\(L^p\)-continuity of conditional expectations (Q1269569): Difference between revisions

A necessary and sufficient condition on a sequence \(({\mathcal A}_n)_{n\in\mathbb{N}}\) of \(\sigma\)-subalgebras is given such that the conditional expectations \(E(f\mid {\mathcal A}_n)\) converge in \(L^p\)-norm \((1\leq p<\infty)\). This result generalizes the convergence theorem of the \(L^p\)-martingales, the Fetter and Boylan equi-convergence theorems. Some examples and counterexamples are also given.