Assignment 1 Htop

Name: Thomas Li

Netid: jl15535

Problem 1.1. Let F and G be σ-fields of subsets of Ω.

(a) Use elementary set operations to show that F is closed under countable intersections; that is, if A1 , A2 , . . . are
∩
in F, then so is i Ai .

(b) Let H = F ∩ G be the collection of subsets of Ω lying in both F and G. Show that H is a σ-field.

(c) Show that F ∪ G, the collection of subsets of Ω lying in either F or G, is not necessarily a σ-field.

Solution. Part a. We use the De Morgan Law.

( )c
∩ ∩ ∪
Ai = (Aci )c = Aci
i i i

By the property of σ-algebra, that is closed under countable union and complementation. Then
( )c
∪
Aci ∈F
i

Then we have ∩
Ai ∈ F
i

Part b. So by definition
H = {A ∈ Ω | A ∈ F ∩ G}
So first Ω is a shared element of F and G then Ω ∈ H. Secondly, for a collection {An } of elements in H. Since
∪ ∪
An ∈ F and An ∈ G then An ∈ F and G. By definition An ∈ H. Thirdly, for A ∈ H. We have Ac ∈ F and G
again by definition Ac ∈ H. So H is a σ-algebra.
Part c. We give a counter example. So let Ω = {1, 2, 3} then let

F = {{1, 2}, {3}, Ω, ∅} G = {{1, 3}, {2}, Ω, ∅}

It is obvious that F and G are σ-algebra. But their union which is

H = {Ω, ∅, {1, 2}, {1, 3}, {3}, {2}}

is not since
{2, 3} = {2} ∪ {3} ∈
/H
□
Problem 1.2. Let A1 , A2 , . . . be a sequence of events. Define
∞
∪ ∞
∩
Bn = Am , Cn = Am .
m=n m=n

Clearly Cn ⊆ An ⊆ Bn . The sequences {Bn } and {Cn } are decreasing and increasing, respectively, with limits
∩ ∩ ∪ ∪ ∪ ∩
lim Bn = B = Bn = Am , lim Cn = C = Cn = Am .
n n m≥n n n m≥n

The events B and C are denoted lim supn→∞ An and lim inf n→∞ An , respectively. Show that
(a) B = {ω ∈ Ω : ω ∈ An for infinitely many values of n},

(b) C = {ω ∈ Ω : ω ∈ An for all but finitely many values of n}.

We say that the sequence {An } converges to a limit A = lim An if B and C are the same set A. Suppose that
An → A and show that
(c) A is an event, in that A ∈ F ,

(d) P (An ) → P (A).

Solution. Part a. We fix an index k. Then we have for ω ∈ B, it is sufficient that

∪
k ∩
ω∈ Am
n=1 m≥n

Since the set

∩
k ∪ ∪
Am = Am
n=1 m≥n m≥k

Then ω contents in at least one set with index m ≥ k. Suppose it k1 . Repeat the argument starting with index
k1 + 1 we have ω ∈ Ak2 for some k2 ≥ k1 . This process can go infinite many times, then ω lies in An for infinity
many values of n.
Part b. First we know That
∪
N ∩ ∩
Am = Am
n=1 m≥n m≥N
∩
Then if ω ∈ C, then there must be some N such that ω ∈ m≥N Am that is saying ω ∈ Am for m ≥ N . Then
ω ∈ Am eventually.
Part c. Since ∩ ∪
A= Am
n m≥n

σ-algebra is closed under countable union then

∪
Bn = Am ∈ F
m≥n

Again since σ-algebra is closed under countable intersection therefore

∩
Bn ∈ F
n

Then we have A ∈ F .
Part d. By the continuity of P . Since Cn is an increasing sequence of sets and Bn is a decreasing sequence of sets.
Then we have (∞ ) (∞ )
∩ ∪
lim P Bn = P (B) lim P Cn = P (C)
n→∞ n→∞
n=1 n=1

Since B = C = A. Then by the squeeze theorem, since we always have Cn ⊂ An ⊂ Bn Therefore P (Cn ) < P (An ) <
P (Bn ) Then lim P (Bn ) = lim P (Cn ) = lim P (An ) = P (A). □
Problem 1.3. Let E be the left open right closed intervals of Ω := R defined in class. Write down the algebra
generated by E, and prove your result.

Solution. a(E) is the set of all finite disjoint union of intervals

a(E) = {I1 ∪ · · · ∪ Ik , Ij ∈ E | Ij ∩ Ii = ∅}

We first show this is an algebra, first R ∈ a(E). Secondly, for two intervals (a, b] and (c, d]. Without lost of generality,
assume a < c then (a, b] ∪ (c, d] = (a, max(b, d)] or itself if b < c. Thirdly, the complement of any element in a(E)
is clearly an element of a(E) since complement of (a, b]c = (−∞, a] ∪ (b, ∞) ∈ a(E). Now we show that a(E) is
∪
N
the smallest algebra, find any algebra G, take A ∈ a(E) then there is a sequence of intervals {In } with A = In .
i=1
Therefore by definition of algebra A ∈ G then a(E) is the smallest algebra. □

Problem 1.4. Let Ω be a sample space. Show that any finite algebra on Ω is a σ-algebra.

Solution. For an finite algebra A of Ω. Ω ∈ A and so does any complement Ac of A ∈ A. Since any union of
elements of A is at most equivalent to a finite union and therefore countable, and this union is an element of A.
Then A is closed under countable union, then A is a σ-algebra. □