03:42
I'd just adopt the objectively better notation of Bogachev
In here you have the illusion that the over line means something. In Bogachev's notation the dependence on a given measure is explicit
also no one would write something as atrocious as $\sigma(M\times N)$, they would simply write $M \otimes N$
Rephrasing, the equality you are trying to show is $(M\otimes N)_{\mu\times \nu} = (M_\mu \otimes N_\nu)_{\overline{\mu}\times \overline{\nu}}$
where $M_\mu$ means completion of the sigma-algebra $M$ where $\mu$ is a measure on it
@psie To show this implication, it suffices to notice that completion of a sigma-algebra $\Sigma$ with respect to a given measure $\lambda$ is the sigma-algebra generated by $\Sigma$ and sets of the form $A\subseteq B\in \Sigma$ where $\lambda(B) = 0$. So all one has to show that the latter type of sets are contained in the completion on the right
So, lets suppose that we are given $B\in M\otimes N$ with $\mu\times \nu(B) = 0$, what is to show is that $\overline{\mu}\times \overline{\nu}(B) = 0$
@psie you do need $\sigma$-finite to obtain equality on $M\otimes N$ from the equality on the generators
But then again taking products, for them to be unique, you also need that
We could argue what if we take the Caratheodory construction for definition of $\mu\times \nu$ but eh
@psie but yeah, this is the thing that you actually want because it shows that if $A\subseteq B$ and $B$ is as above, then $\overline{\mu}\times \overline{\nu}(B) = 0$, and so $A$ is a null set of $\overline{\mu}\times \overline{\nu}$
if we go by "okay what about when they aren't sigma-finite route", then from definition $\overline{\mu}\times \overline{nu}(B) = \inf\{\overline{\mu}(A_n)\overline{\nu}(B_n): A_n\in M_\mu, B_n\in N_\nu, A\subseteq \bigcup_n A_n\times B_n\}$
we have $A_n = A_n'\setminus C_n$ and $B_n = B_n'\setminus D_n$ where $C_n, D_n$ are $\mu$ and $\nu$-null sets, so that we could replace $A_n, B_n$ by $A_n', B_n'$ in above
@Jakobian of course here I mean to sum $\sum_n \overline{\mu}(A_n)\overline{\nu}(B_n)$
either way this would show that even if we go for generality, the equality still holds
here of course $A_n'\in M, B_n'\in N$