The lion in the attic -- A resolution of the Borel--Kolmogorov paradox

Abstract

The Borel--Kolmogorov paradox has fascinated students and researchers since its discovery by Kolmogorov 100 years ago. Classical conditioning is only valid with respect to events of positive probability. If we ignore this constraint and condition on such sets, for example events of type $\{Y=y\}$ for a continuously distributed random variable $Y$, almost any probability measure can be chosen as the conditional measure on such sets. There have been numerous descriptions and explanations of the paradox' appearance in the setting of conditioning on a subset of probability zero. However, most treatments don't supply explicit instructions on how to avoid it. We propose to close this gap by defining a version of conditional measure which utilizes the Hausdorff measure. This makes the choice canonical in the sense that it only depends on the geometry of the space alone, thus removing any ambiguity. We describe the set of possible measures arising in the context of the Borel--Kolmogorov paradox and classify those coinciding with the canonical measure. We also describe a setting where the canonical measure is not the right notion, especially in the context of Bayesian inverse problems.