Let define a cylinder set as:
$$\mathcal{C}(B_1 \times \dots \times B_n)=\{x \in \mathbb{R}^{\infty}|x_1 \in B_1 , \dots , x_n \in B_n \}$$
where $B_k \in \mathcal{B}(\mathbb{R})$ for $k=1,2,...,n$ with base in $\mathbb{R}^n$.
But, we can write also:
$$\mathcal{C}(B_1 \times \dots \times B_n)=\mathcal{C}(B_1 \times \dots \times B_n\times \mathbb{R})$$
with base in $\mathbb{R}^{n+1}$.
Why is this statement true?
Hint:
If $x\in A$ implies that $x\in B$ and $x\in B$ implies that $x\in A$ then we are allowed to conclude that $A=B$.
This because (according to the axiom of extensionality) sets are completely determined by their elements.