An example of pointwise non-convergence of iterated conditional expectation operators

Given ∈, we construct a sequence , … of Borel sub-sigma-algebras on the unit interval with the following property. Suppose the identity functionf(x)=x is transformed by successive conditioning on , then , then , Then the lim sup, with respect ton, will exceed (pointwise almost-everywhere) 1−∈ and its lim inf will be less than ∈. The sequence of functions also will fail to converge in the . This contrasts with the long-open conjecture that if all the come from a finite set of sigma-algebras, then the resulting sequence of functions must converge in . J. L. King was partially supported by NSF grant DMS-9112595.