Probability Measures on Product Spaces with Uniform Metrics

Martin Hellwig

No 2017_06, Discussion Paper Series of the Max Planck Institute for Research on Collective Goods from Max Planck Institute for Research on Collective Goods

Abstract: The paper provides mathematical foundations for a homeomorphism theorem à la Mertens and Zamir (1985) when the space of belief hierarchies of an agent has the uniform topology rather than the product topology. The Borel σ-algebra for the uniform topology being unsuitable, the theorem relies on the product σ-algebra but defines the topology of weak convergence on the space of measures on this σ-algebra with reference to the uniform topology on the underlying space. For a countable product of complete separable metric spaces, the paper shows that this topology on the space of measures on the product σ-algebra is metrizable by the Prohorov metric. The projection mapping from such measures to sequences of measures on the first ℓ factors, ℓ=1,2,..., is a homeomorphism if the range of this mapping is also given a uniform metric.

Keywords: Product spaces with uniform metrics; weak convergence of non-Borel measures; σ-algebras generated by the open balls; quasi-separable measures; Prohorov metric (search for similar items in EconPapers)
JEL-codes: C02 C72 (search for similar items in EconPapers)
Date: 2017-05, Revised 2023-05
New Economics Papers: this item is included in nep-gth
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