A counterexample to a.s. constructions (Q917147)

Let \(\{P_ n\}\) be a weakly convergent sequence of probability distributions on \(R^ 2\) with limit P. Then by the a.s. construction theorem of Skorokhod there exist random variables \(X_ n\), \(Y_ n\), X, Y on a probability space (\(\Omega\),\({\mathcal A},P)\) such that \((X_ n,Y_ n)\) and (X,Y) have \(P_ n\) and P as their probability distributions and \((X_ n,Y_ n)\to (X,Y)\) a.s. Let \(\pi^ i: R^ 2\to R^ 1\) denote the projection on the i th component, \(i=1,2.\) The main assertion is that the a.s. construction with \(Y_ n=Y\), \(n=1,2,..\). exists if and only if \[ P_ n(\pi^ 1\in A| \pi^ 2)\to P(\pi^ 1\in A| \pi^ 2)\quad a.s. \] for all \(A\in {\mathcal B}^ 1\) with \(P^{\pi^ 1}(\partial A)=0.\) From this assertion it follows that there exist probability distributions P, \(P_ n\), \(n=1,2,..\). with fixed second marginals \(\pi^ 2(P_ n)=\pi^ 2(P)\) and \(P_ n\to P\) weakly such that the a.s. construction with \(Y_ n=Y\), \(n=1,2,..\). does not exist.