A problem about conditional probablity

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Consider probability space
$left( Omegamathcal,F,mathbbP right)$. Given an event
$Amathcalin F$ and a $sigma$-algebra $mathcalG subseteq F$, we
define the conditional probability given $sigma$-algebra
$mathcalG$, denoted by $mathbbPleft( A|mathcalG right)$, as a
non-negative
$left( Omegamathcal,G right) rightarrow left( mathbbRmathcal,Bleft( mathbbR right) right)$
random variable s.t.
$forall G in mathcalG,mathbbPleft( A cap G right) = int_G^ mathcalG right)dmathbbP$.
Existence and uniqueness is proved below.




For any $A in mathcalF$ and $mathcalG subseteq F$, the
conditional probability exists and is a.s. unique. Notice
$mathbbP_Aleft( cdot right):=mathbbPleft( Abigcap_^left( cdot right) right)$
is a measure for $left( Omegamathcal,G right)$ by checking those
axioms, and we can also verify $mathbbP_Amathbbll P$. Also,
$mathbbP$ is also a valid measure for
$left( Omegamathcal,G right)$, then by Randon-Nikodym
Theorem we have a non-negative $mathcalG$-measurable function
$mathbbPleft( A middle| mathcalG right) = fracdmathbbP_AdmathbbP$
exists and is a.s. unique.




We can further show given any $omega in Omega$, then
$mathbbP_mathcalG^left( omega right)left( cdot right):=mathbbPleft( cdot middle| mathcalG right)left( omega right)$
is a.s. a valid measure on $left( Omegamathcal,F right)$.




First, $mathbbP_mathcalG^left( omega right) geq 0$
by definition. Secondly, $mathbbP_mathcalG^left( omega right)left( varnothing right) = 0$ because by definition $0 = mathbbPleft( varnothing cap G right) = int_G^mathbbPleft( varnothing middle$ a.s.
Thirdly, for any
$A_1,A_2mathcalin F,A_1bigcap A_2 = varnothing$, then
$A_1bigcap G$ is disjoint form $A_2bigcap G$ and



$$int_G^mathbbPleft( A_1bigcup A_2 middlemathbb= Pleft( left( A_1bigcup A_2 right) cap G right)mathbb= Pleft( left( A_1bigcap G right)bigcupleft( A_2bigcap G right) right)mathbb= Pleft( A_1bigcap G right)mathbb+ Pleft( A_2bigcap G right) = int_G^ mathcalG right)dmathbbP + int_G^ mathcalG right)dmathbbP = int_G^ mathcalG right) right)dmathbbP$$



Then by uniqueness we have a.s.
$mathbbPleft( A_1bigcup A_2 middle| mathcalG right) = mathbbPleft( A_1 middle| mathcalG right)mathbb+ Pleft( A_2 middle| mathcalG right)$.




I need help with showing the following,




Given any random variable $Y:left( Omegamathcal,F right) rightarrow left( S,mathcalE right)$, let $sigma(Y)$ be its generated $sigma$-algebra, then $mathbbP_sigmaleft( Y right)^left( omega_1 right) = mathbbP_sigmaleft( Y right)^left( omega_2 right)$ a.s.
if $Yleft( omega_1 right) = Yleft( omega_2 right)$








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  • 1




    The proofs you consider complete are actually lacking tons of "almost surely". For example, $$P(varnothingmidmathcal G)(omega)=0$$ is not guaranteed for every $omega$ in $Omega$ but only almost surely with respect to $P$, in the sense that for every version of the random variable $P(varnothingmidmathcal G)$, one has $$P(P(varnothingmidmathcal G)ne0)=0$$ Likewise, the statement you are asking about does not hold.
    – Did
    Jul 25 at 6:17







  • 1




    I think there are many wrong sattements here. $P^(omega )_mathcal G$ is defined only almost everywhere so we cannot say that for fixed $omega$ this gives a measure. I think you should take a look at Wikipedia entries for 'regular conditional probabilities'.
    – Kavi Rama Murthy
    Jul 25 at 6:19











  • Unrelated: you might want to replace every bigcap and bigcup in your post by cap and cup.
    – Did
    Jul 25 at 6:19














up vote
4
down vote

favorite
2












Consider probability space
$left( Omegamathcal,F,mathbbP right)$. Given an event
$Amathcalin F$ and a $sigma$-algebra $mathcalG subseteq F$, we
define the conditional probability given $sigma$-algebra
$mathcalG$, denoted by $mathbbPleft( A|mathcalG right)$, as a
non-negative
$left( Omegamathcal,G right) rightarrow left( mathbbRmathcal,Bleft( mathbbR right) right)$
random variable s.t.
$forall G in mathcalG,mathbbPleft( A cap G right) = int_G^ mathcalG right)dmathbbP$.
Existence and uniqueness is proved below.




For any $A in mathcalF$ and $mathcalG subseteq F$, the
conditional probability exists and is a.s. unique. Notice
$mathbbP_Aleft( cdot right):=mathbbPleft( Abigcap_^left( cdot right) right)$
is a measure for $left( Omegamathcal,G right)$ by checking those
axioms, and we can also verify $mathbbP_Amathbbll P$. Also,
$mathbbP$ is also a valid measure for
$left( Omegamathcal,G right)$, then by Randon-Nikodym
Theorem we have a non-negative $mathcalG$-measurable function
$mathbbPleft( A middle| mathcalG right) = fracdmathbbP_AdmathbbP$
exists and is a.s. unique.




We can further show given any $omega in Omega$, then
$mathbbP_mathcalG^left( omega right)left( cdot right):=mathbbPleft( cdot middle| mathcalG right)left( omega right)$
is a.s. a valid measure on $left( Omegamathcal,F right)$.




First, $mathbbP_mathcalG^left( omega right) geq 0$
by definition. Secondly, $mathbbP_mathcalG^left( omega right)left( varnothing right) = 0$ because by definition $0 = mathbbPleft( varnothing cap G right) = int_G^mathbbPleft( varnothing middle$ a.s.
Thirdly, for any
$A_1,A_2mathcalin F,A_1bigcap A_2 = varnothing$, then
$A_1bigcap G$ is disjoint form $A_2bigcap G$ and



$$int_G^mathbbPleft( A_1bigcup A_2 middlemathbb= Pleft( left( A_1bigcup A_2 right) cap G right)mathbb= Pleft( left( A_1bigcap G right)bigcupleft( A_2bigcap G right) right)mathbb= Pleft( A_1bigcap G right)mathbb+ Pleft( A_2bigcap G right) = int_G^ mathcalG right)dmathbbP + int_G^ mathcalG right)dmathbbP = int_G^ mathcalG right) right)dmathbbP$$



Then by uniqueness we have a.s.
$mathbbPleft( A_1bigcup A_2 middle| mathcalG right) = mathbbPleft( A_1 middle| mathcalG right)mathbb+ Pleft( A_2 middle| mathcalG right)$.




I need help with showing the following,




Given any random variable $Y:left( Omegamathcal,F right) rightarrow left( S,mathcalE right)$, let $sigma(Y)$ be its generated $sigma$-algebra, then $mathbbP_sigmaleft( Y right)^left( omega_1 right) = mathbbP_sigmaleft( Y right)^left( omega_2 right)$ a.s.
if $Yleft( omega_1 right) = Yleft( omega_2 right)$








share|cite|improve this question

















  • 1




    The proofs you consider complete are actually lacking tons of "almost surely". For example, $$P(varnothingmidmathcal G)(omega)=0$$ is not guaranteed for every $omega$ in $Omega$ but only almost surely with respect to $P$, in the sense that for every version of the random variable $P(varnothingmidmathcal G)$, one has $$P(P(varnothingmidmathcal G)ne0)=0$$ Likewise, the statement you are asking about does not hold.
    – Did
    Jul 25 at 6:17







  • 1




    I think there are many wrong sattements here. $P^(omega )_mathcal G$ is defined only almost everywhere so we cannot say that for fixed $omega$ this gives a measure. I think you should take a look at Wikipedia entries for 'regular conditional probabilities'.
    – Kavi Rama Murthy
    Jul 25 at 6:19











  • Unrelated: you might want to replace every bigcap and bigcup in your post by cap and cup.
    – Did
    Jul 25 at 6:19












up vote
4
down vote

favorite
2









up vote
4
down vote

favorite
2






2





Consider probability space
$left( Omegamathcal,F,mathbbP right)$. Given an event
$Amathcalin F$ and a $sigma$-algebra $mathcalG subseteq F$, we
define the conditional probability given $sigma$-algebra
$mathcalG$, denoted by $mathbbPleft( A|mathcalG right)$, as a
non-negative
$left( Omegamathcal,G right) rightarrow left( mathbbRmathcal,Bleft( mathbbR right) right)$
random variable s.t.
$forall G in mathcalG,mathbbPleft( A cap G right) = int_G^ mathcalG right)dmathbbP$.
Existence and uniqueness is proved below.




For any $A in mathcalF$ and $mathcalG subseteq F$, the
conditional probability exists and is a.s. unique. Notice
$mathbbP_Aleft( cdot right):=mathbbPleft( Abigcap_^left( cdot right) right)$
is a measure for $left( Omegamathcal,G right)$ by checking those
axioms, and we can also verify $mathbbP_Amathbbll P$. Also,
$mathbbP$ is also a valid measure for
$left( Omegamathcal,G right)$, then by Randon-Nikodym
Theorem we have a non-negative $mathcalG$-measurable function
$mathbbPleft( A middle| mathcalG right) = fracdmathbbP_AdmathbbP$
exists and is a.s. unique.




We can further show given any $omega in Omega$, then
$mathbbP_mathcalG^left( omega right)left( cdot right):=mathbbPleft( cdot middle| mathcalG right)left( omega right)$
is a.s. a valid measure on $left( Omegamathcal,F right)$.




First, $mathbbP_mathcalG^left( omega right) geq 0$
by definition. Secondly, $mathbbP_mathcalG^left( omega right)left( varnothing right) = 0$ because by definition $0 = mathbbPleft( varnothing cap G right) = int_G^mathbbPleft( varnothing middle$ a.s.
Thirdly, for any
$A_1,A_2mathcalin F,A_1bigcap A_2 = varnothing$, then
$A_1bigcap G$ is disjoint form $A_2bigcap G$ and



$$int_G^mathbbPleft( A_1bigcup A_2 middlemathbb= Pleft( left( A_1bigcup A_2 right) cap G right)mathbb= Pleft( left( A_1bigcap G right)bigcupleft( A_2bigcap G right) right)mathbb= Pleft( A_1bigcap G right)mathbb+ Pleft( A_2bigcap G right) = int_G^ mathcalG right)dmathbbP + int_G^ mathcalG right)dmathbbP = int_G^ mathcalG right) right)dmathbbP$$



Then by uniqueness we have a.s.
$mathbbPleft( A_1bigcup A_2 middle| mathcalG right) = mathbbPleft( A_1 middle| mathcalG right)mathbb+ Pleft( A_2 middle| mathcalG right)$.




I need help with showing the following,




Given any random variable $Y:left( Omegamathcal,F right) rightarrow left( S,mathcalE right)$, let $sigma(Y)$ be its generated $sigma$-algebra, then $mathbbP_sigmaleft( Y right)^left( omega_1 right) = mathbbP_sigmaleft( Y right)^left( omega_2 right)$ a.s.
if $Yleft( omega_1 right) = Yleft( omega_2 right)$








share|cite|improve this question













Consider probability space
$left( Omegamathcal,F,mathbbP right)$. Given an event
$Amathcalin F$ and a $sigma$-algebra $mathcalG subseteq F$, we
define the conditional probability given $sigma$-algebra
$mathcalG$, denoted by $mathbbPleft( A|mathcalG right)$, as a
non-negative
$left( Omegamathcal,G right) rightarrow left( mathbbRmathcal,Bleft( mathbbR right) right)$
random variable s.t.
$forall G in mathcalG,mathbbPleft( A cap G right) = int_G^ mathcalG right)dmathbbP$.
Existence and uniqueness is proved below.




For any $A in mathcalF$ and $mathcalG subseteq F$, the
conditional probability exists and is a.s. unique. Notice
$mathbbP_Aleft( cdot right):=mathbbPleft( Abigcap_^left( cdot right) right)$
is a measure for $left( Omegamathcal,G right)$ by checking those
axioms, and we can also verify $mathbbP_Amathbbll P$. Also,
$mathbbP$ is also a valid measure for
$left( Omegamathcal,G right)$, then by Randon-Nikodym
Theorem we have a non-negative $mathcalG$-measurable function
$mathbbPleft( A middle| mathcalG right) = fracdmathbbP_AdmathbbP$
exists and is a.s. unique.




We can further show given any $omega in Omega$, then
$mathbbP_mathcalG^left( omega right)left( cdot right):=mathbbPleft( cdot middle| mathcalG right)left( omega right)$
is a.s. a valid measure on $left( Omegamathcal,F right)$.




First, $mathbbP_mathcalG^left( omega right) geq 0$
by definition. Secondly, $mathbbP_mathcalG^left( omega right)left( varnothing right) = 0$ because by definition $0 = mathbbPleft( varnothing cap G right) = int_G^mathbbPleft( varnothing middle$ a.s.
Thirdly, for any
$A_1,A_2mathcalin F,A_1bigcap A_2 = varnothing$, then
$A_1bigcap G$ is disjoint form $A_2bigcap G$ and



$$int_G^mathbbPleft( A_1bigcup A_2 middlemathbb= Pleft( left( A_1bigcup A_2 right) cap G right)mathbb= Pleft( left( A_1bigcap G right)bigcupleft( A_2bigcap G right) right)mathbb= Pleft( A_1bigcap G right)mathbb+ Pleft( A_2bigcap G right) = int_G^ mathcalG right)dmathbbP + int_G^ mathcalG right)dmathbbP = int_G^ mathcalG right) right)dmathbbP$$



Then by uniqueness we have a.s.
$mathbbPleft( A_1bigcup A_2 middle| mathcalG right) = mathbbPleft( A_1 middle| mathcalG right)mathbb+ Pleft( A_2 middle| mathcalG right)$.




I need help with showing the following,




Given any random variable $Y:left( Omegamathcal,F right) rightarrow left( S,mathcalE right)$, let $sigma(Y)$ be its generated $sigma$-algebra, then $mathbbP_sigmaleft( Y right)^left( omega_1 right) = mathbbP_sigmaleft( Y right)^left( omega_2 right)$ a.s.
if $Yleft( omega_1 right) = Yleft( omega_2 right)$










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edited Jul 25 at 6:32
























asked Jul 25 at 6:10









Ralph B.

1,012517




1,012517







  • 1




    The proofs you consider complete are actually lacking tons of "almost surely". For example, $$P(varnothingmidmathcal G)(omega)=0$$ is not guaranteed for every $omega$ in $Omega$ but only almost surely with respect to $P$, in the sense that for every version of the random variable $P(varnothingmidmathcal G)$, one has $$P(P(varnothingmidmathcal G)ne0)=0$$ Likewise, the statement you are asking about does not hold.
    – Did
    Jul 25 at 6:17







  • 1




    I think there are many wrong sattements here. $P^(omega )_mathcal G$ is defined only almost everywhere so we cannot say that for fixed $omega$ this gives a measure. I think you should take a look at Wikipedia entries for 'regular conditional probabilities'.
    – Kavi Rama Murthy
    Jul 25 at 6:19











  • Unrelated: you might want to replace every bigcap and bigcup in your post by cap and cup.
    – Did
    Jul 25 at 6:19












  • 1




    The proofs you consider complete are actually lacking tons of "almost surely". For example, $$P(varnothingmidmathcal G)(omega)=0$$ is not guaranteed for every $omega$ in $Omega$ but only almost surely with respect to $P$, in the sense that for every version of the random variable $P(varnothingmidmathcal G)$, one has $$P(P(varnothingmidmathcal G)ne0)=0$$ Likewise, the statement you are asking about does not hold.
    – Did
    Jul 25 at 6:17







  • 1




    I think there are many wrong sattements here. $P^(omega )_mathcal G$ is defined only almost everywhere so we cannot say that for fixed $omega$ this gives a measure. I think you should take a look at Wikipedia entries for 'regular conditional probabilities'.
    – Kavi Rama Murthy
    Jul 25 at 6:19











  • Unrelated: you might want to replace every bigcap and bigcup in your post by cap and cup.
    – Did
    Jul 25 at 6:19







1




1




The proofs you consider complete are actually lacking tons of "almost surely". For example, $$P(varnothingmidmathcal G)(omega)=0$$ is not guaranteed for every $omega$ in $Omega$ but only almost surely with respect to $P$, in the sense that for every version of the random variable $P(varnothingmidmathcal G)$, one has $$P(P(varnothingmidmathcal G)ne0)=0$$ Likewise, the statement you are asking about does not hold.
– Did
Jul 25 at 6:17





The proofs you consider complete are actually lacking tons of "almost surely". For example, $$P(varnothingmidmathcal G)(omega)=0$$ is not guaranteed for every $omega$ in $Omega$ but only almost surely with respect to $P$, in the sense that for every version of the random variable $P(varnothingmidmathcal G)$, one has $$P(P(varnothingmidmathcal G)ne0)=0$$ Likewise, the statement you are asking about does not hold.
– Did
Jul 25 at 6:17





1




1




I think there are many wrong sattements here. $P^(omega )_mathcal G$ is defined only almost everywhere so we cannot say that for fixed $omega$ this gives a measure. I think you should take a look at Wikipedia entries for 'regular conditional probabilities'.
– Kavi Rama Murthy
Jul 25 at 6:19





I think there are many wrong sattements here. $P^(omega )_mathcal G$ is defined only almost everywhere so we cannot say that for fixed $omega$ this gives a measure. I think you should take a look at Wikipedia entries for 'regular conditional probabilities'.
– Kavi Rama Murthy
Jul 25 at 6:19













Unrelated: you might want to replace every bigcap and bigcup in your post by cap and cup.
– Did
Jul 25 at 6:19




Unrelated: you might want to replace every bigcap and bigcup in your post by cap and cup.
– Did
Jul 25 at 6:19










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What you can show is that for any $AinmathcalF$,



$$
mathbbP(Amid Y)(omega_1)=mathbbP(Amid Y)(omega_2)
$$
when $Y(omega_1)=Y(omega_2)$.




Since $mathbbP(Amid Y)=mathsfE[1_Amid Y]$ and the latter is $sigma(Y)$-measuralbe, there exists a Borel function $phi$ such that



$$
mathbbP(Amid Y)(omega)=phi(Y(omega))
$$
for all $omegainOmega$.






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    up vote
    1
    down vote



    accepted










    What you can show is that for any $AinmathcalF$,



    $$
    mathbbP(Amid Y)(omega_1)=mathbbP(Amid Y)(omega_2)
    $$
    when $Y(omega_1)=Y(omega_2)$.




    Since $mathbbP(Amid Y)=mathsfE[1_Amid Y]$ and the latter is $sigma(Y)$-measuralbe, there exists a Borel function $phi$ such that



    $$
    mathbbP(Amid Y)(omega)=phi(Y(omega))
    $$
    for all $omegainOmega$.






    share|cite|improve this answer

























      up vote
      1
      down vote



      accepted










      What you can show is that for any $AinmathcalF$,



      $$
      mathbbP(Amid Y)(omega_1)=mathbbP(Amid Y)(omega_2)
      $$
      when $Y(omega_1)=Y(omega_2)$.




      Since $mathbbP(Amid Y)=mathsfE[1_Amid Y]$ and the latter is $sigma(Y)$-measuralbe, there exists a Borel function $phi$ such that



      $$
      mathbbP(Amid Y)(omega)=phi(Y(omega))
      $$
      for all $omegainOmega$.






      share|cite|improve this answer























        up vote
        1
        down vote



        accepted







        up vote
        1
        down vote



        accepted






        What you can show is that for any $AinmathcalF$,



        $$
        mathbbP(Amid Y)(omega_1)=mathbbP(Amid Y)(omega_2)
        $$
        when $Y(omega_1)=Y(omega_2)$.




        Since $mathbbP(Amid Y)=mathsfE[1_Amid Y]$ and the latter is $sigma(Y)$-measuralbe, there exists a Borel function $phi$ such that



        $$
        mathbbP(Amid Y)(omega)=phi(Y(omega))
        $$
        for all $omegainOmega$.






        share|cite|improve this answer













        What you can show is that for any $AinmathcalF$,



        $$
        mathbbP(Amid Y)(omega_1)=mathbbP(Amid Y)(omega_2)
        $$
        when $Y(omega_1)=Y(omega_2)$.




        Since $mathbbP(Amid Y)=mathsfE[1_Amid Y]$ and the latter is $sigma(Y)$-measuralbe, there exists a Borel function $phi$ such that



        $$
        mathbbP(Amid Y)(omega)=phi(Y(omega))
        $$
        for all $omegainOmega$.







        share|cite|improve this answer













        share|cite|improve this answer



        share|cite|improve this answer











        answered Jul 25 at 7:18









        d.k.o.

        7,709526




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