Chapter 2.

Axioms of Probability
Theorem 1. [2.2] Let (G

)
A
be an arbitrary family of -algebras dened on an ab-
stract space . Then H =

A
G

is also a -algebra.
Proof. Clearly H. If X H then X G

for all A, so X
c
G

for all A
and X
c
H. A similar argument shows that H is closed under countable unions.
Theorem 2. [2.4] Let A be a -algebra and (A
n
)
n1
a sequence of events in A. Then
liminf
n
A
n
A; limsup
n
A
n
A; and liminf
n
A
n
limsup
n
A
n
.
Proof. Since

mn
A
m
A for every n, we have liminf
n
A
n
=

n1

mn
A
m
A.
Similarly, limsup
n
A
n
A. If x liminf
n
A
n
then there is some n such that
x A
m
for all m n. Clearly x

mn
A
m
for every n, so x limsup
n
A
n
.
Theorem 3. [2.5] Let (A
n
)
n1
be a sequence of sets. Then
limsup
n
1
An
liminf
n
1
An
= 1
{limsup
n
An\liminfn An}
.
Proof. If x limsup
n
A
n
then for all n there is some m n such that x A
m
,
i.e. 1
Am
(x) = 1. Therefore sup
mn
1
Am
(x) = 1 for all n, and limsup
n
1
An
(x) =
1. If x / limsup
n
A
n
then there is some n such that x / A
m
for all m n,
so limsup
n
1
An
(x) = 0. This proves that limsup
n
1
An
= 1
limsup
n
An
, and a
similar argument shows that liminf
n
1
An
= 1
liminfnAn
. But liminf
n
A
n

limsup
n
A
n
, so
limsup
n
1
An
liminf
n
1
An
= 1
limsup
n
An
1
liminfnAn
= 1
{limsup
n
An\liminfn An}
.

Theorem 4. [2.6] Let A be a -algebra of subsets of and let B . Then F =

{A B : A A} is a -algebra of subsets of B.
Proof. We have B = B F. If X F then X = A B for some A A, so
X
c
= A
c
B F. Finally, if (X
n
)
n1
is a sequence of sets in F then X
k
= A
k
B for
some A
k
A, so

k1
A
k
A and
_
k1
X
k
=
_
k1
A
k
B =
_
_
k1
A
k
_
B F.

1
2
Theorem 5. [2.7] Let f be a function mapping to another space E with a -algebra
E. Then
A =
_
f
1
(B) : B E
_
is a -algebra on .
Proof. This follows from the fact that f
1
(X
c
) = f
1
(X)
c
and f
1
_
A
X

_
=

A
f
1
(X

).
Theorem 6. [2.8] Let f : R R be a continuous function, let E be the Borel subsets
of R, and dene A as in Theorem 5. Then A E.
Proof. This follows from the fact that f
1
(B) is open for every B open in R.
Theorem 7. [2.9-2.13,2.15] Let A be a -algebra on a set , and let P be a probability
dened on A.
(1) P(A B
c
) = P(A) P(B) for A, B A such that B A.
(2) P(A B) = P(A) +P(B) P(A B) for A, B A.
(3) P(A) = 1 P(A
c
) for A A.
(4) P(A B
c
) = P(A) P(A B) for A, B A.
(5) If A
1
, . . . , A
n
A then
P
_
n
_
i=1
A
i
_
=

i
P(A
i
)

i<j
P(A
i
A
j
)+

i<j<k
P(A
i
A
j
A
k
) +(1)
n+1
P(A
1
A
n
).
(6) If A
i
A then
P
_
n
_
i=1
A
i
_

i=1
P(A
i
)
for all n, and
P
_

_
i=1
A
i
_

i=1
P(A
i
).
Proof. (1) is obvious since A B
c
and B are disjoint. For (2), we have
P(A B) = P((A (A B)
c
) (B (A B)
c
) (A B))
= P(A) P(A B) +P(B) P(A B) +P(A B)
= P(A) +P(B) P(A B)
3
using (1). Part (3) follows by taking A = in (1), and (4) follows by replacing B
with A B in (1). The proof of (5) is identical to the proof of the inclusion-exclusion
principle. For (6), let B
1
= A
1
and B
i
= A
i

i1
j=1
A
j
for i 2. Then
P
_

_
i=1
A
i
_
= P
_

_
i=1
B
i
_
=

i=1
P(B
i
)

i=1
P(A
i
).

Example 8. [2.14] Suppose P(A) =

3
4
and P(B) =
1
3
. Then
1
2
P(A B)
1
3
, since
P(A B) P(B) =
1
3
and
P(A B) = P(A) +P(B) P(A B) =
13
12
P(A B)
13
12
1 =
1
12
.
Theorem 9. [2.16] Let A
i
A be a sequence of events.
(1) P
_
n
_
i=1
A
i
_

i=1
P(A
i
)

i<j
P(A
i
A
j
).
(2) P
_
n
_
i=1
A
i
_

i=1
P(A
i
)

i<j
P(A
i
A
j
) +

i<j<k
P(A
i
A
j
A
k
).
Theorem 10. [2.17] Suppose that is an innite set (countable or not), and let A be
the family of all subsets which are either nite or have a nite complement. Then A is
an algebra, but not a -algebra.
Proof. It is clear that A is an algebra. Let K = {x
1
, x
2
, . . . } be any countable subset
of . Then {x
i
} A for all i, but

i odd
{x
i
} / A.