@BalarkaSen btw, my crusade of stochastic process pedantery hasn't ended yet, but it's (luckily) still the case that everything works out fine. My most recent question was the following:
Do processes stay independent if we switch sigma algebras? Example: Let $X,Y \colon \Omega \rightarrow \R^{[0,1]}$ be continuous processes that are measurable with respect to the sigma algebra $$\mathcal{G} = \bigotimes_{t \in [0,1]} \mathcal{B}(\R).$$
Further, assume they are independent, so that for $F, G \in \mathcal{G}$, we have that $\P(X \in F \text{ and } Y \in G) = \P(X \in F) \cdot \P(Y \in G)$. N…