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Assuming countable and dependent choice, countable products of arbitrary probability spaces
Statement
Assume countable choice and dependent choice. For probability spaces there is a unique probability measure on such that, for every finite , its -coordinate marginal is .
Facts & Assumptions
Given: Countable choice, dependent choice, and a sequence of probability spaces.
Under the two stated choice principles, the cylinder law with the displayed finite product values is a premeasure. (The countable-product cylinder premeasure is countably additive)
Assuming countable choice, a premeasure extends to a measure on the sigma-algebra it generates. (Assuming countable choice, a premeasure extends through its induced outer measure)
A lambda-system containing a pi-system contains the sigma-algebra generated by that pi-system. (Dynkin's pi-lambda theorem)
Proof
Define . The finite product marginals are consistent, so [F1] applies.
By [F2], extends to a measure on the generated cylinder sigma-algebra. Since the empty cylinder is and has value , is a probability measure.
Let be another probability measure with the stated marginals. The family is a lambda-system: it contains the whole space because both measures have mass one, is closed under relative complements of nested members, and is closed under increasing countable unions by continuity from below. The two measures agree on every cylinder, and cylinders are a pi-system by Finite-coordinate cylinders form a -system, so [F3] gives . Hence .
Depends on
- Coordinate maps, finite-coordinate cylinders, and the cylinder $\sigma$-algebra
- Finite-coordinate cylinders form a $\pi$-system
- The countable-product cylinder premeasure is countably additive
- Assuming countable choice, a premeasure extends through its induced outer measure
- The Axiom of Countable Choice ($\mathrm{AC}_\omega$)
- The axiom of dependent choice: a relation in which every element is related to something admits an $\mathbb{N}$-indexed chain
- Dynkin's pi-lambda theorem
Used by
- Critical-reaction binomial guarded tau-leaping Algorithm
- Dominating thinning for bounded time-varying propensities Algorithm
- Exact uniform sampling from the nonzero residue representatives Algorithm
- Gillespie direct method with horizon and budget statuses Algorithm
- Minimum-intensity coupling of reaction networks Algorithm
- Next-reaction method by internal Poisson clocks Algorithm
- Shor factoring with verified output and bounded outer retries Algorithm
- Birkhoff strong law for iid coordinate shifts Corollary
- Coordinate random elements of a countable product are independent Corollary
- Countably many independent copies of a prescribed law exist Corollary
- Diminishing adaptation and uniform ergodicity need not give a strong law Counterexample
- Quadratic pure-birth rates can explode Counterexample
- Summable untruncated variances are not necessary Counterexample
- Empirical-Bayes credible-ball procedure in the inverse Gaussian sequence model Definition
- A canonical random walk from product increments Example
- A Lindeberg array with no identically distributed row Example
- A nonidentical Bernoulli weak law Example
- Almost sure frequency of heads Example
- An i.i.d. sequence with a prescribed law Example
- Independent but non-identically distributed coordinates Example
- The infinite fair-coin-toss space Example
- The three series impose separate conditions Example
- A universal Martin-Löf test exists Lemma
- Adjacent iid vector functionals admit a finite-moment strong approximation Lemma
- Dynkin identity for a bounded-rate finite stopped reaction chain Lemma
- Finite-moment iid vectors admit a strong Gaussian approximation Lemma
- Geometric Markov chains admit delayed adjacent-iid split tours with spare moments Lemma
- Independent Brownian motion straightens a Poisson clock Lemma
- One-step weak defect of finite-state Poisson tau-leaping Lemma
- Posterior and marginal-likelihood formulas for the Gaussian sequence prior Lemma
- State-space and index-set boundaries of the two extension routes Remark
- A proper Lyapunov bound prevents reaction-network explosion Theorem
- Bounded-error success of Shor factoring Theorem
- Compensators, brackets, and jump-integral isometry for reaction counts Theorem
- Disjoint streams of independent fair bits produce independent uniform variables Theorem
- Dominating thinning has the prescribed reaction law Theorem
- Existence of a locally finite Poisson point process Theorem
- Finite-state Gillespie and next-reaction methods have the specified CTMC law Theorem
- Rejection sampling is uniform, almost surely terminating, and has expected linear bit cost Theorem
- Strong invariance principle for geometrically ergodic chains Theorem
…and 2 more results.
Dependency tree · two levels
37 results within two dependency steps of this one, each drawn at its shortest distance from it. An arrow runs from a result to what uses it, so the chart reads left to right and ends at this result, which carries a heavier outline. Every node is a link to that result. Click elsewhere on the chart to enlarge it.
Sources
- Kajino, Probability Theory, Theorem 3.65 (standard reference, not scraped)