Goodnight Someone knows of some definition or reference of how to define conditional expectation for a measure space with $\sigma-$finite measure. I think it should be like that, Let $(X,\mathcal{B},\nu)$ a measure space and $\mathcal{F}\subset\mathcal{B}$ a sub$-\sigma-$algebra, such that $\nu$ is $\sigma-$finita in $\mathcal{F}$. Then for all $f\in L^1(X,\mathcal{B},\nu)$ exists $g\in L^1(X,\mathcal{F},\nu|_{\mathcal{F}})$ such that $$\int_{E}fd\nu=\int_Egd\nu|_{\mathcal{F}},\qquad\forall E\in\mathcal{F},$$ $g(x):=\mathbb{E}_{\nu}[f|\mathcal{F}](x)$ it is called conditional expectation. Is this the correct way to define conditional expectation? There is another way to define it without requiring the hypothesis of $\nu$ be $\sigma-$finite in $\mathcal{F}$? Thank you