Convergence of conditional expectations in Banach function spaces
The author studies the convergence of conditional expectations in Banach function spaces. It is shown that a result of \textit{A. Alonso} and \textit{F. Brambila-Paz} [J. Math. Anal. Appl. 221, No. 1, 161-176 (1998; Zbl 0917.60034)] can be generalized to other Banach spaces different from \(L^p\). Let \((\Omega, {\mathcal A}, \mu)\) be a complete probability space and \({\mathcal F}=\{{\mathcal F}_n\}_{n=1}^{\infty}\) be a sequence of sub-\(\sigma\)-fields of \({\mathcal A}\) and \({\mathcal G}\) a sub-\(\sigma\)-field of \({\mathcal A}\). Define \(\mu\)-convergence (notation \({\mathcal F}_n\rightarrow_{\mu}{\mathcal G}\)) if \(\forall A\in {\mathcal G}\) there exists a sequence of sets such that \(A_n\in {\mathcal F}_n\) for each \(n\geq 1\) and \(1_{A_n}\rightarrow 1_{A}\) in \(L^1\), and \(\perp\)-convergence (\({\mathcal F}_n\rightarrow_{\perp}{\mathcal G}\)) if \(1_{A_n}- E[1_{A_n}\mid {\mathcal F}_n]\rightarrow 0\) weakly in \(L^2\) for any sequence \(A_n\in {\mathcal F}\). The main generalization of this work consists in the following: \({\mathcal F}_n\rightarrow_{\mu}{\mathcal G}\) and \({\mathcal F}_n\rightarrow_{\perp}{\mathcal G}\) implies that \(\|E[f\mid {\mathcal F}_n] -E[f\mid {\mathcal G}]\|_{X}\rightarrow 0\) for all \(f\in X\) if and only if \(X\) has an absolutely continuous norm. This is the case if \(X\) is the Orlicz space \(L^{\Phi}\), or Lorentz space \(L^{p,q}\) with \(1<p<\infty\) and \(1\leq q<\infty\). The author also considers convergence of conditional expectations in weighted \(L^p\)-spaces.
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- Weight functions on probability spaces
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