Almost Sure

2 January 19

Proof of Measurable Section

I will give a proof of the measurable section theorem, also known as measurable selection. Given a complete probability space {(\Omega,\mathcal F,{\mathbb P})}, we denote the projection from {\Omega\times{\mathbb R}} by

\displaystyle  \setlength\arraycolsep{2pt} \begin{array}{rl} &\displaystyle\pi_\Omega\colon \Omega\times{\mathbb R}\rightarrow\Omega,\smallskip\\ &\displaystyle\pi_\Omega(\omega,t)=\omega. \end{array}

By definition, if {S\subseteq\Omega\times{\mathbb R}} then, for every {\omega\in\pi_\Omega(S)}, there exists a {t\in{\mathbb R}} such that {(\omega,t)\in S}. The measurable section theorem says that this choice can be made in a measurable way. That is, using {\mathcal B({\mathbb R})} to denote the Borel sigma-algebra, if S is in the product sigma-algebra {\mathcal F\otimes\mathcal B({\mathbb R})} then {\pi_\Omega(S)\in\mathcal F} and there is a measurable map

\displaystyle  \setlength\arraycolsep{2pt} \begin{array}{rl} &\displaystyle\tau\colon\pi_\Omega(S)\rightarrow{\mathbb R},\smallskip\\ &\displaystyle(\omega,\tau(\omega))\in S. \end{array}

It is convenient to extend {\tau} to the whole of {\Omega} by setting {\tau=\infty} outside of {\pi_\Omega(S)}.

measurable section

Figure 1: A section of a measurable set

We consider measurable functions {\tau\colon\Omega\rightarrow{\mathbb R}\cup\{\infty\}}. The graph of {\tau} is

\displaystyle  [\tau]=\left\{(\omega,\tau(\omega))\colon\tau(\omega)\in{\mathbb R}\right\}\subseteq\Omega\times{\mathbb R}.

The condition that {(\omega,\tau(\omega))\in S} whenever {\tau < \infty} can then be expressed by stating that {[\tau]\subseteq S}. This also ensures that {\{\tau < \infty\}} is a subset of {\pi_\Omega(S)}, and {\tau} is a section of S on the whole of {\pi_\Omega(S)} if and only if {\{\tau < \infty\}=\pi_\Omega(S)}.

The proof of the measurable section theorem will make use of the properties of analytic sets and of the Choquet capacitability theorem, as described in the previous two posts. [Note: I have since posted a more direct proof which does not involve such prerequisites.] Recall that a paving {\mathcal E} on a set X denotes, simply, a collection of subsets of X. The pair {(X,\mathcal E)} is then referred to as a paved space. Given a pair of paved spaces {(X,\mathcal E)} and {(Y,\mathcal F)}, the product paving {\mathcal E\times\mathcal F} denotes the collection of cartesian products {A\times B} for {A\in\mathcal E} and {B\in\mathcal F}, which is a paving on {X\times Y}. The notation {\mathcal E_\delta} is used for the collection of countable intersections of a paving {\mathcal E}.

We start by showing that measurable section holds in a very simple case where, for the section of a set S, its debut will suffice. The debut is the map

\displaystyle  \setlength\arraycolsep{2pt} \begin{array}{rl} &\displaystyle D(S)\colon\Omega\rightarrow{\mathbb R}\cup\{\pm\infty\},\smallskip\\ &\displaystyle \omega\mapsto\inf\left\{t\in{\mathbb R}\colon (\omega,t)\in S\right\}. \end{array}

We use the convention that the infimum of the empty set is {\infty}. It is not clear that {D(S)} is measurable, and we do not rely on this, although measurable projection can be used to show that it is measurable whenever S is in {\mathcal F\otimes\mathcal B({\mathbb R})}.

Lemma 1 Let {(\Omega,\mathcal F)} be a measurable space, {\mathcal K} be the collection of compact intervals in {{\mathbb R}}, and {\mathcal E} be the closure of the paving {\mathcal{F\times K}} under finite unions.

Then, the debut {D(S)} of any {S\in\mathcal E_\delta} is measurable and its graph {[D(S)]} is contained in S.

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1 January 19

Choquet’s Capacitability Theorem and Measurable Projection

In this post I will give a proof of the measurable projection theorem. Recall that this states that for a complete probability space {(\Omega,\mathcal F,{\mathbb P})} and a set S in the product sigma-algebra {\mathcal F\otimes\mathcal B({\mathbb R})}, the projection, {\pi_\Omega(S)}, of S onto {\Omega}, is in {\mathcal F}. The previous post on analytic sets made some progress towards this result. Indeed, using the definitions and results given there, it follows quickly that {\pi_\Omega(S)} is {\mathcal F}-analytic. To complete the proof of measurable projection, it is necessary to show that analytic sets are measurable. This is a consequence of Choquet’s capacitability theorem, which I will prove in this post. Measurable projection follows as a simple consequence.

The condition that the underlying probability space is complete is necessary and, if this condition was dropped, then the result would no longer hold. Recall that, if {(\Omega,\mathcal F,{\mathbb P})} is a probability space, then the completion, {\mathcal F_{\mathbb P}}, of {\mathcal F} with respect to {{\mathbb P}} consists of the sets {A\subseteq\Omega} such that there exists {B,C\in\mathcal F} with {B\subseteq A\subseteq C} and {{\mathbb P}(B)={\mathbb P}(C)}. The probability space is complete if {\mathcal F_{\mathbb P}=\mathcal F}. More generally, {{\mathbb P}} can be uniquely extended to a measure {\bar{\mathbb P}} on the sigma-algebra {\mathcal F_{\mathbb P}} by setting {\bar{\mathbb P}(A)={\mathbb P}(B)={\mathbb P}(C)}, where B and C are as above. Then {(\Omega,\mathcal F_{\mathbb P},\bar{\mathbb P})} is the completion of {(\Omega,\mathcal F,{\mathbb P})}.

In measurable projection, then, it needs to be shown that if {A\subseteq\Omega} is the projection of a set in {\mathcal F\otimes\mathcal B({\mathbb R})}, then A is in the completion of {\mathcal F}. That is, we need to find sets {B,C\in\mathcal F} with {B\subseteq A\subseteq C} with {{\mathbb P}(B)={\mathbb P}(C)}. In fact, it is always possible to find a {C\supseteq A} in {\mathcal F} which minimises {{\mathbb P}(C)}, and its measure is referred to as the outer measure of A. For any probability measure {{\mathbb P}}, we can define an outer measure on the subsets of {\Omega}, {{\mathbb P}^*\colon\mathcal P(\Omega)\rightarrow{\mathbb R}^+} by approximating {A\subseteq\Omega} from above,

\displaystyle  {\mathbb P}^*(A)\equiv\inf\left\{{\mathbb P}(B)\colon B\in\mathcal F, A\subseteq B\right\}. (1)

Similarly, we can define an inner measure by approximating A from below,

\displaystyle  {\mathbb P}_*(A)\equiv\sup\left\{{\mathbb P}(B)\colon B\in\mathcal F, B\subseteq A\right\}.

It can be shown that A is {\mathcal F}-measurable if and only if {{\mathbb P}_*(A)={\mathbb P}^*(A)}. We will be concerned primarily with the outer measure {{\mathbb P}^*}, and will show that that if A is the projection of some {S\in\mathcal F\otimes\mathcal B({\mathbb R})}, then A can be approximated from below in the following sense: there exists {B\subseteq A} in {\mathcal F} for which {{\mathbb P}^*(B)={\mathbb P}^*(A)}. From this, it will follow that A is in the completion of {\mathcal F}.

It is convenient to prove the capacitability theorem in slightly greater generality than just for the outer measure {{\mathbb P}^*}. The only properties of {{\mathbb P}^*} that are required is that it is a capacity, which we now define. Recall that a paving {\mathcal E} on a set X is simply any collection of subsets of X, and we refer to the pair {(X,\mathcal E)} as a paved space.

Definition 1 Let {(X,\mathcal E)} be a paved space. Then, an {\mathcal E}-capacity is a map {I\colon\mathcal P(X)\rightarrow{\mathbb R}} which is increasing, continuous along increasing sequences, and continuous along decreasing sequences in {\mathcal E}. That is,

  • if {A\subseteq B} then {I(A)\le I(B)}.
  • if {A_n\subseteq X} is increasing in n then {I(A_n)\rightarrow I(\bigcup_nA_n)} as {n\rightarrow\infty}.
  • if {A_n\in\mathcal E} is decreasing in n then {I(A_n)\rightarrow I(\bigcap_nA_n)} as {n\rightarrow\infty}.

As was claimed above, the outer measure {{\mathbb P}^*} defined by (1) is indeed a capacity.

Lemma 2 Let {(\Omega,\mathcal F,{\mathbb P})} be a probability space. Then,

  • {{\mathbb P}^*(A)={\mathbb P}(A)} for all {A\in\mathcal F}.
  • For all {A\subseteq\Omega}, there exists a {B\in\mathcal F} with {A\subseteq B} and {{\mathbb P}^*(A)={\mathbb P}(B)}.
  • {{\mathbb P}^*} is an {\mathcal F}-capacity.

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24 December 18

Analytic Sets

We will shortly give a proof of measurable projection and, also, of the section theorems. Starting with the projection theorem, recall that this states that if {(\Omega,\mathcal F,{\mathbb P})} is a complete probability space, then the projection of any measurable subset of {\Omega\times{\mathbb R}} onto {\Omega} is measurable. To be precise, the condition is that S is in the product sigma-algebra {\mathcal{F}\otimes\mathcal B({\mathbb R})}, where {\mathcal B({\mathbb R})} denotes the Borel sets in {{\mathbb R}}, and {\pi\colon\Omega\times{\mathbb R}\rightarrow\Omega} is the projection {\pi(\omega,t)=\omega}. Then, {\pi(S)\in\mathcal{F}}. Although it looks like a very basic property of measurable sets, maybe even obvious, measurable projection is a surprisingly difficult result to prove. In fact, the requirement that the probability space is complete is necessary and, if it is dropped, then {\pi(S)} need not be measurable. Counterexamples exist for commonly used measurable spaces such as {\Omega= {\mathbb R}} and {\mathcal F=\mathcal B({\mathbb R})}. This suggests that there is something deeper going on here than basic manipulations of measurable sets.

The techniques which will be used to prove the projection theorem involve analytic sets, which will be introduced in this post, with the proof of measurable projection to follow in the next post. [Note: I have since posted a more direct proof of measurable projection and section, which does not make use of analytic sets.] These results can also be used to prove the optional and predictable section theorems which, at first appearances, seem to be quite basic statements. The section theorems are fundamental to the powerful and interesting theory of optional and predictable projection which is, consequently, generally considered to be a hard part of stochastic calculus. In fact, the projection and section theorems are really not that hard to prove, although the method given here does require stepping outside of the usual setup used in probability and involves something more like descriptive set theory. (more…)

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