Splitting of liftings in products of probability spaces II ✩

For a probability measure R on a product of two probability spaces that is absolutely continuous with respect to the product measure we prove the existence of liftings subordinated to a regular conditional probability and the existence of a lifting for R with lifted sections which satisfies in addition a rectangle formula. These results improve essentially some of the results from the former work of the authors [W. Strauss, N.D. Macheras, K. Musiał, Splitting of liftings in products of probability spaces, Ann. Probab. 32 (2004) 2389–2408], by weakening considerably the assumptions and by presenting more direct and shorter proofs. In comparison with [W. Strauss, N.D. Macheras, K. Musiał, Splitting of liftings in products of probability spaces, Ann. Probab. 32 (2004) 2389–2408] it is crucial for applications intended that we can now prescribe one of the factor liftings completely freely. We demonstrate the latter by applications to τ -additive measures, transfer of strong liftings, and stochastic processes. © 2007 Elsevier Inc. All rights reserved.