Splitting of liftings in products of probability spaces
Strauss, W. ; Macheras, N. D. ; Musiał, K.
Ann. Probab., Tome 32 (2004) no. 1A, p. 2389-2408 / Harvested from Project Euclid
We prove that if $(X,{\mathfrak{A}},P)$ is an arbitrary probability space with countably generated σ-algebra ${\mathfrak{A}}$ , $(Y,{\mathfrak{B}},Q)$ is an arbitrary complete probability space with a lifting ρ and $\widehat {R}$ is a complete probability measure on ${\mathfrak{A}}{\,\widehat{\otimes}_{R}\,}{\mathfrak{B}}$ determined by a regular conditional probability {Sy:y∈Y} on ${\mathfrak{A}}$ with respect to ${\mathfrak{B}}$ , then there exist a lifting π on $(X\times Y,{\mathfrak{A}}{\,\widehat{\otimes}_{R}\,}{\mathfrak{B}},\widehat {R})$ and liftings σy on $(X,\widehat {\mathfrak{A}}_{y},\widehat {S}_{y})$ , y∈Y, such that, for every $E\in{\mathfrak{A}}{\,\widehat{\otimes}_{R}\,}{\mathfrak{B}}$ and every y∈Y, \[[\pi(E)]^{y}=\sigma_{y}\bigl([\pi(E)]^{y}\bigr).\] Assuming the absolute continuity of R with respect to P⊗Q, we prove the existence of a regular conditional probability {Ty:y∈Y} and liftings ϖ on $(X\times Y,{\mathfrak{A}}{\,\widehat{\otimes}_{R}\,}{\mathfrak{B}},\widehat {R})$ , ρ' on $(Y,\mathfrak{B},\widehat {Q})$ and σy on $(X,\widehat {\mathfrak{A}}_{y},\widehat {S}_{y})$ , y∈Y, such that, for every $E\in{\mathfrak{A}}{\,\widehat{\otimes}_{R}\,}{\mathfrak{B}}$ and every y∈Y, \[[\varpi(E)]^{y}=\sigma_{y}\bigl([\varpi(E)]^{y}\bigr)\] and \[\varpi(A\times B)=\bigcup_{y\in\rho'(B)}\sigma_{y}(A)\times\{y\}\qquad\mbox{if }A\times B\in{\mathfrak{A}}\times{\mathfrak{B}}.\] Both results are generalizations of Musiał, Strauss and Macheras [Fund. Math. 166 (2000) 281–303] to the case of measures which are not necessarily products of marginal measures. We prove also that liftings obtained in this paper always convert $\widehat {R}$ -measurable stochastic processes into their $\widehat {R}$ -measurable modifications.
Publié le : 2004-07-14
Classification:  Liftings,  product liftings,  product measures,  regular conditional probabilities,  densities,  product densities,  measurable stochastic processes,  28A51,  28A50,  28A35,  60A01,  60G05
@article{1091813617,
     author = {Strauss, W. and Macheras, N. D. and Musia\l , K.},
     title = {Splitting of liftings in products of probability spaces},
     journal = {Ann. Probab.},
     volume = {32},
     number = {1A},
     year = {2004},
     pages = { 2389-2408},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1091813617}
}
Strauss, W.; Macheras, N. D.; Musiał, K. Splitting of liftings in products of probability spaces. Ann. Probab., Tome 32 (2004) no. 1A, pp.  2389-2408. http://gdmltest.u-ga.fr/item/1091813617/