 Solution

Fix $A_1\in {\mathcal{A}}_1$ and letThis is a Dynkin system. It contains $\Omega$. If $B\in {\mathcal{D}}_{A_1}$, thenso it is closed under complements. Countable additivity gives closure under countable disjoint unions.

The hypothesis says ${\mathcal{A}}_2\subseteq {\mathcal{D}}_{A_1}$. Since ${\mathcal{A}}_2$ is a pi-system, Dynkin lemma yieldsThus the factorization holds for every $A_1\in {\mathcal{A}}_1$ and every $B\in \sigma ({\mathcal{A}}_2)$.

Now fix such a $B$ and defineThe identical calculation makes ${\mathcal{E}}_B$ a Dynkin system. The first step gives ${\mathcal{A}}_1\subseteq {\mathcal{E}}_B$, so a second application of Dynkin lemma givesTherefore the probability factorization holds for everywhich is precisely independence of the two sigma-algebras. This is independence extended from generating pi-systems.