SDE conditional expectations

probabilitystochastic-calculusstochastic-differential-equationsstochastic-processes

Let $(\Omega,F,F_t,W_t,P)$ a standard Brownian motion. Suppose that I have the following sde with stochastic coefficients:
$$dX_t=b(X_t,Y)dt+\sigma(X_t,Y)dW_t$$
with $X_0=x \in \mathbb{R}$ and $Y: \Omega \to R$ random variable $F_0$ measurable. Suppose that there is a unique strong solution.

If I want to calculate $\mathbb{E}[X_t|Y]$. is it correct to fix $y \in \mathbb{R}$ and to calculate $\mathbb{E}[X_t|Y=y]=\mathbb{E}^y[\tilde{X}_t]$ where $\tilde{X}$ solves

$$d\tilde{X}_t=b(\tilde{X}_t,y)dt+\sigma(\tilde{X}_t,y)dW_t$$

so that I get a function $g(y)$ and then $g(Y)=\mathbb{E}[X_t|Y]$.

Then I ask: by Doob's measurability theorem there exists $f$ such that $f(Y)=\mathbb{E}[X_t|Y]$. But who garantees that $f=g$ obtained by fixing $y$ int the equation for $\tilde{X}$ ?

Best Answer

First note that if $\mathbb{E}\left[X_t\mid Y=y\right]=g(y)$, for all $y$, then $\mathbb{E}\left[X_t\mid Y\right]=g(Y)$.

By definition, $$ X_t=\int_0^t b(X_s,Y)ds +\int_0^t \sigma(X_s,Y)dW_s $$ Denote by $\tilde{X}_t^y$ the solution to the SDE for a fixed $y$ (I included the dependency on y in the notation), then $$ \tilde{X}_t^y=\int_0^t b(\tilde{X}_s^y,y)ds +\int_0^t \sigma(\tilde{X}_s^y,y)dW_s $$

Thus, assuming $Y$ is independent on the Wiener process, $$ \mathbb{E}\left[ X_t \mid Y=y \right] = \mathbb{E}\left[ \int_0^t b(X_s,Y)ds +\int_0^t \sigma(X_s,Y)dW_s \mid Y=y \right] =\mathbb{E}\left[\tilde{X}_t^Y\mid Y=y \right] $$

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