On Products of Conditional Expectation Operators

Abstract

AbstractLet (X, Σ, μ) be a probability space, let f1, f2, ..., Fk be k σ-subalgebras of Σ, and let p ∊ R be such that 1 < p < + ∞. Let Pi :LP(X, Σ, μ) → LP(X, Σ, μ) be the conditional expectation operator corresponding to fi for every i = 1,2,…, k, and set T = P1 . . . Pk. Our goal in the note is to give a new and simpler proof of the fact that for every f ∊ LP(X, Σ, μ), the sequence (Tnf)n∊N converges in the norm topology of LP(X, Σ, μ), and that its limit is the conditional expectation of f with respect to f1 ∩ f2 ∩ … ∩ Fk.