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Random Element of a Metric Space and Its Law

Statement

Let (Ω,F,P)(\Omega,\mathcal{F},P) be a probability space and let (X,d)(X,d) be a metric space with Borel σ\sigma-algebra B(X)\mathcal{B}(X).

A random element of (X,d)(X,d) on (Ω,F,P)(\Omega,\mathcal{F},P) is a map Y:Ω→XY:\Omega\to X that is measurable with respect to F\mathcal{F} and B(X)\mathcal{B}(X).

The law of a random element YY of (X,d)(X,d) is the image measure PYP_Y of PP under YY, that is, the measure on (X,B(X))(X,\mathcal{B}(X)) given by

PY(B)=P(Y−1(B))for B∈B(X).P_Y(B)=P\bigl(Y^{-1}(B)\bigr)\qquad\text{for }B\in\mathcal{B}(X).

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