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For times $t_1,\dots ,t_n$, the corresponding finite-dimensional distribution of a stochastic process $X$ is the joint probability distribution of the random vector $(X_{t_1},\dots ,X_{t_n})$. The collection of these distributions records every finite set of coordinates of the process.

Knowing only the one-time marginal distributions is insufficient. Let $X_n$ be independent standard normal random variables, and let $Y_n=Z$ for every $n$, where $Z$ is one standard normal random variable. Every $X_n$ and $Y_n$ has the same standard normal distribution. Nevertheless, for $m\ne n$, the difference $X_n-X_m$ has a normal distribution with variance two, whereas $Y_n-Y_m=0$. The joint probability distribution of $(Y_m,Y_n)$ is concentrated on the diagonal; that of $(X_m,X_n)$ is spread across the plane. A model for tomorrow's value therefore needs the relation between observations as well as their separate distributions.

For a real-valued stochastic process, its finite-dimensional distributions determine its probability law on the product sigma-algebra. With an uncountable index set, a path property such as continuity need not be measurable in that sigma-algebra; specifying a suitable space of sample paths and a regular modification of a stochastic process is a separate step. This distinction is explained in MIT, The basics of stochastic processes, section 1.1.

On the full Cartesian product $\Omega ={\mathbb{R}}^{\mathbb{N}}$ with its product sigma-algebra, take the coordinate random variables $X_j(x)=x_j$. A product-measurable set $A$ is a tail event if and only if membership is unchanged whenever two sequences differ in finitely many coordinates. The measurability condition is essential: invariance alone is not a license to assign a probability to an arbitrary subset.

For the forward implication, fix $m$. An event in $\sigma (X_{m+1},X_{m+2},\dots )$ cannot distinguish points with the same remaining coordinates. Since a tail event belongs to this sigma-algebra for every $m$, every finite change preserves membership.

For the converse, freeze the first $m$ coordinates to zero. The insertion mapis a measurable function for the product sigma-algebras. Thus $B_m=i_m^{-1}(A)$ is a measurable set. Invariance gives $A={\pi }_m^{-1}(B_m)$, where the coordinate projection ${\pi }_m$ discards the first $m$ entries. Hence $A\in \sigma (X_{m+1},X_{m+2},\dots )$ for every $m$. The same argument works on $\{0,1{\}}^{\mathbb{N}}$. On a general probability space, coordinates need not admit arbitrary replacements, so the defining intersection of sigma-algebras remains the reliable formulation.

Consistent probability distributions on finite collections of coordinates in standard Borel spaces determine a unique probability measure on the product sigma-algebra. Consistency means that discarding coordinates by marginalization agrees with the law already assigned to the smaller collection, and relabeling coordinates relabels the law. The theorem turns finite recipes into a complete stochastic process. In particular, products of one fixed probability distribution construct an independent and identically distributed sequence; putting one common random variable in every coordinate constructs the perfectly shared process above. The theorem supplies a law on the coordinate space, but does not by itself ensure continuous sample paths.

For the given exchangeable law $\mu$, putwhich is well-defined by the stated assumption. Integrate the product self-duality of symmetric exclusion against $\mu$, and use boundedness to interchange expectation and integration:The finite-particle process conserves its cardinality. Hence the right side is ${\mathbb{E}}^A{m}_{|A_t|}=m_{|A|}$. All occupation-product moments are therefore unchanged by evolution.

These moments determine the law, not merely its one-site marginals. For disjoint finite sets $B,C$, the inclusion-exclusion principle givesEvery term is unchanged, so every finite cylinder probability is unchanged. Such cylinder events generate the product sigma-algebra on $\{0,1{\}}^{\mathbb{Z}}$, and probability laws agreeing on them agree everywhere. ConsequentlyThus every exchangeable probability law is invariant for the symmetric exclusion process. This proof of exchangeable invariant laws of symmetric exclusion needs only the given cardinality dependence and duality; no representation theorem for exchangeable measures is required.

A real Gaussian process $(Z_t{)}_{t\in T}$ is a family of random variables such that every finite vector $(Z_{t_1},\dots ,Z_{t_d})$ has a multivariate normal distribution, allowing degenerate distributions. Equivalently every finite real linear combination is a Gaussian random variable. Its mean and covariance kernel are $m(t)=\mathbb{E}{Z}_t$ and $C(s,t)=\mathbb{E}[(Z_s-m(s))(Z_t-m(t))]$.

For any finite set of indices, these functions give the whole mean vector and covariance matrix. The characteristic function of the vector isThe standard uniqueness theorem for characteristic functions therefore determines every finite-dimensional distribution, including the singular cases. Cylinder events form a generating class for the product sigma-algebra on ${\mathbb{R}}^T$ and are closed under finite intersections, so agreement on all cylinder events gives agreement of the process laws by the uniqueness theorem for probability measures. Thus the mean and covariance determine the law on this coordinate sigma-algebra even when $T$ is uncountable. This statement does not claim uniqueness on an arbitrary finer sigma-algebra of path properties.

Here $F=1_A$ is bounded and hence lies in $L^2$ as well as $L^1$. Conditional expectation on a sub-sigma-algebra is the orthogonal projection in $L^2$ onto its measurable subspace. We can use these projections to justify both limits without any symmetry assumption on the probability measure.

The increasing coordinate sigma-algebras ${\mathcal{E}}_n$ generate the whole product sigma-algebra $\mathcal{F}$. Functions depending on finitely many coordinates are dense in $L^2(\mathcal{F})$: their cylinder indicators generate $\mathcal{F}$, and the usual monotone-class approximation proves density of their linear span. If a cylinder function $V$ is ${\mathcal{E}}_N$-measurable, then for $n\ge N$ the $L^2$ projection contraction givesApproximate $F$ arbitrarily well by such $V$ to prove the first $L^2$ limit.

For the decreasing tail sigma-algebras ${\mathcal{G}}_n$, put $Y_n=\mathbb{E}[F\mid {\mathcal{G}}_n]$. If $m\ge n$, the tower property gives $\mathbb{E}[Y_n\mid {\mathcal{G}}_m]=Y_m$. Projection orthogonality therefore yieldsThe norms on the right decrease and are nonnegative, so $(Y_n)$ is Cauchy in $L^2$ and has a limit $Y$. Choose an almost-surely convergent subsequence and take its pointwise upper limit. For every fixed $n$ its tail consists of ${\mathcal{G}}_n$-measurable functions, so this supplies a version of $Y$ measurable with respect to every ${\mathcal{G}}_n$, hence to $\mathcal{G}={\bigcap }_n{\mathcal{G}}_n$. For any $C\in \mathcal{G}$, $\mathbb{E}[Y_n{1}_C]=\mathbb{E}[F{1}_C]$; passing to the limit identifies $Y=\mathbb{E}[F\mid \mathcal{G}]$.

Finally $\Vert W{\Vert }_1\le \Vert W{\Vert }_2$ on a probability space, by the Cauchy-Schwarz inequality. ThusThese are the increasing-filtration and reverse martingale convergence theorem limits; the argument above establishes the requested norm convergence directly.

Relative to a filtration $({\mathcal{F}}_t)$, progressive measurability means that, for every $T<\infty$, the mapis measurable for the product sigma-algebra $\mathcal{B}([0,T])\otimes {\mathcal{F}}_T$ and the Borel sigma-algebra on $\mathbb{R}$.

Fix $T>0$ and divide $[0,T]$ into $2^m$ equal subintervals with mesh $h_m=T/2^m$. DefineSince $X$ is adapted, every random variable $X_{k{h}_m}$ is ${\mathcal{F}}_{k{h}_m}$-measurable, hence ${\mathcal{F}}_T$-measurable. Each approximation is consequently $\mathcal{B}([0,T])\otimes {\mathcal{F}}_T$-measurable. For $t<T$, its sampling time lies strictly to the right of $t$, tends to $t$, and never exceeds $T$. Right continuity implies $X_t^{(m)}\to X_t$; at $T$ equality is exact. Thus $X$ is the pointwise limit of measurable functions on this product space. As $T$ was arbitrary, $X$ is progressively measurable. This is the theorem that right-continuous adapted processes are progressively measurable.

The right-endpoint approximations need not themselves be adapted at their intermediate times. What the proof requires is their joint measurability with respect to the single terminal sigma-algebra ${\mathcal{F}}_T$. The proof uses the pathwise càdlàg convention. If path regularity is assumed only almost surely, under a completed filtration setting the stochastic process to zero on its common exceptional null event gives an indistinguishable progressively measurable version. Arbitrary values on that null event need not make the original stochastic process progressively measurable: even with a complete filtration, a null sample point may be assigned a non-Borel time function. This is why almost sure path regularity does not ensure progressive measurability.

In bond percolation on an undirected graph $G=(V,E)$, a configuration is $\omega \in \{0,1{\}}^E$. The edge $e$ is open when ${\omega }_e=1$ and closed when ${\omega }_e=0$. Under ${\mathbb{P}}_p$, the coordinates are independent and identically distributed random variables with the Bernoulli distribution of parameter $p$. For a countable edge set, use the product sigma-algebra and the product measureThe open edges form a random subgraph with the original graph vertices. Its connected components of a graph are the percolation clusters. Write $x\leftrightarrow y$ when an open graph path joins $x$ to $y$; a zero-length graph path is allowed, so $x\leftrightarrow x$ always holds. The randomness is in the independently open bonds; all vertices remain present.

The product sigma-algebra isThe product measure ${\mu }_1\otimes {\mu }_2$ is the probability measure on this sigma-algebra satisfyingThe measurable rectangles form a pi-system generating ${\mathcal{A}}_1\otimes {\mathcal{A}}_2$. Any two probability measures agreeing on them therefore agree on the generated sigma-algebra by the pi-lambda theorem, proving uniqueness.

The product measure $\mu \otimes \nu$ is the unique probability measure on the sigma-algebra generated by measurable rectangles for whichHere the printed product notation $\mathcal{B}(\mathbb{R})\times \mathcal{B}(\mathbb{R})$ denotes the generated product sigma-algebra, conventionally written $\mathcal{B}(\mathbb{R})\otimes \mathcal{B}(\mathbb{R})$; it is not just the collection of rectangles. On ${\mathbb{R}}^2$ it equals $\mathcal{B}({\mathbb{R}}^2)$: coordinate projections show that rectangles are Borel sets, while open rectangles with rational endpoints give every open set as a countable union and hence generate the Borel sigma-algebra.

Existence is the product measure theorem for finite measures, which are in particular sigma-finite measures. Uniqueness follows because the rectangles form a pi-system generating the product sigma-algebra, and two finite measures agreeing there agree everywhere by the Dynkin lemma.^[ref]

For finitely many probability spaces $(X_i,{\mathcal{F}}_i,{\mu }_i)$, their product probability space has underlying set ${\prod }_i{X}_i$, the product sigma-algebra and product measure ${⨂}_i{\mu }_i$. The coordinate projections are jointly independent: for measurable $B_i\subseteq X_i$, the probability of all coordinate conditions is ${\prod }_i{\mu }_i(B_i)$. Conversely a family of independent coordinates has this product joint distribution. Product structure permits coordinate exposure and independent resampling in concentration arguments.

For an adapted process with pathwise right continuity, fix $T$ and approximate its time argument by the next endpoint of a deterministic partition of $[0,T]$. Every approximation is jointly measurable for the terminal product sigma-algebra because all sampled values are ${\mathcal{F}}_T$-measurable. Right continuity makes them converge pointwise, proving progressive measurability. Sampling from the right need not preserve adaptedness at intermediate times, but that is not required in this proof.