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Dynkin's lemma


In probability theory, the Doob–Dynkin lemma, named after Joseph L. Doob and Eugene Dynkin, characterizes the situation when one random variable is a function of another by the inclusion of the -algebras generated by the random variables. The usual statement of the lemma is formulated in terms of one random variable being measurable with respect to the -algebra generated by the other.

The lemma plays an important role in the conditional expectation in probability theory, where it allows to replace the conditioning on a random variable by conditioning on the -algebra that is generated by the random variable.


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