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Let $X$ be equipped with a $\sigma$-field $\mathcal{A}$, and $Y$ be equipped with a $\sigma$-field $\mathcal{B}$, and $f$ be a function from $X\times Y$ to $\mathbb{R}$.

It can be shown that if $f(x,y)$ is $\mathcal{A}\otimes\mathcal{B}\backslash\mathcal{B}(\mathbb{R})$-measurable, then the map $x\mapsto f(x,y)$ is $\mathcal{A}$-measurable for each fixed $y\in Y$ and $y\mapsto f(x,y)$ is $\mathcal{B}$-measurable for each fixed $x\in X$, using an analog of $\pi$-$\lambda$ theorem for classes of functions.

My first question is whether its converse is true. That is, is it possible to show that if both $x\mapsto f(x,y)$ and $y\mapsto f(x,y)$ are measurable then $f(x,y)$ is product measurable?

My second question is whether the proposition is still true for more general measurable functions. $f(x,y)$ need not be a real valued function. Let it be a function from $X\times Y$ to a topological space, say $Z$, equipped with a $\sigma$-field $\mathcal{C}$. Then does the $\mathcal{A}\otimes\mathcal{B}\backslash\mathcal{C}$-measurability of $f(x,y)$ imply the $\mathcal{A}\backslash\mathcal{C}$-measurability of $x\mapsto f(x,y)$ and $\mathcal{B}\backslash\mathcal{C}$-measurability of $y\mapsto f(x,y)$? And converse?

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Not true. Let $B$ be a subset of $\mathbb R$ which is not a Borel set and $f(x,y)=1$ if $x=y$ and $x \in B$, $0$ otherwise. You can easily check that $x\to f(x,y)$ is measurable for each $y$ and $y\to f(x,y)$ is measurable for each $x$ but $f$ is not Borel measurable [ Let me know if you need some details].

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    $\begingroup$ Hint for seeing that $f$ is not measurable: Consider $x \mapsto f(x,x)$, which would be measurable if $f$ was. $\endgroup$
    – PhoemueX
    Commented Sep 24, 2019 at 10:30
  • $\begingroup$ Thank you! I see it now. And what about the second question? What if $f$ is not a real valued function? Does the product measurability still imply the measurability of $x\mapsto f(x,y)$ and $y\mapsto f(x,y)$? $\endgroup$
    – North
    Commented Sep 24, 2019 at 11:03
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The answer to your second question is yes. For fixed $y \in Y$, define $i_y : X \to X \times Y$ by $i_y(x) = (x,y)$. Now verify, as an exercise, that $i_y$ is $\mathcal{A} \backslash \mathcal{A} \otimes \mathcal{B}$-measurable. Finally, note that the map $x \mapsto f(x,y)$ is simply $f \circ i_y$, and the composition of measurable maps is measurable.

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  • $\begingroup$ Thank you Nate! You helped me a lot today:) I can show that $i_y$ is $\mathcal{A}\backslash\mathcal{A}\otimes\mathcal{B}$-measurable by defining $f(x,y)$ as an indicator function of the set $\{(x,y)\in D\}$ for each $D$ in product $\sigma$-field. $f$ is a real valued and clearly product measurable function so I can use the theorem for real function to prove the measurability of $i_y$. Another straight way is, of course, the $\pi$-$\lambda$ theorem. $\endgroup$
    – North
    Commented Sep 24, 2019 at 13:02
  • $\begingroup$ @North: I don't think you even need $\pi$-$\lambda$ here. If $A \in \mathcal{A}$, $B \in \mathcal{B}$, then $i_y^{-1}(A \times B)$ is clearly measurable (it is either $A$ or $\emptyset$). Then, note that $\{C \in \mathcal{A} \otimes \mathcal{B} : i_y^{-1}(C) \in \mathcal{A}\}$ is a $\sigma$-algebra (just uses basic properties of unions and complements, it's unimportant what $i_y$ actually is in this step). Now you are done, because $\mathcal{A} \otimes \mathcal{B}$ is by definition the $\sigma$-algebra generated by all sets of the form $A \times B$. $\endgroup$ Commented Sep 24, 2019 at 13:20
  • $\begingroup$ @North: The $\pi$-$\lambda$ argument is useful if you need to say something about the measurability of $i_y$ with respect to $y$, but here that is not needed. $\endgroup$ Commented Sep 24, 2019 at 13:21
  • $\begingroup$ Oh, I didn't realize that. Now I see. Thanks again:) $\endgroup$
    – North
    Commented Sep 24, 2019 at 14:47

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