Abstract
In this chapter some abstract and topological extensions of Kolmogorov's existence theorem as projective limits of probability spaces are presented. This treatment also includes Prokhorov's theorem. In the abstract case, direct limits intervene, and a relevant part of the latter theory and a related projective limit characterization are presented. A brief account of these limits with conditional probabilities and vector measures is also discussed. Applications to entropy and information theory with extended sketches are included as complements and problems.
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