Hi im trying to understand conditional expectation and conditional probability based on sigma algebras. Therefore an answer in that flavour would be most useful.
So in a physical sense I can see what it means to condition on an event $A$ (i.e we know if this event happens or not). Then what does it mean to condition on a collection of events i.e a sigma algebra? and what is the meaning of asking for
1) $E[X|X]$
2) to go further, $E[X|f(X)]$
p.s I know conditioning on a r.v is just conditioning of the sigma algebra generated by that r.v. So I guess im just asking what it means physically to condition on a collection of events (and why when you do so you get something random back, unless those events were just {$A,A^{c},\Omega$,empty set}