think it can be confusing when you delete your comments that appeared as part of an exchange. –  Jonas Meyer Dec 11 '09 at 17:34
    
Ya, you have a point but hopefully the edit makes it clear. –  davidk01 Dec 12 '09 at 0:51
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I hadn't really thought through the question of which structure I want $\Omega$ to have specifically. I guess what is needed is some convolution semigroup structure which accurately resembles the convolution product (for $\Omega = \mathbb{R}^n$ and the Lebesgue measure) and $P$ being some kind of probability Haar measure which makes $(L^1(\Omega), \ast)$ a Banach algebra. But I consider Thorny's post a sufficient answer of my question.. Thanks for your help.

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