Past exam of the mathematics course of the University of Cambridge / 2014 / iii / Paper 26 / 2 / 1

The conditional expectation $\mathbb{E}[X\mid \mathcal{G}]$ is a $\mathcal{G}$-measurable integrable random variable $Z$ such thatIt is defined up to almost sure equality. Measurability with respect to the sub-sigma-algebra and equality of these integrals are both essential: the first expresses that only the information in $\mathcal{G}$ is retained, and the second preserves all averages visible through that information. Existence follows from the Radon-Nikodym theorem; uniqueness is up to sets of probability zero.