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Davide Giraudo
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We know by Ulam's theorem that a Borel measure on a Polish space is necessarily tight. If we just assume that the metric space is separable, we have that each Borel probability measure on $X$ is tight if and only if $X$ is universally measurable (that is, given a probability measure $\mu$ on the metric completion $\widehat X$, there are two measurable subsets $S_1$ and $S_2$ of $\widehat X$ such that $S_1\subset X\subset S_2$ and $\mu(S_1)=\mu(S_2)$. So a probability measure is not necessarily tight (take $S\subset [0,1]$ of inner Lebesgue measure $0$ and outer measure $1$), see Dudley's book Real Analysis and Probability.

An other issue related to tightness. We know by Prokhorov theorem that if $(X,d)$ is Polish and if for all sequence of Borel probability measures $\(\mu_n\)$ we can extract a subsequence which converges in law, then $\(\mu_n\)$ is necessarily uniformly tight. It may be not true if we remove the assumption of "Polishness". And it may be problematic when we want results as "$\mu_n\to \mu$ in law if and only if there is uniform tightness and convergence of finite dimensional laws."

Davide Giraudo
  • 4k
  • 2
  • 30
  • 42