Stochastics Seminar

Speaker: Olav Kallenberg

Title: A second commutativity property and chain rule for conditional distributions and Palm measures

Abstract: A basic and constantly employed property of conditional expectations is the elementary chain rule, well known to every beginning graduate student in probability. There is also a less known but equally useful and much more subtle chain rule for conditional distributions, allowing us to reduce a given conditioning problem to a simpler conditional setting. In this talk, I will compare the two rules and indicate how the latter extends to the more general context of Palm distributions.