I think picking up a standard graduate probability book will clear this up better than any long comment trail. There are no problems defining a coarser sigma algebra using an original one and then defining a function measurable on the new sigma algebra. Note this continues to be an r.v. in the original space as meaurability is preserved. A consistent definition the values of the conditioned r.v. would be the piecewise constant approximation of the original r.v. over the indivisible elements of the coarser sigma algebra.

Let me try another route.

You seem to be accepting of a conditional expectation. Now what is a conditional expectation if not a function. Now all we need is that function be measurable with respect to the new sigma algebra, thats ensured byconstruction. Hope it helped some

Random variables have some value on their domain, and for the random variable X | E=1 the sample space is restricted to the elementary events {2,4,6} which conform the composite event E=1. The original sample space is partitioned in the subspaces {1,3,5} and {2,4,6} when we condition on the values of the random variable E (0:odd, 1: even).

> Sure you can build a new event space (sigma algebra) but then you can't use random variables over the original one.

I guess we all agree then.

> Let's consider two independent rolls, X and Y. You can't compute the joint distribution P(Y, (X|E)), it just doesn't make sense as the two "variables" are defined over different spaces.

The variables X and Y describing independent rolls are also defined over different spaces and to have a joint distribution you have to define a "common" sample space of the form {x=1,y=1},{x=2,y=1},..,{x=6,y=6}.

You could do the same for a roll of a dice and the toss of a coin. Or do you think that computing the joint distribution of a coin toss and a dice roll doesn't make sense because they are defined over different spaces?