Joint Measurability and the One-way Fubini Property for a Continuum of Independent Random Variables
AbstractApril 2000 As is well known, a continuous parameter process with mutually independent random variables is not jointly measurable in the usual sense. This paper proposes using a natural ``one-way Fubini'' property that guarantees a unique meaningful solution to this joint measurability problem when the random variables are independent even in a very weak sense. In particular, if F is the smallest extension of the usual product sigma-algebra such that the process is measurable, then there is a unique probability measure v on F such that the integral of any v-integrable function is equal to a double integral evaluated in one particular order. Moreover, in general this measure cannot be further extended to satisfy a two-way Fubini property. However, the extended framework with the one-way Fubini property not only shares many desirable features previously demonstrated under the stronger two-way Fubini property, but also leads to a new characterization of the most basic probabilistic concept --- stochastic independence in terms of regular conditional distributions.
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Bibliographic InfoPaper provided by Stanford University, Department of Economics in its series Working Papers with number 00008.
Date of creation: Apr 2000
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2000-05-16 (All new papers)
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