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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

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Why does the dispersion of X about its conditional mean decreases as the σ−algebra grows? [closed]

Given $ \mathbb{E}X^2<\infty $, how can I show that if two $\sigma$-algebras $\mathscr{G}_1\subset \mathscr{G}_2$, then $\mathbb{E}[Var(X|\mathscr{G}_2)]\leq \mathbb{E}[Var(X|\mathscr{G}_1)]$ ? I have …
Haosheng Zhou's user avatar