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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.

0xbadf00d
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    See 'A course on Borel sets' by Srivastava and 'Measure Theory' by Cohen. – Kavi Rama Murthy Jan 03 '19 at 23:55
  • @KaviRamaMurthy Do you have a specific section in mind? – 0xbadf00d Jan 04 '19 at 00:17
  • There are several isomorphism theorems in measure theory and the they are quite deep. You will, have to spend quiet a bit of time to digest these. I suggest you first look at statements of some of these theorems from Cohen's book first. – Kavi Rama Murthy Jan 04 '19 at 00:21
  • @KaviRamaMurthy Your comment is only related to the isomorphism between $(\mathbb R,\mathcal B(\mathbb R))$ and $(B,\mathcal B(B))$ I've asked for, right? If so, do you have any idea how we need to proceed once this existence is known? – 0xbadf00d Jan 04 '19 at 00:23
  • Hi 0xbadf00d ! I asked the same question. Did you find an answer ? (https://math.stackexchange.com/questions/3234483/pushforward-measure) –  Jun 24 '19 at 13:50

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