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I'm trying to understand the definition of Cylinder Topology, and Borel Cylinder $\sigma$-algebra, in the picture below, and what it's described in this wikipedia page.

picture from Cohen and Elliot's Stochastic Calculus

Let $(\mathbb{R}^d)^{\mathbb{T}}=\{\text{functions } f:\mathbb{T}\rightarrow \mathbb{R}^d\}$

By Cylinder Topology I'm understanding the topology obtained from the following basis: $$\text{Basis}=\{A: A=\cap^n_{i=1}\{x_{t_i}\in B_i\} \text{ and } B_i \text{ is an open set of } \mathbb{R}^d \}$$

$\text{Cylinder Topology}=\{\cup_{i \in I} A_i: A_i \in \text{Basis}\}$

where $\cap^n_{i=1}\{x_{t_i}\in B_i\} = \{x \in (\mathbb{R}^d)^{\mathbb{T}}: x_{t_1}\in B_1, \cdots, x_{t_n}\in B_n\}$

and $$ \mathcal{B}((\mathbb{R}^d)^{\mathbb{T}})=\sigma(\text{Cylinder Topology}).$$

Am I understanding these definitions correctly?

  • The collection of all cylinder sets with open projections is not a topology - it is only a base for a topology. – Matsmir Jun 15 '21 at 13:25
  • @Matsmir I've just noticed your comment. I've just edited my post to reflect that =D. Thanks ;) – An old man in the sea. Jun 15 '21 at 13:26
  • Also I think that in Wiki page it is given that $\mathcal B((\mathbb R^d)^{\mathbb T}) = \sigma(Basis)$. – Matsmir Jun 15 '21 at 13:32
  • @Matsmir I think you're right... But then, I've also found out this other link on MSE https://math.stackexchange.com/questions/806994/difference-between-borel-sigma-algebra-and-cylindrical-sigma-algebra

    The wikipedia page is referring to the cylindrical sigma algebra, and I think the picture is referring to the Borel sigma algebra generated from the cylindrical topology...

    – An old man in the sea. Jun 15 '21 at 13:35
  • I see... It is not really clear which definition is meant in the picture since it mixes up cylinder sets and open sets in cylinder topology. – Matsmir Jun 15 '21 at 13:46

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