Can someone explain the meaning of the sentence: ``All distributions in this text are finitely supported over the σ-algebra of all subsets of X'' ?
On the one hand, it is impossible to define a probability measure on the σ-algebra of all subsets of [0,1]. On the other hand, if a distribution is finitely supported, then there is no point in using a σ-algebra different than what is generated by its support, right?