My initial feelings are as follows:

-- the headline question could be expanded (by someone, if not the original questioner) into something worthwhile, albeit the kind of thing which I think gets covered in "probability for mathematicians" textbooks;

-- the main body of the question is too vague and suggests that the original questioner doesn't know much about either measure theory or probability theory, but that he doesn't give enough background context for someone to easily know how to pitch a good and helpful answer;

-- the author of the question has posted quite a few other questions in the last day or so, some more specific than others, but none giving much background; to me personally they have a whiff of "I have a cool-looking question and I will ask someone rather than think about it too much", but this is based purely on superficial and subjective opinion on my part;

-- the author appears not to have responded to comments on his previous questions, so we don't know if he agrees, disagrees, or doesn't care.

For what it's worth, I haven't downvoted this particular question or voted to close, because I can see the germ of a decent MO question in there; on the other hand, based on the questioner's pattern thus far, I'm not sure he'll expand the question into an adequate form.