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Cylindrical σ-algebra

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In mathematics specifically, in measure theory and functional analysis the cylindrical σ-algebra[1] or product σ-algebra[2][3] is a type of σ-algebra which is often used when studying product measures or probability measures of random variables on Banach spaces.

For a product space, the cylinder σ-algebra is the one that is generated by cylinder sets.

In the context of a Banach space and its dual space of continuous linear functionals the cylindrical σ-algebra is defined to be the coarsest σ-algebra (that is, the one with the fewest measurable sets) such that every continuous linear function on is a measurable function. In general, is not the same as the Borel σ-algebra on which is the coarsest σ-algebra that contains all open subsets of

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Definition

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Consider two topological vector spaces and with dual pairing , then we can define the so called Borel cylinder sets

for some and . The family of all these sets is denoted as . Then

is called the cylindrical algebra. Equivalently one can also look at the open cylinder sets and get the same algebra.

The cylindrical σ-algebra is the σ-algebra generated by the cylinderical algebra.[4]

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Properties

  • Let a Hausdorff locally convex space which is also a hereditarily Lindelöf space, then
[5]
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See also

References

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