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Tutorial: July 2: 1 N N J N J

The document provides the solution to proving countable additivity of a measure P given certain properties. It uses subadditivity to show that P of the union of countably many disjoint sets A_n is less than or equal to the sum of P of the individual A_n. It then expresses the union as a finite union plus a "tail" set B_n, and takes the limit as n goes to infinity using the properties that P of decreasing sets going to the empty set converges to 0. This proves the equality of P of the union and the sum.

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23 views

Tutorial: July 2: 1 N N J N J

The document provides the solution to proving countable additivity of a measure P given certain properties. It uses subadditivity to show that P of the union of countably many disjoint sets A_n is less than or equal to the sum of P of the individual A_n. It then expresses the union as a finite union plus a "tail" set B_n, and takes the limit as n goes to infinity using the properties that P of decreasing sets going to the empty set converges to 0. This proves the equality of P of the union and the sum.

Uploaded by

Anonymous MaUfbbza
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Tutorial : July 2

Problem. Suppose P (A B) = P (A) + P (B) if A, B are disjoint. Show that, for a disjoint sets A1 , . . . , An ,
P(

n
[

Aj ) =

n
X

j=1

P (Aj ).

j=1

Solution. We prove using mathematical induction. If n = 2, it is the assumption. So it holds. Assume the
result holds for n = k. Consider any disjoint sets A1 , . . . , Ak+1 . Let A = A1 Ak and B = Ak+1 . Then
A B = A1 Ak+1 . Using the assumption for two sets,
P (A1 Ak+1 ) = P (A B) = P (A) + P (B) = P (A1 Ak ) + P (Ak+1 )
Apply the result for n = k
= P (A1 ) + + P (Ak ) + P (Ak+1 ).
Hence the result holds for n = k + 1. Therefore the result holds for all n 2.
Problem. Suppose a measure P satisfies P () < , P (A) 0 for all A F, for any disjoint sets A1 , . . . , An ,
P (A1 An ) = P (A1 ) + + P (An )
and for any decreasing sequence An to , that is, A1 A2 and
n=1 An = , limn P (An ) = 0.
Show that countable additivity, that is, for any disjoint sets A1 , A2 , . . .,
P (
n=1 An ) =

P (An ).

n=1

Solution. Using subadditivity (or Booles inequality),


P (
n=1 An )

P (An ).

n=1

Let Bn = An+1 An+2 =


j=n+1 Aj so that n=1 An = A1 An Bn and Bn & . Then

P (
n=1 An ) = P (A1 An Bn ) =

n
X

P (Aj ) + P (Bn ) = lim

j=1

By applying the last assumption, we get


=

P (An ).

n=1

Hence the result holds.


Note. The result may not hold if P () = .

n
X
j=1

P (Aj ) + lim P (Bn )


n

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