Standard probability space

Standard probability space

In probability theory, a standard probability space (called also Lebesgue-Rokhlin probability space) is a probability space satisfying certain assumptions introduced by Vladimir Rokhlin in 1940 [1] . He showed that the unit interval endowed with the Lebesgue measure has important advantages over general probability spaces, and can be used as a probability space for all practical purposes in probability theory. The dimension of the unit interval is not a concern, which was clear already to Norbert Wiener. He constructed the Wiener process (also called Brownian motion) in the form of a measurable map from the unit interval to the space of continuous functions.

Short history

Vladimir Rokhlin created the theory of standard probability spaces in 1940 (see [1] , p.2); published in short in 1947, in detail in 1949 in Russian and in 1952 in English, reprinted in 1962 [1] . For modernized presentations see [2] , [3] , and Sect. 2.4 of [4] .

Nowadays standard probability spaces may be (and often are) treated in the framework of descriptive set theory, via standard Borel spaces, see for example Sect. 17 of [5] . This approach, natural for experts in descriptive set theory, is based on the isomorphism theorem for standard Borel spaces (see [5] , Theorem (15.6)) whose proof is very difficult for non-experts in descriptive set theory. The original approach of Rokhlin, based on measure theory, leads to much simpler proofs (since measure theory may neglect null sets, in contrast to descriptive set theory).

Standard probability spaces are used routinely in ergodic theory, which cannot be said on probability theory. Some probabilists hold the following opinion: only standard probability spaces are pertinent to probability theory, thus, it is a pity that the standardness is not included into the definition of probability space. Others disagree, however.

Arguments against standardness:
* the definition of standardness is technically demanding;
* the same about the theorems based on that definition;
* it is possible (and natural) to build all the probability theory without the standardness;
* events and random variables are essential, while probability spaces are auxiliary and should not be taken too seriously.

Arguments in favour of standardness:
* conditioning is easy and natural on standard probability spaces, otherwise it becomes obscure;
* the same for measure-preserving transformations between probability spaces, group actions on a probability space, etc.;
* ergodic theory uses standard probability spaces routinely and successfully;
* being unable to eliminate these (auxiliary) probability spaces, we should make them as useful as possible.

Definition

One of several well-known equivalent definitions of the standardness is given below, after some preparations. All probability spaces are assumed to be complete.

Isomorphism

An isomorphism between two probability spaces extstyle (Omega_1,mathcal{F}_1,P_1) , extstyle (Omega_2,mathcal{F}_2,P_2) is an invertible map extstyle f : Omega_1 o Omega_2 such that extstyle f and extstyle f^{-1} both are (measurable and) measure preserving maps.

Two probability spaces are isomorphic, if there exists an isomorphism between them.

Isomorphism modulo zero

Two probability spaces extstyle (Omega_1,mathcal{F}_1,P_1) , extstyle (Omega_2,mathcal{F}_2,P_2) are isomorphic extstyle operatorname{mod} , 0 , if there exist null sets extstyle A_1 subset Omega_1 , extstyle A_2 subset Omega_2 such that the probability spaces extstyle Omega_1 setminus A_1 , extstyle Omega_2 setminus A_2 are isomorphic (being endowed naturally with sigma-fields and probability measures).

Standard probability space

A probability space is standard, if it is isomorphic extstyle operatorname{mod} , 0 to an interval with Lebesgue measure, a finite or countable set of atoms, or a combination (disjoint union) of both.

See Sect. 2.4 (p. 20) of [1] ; Proposition 6 (p. 249) and Remark 2 (p. 250) in [2] ; and Theorem 4-3 in [3] . See also Sect. 17.F of [5] , and [4] (especially Sect. 2.4 and Exercise 3.1(v)).

Examples of non-standard probability spaces

A naive white noise

The space of all functions extstyle f : mathbb{R} o mathbb{R} may be thought of as the product extstyle mathbb{R}^mathbb{R} of a continuum of copies of the real line extstyle mathbb{R} . One may endow extstyle mathbb{R} with a probability measure, say, the standard normal distribution extstyle gamma = N(0,1) , and treat the space of functions as the product extstyle (mathbb{R},gamma)^mathbb{R} of a continuum of identical probability spaces extstyle (mathbb{R},gamma) . The product measure extstyle gamma^mathbb{R} is a probability measure on extstyle mathbb{R}^mathbb{R} . Many non-experts are inclined to believe that extstyle gamma^mathbb{R} describes the so-called white noise.

However, it does not. For the white noise, its integral from 0 to 1 should be a random variable distributed extstyle N(0,1) . In contrast, the integral (from 0 to 1 ) of extstyle f in extstyle (mathbb{R},gamma)^mathbb{R} is undefined. Even worse, extstyle f fails to be almost surely measurable. Still worse, the probability of extstyle f being measurable is undefined. And the worst thing: if extstyle X is a random variable distributed (say) uniformly on extstyle (0,1) and independent of extstyle f , then extstyle f(X) is not a random variable at all! (It lacks measurability.)

A perforated interval

Let extstyle Z subset (0,1) be a set whose inner Lebesgue measure is equal to 0 , but outer Lebesgue measure --- to 1 (thus, extstyle Z is nonmeasurable to extreme). There exists a probability measure extstyle m on extstyle Z such that extstyle m(Z cap A) = ext{mes} (A) for every Lebesgue measurable extstyle A subset (0,1) . (Here extstyle ext{mes} is the Lebesgue measure.) Events and random variables on the probability space extstyle (Z,m) (treated extstyle operatorname{mod} , 0 ) are in a natural one-to-one correspondence with events and random variables on the probability space extstyle ((0,1), ext{mes}) . Many non-experts are inclined to conclude that the probability space extstyle (Z,m) is as good as extstyle ((0,1), ext{mes}) .

However, it is not. A random variable extstyle X defined by extstyle X(omega)=omega is distributed uniformly on extstyle (0,1) . The conditional measure, given extstyle X=x , is just a single atom (at extstyle x), provided that extstyle ((0,1), ext{mes}) is the underlying probability space. However, if extstyle (Z,m) is used instead, then the conditional measure does not exist when extstyle x otin Z .

A perforated circle is constructed similarly. Its events and random variables are the same as on the usual circle. The group of rotations acts on them naturally. However, it fails to act on the perforated circle.

A superfluous measurable set

Let extstyle Z subset (0,1) be as in the previous example. Sets of the form extstyle ( A cap Z ) cup ( B setminus Z ), where extstyle A and extstyle B are arbitrary Lebesgue measurable sets, are a σ-algebra extstyle mathcal{F}; it contains the Lebesgue σ-algebra and extstyle Z. The formula: displaystyle m ig( ( A cap Z ) cup ( B setminus Z ) ig) = p , operatorname{mes} (A) + (1-p) operatorname{mes} (B) gives the general form of a probability measure extstyle m on extstyle ig( (0,1), mathcal{F} ig) that extends the Lebesgue measure; here extstyle p in [0,1] is a parameter. To be specific, we choose extstyle p = 0.5. Many non-experts are inclined to believe that such an extension of the Lebesgue measure is at least harmless.

However, it is the perforated interval in disguise. The
displaystyle f(x) = egin{cases} 0.5 x & ext{for } x in Z, \ 0.5 + 0.5 x & ext{for } x in (0,1) setminus Zend{cases} is an isomorphism between extstyle ig( (0,1), mathcal{F}, m ig) and the perforated interval corresponding to the set: displaystyle Z_1 = { 0.5 x : x in Z } cup { 0.5 + 0.5 x : x in (0,1) setminus Z } , ,another set of inner Lebesgue measure 0 but outer Lebesgue measure 1.

A criterion of standardness

Standardness of a given probability space extstyle (Omega,mathcal{F},P) is equivalent to a certain property of a measurable map extstyle f from extstyle (Omega,mathcal{F},P) to a measurable space extstyle (X,Sigma). Interestingly, the answer (standard, or not) does not depend on the choice of extstyle (X,Sigma) and extstyle f . This fact is quite useful; one may adapt the choice of extstyle (X,Sigma) and extstyle f to the given extstyle (Omega,mathcal{F},P). No need to examine all cases. It may be convenient to examine a random variable extstyle f : Omega o mathbb{R}, a random vector extstyle f : Omega o mathbb{R}^n, a random sequence extstyle f : Omega o mathbb{R}^infty, or a sequence of events extstyle (A_1,A_2,dots) treates as a sequence of two-valued random variables, extstyle f : Omega o {0,1}^infty.

Two conditions will be imposed on extstyle f (to be injective, and generating). Below it is assumed that such extstyle f is given. The question of its existence will be addressed afterwards.

The probability space extstyle (Omega,mathcal{F},P) is assumed to be complete (otherwise it cannot be standard).

A single random variable

A measurable function extstyle f : Omega o mathbb{R} induces a pushforward measure, --- the probability measure extstyle mu on extstyle mathbb{R}, defined by: displaystyle mu(B) = P ig( f^{-1}(B) ig) for Borel sets extstyle B subset mathbb{R}. (It is nothing but the distribution of the random variable.) The image extstyle f (Omega) is always a set of full outer measure,: displaystyle mu^* ig( f(Omega) ig) = 1, but its inner measure can differ (see "a perforated interval"). In other words, extstyle f (Omega) need not be a set of full measure extstyle mu.

A measurable function extstyle f : Omega o mathbb{R} is called "generating" if extstyle mathcal{F} is the completion of the σ-algebra of inverse images extstyle f^{-1}(B), where extstyle B subset mathbb{R} runs over all Borel sets.

"Caution." The following condition is not sufficient for extstyle f to be generating: for every extstyle A in mathcal{F} there exists a Borel set extstyle B subset mathbb{R} such that extstyle P ( A Delta f^{-1}(B) ) = 0. ( extstyle Delta means symmetric difference).

Theorem. Let a measurable function extstyle f : Omega o mathbb{R} be injective and generating, then the following two conditions are equivalent:
* extstyle f (Omega) is of full measure extstyle mu;
* (Omega,mathcal{F},P) , is a standard probability space.

See also Sect. 3.1 of [4] .

A random vector

The same theorem holds for any mathbb{R}^n , (in place of mathbb{R} ,). A measurable function f : Omega o mathbb{R}^n , may be thought of as a finite sequence of random variables X_1,dots,X_n : Omega o mathbb{R}, , and f , is generating if and only if mathcal{F} , is the completion of the σ-algebra generated by X_1,dots,X_n. ,

A random sequence

The theorem still holds for the space mathbb{R}^infty , of infinite sequences. A measurable function f : Omega o mathbb{R}^infty , may be thought of as an infinite sequence of random variables X_1,X_2,dots : Omega o mathbb{R}, , and f , is generating if and only if mathcal{F} , is the completion of the σ-algebra generated by X_1,X_2,dots. ,

A sequence of events

In particular, if the random variables X_n , take on only two values 0 and 1, we deal with a measurable function f : Omega o {0,1}^infty , and a sequence of sets A_1,A_2,dots in mathcal{F}. , The function f , is generating if and only if mathcal{F} , is the completion of the σ-algebra generated by A_1,A_2,dots. ,

In the pioneering work [1] sequences A_1,A_2,dots , that correspond to injective, generating f , are called "bases" of the probability space (Omega,mathcal{F},P) , (see Sect. 2.1 of [1] ). A basis is called complete mod 0, if f(Omega) , is of full measure mu, , see Sect. 2.2 of [1] . In the same section Rokhlin proved that if a probability space is complete mod 0 with respect to some basis, then it is complete mod 0 with respect to every other basis, and defines "Lebesgue spaces" by this completeness property. See also Prop. 4 and Def. 7 in [2] .

Additional remarks

The four cases treated above are mutually equivalent, and can be united, since the measurable spaces mathbb{R}, , mathbb{R}^n, , mathbb{R}^infty , and {0,1}^infty , are mutually isomorphic; they all are standard measurable spaces (in other words, standard Borel spaces).

Existence of an injective measurable function from extstyle (Omega,mathcal{F},P) to a standard measurable space extstyle (X,Sigma) does not depend on the choice of extstyle (X,Sigma). Taking extstyle (X,Sigma) = {0,1}^infty we get the property well-known as being "countably separated" (but called "separable" in [4] ).

Existence of a generating measurable function from extstyle (Omega,mathcal{F},P) to a standard measurable space extstyle (X,Sigma) also does not depend on the choice of extstyle (X,Sigma). Taking extstyle (X,Sigma) = {0,1}^infty we get the property well-known as being "countably generated" (mod 0), see Exer. I.5 in [6] .

Every injective measurable function from a "standard" probability space to a standard measurable space is generating. See Sect. 2.5 of [1] , Corollary 2 on page 253 in [2] , Theorems 3-4, 3-5 in [3] . This property does not hold for the non-standard probability space dealt with in the subsection "A superfluous measurable set" above.

"Caution." The property of being countably generated is invariant under mod 0 isomorphisms, but the property of being countably separated is not. In fact, a standard probability space extstyle (Omega,mathcal{F},P) is countably separated if and only if the cardinality of extstyle Omega does not exceed continuum (see Exer. 3.1(v) in [4] ). A standard probability space may contain a null set of any cardinality, thus, it need not be countably separated. However, it always contains a countably separated subset of full measure.

Equivalent definitions

Let extstyle (Omega,mathcal{F},P) be a complete probability space such that the cardinality of extstyle Omega does not exceed continuum (the general case is reduced to this special case, see the caution above).

Via absolute measurability

Definition. extstyle (Omega,mathcal{F},P) is standard if it is countably separated, countably generated, and absolutely measurable.

See the end of Sect. 2.3 of [1] and Remark 2 on page 248 in [2] . "Absolutely measurable" means: measurable in every countably separated, countably generated probability space containing it.

Via perfectness

Definition. extstyle (Omega,mathcal{F},P) is standard if it is countably separated and perfect.

See Sect. 3.1 of [4] . "Perfect" means that for every measurable function from extstyle (Omega,mathcal{F},P) to mathbb{R} , the image measure is regular. (Here the image measure is defined on all sets whose inverse images belong to extstyle mathcal{F} , irrespective of the Borel structure of mathbb{R} ,).

Via topology

Definition. extstyle (Omega,mathcal{F},P) is standard if there exists a topology extstyle au on extstyle Omega such that
* the topological space extstyle (Omega, au) is metrizable;
* extstyle mathcal{F} is the completion of the σ-algebra generated by extstyle au (that is, by all open sets);
* for every extstyle varepsilon > 0 there exists a compact set extstyle K in extstyle (Omega, au) such that extstyle P(K) ge 1-varepsilon.

See Sect. 1 of [3] .

Verifying the standardness

Every probability distribution on the space extstyle mathbb{R}^n turns it into a standard probability space. (Here, a probability distribution means a probability measure defined initially on the Borel sigma-algebra and completed.)

The same holds on every Polish space, see Sect. 2.7 (p. 24) of [1] ; Example 1 (p. 248) in [2] ; Theorem 2-3 in [3] ; and Theorem 2.4.1 in [4] .

For example, the Wiener measure turns the Polish space extstyle C [0,infty) (of all continuous functions extstyle [0,infty) o mathbb{R}, endowed with the topology of local uniform convergence) into a standard probability space.

Another example: for every sequence of random variables, their joint distribution turns the Polish space extstyle mathbb{R}^infty (of sequences; endowed with the product topology) into a standard probability space.

(Thus, the idea of dimension, very natural for topological spaces, is utterly inappropriate for standard probability spaces.)

The product of two standard probability spaces is a standard probability space.

The same holds for the product of countably many spaces, see Sect. 3.4 of [1] , Proposition 12 in [2] , and Theorem 2.4.3 in [4] .

A measurable subset of a standard probability space is a standard probability space. It is assumed that the set is not a null set, and is endowed with the conditional measure. See Sect. 2.3 (p. 14) of [1] and Proposition 5 in [2] .

Every probability measure on a standard Borel space turns it into a standard probability space.

Using the standardness

Regular conditional probabilities

In the discrete setup, the conditional probability is another probability measure, and the conditional expectation may be treated as the (usual) expectation with respect to the conditional measure, see conditional expectation. In the non-discrete setup, conditioning is often treated indirectly, since the condition may have probability 0, see conditional expectation. As a result, a number of well-known facts have special 'conditional' counterparts. For example: linearity of the expectation; Jensen's inequality (see conditional expectation); Hölder's inequality; the monotone convergence theorem, etc.

Given a random variable extstyle Y on a probability space extstyle (Omega,mathcal{F},P) , it is natural to try constructing a conditional measure extstyle P_y , that is, the conditional distribution of extstyle omega in Omega given extstyle Y(omega)=y . In general this is impossible (see Sect. 4.1(c) in [6] ). However, for a "standard" probability space extstyle (Omega,mathcal{F},P) this is possible, and well-known as "canonical system of measures" (see Sect. 3.1 of [1] ), which is basically the same as "conditional probability measures" (see Sect. 3.5 in [4] ), "disintegration of measure" (see Exercise (17.35) in [5] ), and "regular conditional probabilities" (see Sect. 4.1(c) in [6] ).

The conditional Jensen's inequality is just the (usual) Jensen's inequality applied to the conditional measure. The same holds for many other facts.

Measure preserving transformations

Given two probability spaces extstyle (Omega_1,mathcal{F}_1,P_1) , extstyle (Omega_2,mathcal{F}_2,P_2) and a measure preserving map extstyle f : Omega_1 o Omega_2 , the image extstyle f(Omega_1) need not cover the whole extstyle Omega_2 , it may miss a null set. It may seem that extstyle P_2(f(Omega_1)) has to be equal to 1, but it is not so. The outer measure of extstyle f(Omega_1) is equal to 1, but the inner measure may differ. However, if the probability spaces extstyle (Omega_1,mathcal{F}_1,P_1) , extstyle (Omega_2,mathcal{F}_2,P_2) are "standard " then extstyle P_2(f(Omega_1))=1 , see Theorem 3-2 in [3] . If extstyle f is also one-to-one then every extstyle A in mathcal{F}_1 satisfies extstyle f(A) in mathcal{F}_2 , extstyle P_2(f(A))=P_1(A) . Therefore extstyle f^{-1} is measurable (and measure preserving). See Sect. 2.5 (p. 20) of [1] and Theorem 3-5 in [3] . See also Proposition 9 in [2] (and Remark after it).

Striving to get rid of null sets, mathematicians often use equivalence classes of measurable sets or functions. Equivalence classes of measurable subsets of a probability space form a normed complete Boolean algebra called the "measure algebra" (or metric sstructure). Every measure preserving map extstyle f : Omega_1 o Omega_2 leads to a homomorphism extstyle F of measure algebras; basically, extstyle F(B) = f^{-1}(B) for extstyle Binmathcal{F}_2 .

It may seem that every homomorphism of measure algebras has to correspond to some measure preserving map, but it is not so. However, for "standard" probability spaces each extstyle F corresponds to some extstyle f . See Sect. 2.6 (p. 23) and 3.2 of [1] and Sect. 17.F of [5] .

Further reading

* [1] V.A. Rohlin, "On the fundamental ideas of measure theory", Translations (American Mathematical Society) Series 1, Vol. 10, 1-54 (1962). Translated from Russian: В.А. Рохлин, "Об основных понятиях теории меры", Математический Сборник (новая серия) 25(67), 107-150 (1949).
* [2] J. Haezendonck, "Abstract Lebesgue-Rohlin spaces", Bulletin de la Societe Mathematique de Belgique 25, 243-258 (1973).
* [3] T. de la Rue, "Espaces de Lebesgue", Lecture Notes in Mathematics (Seminaire de Probabilites XXVII), Springer, Berlin, 1557, 15-21 (1993).
* [4] K. Itô, "Introduction to probability theory", Cambridge Univ. Press 1984.
* [5] A.S. Kechris, "Classical descriptive set theory", Springer 1995.
* [6] R. Durrett, "Probability: theory and examples" (second edition), 1996.
* [7] N. Wiener, "Nonlinear problems in random theory", M.I.T. Press 1958.

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