In probability theory, the Doob–Dynkin lemma, named after Joseph L. Doob and Eugene Dynkin (also known as the factorization lemma), characterizes the situation when one random variable is a function of another by the inclusion of the \sigma-algebras generated by the random variables. The usual statement of the lemma is formulated in terms of one random variable being measurable with respect to the \sigma-algebra generated by the other. The lemma plays an important role in the conditional expectation in probability theory, where it allows replacement of the conditioning on a random variable by conditioning on the \sigma-algebra that is generated by the random variable.

Notations and introductory remarks

In the lemma below, is the \sigma-algebra of Borel sets on [0,1]. If and is a measurable space, then is the smallest \sigma-algebra on X such that T is -measurable.

Statement of the lemma

Let be a function, and a measurable space. A function is -measurable if and only if f=g\circ T, for some -measurable Remark. The "if" part simply states that the composition of two measurable functions is measurable. The "only if" part is proven below. Remark. The lemma remains valid if the space is replaced with where S is bijective with [0,1], and the bijection is measurable in both directions. By definition, the measurability of f means that for every Borel set Therefore and the lemma may be restated as follows. Lemma. Let and is a measurable space. Then for some -measurable if and only if.