HTML Validation: UL in UL causes error "ul not allowed as child of element ul in this context"

Recently, I had a look at my website in an HTML Validator. I got the following error message there:

Error: ul not allowed as child of element ul in this context. (Suppressing further errors from this subtree.)

The error refers to one of my ul-lists in which I have included another nested ul-list as a sub list. It is something like this:

<ul>
  <li>A</li>
  <ul>
    <li>A1</li>
    <li>A2</li>
  </ul>
  <li>B</li>
  <li>C</li>
</ul>

Now, I wonder whether it is possible at all to create such a construction using valid HTML. As I understand of this error, this is not allowed to use an UL element as a child of another UL. Or is there any possibility to do so?