Suppose we have two probability measures $\mathbb{P}$ and $\mathbb{Q}$ on $(\Omega,F)$ and $\frac{d\mathbb{Q}}{d\mathbb{P}}=Z$. Let $\mathbb{P}_{n}$ and $\mathbb{Q}_{n}$ be the restrictions to $F_{n}$.
It is now given that $\frac{d\mathbb{Q}_{n}}{d\mathbb{P}_{n}}=\mathbb{E}_{p}[Z|F_{n}]$
Could anyone help me understand why?