In measure theory, projection maps often appear when working with product spaces: The product sigma-algebra of measurable spaces is defined to be the finest such that the projection mappings will be measurable. Sometimes for some reasons product spaces are equipped with sigma-algebra different than the product sigma-algebra. In these cases the projections need not be measurable at all. The projected set of a measurable set is called analytic set and need not be a measurable set. However, in some cases, either relatively to the product sigma-algebra or relatively to some other sigma-algebra, projected set of measurable set is indeed measurable. Henri Lebesgue himself, one of the founders of measure theory, was mistaken about that fact. In a paper from 1905 he wrote that the projection of Borel set in the plane onto the real line is again a Borel set. The mathematician Mikhail Yakovlevich Suslin found that error about ten years later, and his following research has led to descriptive set theory. The fundamental mistake of Lebesgue was to think that projection commutes with decreasing intersection, while there are simple counterexamples to that.
As an example for a non-measurable projection, one can take the space with the sigma-algebra and the space with the sigma-algebra. The diagonal set is not measurable relatively to, although the both projections are measurable sets. The common example for a non-measurable set which is a projection of a measurable set, is in Lebesgue sigma-algebra. Let be Lebesgue sigma-algebra of and let be the Lebesgue sigma-algebra of. For any bounded not in, the set is in, since Lebesgue measure is complete and the product set is contained in a set of zero measure. Still one can see that is not the product sigma-algebra but its completion. As for such example in product sigma-algebra, one can take the space with the product sigma-algebra where for every. In fact, in this case "most" of the projected sets are not measurable, since the cardinality of is, whereas the cardinality of the projected sets is. There are also examples of Borel sets in the plane which their projection to the real line is not a Borel set, as Suslin showed.
Measurable projection theorem
The following theorem gives a sufficient condition for the projection of measurable sets to be measurable. Let be a measurable space and let be a polish space where is its Borel sigma-algebra. Then for every set in the product sigma-algebra, the projected set onto is in universally measurable set relatively to. An important special case of this theorem is that the projection of any Borel set ot onto where is Lebesgue-measurable, even though it is not necessarily a Borel set. In addition, it means that the former example of non-Lebesgue-measurable set of which is a projection of some measurable set of, is the only sort of such example.
