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1. Let F be a σ-algebra of subsets of Ω.: Ubmit The First Four Problems Only

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48 views2 pages

1. Let F be a σ-algebra of subsets of Ω.: Ubmit The First Four Problems Only

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sarang
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© © All Rights Reserved
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H OMEWORK 1: D UE 19 TH A UG

S UBMIT THE FIRST FOUR PROBLEMS ONLY

1. Let F be a σ-algebra of subsets of Ω.


!
(1) Show that F is closed under countable intersections ( An ), under set differences
n
(A \ B), under symmetric differences (A∆B).
(2) If An is a countable sequence of subsets of Ω, the set lim supn An (respectively
lim inf n An ) is defined as the set of all ω ∈ Ω that belongs to infinitely many (re-
spectively, all but finitely many) of the sets An .
If An ∈ F for all n, show that lim sup An ∈ F and lim inf An ∈ F. [Hint: First
express lim sup An and lim inf An in terms of An s and basic set operations].
(3) If A1 ⊆ A2 ⊆ A3 ⊆ . . ., what are lim sup An and lim inf An ?

2. Let (Ω, F) be a set with a σ-algebra.


(1) Suppose P is a probability measure on F. If An ∈ F and An increase to A (re-
spectively, decrease to A), show that P(An ) increases to (respectively, decreases
to) P(A).
(2) Suppose P : F → [0, 1] is a function such that (a) P(Ω) = 1, (b) P is finitely additive,
(c) if An , A ∈ F and An s increase to A, then P(An ) ↑ P(A). Then, show that P is a
probability measure on F.

3. (1) Let X be an arbitrary set. Let S be the collection of all singletons in Ω. De-
scribe σ(S).
(2) Let S = {(a, b]∪[−b, −a) : a < b are real numbers}. Show that σ(S) is strictly smaller
than the Borel σ-algebra of R.
(3) Suppose S is a collection of subsets of X and a, b are two elements of X such that
any set in S either contains a and b both, or contains neither. Let F = σ(S). Show
that any set in F has the same property (either contains both a and b or contains
neither).

4. Let Ω be an infinite set and let A = {A ⊆ Ω : A is finite or Ac is finite }. Define µ : A →


R+ by µ(A) = 0 if A is finite and µ(A) = 1 if Ac is finite.
(1) Show that A is an algebra and that µ is finitely additive on A.
(2) Under what conditions does µ extend to a probability measure on F = σ(A)?

2
———————xxxxxxxxxxxxxxxxxxx———————–
Do not submit the following problems, but at least read them. Some of them are
straightforward exercises, but some are more advanced material which I don’t get time to
elaborate in class. The latter are meant for the extra-curious!
———————xxxxxxxxxxxxxxxxxxx———————–

5. (1) Let B be the Borel sigma-algebra of R. Show that B contains all closed sets,
all compact sets, all intervals of the form (a, b] and [a, b).
(2) Show that there is a countable family S of subsets of R such that σ(S) = BR .

6. Let A1 , A2 , . . . be a finite or countable partition of a non-empty set Ω (i.e., Ai are


pairwise disjoint and their union is Ω). What is the σ-algebra generated by the collection
of subsets {An }? What is the algebra generated by the same collection of subsets?

7. Let X = [0, 1]N be the countable product of copies of [0, 1]. We define two sigma
!
algebras of subsets of X. Then d(x, y) = n |xn − yn |2−n defines a metric on X. Let BX be
the Borel sigma-algebra of (X, d).
Let CX be the collection of all cylinder sets, i.e., sets of the form A = U1 × U2 × . . . where
Ui is a Borel subset of [0, 1] for each i and Ui = [0, 1] for all but finitely many i.
(1) Show that CX is a π-system.
(2) Show that σ(CX ) = BX .

8. Let µ be the Lebesgue p.m. on the Cartheodary σ-algebra B and let µ∗ be the corre-
sponding outer Lebesgue measure defined on all subsets of [0, 1]. We say that a subset
N ⊆ [0, 1] is a null set if µ∗ (N ) = 0. Show that
B = {B ∪ N : B ∈ B and N is null}
where B is the Borel σ-algebra of [0, 1].
[Note: The point of this exercise is to show how much larger is the Lebesgue σ-algebra
than the Borel σ-algebra. The answer is, not much. Up to a null set, every Lebesgue
measurable set is a Borel set. However, cardinality-wise, there is a difference. The
Lebesgue σ-algebra is in bijection with 2R while the Borel σ-algebra is in bijection with
R.]

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