Dyadic conditional averages recover integrable functions ($f_n\to f\text{ almost everywhere and in }{L}^1$)

For an integrable function on $[0,1]$, average $f$ on each dyadic interval of length $2^{-n}$. The resulting step function $f_n$ converges to $f$ almost everywhere and in the L1 norm. If $U$ has the uniform distribution on $[0,1]$, then $f_n(U)=\mathbb{E}[f(U)\mid \sigma (b_n(U))]$, where $b_n$ rounds down to a dyadic endpoint. Refinement makes these conditional expectations a uniformly integrable martingale. The uniformly integrable martingale convergence theorem gives almost-sure and convergence in L1 to a limit $Y$.

Since $b_n(U)\to U$, the generated limiting sigma-algebra contains $U$ up to null sets. For every event $A$ in any finite-stage sigma-algebra, convergence in the L1 norm gives $\mathbb{E}[Y{1}_A]=\mathbb{E}[f(U)1_A]$. The pi-lambda theorem extends this equality to the limiting sigma-algebra, identifying $Y=f(U)$. The uniform distribution of $U$ translates the two convergence conclusions into the assertions for $f_n$. Choosing a Borel representative of $f$ and assigning arbitrary values at the endpoint one makes all random variables well defined without changing either conclusion.