TheoremBase

Rich Probability Space

A probability space is rich if every Borel probability measure on every Euclidean space is the law of some random vector on it.

Statement

In the setting of Probability Measures on Euclidean Space and Random Vectors: Standing Notation, the probability space (Ω,F,P)(\Omega,\mathcal{F},P) is called rich if for every m∈Nm\in\mathbb{N} with 1≤m1\le m and every μ∈P(Rm)\mu\in\mathcal{P}(\mathbb{R}^{m}) there is a random vector XX in Rm\mathbb{R}^{m} on (Ω,F,P)(\Omega,\mathcal{F},P) whose law is μ\mu.

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