If f(x,⋅) is measurable for every x and f(⋅,y) is measurable for every y, is f necessarily measurable?
More precisely, let (Ωi,Ai) be measurable spaces, i∈{1,2,3}. Let f:Ω1×Ω2→Ω3. For every ω1∈Ω1, ω2∈Ω2 define
f(ω1)1:Ω2→Ω3, f(ω1)1(ω2):=f(ω1,ω2)
f(ω2)2:Ω1→Ω3, f(ω2)2(ω1):=f(ω2,ω1)
It is known (e.g. Schilling, Theorem 13.10 iii) that if f is A1⊗A2/A3-measurable, then f(ω1)1 is A2/A3-measurable for every ω1∈Ω1 and f(ω2)2 is A1/A3-measurable for every ω2∈Ω2.
But does the converse hold as well?
In comparison, both directions hold in the following, related result (Schilling, Theorem 13.10 ii): f:Ω3→Ω1×Ω2 is A3/A1⊗A2-measurable iff πi∘f is A3/Ai-measurable (i∈{1,2}), with
πi:Ω1×Ω2→Ωi, πi((ω1,ω2)):=ωi
References
Schilling, René L. Measures, Integrals and Martingales. 2005
Answer
No, the converse doesn't hold. The following counter-example is based on clark's comment to my original post.
Set Ωi:=R, Ai:=B (B being the standard Borel field on the real line). Let C⊆R be any non Borel set, e.g. the Vitali set. Let T:R×R→R×R be a rotation of the plane by an angle that is not a multiple of π2. Define C′ to be the set {(x,0) :∣ x∈C}, i.e. the natural embedding of C in the 2-dimensional "x-axis".
C′∉B⊗B, since otherwise C would be ∈B, as a section of C′ (cf Halmos, p. 141), contrary to assumption. Define D:=T(C′). Since T is surjective and measurable (it is measurable since it is linear), D∉B⊗B. Define f:=1D. Thus f is not B⊗B/B-measurable. Since T is linear and C′ lies on a line through the origin, so does D, but since by definion of T this line is perpendicular to neither "axis", D's sections consist of at most a single point, so for all x∈R, f(x)1 is B/B-measurable and likewise f(y)2 for all y∈R.
References
Halmos, Paul Richard. Measure Theory. 1974
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