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Mar 23 at 1:15 history edited LSpice CC BY-SA 4.0
Name of reference, while this is on the front page
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Feb 26, 2023 at 1:05 answer added Tom LaGatta timeline score: 1
Feb 23, 2023 at 6:47 comment added Michael Greinecker I took a look at the two examples by Chang and Pollard. The problem there seems to be that disintegrations are not unique, not that they do not exist. Also, you may not be able to disintegrate with respect to the marginal. Take the constant function from $\mathbb{R}$, endowed with Lebesgue measure, to $0$. The $\{0\}$-marginal is an infinite point mass and useless for integrating, but you can disintegrate the measure on the product into $\delta_0$ and the kernel that is constant with Lebesgue measure.
Feb 23, 2023 at 6:06 comment added Tom LaGatta @MichaelGreinecker I like this idea very much but it sounds too good to be true. In Chang & Pollard Examples 11 & 12 are both $\sigma$-finite but admit non-$\sigma$-finite marginals. In your approach, do we need the assumption both that the original measure $\eta$ and its marginal $\kappa_\gamma^\theta$ are $\sigma$-finite, in which case we have this more general disintegration theorem? I'm surprised I haven't found this in the literature, given the wealth of literature on disintegrations of probability measures. P.S. So nice to see you here, hope you are well
Feb 22, 2023 at 8:59 comment added Michael Greinecker At least for $\sigma$-finite measures, you can take a partition into countably many measurable sets of finite measure, apply the disintegration theorem for each cell, and then combine the resulting disintegrations to one grand disintegration.
Feb 22, 2023 at 5:32 history edited Tom LaGatta CC BY-SA 4.0
added 36 characters in body
Feb 22, 2023 at 5:03 history asked Tom LaGatta CC BY-SA 4.0