[944] Risk Neutral Measure

[David Itkin]

Hi Lucas,

I figured it out after you left office hours -- by definition of
conditional expectation we have that [image: \int_A X dP = \int_A
E[X|\mathcal{F}] dP \ \forall \ A \in \mathcal{F}] so we get the equality
by just applying this definition to the random variable [image:
Z(T)\tilde{E}(X|\mathcal{F}_s)].

Hope this helps,

David

On Fri, Dec 15, 2017 at 1:19 PM, Lucas Duarte Bahia <lduarteb at andrew.cmu.edu
> wrote:

> Professor,
>
> Could you please explain the following step in Lemma 1.11 in the notes?
>
> [image: Inline image 1]
>
>
> Thanks,
> *Lucas Duarte Bahia*
> MS. Computational Finance Student
> Carnegie Mellon University
> Telephone: (412) 378-1892
>
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