Proving $E[XY\mid\mathscr G] = XE[Y\mid\mathscr G]$

conditional-expectationprobability theory

I found several proof of this statement in this forum but no one use strictly the definition of conditional expectation.

Let $X,Y$ r.v on $(\Omega, \mathscr A, P)$. Let $\mathscr G$ be a sub $\sigma$-algebra of $\mathscr A$. Suppose $X$ and $Y$ are positive and that $X$ is $\mathscr G$ measurable. Prove that $$\mathbb E[XY\mid\mathscr G] = X\mathbb E[Y\mid\mathscr G]$$

So, is it correct the following proof?

For any $\mathscr G$-measurable positive r.v. $Z$ we have
$$ \mathbb E[XYZ] = \mathbb E\left[XZ\mathbb E[Y\mid\mathscr G]\right]=\mathbb E\left[Z\mathbb E\left[X\mathbb E[Y\mid\mathscr G]\mid\mathscr G\right]\right] = \mathbb E\left[Z\mathbb E[XY\mid\mathscr G]\right]$$

Best Answer

Your proof is not valid. For a correct proof note that when $X$ is a simple function measurable w.r.t. $\mathcal G$ the result follows by taking linear combinations in the definition of condition al expectation. Now you can go through the usual process (of taking limits of simple functions and considering positive and negative parts) to prove it for any $X$ which is measurable w.r.t. $\mathcal G$ such that $E|XY| <\infty$ when $Y\geq 0$. Finally you can drop the assumption $Y \geq 0$.

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