Let
- $(\Omega,\mathcal A,\operatorname P)$ be a non-atomic probability space
- $(E,\mathcal E)$ be a Borel space
- $\mu$ be a probability measure on $(E,\mathcal E)$
How can we show that there is a $(\mathcal A,\mathcal E)$-measurable $X:\Omega\to E$ with $X_\ast\operatorname P=\mu$ (pushforward measure)?
I know that if $(\mathbb R,\mathcal B(\mathbb R),\nu)$ is a non-atomic probability space, the distribution function $F$ of $\nu$ is continous and $F_\ast\nu=\mathcal U_{[0,\:1]}$ (uniform distribution).
Now, I'll assume that for all $B\in\mathcal B(\mathbb R)$, $(B,\mathcal B(B))$ is isomorphic to $(\mathbb R,\mathcal B(\mathbb R))$ (i.e. there is a measurable bijection between $(B,\mathcal B(B))$ and $(\mathbb R,\mathcal B(\mathbb R))$ with measurable inverse). Does anyone have a reference for that claim?
By that assumption, there is a $\mathcal U_{[0,\:1]}$-distributed random variable on any non-atomic probability space $(B,\mathcal B(B),\nu)$ with $B\in\mathcal B(\mathbb R)$.
$(E,\mathcal E)$ being Borel implies that $(E,\mathcal E)$ is isomorphic to $(B,\mathcal B(B))$.
How can we conclude? This answer seems to claim that the desired conclusion is possible, but I don't get how we need to argue exactly.