Probability Theory – Product Regular Conditional Probability for Conditionally Independent Random Variables in Polish Spaces

measure-theoryprobabilityprobability distributionsprobability theory

Theorem 8.37 in Klenke's Probability Theory ensures the existence (albeit not uniqueness) of a regular conditional probability for Borel spaces (in particular Polish spaces).

Now, say we have two random variables $X,Y$ living in Polish spaces equipped with the Borel algebra. Can we then find a regular conditional distribution $\kappa$ of $(X,Y)$ given $\mathcal F$ that is a product measure (almost) everywhere (i.e. $\kappa_\omega=\kappa_{1,\omega}\otimes\kappa_{2,\omega}$ is the product of its marginals), whenever $X$ and $Y$ are conditionally independent given $\mathcal F$?

I asked around, I went through all of my favorite books and online resources. I have not tried to prove or disprove it myself. My not too educated guess would be that this should hold, for similar reasons that ensure the existence of a regular conditional distribution.

BONUS QUESTION: Does this also hold for countable products?

Best Answer

Some thoughts: I'm think it is true when $X$ and $Y$ take values in a Polish space $E$ (or in different Polish spaces). Basically, the conditional independence assumption means that for $A, B \subset E$, we have $\kappa_{\mathcal{F}, (X, Y)}(\omega, A \times B) = \kappa_{\mathcal{F}, X}(\omega, A)\kappa_{\mathcal{F}, Y}(\omega, B)$ for $\omega \in \Omega_{A, B}$, where $P(\Omega_{A, B}) = 1$. But what we want is to find one $\Omega_{0}$ that works for all $A, B$. Taking $\Omega_0 = \bigcap_{A, B \subset E}\Omega_{A, B}$ fails because this is an uncountable intersection. Here I think you can prove $\Omega_0$ exists using second countability, and the $\pi$-$\lambda$ theorem. My thought is that you take a countable base $\{A_1, A_2, \dots\}$ for the topology of $E$ and let $\Omega_0 = \cap_{i, j \geq 1}\Omega_{A_i, A_j}$, but I'll have to work this out some time.