A surprisingly tricky question regarding conditional expectation

conditional-expectationmeasure-theorystochastic-processes

Let $S_n := X_1 + \dots + X_n$ for some i.i.d. r.v. $X_i$ (specifics not so important) and let $f$ be a function satisfying

\begin{align}
Ef(x+X_1) = f(x).
\end{align}

Then, as always the following would hold
\begin{align}
E\left(f(S_n + X_{n+1}) \vert X_1, \dots X_n\right) = f(S_n) \quad \text{(correct?)}
\end{align}

Now, what if we additionally have some r.v. $Y_1, \dots, Y_n$ depending on $X_1, \dots, X_n$ in some way but independent of $X_{n+1}$ and consider
\begin{align}
E\left( f(S_n + X_{n+1}) \vert X_1,\dots, X_n, Y_1, \dots, Y_n\right),
\end{align}

is this still equal to $f(S_n)$?

It is weird that I have never thought about this before… Also, this question could probably be asked in a more general form, but I thought giving a hands-on example might make it more palpable.

Edit: As was correctly pointed out, I should've been clearer: The $Y_1, \dots, Y_n$ are not stochastically independent of the $X_1, \dots, X_n$. They're not measurebale functions of the $X_1, \dots, X_n$.

Best Answer

In general, if $\mathcal{G}$ is a $\sigma$-field s.t. $S$ is $\mathcal{G}$-measurable and $X$ is independent of $\mathcal{G}$, then for any integrable function $\varphi$, $\mathsf{E}[\varphi(S,X)\mid \mathcal{G}]=g(S)$ a.s., where $g(s):=\mathsf{E}\varphi(s,X)$. Apply this result to your case with $\mathcal{G}=\sigma\{X_1,\ldots,X_n,Y_1,\ldots,Y_n\}$, assuming that $X_{n+1}$ is independent of $\mathcal{G}$ (see @Michael's comments and examples 1, 2, and 3).

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