# reference for conditional expectation

Suppose $1\leq p<\infty$. Let $E$ be a Banach space. Consider a filtration $F_n$ on some probability space $\Omega$. Let $X\in L^p(\Omega,E)$ where $L^p(\Omega,E)$ denote the Bochner space. In this case, we have

$$\lim_{n\to \infty}\mathbb{E}(X|F_n)=\mathbb{E}(X|F_\infty)$$ in $L^{p}(\Omega,E)$ where $\mathbb{E}$ denote the conditional expectation operator.

I need a precise reference for this fact with a preference for a published book.

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@t.b. Thanks.  –  Did Nov 3 '11 at 8:38