# HG changeset patch
# User hoelzl
# Date 1301401661 -7200
# Node ID 61d5d50ca74c2cfc50629eceb0b745bb6e310e29
# Parent  5b52c6a9c62741cf0a5cd8bdb72ff29b6fdf0314
add infinite product measure

diff -r 5b52c6a9c627 -r 61d5d50ca74c src/HOL/IsaMakefile
--- a/src/HOL/IsaMakefile	Tue Mar 29 14:27:39 2011 +0200
+++ b/src/HOL/IsaMakefile	Tue Mar 29 14:27:41 2011 +0200
@@ -1190,7 +1190,8 @@
   Probability/Caratheodory.thy Probability/Complete_Measure.thy		\
   Probability/ex/Dining_Cryptographers.thy				\
   Probability/ex/Koepf_Duermuth_Countermeasure.thy			\
-  Probability/Finite_Product_Measure.thy Probability/Information.thy	\
+  Probability/Finite_Product_Measure.thy				\
+  Probability/Infinite_Product_Measure.thy Probability/Information.thy	\
   Probability/Lebesgue_Integration.thy Probability/Lebesgue_Measure.thy \
   Probability/Measure.thy Probability/Probability_Space.thy		\
   Probability/Probability.thy Probability/Radon_Nikodym.thy		\
diff -r 5b52c6a9c627 -r 61d5d50ca74c src/HOL/Probability/Infinite_Product_Measure.thy
--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/src/HOL/Probability/Infinite_Product_Measure.thy	Tue Mar 29 14:27:41 2011 +0200
@@ -0,0 +1,753 @@
+(*  Title:      HOL/Probability/Infinite_Product_Measure.thy
+    Author:     Johannes Hölzl, TU München
+*)
+
+header {*Infinite Product Measure*}
+
+theory Infinite_Product_Measure
+  imports Probability_Space
+begin
+
+lemma restrict_extensional_sub[intro]: "A \<subseteq> B \<Longrightarrow> restrict f A \<in> extensional B"
+  unfolding restrict_def extensional_def by auto
+
+lemma restrict_restrict[simp]: "restrict (restrict f A) B = restrict f (A \<inter> B)"
+  unfolding restrict_def by (simp add: fun_eq_iff)
+
+lemma split_merge: "P (merge I x J y i) \<longleftrightarrow> (i \<in> I \<longrightarrow> P (x i)) \<and> (i \<in> J - I \<longrightarrow> P (y i)) \<and> (i \<notin> I \<union> J \<longrightarrow> P undefined)"
+  unfolding merge_def by auto
+
+lemma extensional_merge_sub: "I \<union> J \<subseteq> K \<Longrightarrow> merge I x J y \<in> extensional K"
+  unfolding merge_def extensional_def by auto
+
+lemma injective_vimage_restrict:
+  assumes J: "J \<subseteq> I"
+  and sets: "A \<subseteq> (\<Pi>\<^isub>E i\<in>J. S i)" "B \<subseteq> (\<Pi>\<^isub>E i\<in>J. S i)" and ne: "(\<Pi>\<^isub>E i\<in>I. S i) \<noteq> {}"
+  and eq: "(\<lambda>x. restrict x J) -` A \<inter> (\<Pi>\<^isub>E i\<in>I. S i) = (\<lambda>x. restrict x J) -` B \<inter> (\<Pi>\<^isub>E i\<in>I. S i)"
+  shows "A = B"
+proof  (intro set_eqI)
+  fix x
+  from ne obtain y where y: "\<And>i. i \<in> I \<Longrightarrow> y i \<in> S i" by auto
+  have "J \<inter> (I - J) = {}" by auto
+  show "x \<in> A \<longleftrightarrow> x \<in> B"
+  proof cases
+    assume x: "x \<in> (\<Pi>\<^isub>E i\<in>J. S i)"
+    have "x \<in> A \<longleftrightarrow> merge J x (I - J) y \<in> (\<lambda>x. restrict x J) -` A \<inter> (\<Pi>\<^isub>E i\<in>I. S i)"
+      using y x `J \<subseteq> I` by (auto simp add: Pi_iff extensional_restrict extensional_merge_sub split: split_merge)
+    then show "x \<in> A \<longleftrightarrow> x \<in> B"
+      using y x `J \<subseteq> I` by (auto simp add: Pi_iff extensional_restrict extensional_merge_sub eq split: split_merge)
+  next
+    assume "x \<notin> (\<Pi>\<^isub>E i\<in>J. S i)" with sets show "x \<in> A \<longleftrightarrow> x \<in> B" by auto
+  qed
+qed
+
+locale product_prob_space =
+  fixes M :: "'i \<Rightarrow> ('a,'b) measure_space_scheme" and I :: "'i set"
+  assumes prob_spaces: "\<And>i. prob_space (M i)"
+  and I_not_empty: "I \<noteq> {}"
+
+locale finite_product_prob_space = product_prob_space M I
+  for M :: "'i \<Rightarrow> ('a,'b) measure_space_scheme" and I :: "'i set" +
+  assumes finite_index'[intro]: "finite I"
+
+sublocale product_prob_space \<subseteq> M: prob_space "M i" for i
+  by (rule prob_spaces)
+
+sublocale product_prob_space \<subseteq> product_sigma_finite
+  by default
+
+sublocale finite_product_prob_space \<subseteq> finite_product_sigma_finite
+  by default (fact finite_index')
+
+sublocale finite_product_prob_space \<subseteq> prob_space "Pi\<^isub>M I M"
+proof
+  show "measure P (space P) = 1"
+    by (simp add: measure_times measure_space_1 setprod_1)
+qed
+
+lemma (in product_prob_space) measure_preserving_restrict:
+  assumes "J \<noteq> {}" "J \<subseteq> K" "finite K"
+  shows "(\<lambda>f. restrict f J) \<in> measure_preserving (\<Pi>\<^isub>M i\<in>K. M i) (\<Pi>\<^isub>M i\<in>J. M i)" (is "?R \<in> _")
+proof -
+  interpret K: finite_product_prob_space M K
+    by default (insert assms, auto)
+  have J: "J \<noteq> {}" "finite J" using assms by (auto simp add: finite_subset)
+  interpret J: finite_product_prob_space M J
+    by default (insert J, auto)
+  from J.sigma_finite_pairs guess F .. note F = this
+  then have [simp,intro]: "\<And>k i. k \<in> J \<Longrightarrow> F k i \<in> sets (M k)"
+    by auto
+  let "?F i" = "\<Pi>\<^isub>E k\<in>J. F k i"
+  let ?J = "product_algebra_generator J M \<lparr> measure := measure (Pi\<^isub>M J M) \<rparr>"
+  have "?R \<in> measure_preserving (\<Pi>\<^isub>M i\<in>K. M i) (sigma ?J)"
+  proof (rule K.measure_preserving_Int_stable)
+    show "Int_stable ?J"
+      by (auto simp: Int_stable_def product_algebra_generator_def PiE_Int)
+    show "range ?F \<subseteq> sets ?J" "incseq ?F" "(\<Union>i. ?F i) = space ?J"
+      using F by auto
+    show "\<And>i. measure ?J (?F i) \<noteq> \<infinity>"
+      using F by (simp add: J.measure_times setprod_PInf)
+    have "measure_space (Pi\<^isub>M J M)" by default
+    then show "measure_space (sigma ?J)"
+      by (simp add: product_algebra_def sigma_def)
+    show "?R \<in> measure_preserving (Pi\<^isub>M K M) ?J"
+    proof (simp add: measure_preserving_def measurable_def product_algebra_generator_def del: vimage_Int,
+           safe intro!: restrict_extensional)
+      fix x k assume "k \<in> J" "x \<in> (\<Pi> i\<in>K. space (M i))"
+      then show "x k \<in> space (M k)" using `J \<subseteq> K` by auto
+    next
+      fix E assume "E \<in> (\<Pi> i\<in>J. sets (M i))"
+      then have E: "\<And>j. j \<in> J \<Longrightarrow> E j \<in> sets (M j)" by auto
+      then have *: "?R -` Pi\<^isub>E J E \<inter> (\<Pi>\<^isub>E i\<in>K. space (M i)) = (\<Pi>\<^isub>E i\<in>K. if i \<in> J then E i else space (M i))"
+        (is "?X = Pi\<^isub>E K ?M")
+        using `J \<subseteq> K` sets_into_space by (auto simp: Pi_iff split: split_if_asm) blast+
+      with E show "?X \<in> sets (Pi\<^isub>M K M)"
+        by (auto intro!: product_algebra_generatorI)
+      have "measure (Pi\<^isub>M J M) (Pi\<^isub>E J E) = (\<Prod>i\<in>J. measure (M i) (?M i))"
+        using E by (simp add: J.measure_times)
+      also have "\<dots> = measure (Pi\<^isub>M K M) ?X"
+        unfolding * using E `finite K` `J \<subseteq> K`
+        by (auto simp: K.measure_times M.measure_space_1
+                 cong del: setprod_cong
+                 intro!: setprod_mono_one_left)
+      finally show "measure (Pi\<^isub>M J M) (Pi\<^isub>E J E) = measure (Pi\<^isub>M K M) ?X" .
+    qed
+  qed
+  then show ?thesis
+    by (simp add: product_algebra_def sigma_def)
+qed
+
+lemma (in product_prob_space) measurable_restrict:
+  assumes *: "J \<noteq> {}" "J \<subseteq> K" "finite K"
+  shows "(\<lambda>f. restrict f J) \<in> measurable (\<Pi>\<^isub>M i\<in>K. M i) (\<Pi>\<^isub>M i\<in>J. M i)"
+  using measure_preserving_restrict[OF *]
+  by (rule measure_preservingD2)
+
+definition (in product_prob_space)
+  "emb J K X = (\<lambda>x. restrict x K) -` X \<inter> space (Pi\<^isub>M J M)"
+
+lemma (in product_prob_space) emb_trans[simp]:
+  "J \<subseteq> K \<Longrightarrow> K \<subseteq> L \<Longrightarrow> emb L K (emb K J X) = emb L J X"
+  by (auto simp add: Int_absorb1 emb_def)
+
+lemma (in product_prob_space) emb_empty[simp]:
+  "emb K J {} = {}"
+  by (simp add: emb_def)
+
+lemma (in product_prob_space) emb_Pi:
+  assumes "X \<in> (\<Pi> j\<in>J. sets (M j))" "J \<subseteq> K"
+  shows "emb K J (Pi\<^isub>E J X) = (\<Pi>\<^isub>E i\<in>K. if i \<in> J then X i else space (M i))"
+  using assms space_closed
+  by (auto simp: emb_def Pi_iff split: split_if_asm) blast+
+
+lemma (in product_prob_space) emb_injective:
+  assumes "J \<noteq> {}" "J \<subseteq> L" "finite J" and sets: "X \<in> sets (Pi\<^isub>M J M)" "Y \<in> sets (Pi\<^isub>M J M)"
+  assumes "emb L J X = emb L J Y"
+  shows "X = Y"
+proof -
+  interpret J: finite_product_sigma_finite M J by default fact
+  show "X = Y"
+  proof (rule injective_vimage_restrict)
+    show "X \<subseteq> (\<Pi>\<^isub>E i\<in>J. space (M i))" "Y \<subseteq> (\<Pi>\<^isub>E i\<in>J. space (M i))"
+      using J.sets_into_space sets by auto
+    have "\<forall>i\<in>L. \<exists>x. x \<in> space (M i)"
+      using M.not_empty by auto
+    from bchoice[OF this]
+    show "(\<Pi>\<^isub>E i\<in>L. space (M i)) \<noteq> {}" by auto
+    show "(\<lambda>x. restrict x J) -` X \<inter> (\<Pi>\<^isub>E i\<in>L. space (M i)) = (\<lambda>x. restrict x J) -` Y \<inter> (\<Pi>\<^isub>E i\<in>L. space (M i))"
+      using `emb L J X = emb L J Y` by (simp add: emb_def)
+  qed fact
+qed
+
+lemma (in product_prob_space) emb_id:
+  "B \<subseteq> (\<Pi>\<^isub>E i\<in>L. space (M i)) \<Longrightarrow> emb L L B = B"
+  by (auto simp: emb_def Pi_iff subset_eq extensional_restrict)
+
+lemma (in product_prob_space) emb_simps:
+  shows "emb L K (A \<union> B) = emb L K A \<union> emb L K B"
+    and "emb L K (A \<inter> B) = emb L K A \<inter> emb L K B"
+    and "emb L K (A - B) = emb L K A - emb L K B"
+  by (auto simp: emb_def)
+
+lemma (in product_prob_space) measurable_emb[intro,simp]:
+  assumes *: "J \<noteq> {}" "J \<subseteq> L" "finite L" "X \<in> sets (Pi\<^isub>M J M)"
+  shows "emb L J X \<in> sets (Pi\<^isub>M L M)"
+  using measurable_restrict[THEN measurable_sets, OF *] by (simp add: emb_def)
+
+lemma (in product_prob_space) measure_emb[intro,simp]:
+  assumes *: "J \<noteq> {}" "J \<subseteq> L" "finite L" "X \<in> sets (Pi\<^isub>M J M)"
+  shows "measure (Pi\<^isub>M L M) (emb L J X) = measure (Pi\<^isub>M J M) X"
+  using measure_preserving_restrict[THEN measure_preservingD, OF *]
+  by (simp add: emb_def)
+
+definition (in product_prob_space) generator :: "('i \<Rightarrow> 'a) measure_space" where
+  "generator = \<lparr>
+    space = (\<Pi>\<^isub>E i\<in>I. space (M i)),
+    sets = (\<Union>J\<in>{J. J \<noteq> {} \<and> finite J \<and> J \<subseteq> I}. emb I J ` sets (Pi\<^isub>M J M)),
+    measure = undefined
+  \<rparr>"
+
+lemma (in product_prob_space) generatorI:
+  "J \<noteq> {} \<Longrightarrow> finite J \<Longrightarrow> J \<subseteq> I \<Longrightarrow> X \<in> sets (Pi\<^isub>M J M) \<Longrightarrow> A = emb I J X \<Longrightarrow> A \<in> sets generator"
+  unfolding generator_def by auto
+
+lemma (in product_prob_space) generatorI':
+  "J \<noteq> {} \<Longrightarrow> finite J \<Longrightarrow> J \<subseteq> I \<Longrightarrow> X \<in> sets (Pi\<^isub>M J M) \<Longrightarrow> emb I J X \<in> sets generator"
+  unfolding generator_def by auto
+
+lemma (in product_sigma_finite)
+  assumes "I \<inter> J = {}" "finite I" "finite J" and A: "A \<in> sets (Pi\<^isub>M (I \<union> J) M)"
+  shows measure_fold_integral:
+    "measure (Pi\<^isub>M (I \<union> J) M) A = (\<integral>\<^isup>+x. measure (Pi\<^isub>M J M) (merge I x J -` A \<inter> space (Pi\<^isub>M J M)) \<partial>Pi\<^isub>M I M)" (is ?I)
+    and measure_fold_measurable:
+    "(\<lambda>x. measure (Pi\<^isub>M J M) (merge I x J -` A \<inter> space (Pi\<^isub>M J M))) \<in> borel_measurable (Pi\<^isub>M I M)" (is ?B)
+proof -
+  interpret I: finite_product_sigma_finite M I by default fact
+  interpret J: finite_product_sigma_finite M J by default fact
+  interpret IJ: pair_sigma_finite I.P J.P ..
+  show ?I
+    unfolding measure_fold[OF assms]
+    apply (subst IJ.pair_measure_alt)
+    apply (intro measurable_sets[OF _ A] measurable_merge assms)
+    apply (auto simp: vimage_compose[symmetric] comp_def space_pair_measure
+      intro!: I.positive_integral_cong)
+    done
+
+  have "(\<lambda>(x, y). merge I x J y) -` A \<inter> space (I.P \<Otimes>\<^isub>M J.P) \<in> sets (I.P \<Otimes>\<^isub>M J.P)"
+    by (intro measurable_sets[OF _ A] measurable_merge assms)
+  from IJ.measure_cut_measurable_fst[OF this]
+  show ?B
+    apply (auto simp: vimage_compose[symmetric] comp_def space_pair_measure)
+    apply (subst (asm) measurable_cong)
+    apply auto
+    done
+qed
+
+lemma (in prob_space) measure_le_1: "X \<in> sets M \<Longrightarrow> \<mu> X \<le> 1"
+  unfolding measure_space_1[symmetric]
+  using sets_into_space
+  by (intro measure_mono) auto
+
+definition (in product_prob_space)
+  "\<mu>G A =
+    (THE x. \<forall>J. J \<noteq> {} \<longrightarrow> finite J \<longrightarrow> J \<subseteq> I \<longrightarrow> (\<forall>X\<in>sets (Pi\<^isub>M J M). A = emb I J X \<longrightarrow> x = measure (Pi\<^isub>M J M) X))"
+
+lemma (in product_prob_space) \<mu>G_spec:
+  assumes J: "J \<noteq> {}" "finite J" "J \<subseteq> I" "A = emb I J X" "X \<in> sets (Pi\<^isub>M J M)"
+  shows "\<mu>G A = measure (Pi\<^isub>M J M) X"
+  unfolding \<mu>G_def
+proof (intro the_equality allI impI ballI)
+  fix K Y assume K: "K \<noteq> {}" "finite K" "K \<subseteq> I" "A = emb I K Y" "Y \<in> sets (Pi\<^isub>M K M)"
+  have "measure (Pi\<^isub>M K M) Y = measure (Pi\<^isub>M (K \<union> J) M) (emb (K \<union> J) K Y)"
+    using K J by simp
+  also have "emb (K \<union> J) K Y = emb (K \<union> J) J X"
+    using K J by (simp add: emb_injective[of "K \<union> J" I])
+  also have "measure (Pi\<^isub>M (K \<union> J) M) (emb (K \<union> J) J X) = measure (Pi\<^isub>M J M) X"
+    using K J by simp
+  finally show "measure (Pi\<^isub>M J M) X = measure (Pi\<^isub>M K M) Y" ..
+qed (insert J, force)
+
+lemma (in product_prob_space) \<mu>G_eq:
+  "J \<noteq> {} \<Longrightarrow> finite J \<Longrightarrow> J \<subseteq> I \<Longrightarrow> X \<in> sets (Pi\<^isub>M J M) \<Longrightarrow> \<mu>G (emb I J X) = measure (Pi\<^isub>M J M) X"
+  by (intro \<mu>G_spec) auto
+
+lemma (in product_prob_space) generator_Ex:
+  assumes *: "A \<in> sets generator"
+  shows "\<exists>J X. J \<noteq> {} \<and> finite J \<and> J \<subseteq> I \<and> X \<in> sets (Pi\<^isub>M J M) \<and> A = emb I J X \<and> \<mu>G A = measure (Pi\<^isub>M J M) X"
+proof -
+  from * obtain J X where J: "J \<noteq> {}" "finite J" "J \<subseteq> I" "A = emb I J X" "X \<in> sets (Pi\<^isub>M J M)"
+    unfolding generator_def by auto
+  with \<mu>G_spec[OF this] show ?thesis by auto
+qed
+
+lemma (in product_prob_space) generatorE:
+  assumes A: "A \<in> sets generator"
+  obtains J X where "J \<noteq> {}" "finite J" "J \<subseteq> I" "X \<in> sets (Pi\<^isub>M J M)" "emb I J X = A" "\<mu>G A = measure (Pi\<^isub>M J M) X"
+proof -
+  from generator_Ex[OF A] obtain X J where "J \<noteq> {}" "finite J" "J \<subseteq> I" "X \<in> sets (Pi\<^isub>M J M)" "emb I J X = A"
+    "\<mu>G A = measure (Pi\<^isub>M J M) X" by auto
+  then show thesis by (intro that) auto
+qed
+
+lemma (in product_prob_space) merge_sets:
+  assumes "finite J" "finite K" "J \<inter> K = {}" and A: "A \<in> sets (Pi\<^isub>M (J \<union> K) M)" and x: "x \<in> space (Pi\<^isub>M J M)"
+  shows "merge J x K -` A \<inter> space (Pi\<^isub>M K M) \<in> sets (Pi\<^isub>M K M)"
+proof -
+  interpret J: finite_product_sigma_algebra M J by default fact
+  interpret K: finite_product_sigma_algebra M K by default fact
+  interpret JK: pair_sigma_algebra J.P K.P ..
+
+  from JK.measurable_cut_fst[OF
+    measurable_merge[THEN measurable_sets, OF `J \<inter> K = {}`], OF A, of x] x
+  show ?thesis
+      by (simp add: space_pair_measure comp_def vimage_compose[symmetric])
+qed
+
+lemma (in product_prob_space) merge_emb:
+  assumes "K \<subseteq> I" "J \<subseteq> I" and y: "y \<in> space (Pi\<^isub>M J M)"
+  shows "(merge J y (I - J) -` emb I K X \<inter> space (Pi\<^isub>M I M)) =
+    emb I (K - J) (merge J y (K - J) -` emb (J \<union> K) K X \<inter> space (Pi\<^isub>M (K - J) M))"
+proof -
+  have [simp]: "\<And>x J K L. merge J y K (restrict x L) = merge J y (K \<inter> L) x"
+    by (auto simp: restrict_def merge_def)
+  have [simp]: "\<And>x J K L. restrict (merge J y K x) L = merge (J \<inter> L) y (K \<inter> L) x"
+    by (auto simp: restrict_def merge_def)
+  have [simp]: "(I - J) \<inter> K = K - J" using `K \<subseteq> I` `J \<subseteq> I` by auto
+  have [simp]: "(K - J) \<inter> (K \<union> J) = K - J" by auto
+  have [simp]: "(K - J) \<inter> K = K - J" by auto
+  from y `K \<subseteq> I` `J \<subseteq> I` show ?thesis
+    by (simp split: split_merge add: emb_def Pi_iff extensional_merge_sub set_eq_iff) auto
+qed
+
+definition (in product_prob_space) infprod_algebra :: "('i \<Rightarrow> 'a) measure_space" where
+  "infprod_algebra = sigma generator \<lparr> measure :=
+    (SOME \<mu>. (\<forall>s\<in>sets generator. \<mu> s = \<mu>G s) \<and>
+       measure_space \<lparr>space = space generator, sets = sets (sigma generator), measure = \<mu>\<rparr>)\<rparr>"
+
+syntax
+  "_PiP"  :: "[pttrn, 'i set, ('b, 'd) measure_space_scheme] => ('i => 'b, 'd) measure_space_scheme"  ("(3PIP _:_./ _)" 10)
+
+syntax (xsymbols)
+  "_PiP" :: "[pttrn, 'i set, ('b, 'd) measure_space_scheme] => ('i => 'b, 'd) measure_space_scheme"  ("(3\<Pi>\<^isub>P _\<in>_./ _)"   10)
+
+syntax (HTML output)
+  "_PiP" :: "[pttrn, 'i set, ('b, 'd) measure_space_scheme] => ('i => 'b, 'd) measure_space_scheme"  ("(3\<Pi>\<^isub>P _\<in>_./ _)"   10)
+
+abbreviation
+  "Pi\<^isub>P I M \<equiv> product_prob_space.infprod_algebra M I"
+
+translations
+  "PIP x:I. M" == "CONST Pi\<^isub>P I (%x. M)"
+
+sublocale product_prob_space \<subseteq> G: algebra generator
+proof
+  let ?G = generator
+  show "sets ?G \<subseteq> Pow (space ?G)"
+    by (auto simp: generator_def emb_def)
+  from I_not_empty
+  obtain i where "i \<in> I" by auto
+  then show "{} \<in> sets ?G"
+    by (auto intro!: exI[of _ "{i}"] image_eqI[where x="\<lambda>i. {}"]
+      simp: product_algebra_def sigma_def sigma_sets.Empty generator_def emb_def)
+  from `i \<in> I` show "space ?G \<in> sets ?G"
+    by (auto intro!: exI[of _ "{i}"] image_eqI[where x="Pi\<^isub>E {i} (\<lambda>i. space (M i))"]
+      simp: generator_def emb_def)
+  fix A assume "A \<in> sets ?G"
+  then obtain JA XA where XA: "JA \<noteq> {}" "finite JA" "JA \<subseteq> I" "XA \<in> sets (Pi\<^isub>M JA M)" and A: "A = emb I JA XA"
+    by (auto simp: generator_def)
+  fix B assume "B \<in> sets ?G"
+  then obtain JB XB where XB: "JB \<noteq> {}" "finite JB" "JB \<subseteq> I" "XB \<in> sets (Pi\<^isub>M JB M)" and B: "B = emb I JB XB"
+    by (auto simp: generator_def)
+  let ?RA = "emb (JA \<union> JB) JA XA"
+  let ?RB = "emb (JA \<union> JB) JB XB"
+  interpret JAB: finite_product_sigma_algebra M "JA \<union> JB"
+    by default (insert XA XB, auto)
+  have *: "A - B = emb I (JA \<union> JB) (?RA - ?RB)" "A \<union> B = emb I (JA \<union> JB) (?RA \<union> ?RB)"
+    using XA A XB B by (auto simp: emb_simps)
+  then show "A - B \<in> sets ?G" "A \<union> B \<in> sets ?G"
+    using XA XB by (auto intro!: generatorI')
+qed
+
+lemma (in product_prob_space) positive_\<mu>G: "positive generator \<mu>G"
+proof (intro positive_def[THEN iffD2] conjI ballI)
+  from generatorE[OF G.empty_sets] guess J X . note this[simp]
+  interpret J: finite_product_sigma_finite M J by default fact
+  have "X = {}"
+    by (rule emb_injective[of J I]) simp_all
+  then show "\<mu>G {} = 0" by simp
+next
+  fix A assume "A \<in> sets generator"
+  from generatorE[OF this] guess J X . note this[simp]
+  interpret J: finite_product_sigma_finite M J by default fact
+  show "0 \<le> \<mu>G A" by simp
+qed
+
+lemma (in product_prob_space) additive_\<mu>G: "additive generator \<mu>G"
+proof (intro additive_def[THEN iffD2] ballI impI)
+  fix A assume "A \<in> sets generator" with generatorE guess J X . note J = this
+  fix B assume "B \<in> sets generator" with generatorE guess K Y . note K = this
+  assume "A \<inter> B = {}"
+  have JK: "J \<union> K \<noteq> {}" "J \<union> K \<subseteq> I" "finite (J \<union> K)"
+    using J K by auto
+  interpret JK: finite_product_sigma_finite M "J \<union> K" by default fact
+  have JK_disj: "emb (J \<union> K) J X \<inter> emb (J \<union> K) K Y = {}"
+    apply (rule emb_injective[of "J \<union> K" I])
+    apply (insert `A \<inter> B = {}` JK J K)
+    apply (simp_all add: JK.Int emb_simps)
+    done
+  have AB: "A = emb I (J \<union> K) (emb (J \<union> K) J X)" "B = emb I (J \<union> K) (emb (J \<union> K) K Y)"
+    using J K by simp_all
+  then have "\<mu>G (A \<union> B) = \<mu>G (emb I (J \<union> K) (emb (J \<union> K) J X \<union> emb (J \<union> K) K Y))"
+    by (simp add: emb_simps)
+  also have "\<dots> = measure (Pi\<^isub>M (J \<union> K) M) (emb (J \<union> K) J X \<union> emb (J \<union> K) K Y)"
+    using JK J(1, 4) K(1, 4) by (simp add: \<mu>G_eq JK.Un)
+  also have "\<dots> = \<mu>G A + \<mu>G B"
+    using J K JK_disj by (simp add: JK.measure_additive[symmetric])
+  finally show "\<mu>G (A \<union> B) = \<mu>G A + \<mu>G B" .
+qed
+
+lemma (in product_prob_space) finite_index_eq_finite_product:
+  assumes "finite I"
+  shows "sets (sigma generator) = sets (Pi\<^isub>M I M)"
+proof safe
+  interpret I: finite_product_sigma_algebra M I by default fact
+  have [simp]: "space generator = space (Pi\<^isub>M I M)"
+    by (simp add: generator_def product_algebra_def)
+  { fix A assume "A \<in> sets (sigma generator)"
+    then show "A \<in> sets I.P" unfolding sets_sigma
+    proof induct
+      case (Basic A)
+      from generatorE[OF this] guess J X . note J = this
+      with `finite I` have "emb I J X \<in> sets I.P" by auto
+      with `emb I J X = A` show "A \<in> sets I.P" by simp
+    qed auto }
+  { fix A assume "A \<in> sets I.P"
+    moreover with I.sets_into_space have "emb I I A = A" by (intro emb_id) auto
+    ultimately show "A \<in> sets (sigma generator)"
+      using `finite I` I_not_empty unfolding sets_sigma
+      by (intro sigma_sets.Basic generatorI[of I A]) auto }
+qed
+
+lemma (in product_prob_space) extend_\<mu>G:
+  "\<exists>\<mu>. (\<forall>s\<in>sets generator. \<mu> s = \<mu>G s) \<and>
+       measure_space \<lparr>space = space generator, sets = sets (sigma generator), measure = \<mu>\<rparr>"
+proof cases
+  assume "finite I"
+  interpret I: finite_product_sigma_finite M I by default fact
+  show ?thesis
+  proof (intro exI[of _ "measure (Pi\<^isub>M I M)"] ballI conjI)
+    fix A assume "A \<in> sets generator"
+    from generatorE[OF this] guess J X . note J = this
+    from J(1-4) `finite I` show "measure I.P A = \<mu>G A"
+      unfolding J(6)
+      by (subst J(5)[symmetric]) (simp add: measure_emb)
+  next
+    have [simp]: "space generator = space (Pi\<^isub>M I M)"
+      by (simp add: generator_def product_algebra_def)
+    have "\<lparr>space = space generator, sets = sets (sigma generator), measure = measure I.P\<rparr>
+      = I.P" (is "?P = _")
+      by (auto intro!: measure_space.equality simp: finite_index_eq_finite_product[OF `finite I`])
+    then show "measure_space ?P" by simp default
+  qed
+next
+  let ?G = generator
+  assume "\<not> finite I"
+  note \<mu>G_mono =
+    G.additive_increasing[OF positive_\<mu>G additive_\<mu>G, THEN increasingD]
+
+  { fix Z J assume J: "J \<noteq> {}" "finite J" "J \<subseteq> I" and Z: "Z \<in> sets ?G"
+
+    from `infinite I` `finite J` obtain k where k: "k \<in> I" "k \<notin> J"
+      by (metis rev_finite_subset subsetI)
+    moreover from Z guess K' X' by (rule generatorE)
+    moreover def K \<equiv> "insert k K'"
+    moreover def X \<equiv> "emb K K' X'"
+    ultimately have K: "K \<noteq> {}" "finite K" "K \<subseteq> I" "X \<in> sets (Pi\<^isub>M K M)" "Z = emb I K X"
+      "K - J \<noteq> {}" "K - J \<subseteq> I" "\<mu>G Z = measure (Pi\<^isub>M K M) X"
+      by (auto simp: subset_insertI)
+
+    let "?M y" = "merge J y (K - J) -` emb (J \<union> K) K X \<inter> space (Pi\<^isub>M (K - J) M)"
+    { fix y assume y: "y \<in> space (Pi\<^isub>M J M)"
+      note * = merge_emb[OF `K \<subseteq> I` `J \<subseteq> I` y, of X]
+      moreover
+      have **: "?M y \<in> sets (Pi\<^isub>M (K - J) M)"
+        using J K y by (intro merge_sets) auto
+      ultimately
+      have ***: "(merge J y (I - J) -` Z \<inter> space (Pi\<^isub>M I M)) \<in> sets ?G"
+        using J K by (intro generatorI) auto
+      have "\<mu>G (merge J y (I - J) -` emb I K X \<inter> space (Pi\<^isub>M I M)) = measure (Pi\<^isub>M (K - J) M) (?M y)"
+        unfolding * using K J by (subst \<mu>G_eq[OF _ _ _ **]) auto
+      note * ** *** this }
+    note merge_in_G = this
+
+    have "finite (K - J)" using K by auto
+
+    interpret J: finite_product_prob_space M J by default fact+
+    interpret KmJ: finite_product_prob_space M "K - J" by default fact+
+
+    have "\<mu>G Z = measure (Pi\<^isub>M (J \<union> (K - J)) M) (emb (J \<union> (K - J)) K X)"
+      using K J by simp
+    also have "\<dots> = (\<integral>\<^isup>+ x. measure (Pi\<^isub>M (K - J) M) (?M x) \<partial>Pi\<^isub>M J M)"
+      using K J by (subst measure_fold_integral) auto
+    also have "\<dots> = (\<integral>\<^isup>+ y. \<mu>G (merge J y (I - J) -` Z \<inter> space (Pi\<^isub>M I M)) \<partial>Pi\<^isub>M J M)"
+      (is "_ = (\<integral>\<^isup>+x. \<mu>G (?MZ x) \<partial>Pi\<^isub>M J M)")
+    proof (intro J.positive_integral_cong)
+      fix x assume x: "x \<in> space (Pi\<^isub>M J M)"
+      with K merge_in_G(2)[OF this]
+      show "measure (Pi\<^isub>M (K - J) M) (?M x) = \<mu>G (?MZ x)"
+        unfolding `Z = emb I K X` merge_in_G(1)[OF x] by (subst \<mu>G_eq) auto
+    qed
+    finally have fold: "\<mu>G Z = (\<integral>\<^isup>+x. \<mu>G (?MZ x) \<partial>Pi\<^isub>M J M)" .
+
+    { fix x assume x: "x \<in> space (Pi\<^isub>M J M)"
+      then have "\<mu>G (?MZ x) \<le> 1"
+        unfolding merge_in_G(4)[OF x] `Z = emb I K X`
+        by (intro KmJ.measure_le_1 merge_in_G(2)[OF x]) }
+    note le_1 = this
+
+    let "?q y" = "\<mu>G (merge J y (I - J) -` Z \<inter> space (Pi\<^isub>M I M))"
+    have "?q \<in> borel_measurable (Pi\<^isub>M J M)"
+      unfolding `Z = emb I K X` using J K merge_in_G(3)
+      by (simp add: merge_in_G  \<mu>G_eq measure_fold_measurable
+               del: space_product_algebra cong: measurable_cong)
+    note this fold le_1 merge_in_G(3) }
+  note fold = this
+
+  show ?thesis
+  proof (rule G.caratheodory_empty_continuous[OF positive_\<mu>G additive_\<mu>G])
+    fix A assume "A \<in> sets ?G"
+    with generatorE guess J X . note JX = this
+    interpret JK: finite_product_prob_space M J by default fact+
+    with JX show "\<mu>G A \<noteq> \<infinity>" by simp
+  next
+    fix A assume A: "range A \<subseteq> sets ?G" "decseq A" "(\<Inter>i. A i) = {}"
+    then have "decseq (\<lambda>i. \<mu>G (A i))"
+      by (auto intro!: \<mu>G_mono simp: decseq_def)
+    moreover
+    have "(INF i. \<mu>G (A i)) = 0"
+    proof (rule ccontr)
+      assume "(INF i. \<mu>G (A i)) \<noteq> 0" (is "?a \<noteq> 0")
+      moreover have "0 \<le> ?a"
+        using A positive_\<mu>G by (auto intro!: le_INFI simp: positive_def)
+      ultimately have "0 < ?a" by auto
+
+      have "\<forall>n. \<exists>J X. J \<noteq> {} \<and> finite J \<and> J \<subseteq> I \<and> X \<in> sets (Pi\<^isub>M J M) \<and> A n = emb I J X \<and> \<mu>G (A n) = measure (Pi\<^isub>M J M) X"
+        using A by (intro allI generator_Ex) auto
+      then obtain J' X' where J': "\<And>n. J' n \<noteq> {}" "\<And>n. finite (J' n)" "\<And>n. J' n \<subseteq> I" "\<And>n. X' n \<in> sets (Pi\<^isub>M (J' n) M)"
+        and A': "\<And>n. A n = emb I (J' n) (X' n)"
+        unfolding choice_iff by blast
+      moreover def J \<equiv> "\<lambda>n. (\<Union>i\<le>n. J' i)"
+      moreover def X \<equiv> "\<lambda>n. emb (J n) (J' n) (X' n)"
+      ultimately have J: "\<And>n. J n \<noteq> {}" "\<And>n. finite (J n)" "\<And>n. J n \<subseteq> I" "\<And>n. X n \<in> sets (Pi\<^isub>M (J n) M)"
+        by auto
+      with A' have A_eq: "\<And>n. A n = emb I (J n) (X n)" "\<And>n. A n \<in> sets ?G"
+        unfolding J_def X_def by (subst emb_trans) (insert A, auto)
+
+      have J_mono: "\<And>n m. n \<le> m \<Longrightarrow> J n \<subseteq> J m"
+        unfolding J_def by force
+
+      interpret J: finite_product_prob_space M "J i" for i by default fact+
+
+      have a_le_1: "?a \<le> 1"
+        using \<mu>G_spec[of "J 0" "A 0" "X 0"] J A_eq
+        by (auto intro!: INF_leI2[of 0] J.measure_le_1)
+
+      let "?M K Z y" = "merge K y (I - K) -` Z \<inter> space (Pi\<^isub>M I M)"
+
+      { fix Z k assume Z: "range Z \<subseteq> sets ?G" "decseq Z" "\<forall>n. ?a / 2^k \<le> \<mu>G (Z n)"
+        then have Z_sets: "\<And>n. Z n \<in> sets ?G" by auto
+        fix J' assume J': "J' \<noteq> {}" "finite J'" "J' \<subseteq> I"
+        interpret J': finite_product_prob_space M J' by default fact+
+
+        let "?q n y" = "\<mu>G (?M J' (Z n) y)"
+        let "?Q n" = "?q n -` {?a / 2^(k+1) ..} \<inter> space (Pi\<^isub>M J' M)"
+        { fix n
+          have "?q n \<in> borel_measurable (Pi\<^isub>M J' M)"
+            using Z J' by (intro fold(1)) auto
+          then have "?Q n \<in> sets (Pi\<^isub>M J' M)"
+            by (rule measurable_sets) auto }
+        note Q_sets = this
+
+        have "?a / 2^(k+1) \<le> (INF n. measure (Pi\<^isub>M J' M) (?Q n))"
+        proof (intro le_INFI)
+          fix n
+          have "?a / 2^k \<le> \<mu>G (Z n)" using Z by auto
+          also have "\<dots> \<le> (\<integral>\<^isup>+ x. indicator (?Q n) x + ?a / 2^(k+1) \<partial>Pi\<^isub>M J' M)"
+            unfolding fold(2)[OF J' `Z n \<in> sets ?G`]
+          proof (intro J'.positive_integral_mono)
+            fix x assume x: "x \<in> space (Pi\<^isub>M J' M)"
+            then have "?q n x \<le> 1 + 0"
+              using J' Z fold(3) Z_sets by auto
+            also have "\<dots> \<le> 1 + ?a / 2^(k+1)"
+              using `0 < ?a` by (intro add_mono) auto
+            finally have "?q n x \<le> 1 + ?a / 2^(k+1)" .
+            with x show "?q n x \<le> indicator (?Q n) x + ?a / 2^(k+1)"
+              by (auto split: split_indicator simp del: power_Suc)
+          qed
+          also have "\<dots> = measure (Pi\<^isub>M J' M) (?Q n) + ?a / 2^(k+1)"
+            using `0 \<le> ?a` Q_sets J'.measure_space_1
+            by (subst J'.positive_integral_add) auto
+          finally show "?a / 2^(k+1) \<le> measure (Pi\<^isub>M J' M) (?Q n)" using `?a \<le> 1`
+            by (cases rule: extreal2_cases[of ?a "measure (Pi\<^isub>M J' M) (?Q n)"])
+               (auto simp: field_simps)
+        qed
+        also have "\<dots> = measure (Pi\<^isub>M J' M) (\<Inter>n. ?Q n)"
+        proof (intro J'.continuity_from_above)
+          show "range ?Q \<subseteq> sets (Pi\<^isub>M J' M)" using Q_sets by auto
+          show "decseq ?Q"
+            unfolding decseq_def
+          proof (safe intro!: vimageI[OF refl])
+            fix m n :: nat assume "m \<le> n"
+            fix x assume x: "x \<in> space (Pi\<^isub>M J' M)"
+            assume "?a / 2^(k+1) \<le> ?q n x"
+            also have "?q n x \<le> ?q m x"
+            proof (rule \<mu>G_mono)
+              from fold(4)[OF J', OF Z_sets x]
+              show "?M J' (Z n) x \<in> sets ?G" "?M J' (Z m) x \<in> sets ?G" by auto
+              show "?M J' (Z n) x \<subseteq> ?M J' (Z m) x"
+                using `decseq Z`[THEN decseqD, OF `m \<le> n`] by auto
+            qed
+            finally show "?a / 2^(k+1) \<le> ?q m x" .
+          qed
+        qed (intro J'.finite_measure Q_sets)
+        finally have "(\<Inter>n. ?Q n) \<noteq> {}"
+          using `0 < ?a` `?a \<le> 1` by (cases ?a) (auto simp: divide_le_0_iff power_le_zero_eq)
+        then have "\<exists>w\<in>space (Pi\<^isub>M J' M). \<forall>n. ?a / 2 ^ (k + 1) \<le> ?q n w" by auto }
+      note Ex_w = this
+
+      let "?q k n y" = "\<mu>G (?M (J k) (A n) y)"
+
+      have "\<forall>n. ?a / 2 ^ 0 \<le> \<mu>G (A n)" by (auto intro: INF_leI)
+      from Ex_w[OF A(1,2) this J(1-3), of 0] guess w0 .. note w0 = this
+
+      let "?P k wk w" =
+        "w \<in> space (Pi\<^isub>M (J (Suc k)) M) \<and> restrict w (J k) = wk \<and> (\<forall>n. ?a / 2 ^ (Suc k + 1) \<le> ?q (Suc k) n w)"
+      def w \<equiv> "nat_rec w0 (\<lambda>k wk. Eps (?P k wk))"
+
+      { fix k have w: "w k \<in> space (Pi\<^isub>M (J k) M) \<and>
+          (\<forall>n. ?a / 2 ^ (k + 1) \<le> ?q k n (w k)) \<and> (k \<noteq> 0 \<longrightarrow> restrict (w k) (J (k - 1)) = w (k - 1))"
+        proof (induct k)
+          case 0 with w0 show ?case
+            unfolding w_def nat_rec_0 by auto
+        next
+          case (Suc k)
+          then have wk: "w k \<in> space (Pi\<^isub>M (J k) M)" by auto
+          have "\<exists>w'. ?P k (w k) w'"
+          proof cases
+            assume [simp]: "J k = J (Suc k)"
+            show ?thesis
+            proof (intro exI[of _ "w k"] conjI allI)
+              fix n
+              have "?a / 2 ^ (Suc k + 1) \<le> ?a / 2 ^ (k + 1)"
+                using `0 < ?a` `?a \<le> 1` by (cases ?a) (auto simp: field_simps)
+              also have "\<dots> \<le> ?q k n (w k)" using Suc by auto
+              finally show "?a / 2 ^ (Suc k + 1) \<le> ?q (Suc k) n (w k)" by simp
+            next
+              show "w k \<in> space (Pi\<^isub>M (J (Suc k)) M)"
+                using Suc by simp
+              then show "restrict (w k) (J k) = w k"
+                by (simp add: extensional_restrict)
+            qed
+          next
+            assume "J k \<noteq> J (Suc k)"
+            with J_mono[of k "Suc k"] have "J (Suc k) - J k \<noteq> {}" (is "?D \<noteq> {}") by auto
+            have "range (\<lambda>n. ?M (J k) (A n) (w k)) \<subseteq> sets ?G"
+              "decseq (\<lambda>n. ?M (J k) (A n) (w k))"
+              "\<forall>n. ?a / 2 ^ (k + 1) \<le> \<mu>G (?M (J k) (A n) (w k))"
+              using `decseq A` fold(4)[OF J(1-3) A_eq(2), of "w k" k] Suc
+              by (auto simp: decseq_def)
+            from Ex_w[OF this `?D \<noteq> {}`] J[of "Suc k"]
+            obtain w' where w': "w' \<in> space (Pi\<^isub>M ?D M)"
+              "\<forall>n. ?a / 2 ^ (Suc k + 1) \<le> \<mu>G (?M ?D (?M (J k) (A n) (w k)) w')" by auto
+            let ?w = "merge (J k) (w k) ?D w'"
+            have [simp]: "\<And>x. merge (J k) (w k) (I - J k) (merge ?D w' (I - ?D) x) =
+              merge (J (Suc k)) ?w (I - (J (Suc k))) x"
+              using J(3)[of "Suc k"] J(3)[of k] J_mono[of k "Suc k"]
+              by (auto intro!: ext split: split_merge)
+            have *: "\<And>n. ?M ?D (?M (J k) (A n) (w k)) w' = ?M (J (Suc k)) (A n) ?w"
+              using w'(1) J(3)[of "Suc k"]
+              by (auto split: split_merge intro!: extensional_merge_sub) force+
+            show ?thesis
+              apply (rule exI[of _ ?w])
+              using w' J_mono[of k "Suc k"] wk unfolding *
+              apply (auto split: split_merge intro!: extensional_merge_sub ext)
+              apply (force simp: extensional_def)
+              done
+          qed
+          then have "?P k (w k) (w (Suc k))"
+            unfolding w_def nat_rec_Suc unfolding w_def[symmetric]
+            by (rule someI_ex)
+          then show ?case by auto
+        qed
+        moreover
+        then have "w k \<in> space (Pi\<^isub>M (J k) M)" by auto
+        moreover
+        from w have "?a / 2 ^ (k + 1) \<le> ?q k k (w k)" by auto
+        then have "?M (J k) (A k) (w k) \<noteq> {}"
+          using positive_\<mu>G[unfolded positive_def] `0 < ?a` `?a \<le> 1`
+          by (cases ?a) (auto simp: divide_le_0_iff power_le_zero_eq)
+        then obtain x where "x \<in> ?M (J k) (A k) (w k)" by auto
+        then have "merge (J k) (w k) (I - J k) x \<in> A k" by auto
+        then have "\<exists>x\<in>A k. restrict x (J k) = w k"
+          using `w k \<in> space (Pi\<^isub>M (J k) M)`
+          by (intro rev_bexI) (auto intro!: ext simp: extensional_def)
+        ultimately have "w k \<in> space (Pi\<^isub>M (J k) M)"
+          "\<exists>x\<in>A k. restrict x (J k) = w k"
+          "k \<noteq> 0 \<Longrightarrow> restrict (w k) (J (k - 1)) = w (k - 1)"
+          by auto }
+      note w = this
+
+      { fix k l i assume "k \<le> l" "i \<in> J k"
+        { fix l have "w k i = w (k + l) i"
+          proof (induct l)
+            case (Suc l)
+            from `i \<in> J k` J_mono[of k "k + l"] have "i \<in> J (k + l)" by auto
+            with w(3)[of "k + Suc l"]
+            have "w (k + l) i = w (k + Suc l) i"
+              by (auto simp: restrict_def fun_eq_iff split: split_if_asm)
+            with Suc show ?case by simp
+          qed simp }
+        from this[of "l - k"] `k \<le> l` have "w l i = w k i" by simp }
+      note w_mono = this
+
+      def w' \<equiv> "\<lambda>i. if i \<in> (\<Union>k. J k) then w (LEAST k. i \<in> J k) i else if i \<in> I then (SOME x. x \<in> space (M i)) else undefined"
+      { fix i k assume k: "i \<in> J k"
+        have "w k i = w (LEAST k. i \<in> J k) i"
+          by (intro w_mono Least_le k LeastI[of _ k])
+        then have "w' i = w k i"
+          unfolding w'_def using k by auto }
+      note w'_eq = this
+      have w'_simps1: "\<And>i. i \<notin> I \<Longrightarrow> w' i = undefined"
+        using J by (auto simp: w'_def)
+      have w'_simps2: "\<And>i. i \<notin> (\<Union>k. J k) \<Longrightarrow> i \<in> I \<Longrightarrow> w' i \<in> space (M i)"
+        using J by (auto simp: w'_def intro!: someI_ex[OF M.not_empty[unfolded ex_in_conv[symmetric]]])
+      { fix i assume "i \<in> I" then have "w' i \<in> space (M i)"
+          using w(1) by (cases "i \<in> (\<Union>k. J k)") (force simp: w'_simps2 w'_eq)+ }
+      note w'_simps[simp] = w'_eq w'_simps1 w'_simps2 this
+
+      have w': "w' \<in> space (Pi\<^isub>M I M)"
+        using w(1) by (auto simp add: Pi_iff extensional_def)
+
+      { fix n
+        have "restrict w' (J n) = w n" using w(1)
+          by (auto simp add: fun_eq_iff restrict_def Pi_iff extensional_def)
+        with w[of n] obtain x where "x \<in> A n" "restrict x (J n) = restrict w' (J n)" by auto
+        then have "w' \<in> A n" unfolding A_eq using w' by (auto simp: emb_def) }
+      then have "w' \<in> (\<Inter>i. A i)" by auto
+      with `(\<Inter>i. A i) = {}` show False by auto
+    qed
+    ultimately show "(\<lambda>i. \<mu>G (A i)) ----> 0"
+      using LIMSEQ_extreal_INFI[of "\<lambda>i. \<mu>G (A i)"] by simp
+  qed
+qed
+
+lemma (in product_prob_space) infprod_spec:
+  shows "(\<forall>s\<in>sets generator. measure (Pi\<^isub>P I M) s = \<mu>G s) \<and> measure_space (Pi\<^isub>P I M)"
+proof -
+  let ?P = "\<lambda>\<mu>. (\<forall>A\<in>sets generator. \<mu> A = \<mu>G A) \<and>
+       measure_space \<lparr>space = space generator, sets = sets (sigma generator), measure = \<mu>\<rparr>"
+  have **: "measure infprod_algebra = (SOME \<mu>. ?P \<mu>)"
+    unfolding infprod_algebra_def by simp
+  have *: "Pi\<^isub>P I M = \<lparr>space = space generator, sets = sets (sigma generator), measure = measure (Pi\<^isub>P I M)\<rparr>"
+    unfolding infprod_algebra_def by auto
+  show ?thesis
+    apply (subst (2) *)
+    apply (unfold **)
+    apply (rule someI_ex[where P="?P"])
+    apply (rule extend_\<mu>G)
+    done
+qed
+
+sublocale product_prob_space \<subseteq> measure_space "Pi\<^isub>P I M"
+  using infprod_spec by auto
+
+lemma (in product_prob_space) measure_infprod_emb:
+  assumes "J \<noteq> {}" "finite J" "J \<subseteq> I" "X \<in> sets (Pi\<^isub>M J M)"
+  shows "measure (Pi\<^isub>P I M) (emb I J X) = measure (Pi\<^isub>M J M) X"
+proof -
+  have "emb I J X \<in> sets generator"
+    using assms by (rule generatorI')
+  with \<mu>G_eq[OF assms] infprod_spec show ?thesis by auto
+qed
+
+end
\ No newline at end of file
diff -r 5b52c6a9c627 -r 61d5d50ca74c src/HOL/Probability/Probability.thy
--- a/src/HOL/Probability/Probability.thy	Tue Mar 29 14:27:39 2011 +0200
+++ b/src/HOL/Probability/Probability.thy	Tue Mar 29 14:27:41 2011 +0200
@@ -2,6 +2,8 @@
 imports
   Complete_Measure
   Lebesgue_Measure
+  Probability
+  Infinite_Product_Measure
   Information
   "ex/Dining_Cryptographers"
   "ex/Koepf_Duermuth_Countermeasure"