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Published online by Cambridge University Press: 17 December 2018
We discuss the reconciliation problem between probability measures: given n⩾2 probability spaces $(\Omega,{\mathcal{F}}_1,{\mathbb{P}}_1),\ldots,(\Omega,{\mathcal{F}}_n,{\mathbb{P}}_n)$ with a common sample space, does there exist an overall probability measure
${\mathbb{P}} \ \text{on} \ {\mathcal{F}} = \sigma({\mathcal{F}}_1,\ldots,{\mathcal{F}}_n)$ such that, for all i, the restriction of
${\mathbb{P}} \ \text{to} \ {\mathcal{F}}_i$ coincides with
${\mathbb{P}}_i$? General criteria for the existence of a reconciliation are stated, along with some counterexamples that highlight some delicate issues. Connections to earlier (recent and far less recent) work are discussed, and elementary self-contained proofs for the various results are given.
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