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Calculating a Conditional expectation

But this only left me with $$E[X_i|X_{\max}]=X_{\max}\mathbb{P}(X_i=X_{\max}|X_{\max})+E[X_i\mathbf{1}_{\{X_i<X_{\max}\}}|X_{\max}],$$ which doesn't really gelp me I think. Mixing the notation ...
Graham Kemp's user avatar

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