双重期望值定理

双重期望値定理(Double expectation theorem)，亦称重叠期望値定理(Iterated expectation theorem)、全期望値定理(Law of total expectation)，即设X,Y,Z为随机变量，g(·)和h(·)为连续函数，下列期望和条件期望均存在，则

1. $\operatorname {E} (X)=\operatorname {E} (\operatorname {E} (X\mid Y));$

运算过程

${\begin{aligned}&\operatorname {E} \left(\operatorname {E} (X|Y)\right)\\&=\sum \limits _{y}\operatorname {E} (X|Y=y)\cdot \operatorname {P} (Y=y)\\&=\sum \limits _{y}\left(\sum \limits _{x}x\cdot \operatorname {P} (X=x|Y=y)\right)\cdot \operatorname {P} (Y=y)\\\end{aligned}}$

参考

• Billingsley, Patrick. Probability and measure. New York, NY: John Wiley & Sons, Inc. 1995. ISBN 0-471-00710-2.  (Theorem 34.4)
• http://sims.princeton.edu/yftp/Bubbles2007/ProbNotes.pdf（页面存档备份，存于互联网档案馆）, especially equations (16) through (18)