Let $(\Omega, \mathcal{G}, \mathbb{P})$ be a complete probability space.

Let $D$ be a complete, separable, metrizable topological space with Borel $\sigma$-algebra $\mathcal{B}(D)$ (such as $D = \mathbb{R}^q$ with $\sigma$-algebra $\mathcal{B}(D) = \mathcal{B}(\mathbb{R}^d)$).

Let $\mathbb{R}$ be equipped with its canonical Borel $\sigma$-algebra $\mathcal{B}(\mathbb{R})$.

Let $g: \Omega \times D \rightarrow \mathbb{R}$ be a bounded $(\mathcal{G} \otimes \mathcal{B}(D) ) / \mathcal{B}(\mathbb{R})$-measurable function.

Let $\Pi: \Omega \rightarrow D$ be a $\mathcal{G}/\mathcal{B}(D)$-measurable random variable.

Let $H : \Omega \rightarrow \mathbb{R}$ be a $\mathcal{G}/\mathcal{B}(\mathbb{R})$-measurable random variable, defined by $$ H(\omega) := g(\omega, \Pi(\omega)).$$ Note, that, since $g$ is bounded, we have $H \in \mathcal{L}^2(\Omega, \mathcal{G}, \mathbb{P})$.

Let $j: D \rightarrow \mathcal{L}^2(\Omega, \mathcal{G}, \mathbb{P}) $ be defined by $$ j(\pi)(\omega) := g(\omega, \pi) $$

For all $\pi \in D$, let $j(\pi)$ be independent of $\Pi$.


I am interested in the conditional expectation $$\mathbb{E}[H \mid \Pi] :\Omega \rightarrow \mathbb{R}$$ of $H$ with respect to $\Pi$. More specifically, I suspect that (a $\mathbb{P}$-unique version of) this condititional expectation is given by

$$ \mathbb{E}[H \mid \Pi] (\omega) = \mathbb{E}[j(\Pi(\omega))], \quad (\dagger) $$ whereby $\mathbb{E}[j(\Pi(\omega))]$ can of course also be written as $$\mathbb{E}[j(\Pi(\omega))] = \int_{\Omega} j(\Pi(\omega))(\tilde{\omega}) d\mathbb{P}(\tilde{\omega}) . $$

How can I prove, that $(\dagger)$ is the case? I have tried, tracking the definition of conditional expectation and using Fubini, but with little success so far.

Thanks for any advice!


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