Friday, 15 June 2012

pr.probability - Disintegrations are measurable measures - when are they continuous?

This is a sequel to another question I have asked.



The notion of disintegration is a refinement of conditional probability to spaces which have more structure than abstract probability spaces; sometimes this is called regular conditional probability. Let Y and X be two nice metric spaces, let mathbbP be a probability measure on Y, and let pi:YtoX be a measurable function. Let mathbbPX(B)=mathbbP(pi1B) denote the push-forward measure of mathbbP on X. The disintegration theorem says that for mathbbPX-almost every xinX, there exists a nice measure mathbbPx on Y such that mathbbP "disintegrates":intYf(y) dmathbbP(y)=intXintpi1(x)f(y) dmathbbPx(y)dmathbbPX(x)


for every measurable f on Y.



This is a beautiful theorem, but it's not strong enough for my needs. Fix a Borel set BsubseteqX, and let p(x)=mathbbPx(B). Part of the theorem is that p is a measurable function of x. Suppose that the map pi:YtoX is continuous instead of simply measurable. My question: What is a general sufficient condition for p(x) to be continuous?



To me, this is an obvious question to ask, since if x and x are two close realizations of a random xinX, then the measures mathbbPx and mathbbPx should be close too, at least in many natural situations. However, in my combing through the literature, I haven't been able to find an answer to this question. My guess is that most people are content to integrate over x when they use the theorem. For my purposes, I need some estimates which I get by continuity.



At this point, I've managed to prove and write down a pretty good sufficient condition for the case I care about (Banach spaces), using an abstract Wiener space-type construction. However, I am hoping that an expert can point me toward a good reference that does this in wider generality.

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