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UTLAB
A Question?
Baoding Liu
Tsinghua University
http://orsc.edu.cn/liu
UTLAB
Algebra
Let be a nonempty set. A collection (a) A; (b) if A A, then Ac A; (c) if Ai A for i = 1, 2, , n, then
i=1
Ai A.
-Algebra
If the condition (c) is replaced with closure under countable union, i.e., (c ) if Ai A for i = 1, 2, , then
i=1
then
Ai A,
Baoding Liu
Tsinghua University
http://orsc.edu.cn/liu
UTLAB
Examples
{, } is the smallest -algebra over . Power set P() (all subsets of ) is the largest -algebra over . Let A be the set of all nite disjoint unions of all intervals of the form (, a], (a, b], (b, ) and . Then A is an algebra over , but not a -algebra because Ai = (0, (i 1)/i] A for all i but
i=1
Ai = (0, 1) A.
Baoding Liu
Tsinghua University
http://orsc.edu.cn/liu
UTLAB
Theorem
A -algebra A is closed under dierence, countable union, countable intersection, limit, upper limit, and lower limit. That is, A2 \ A1 A;
i=1
Ai A; Ai A;
i=1
Ai A;
lim Ai A;
lim sup Ai =
i k=1 i=k
lim inf Ai =
i k=1 i=k
Ai A.
Baoding Liu
Tsinghua University
http://orsc.edu.cn/liu
UTLAB
Measurable Set
Let be a nonempty set, and A a -algebra over . Then the sets in -algebra A are called measurable sets.
Denition
Baoding Liu
Tsinghua University
http://orsc.edu.cn/liu
UTLAB
Denition
The smallest -algebra algebra.
Baoding Liu
Tsinghua University
http://orsc.edu.cn/liu
UTLAB
Denition
Any element in Borel algebra
Borel algebra is a -algebra. Open set, closed set, the set of rational numbers, the set of irrational numbers, and countable set of real numbers are all Borel sets.
Baoding Liu
Tsinghua University
http://orsc.edu.cn/liu
UTLAB
Cantor Set
Cantor set consists of all real numbers that can be expressed in ternary form using only digits 0 and 2, i.e.,
x=
i=1
ai 3i
where ai = 0 or 2 for i = 1, 2, The Cantor set is in [0,1], closed, uncountable, and has Lebesgue measure zero.
Baoding Liu
Tsinghua University
http://orsc.edu.cn/liu
UTLAB
Measurable Space
Denition
Let be a nonempty set, and a measurable space.
A a -algebra over .
Then (, A) is called
Baoding Liu
Tsinghua University
http://orsc.edu.cn/liu
UTLAB
Product -Algebra
Let
Ai
Denition
A measurable rectangle in is a set A = A1 A2 An , where Ai Ai for i = 1, 2, , n.
Denition
The smallest -algebra containing all measurable rectangles of is called the product -algebra, denoted by A = A1 A2 An . Note that the product -algebra A is the smallest -algebra containing measurable rectangles, rather than the product of A1 , A2 , , An .
Baoding Liu
Tsinghua University
http://orsc.edu.cn/liu