Separability requirement for Measurable distance?

I was looking up Egorov's Theorem on Wikipedia. http://en.wikipedia.org/wiki/Egorov%27s_theorem

One of the conditions is that the functions attain values in a separable metric space M, and in the "Discussion of assumptions" section following the theorem, the following is stated: "The separability of the metric space is needed to make sure that for M-valued, measurable functions f and g, the distance d(f(x), g(x)) is again a measurable real-valued function of x."

Can someone explain how to prove the boldfaced statement?

[EDIT]To be precise, I want to know how to prove "If the metric space M is separable, and the functions f and g are measurable functions attaining values in M, then the distance function d(f(x),g(x)) is measurable."

Thanks!

• There are a couple of things you could be asking for, and it might help to make your question more explicit. You want proof that if the metric space is separable, then that distance function is measurable? You want an example where that distance function is not measurable (and the metric space is nonseparable)? Or something else? – Jonas Meyer Jul 4 '13 at 21:37
• Thanks for the response! I want proof that if the metric space is separable, then that distance function is measurable. – Jarris Jul 4 '13 at 21:41
• This question on MathOverflow gives you some indications. – Martin Jul 4 '13 at 22:08
• The measurable space in question seems to be arbitrary. So even if $d$ is continous from the product $M \times M$ it is not necessarily $\Sigma \otimes \Sigma$ measurable. I can't see why the separability would guarantee the measurability though – Bunder Jul 4 '13 at 22:19

A more elegant and intuitive way (that I've come up with upon finishing the direct proof, so I'll leave it anyway...) to show it is as follows: if $M$ is a separable metric space, it is second-countable.
From that it follows that open sets are Borel in $M^2$ (with respect to the square of Borel algebra of $M$; this is because we don't need uncountable unions to form open sets).
In particular, continuous functions from $M^2$ to $\bf R$, such as $d$, are Borel with respect to product algebra. On the other hand, $x\mapsto (f(x),g(x))$ is obviously measurable with respect to the product Borel algebra, so the composition of this and $d$ is measurable.
Denote $d(f(x),g(x))$ by $h(x)$, and enumerate the countable dense subset of $M$ with $s_n$. Note that $h(x)=r$ if and only if you have $$(\forall n\forall m)\;d(f(x),s_n)<1/m\implies r-1/m<d(g(x),s_n)<r+1/m$$ To show measurability of $h$, it's enough to show that preimages of closed intervals are measurable, or to show that their complements are. But by looking at the previous formula, you can see that $h(x)\notin [a,b]$ if and only if $$(\exists n\exists m)\;d(f(x),s_n)<1/m\land (a-1/m\geq d(g(x),s_n)\lor d(g(x),s_n)\geq b+1/m)$$ So $X\setminus h^{-1}[[a,b]]$ is a countable union of measurable sets, and we're done.