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Alex M.
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The disintegration of the convolution of two probability measures

Let $G$ be a topological group with all the topological conditions in order that some form of the disintegration theorem be applicable (for instance, take $G$ metrizable). Let $N$ be normal and closed, and let $p : G \to G/N = H$ be the natural projection.

Let $\mu$ be a regular Borel probability. Disintegrating $\mu$ with respect to $p_* \mu$, one gets a family $(\mu_h)_{h \in H}$ of regular Borel probabilities on $G$, concentrated on the fibre $p^{-1} (h)$ for $p_* \mu$-almost all $h \in H$, such that $\mu (B) = \int _H \mu_h (B) \ \mathrm d (p_* \mu) (h)$ for all Borel $B \subseteq G$.

With notations as above, is it possible to express the measure $(\mu * \nu)_h$ in terms of the families $(\mu_h)_{h \in H}$ and $(\nu_h)_{h \in H}$?

In the beginning, I was expecting this to be a trivial one-line warm-up calculation. To my frustration, this didn't really happen: either I am overlooking something, or such a simple formula does not exist.

Alex M.
  • 5.4k
  • 11
  • 35
  • 52