On coherent conditional probabilities and disintegrations (Q1601900)

Let \(P\) be a coherent \(\sigma\)-additive conditional probability measure on a domain \({\mathcal C}=\{A|B:A\in {\mathcal A},\;B\in {\mathcal B}\}\) where \({\mathcal A}\) is a field of subsets of \(\Omega\) and \({\mathcal B}\subset {\mathcal A}\), \(\emptyset\notin {\mathcal B}\). The authors show (Example 1) that in some cases no coherent extension \(Q\) of \(P\) to \({\mathcal C}^*=\{A|C:A\in\sigma ({\mathcal A}\cup \{H\})\), \(C\in{\mathcal B}\cup \{H\}\}\), \(H\subset \Omega\), \(H\neq \emptyset\), is \(\sigma\)-additive. Further (Theorem 2), there always exists a coherent \(\sigma\)-additive extension \(P_0\) of \(P\) to \({\mathcal C}_0= \{A|B:A\in \sigma({\mathcal A} \cup\{H\}),\;B\in{\mathcal B}\},\;H\subset\Omega\), \(H\neq\emptyset\). Theorem 3 gives a sufficient condition guaranteeing the existence of a \(\sigma\)-additive coherent extension \(Q\) of \(P\) to \({\mathcal C}^*\). The last section of the paper deals with the existence of a disintegration of a (finitely additive) probability \(P\) on a field \({\mathcal A}\) with respect to a partition \(\Pi\) of \(\Omega\).