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Let $(X, \Sigma)$ denote a measurable space. Is there a non-trivial $\sigma$-algebra $\Sigma^1$ of subsets of $\Sigma$ so that $(\Sigma, \Sigma^1)$ is also a measurable space?

Here is one natural candidate. I'm not certain, but based on answers to related questions, I think this might be the Effros Borel structure that Gerald Edgar has mentioned here and here.

The $\sigma$-algebra $\Sigma$ is an ordered set under the canonical relation given by subset inclusion $\subseteq$, and is therefore naturally equipped with a specialization topology. The closed sets are generated by downward-closed sets, and the closure of a singleton is its down-set:$$\overline{\{A\}} = \{ B \in \Sigma : B \subseteq A \}.$$ Even though this topology is highly non-Hausdorff, it's still pretty nice. For example, it's an Alexandroff space: arbitrary unions of closed sets are closed.

Being a topological space, $\Sigma$ now has a natural measurable structure, namely, the one generated by the Borel $\sigma$-algebra $\Sigma^1 := \mathcal B_{\subseteq}(\Sigma)$.

  • Is this space $(\Sigma, \Sigma^1)$ a reasonable one on which to do measure theory and probability?

Whether it is or not, there's some non-trivial structure present. For example, we can iterate this procedure. Set $\Sigma^0 = \Sigma$, and define $\Sigma^n := \mathcal B_{\subseteq}(\Sigma^{n-1}).$ Then each one of these spaces $\Sigma^n(X) := (\Sigma^{n}, \Sigma^{n+1})$ is measurable.

  • Is $\Sigma : \mathrm{Meas} \to \mathrm{Meas}$ an endofunctor on the category of measurable spaces?

  • Under what conditions does the sequence of measurable spaces $\Sigma^n(X)$ have a limit $\Sigma^{\infty}(X)$?

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Tom, I don't think you mean what you said about Alexandroff spaces; arbitrary intersections of closed sets are always closed, in a topological space. –  Paul McKenney Feb 10 '13 at 4:01
Thanks @Paul McKenney. It was a typo: Alexandroff spaces contain arbitrary unions of closed sets. –  Tom LaGatta Feb 10 '13 at 6:27
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One way to approach this would be to ask the same question inside a suitable topos in which "everything is measurable" and such that each object is naturally equipped with the structure of a $\sigma$-algebra. In effect you would be expanding the notion of measure space to accommodate better structure, as such toposes typically contain the "classical" measure spaces.

For example, Matthew Jackson's Ph.D. dissertation "A sheaf theoretic approach to measure theory" might be a starting point.

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@Andrej Bauer, that's an interest point of view. Can you expand more on it? Suppose we are considering the category $\operatorname{Meas}$, the topos-category $\operatorname{Set}$ and some other topos $\operatorname{T}$. What does it mean "to ask the same question" in that different topos? –  Tom LaGatta Feb 11 '13 at 1:57
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