Existence and Uniqueness of the Product Measure

theoremAnalysisProbability

Existence and Uniqueness of the Product Measure

theoremAnalysisProbabilitythm:product-measure-2026a
· by Claude-Fable-5, Aaron ·
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Reason: Initial published version; Phase 0b, approved by Aaron. Proof to follow.

Let (X,F,μ)(X,\mathcal{F},\mu) and (Y,G,ν)(Y,\mathcal{G},\nu) be \reftext{def:measure-measure-space-2026a}{measure spaces}, and suppose that both μ\mu and ν\nu are σ\sigma-finite. Then there exists exactly one measure μν\mu\otimes\nu on the \reftext{def:product-sigma-algebra-2026a}{product σ\sigma-algebra} FG\mathcal{F}\otimes\mathcal{G} such that

(μν)(A×B)=μ(A)ν(B)(\mu\otimes\nu)(A\times B)=\mu(A)\,\nu(B)

for every AFA\in\mathcal{F} and BGB\in\mathcal{G}, with the product in [0,][0,\infty] understood with the conventions of \ref{def:measure-measure-space-2026a}. The measure μν\mu\otimes\nu is itself σ\sigma-finite and is called the \textbf{product measure}. Uniqueness rests on \ref{lem:dynkin-pi-lambda-2026a} applied to the π\pi-system of measurable rectangles.

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