Lecture5 Properties of Prob Measures
Lecture5 Properties of Prob Measures
Lecture5 Properties of Prob Measures
5.1 Properties
In this lecture, we will derive some fundamental properties of probability measures, which follow directly
from the axioms of probability. In what follows, (, F, P) is a probability space.
Proof:- Given any subset A , A and Ac partition the sample space. Hence, Ac A = and
Ac A = . By the Countable Additivity axiom of probability, P(Ac A) = P(A) + P(Ac )
= P() = P(A) + P(Ac ) = P(Ac ) = 1 P(A).
Property 2:- Consider events A and B such that A B and A, B F. Then P(A) P(B)
Proof:- The set B can be written as the union of two disjoint sets A and Ac B. Therefore, we have
P(A) + P(Ac B) = P(B) = P(A) P(B) since P(Ac B) 0.
Property 3:- (Finite Additivity) If A1 , A2 , ..., An are finite number of disjoint events, then
n
! n
[ X
P Ai = P(Ai ). (5.2)
i=1 i=1
Proof:- This property follows directly from the axiom of countable additivity of probability measures.
It is obtained by setting the events An+1 , An+2 , ... as empty sets. LHS will simplify as:
! n
!
[ [
P Ai = P Ai .
i=1 i=1
where (a) follows from the definition of an infinite series and (b) is a consequence of setting the events
from An+1 onwards to null sets.
5-1
5-2 Lecture 5: Properties of Probability Measures
This property is proved using induction on n. The property can be proved in a much more simpler way
using the concept of Indicator Random Variables, which will be discussed in the subsequent lectures.
Proof of Eq (5.3):- The set A B can be written as A B = A (Ac B). Since A and Ac B are
disjoint events, P(AB) = P(A)+P(Ac B). Now, set B can be partitioned as, B = (AB)(Ac B).
Hence, P(B) = P(A B) + P(Ac B). On substituting this result in the expression of P(A B), we
will obtain the final result that P(A B) = P(A) + P(B) P(A B).
Therefore,
!
[ X
P Ai = P(Bi )
i=1 i=1
m
(a) X
= lim P(Bi )
m
i=1
m
!
(b) [
= lim P Bi
m
i=1
m
!
(c) [
= lim P Ai .
m
i=1
Here, (a) follows from the definition of an infinite series, (b) follows from Claim 1 in conjunction with
Countable Additivity axiom of probability measure and (c) follows from the intermediate result required
to prove Claim 2.
Hence proved.
Lecture 5: Properties of Probability Measures 5-3
Property 6:- If {Ai , i 1} is a sequence of increasing nested events i.e. Ai Ai+1 , i 1, then
!
[
P Ai = lim P (Am ) . (5.6)
m
i=1
Property 7:- If {Ai , i 1} is a sequence of decreasing nested events i.e. Ai+1 Ai i 1, then
!
\
P Ai = lim P (Am ) . (5.7)
m
i=1
Also, since Bi Ai i 1, P(Bi ) P(Ai ) i 1 (using Property 2). Therefore, the finite sum of
probabilities follow
Xn n
X
P(Bi ) P(Ai ).
i=1 i=1
5.2 Exercises
1. a) Prove Claim 1 and Claim 2 stated in Property 5.
5-4 Lecture 5: Properties of Probability Measures
2. A standard card deck (52 cards) is distributed to two persons: 26 cards to each person. All partitions
are equally likely. Find the probability that the first person receives all four aces.
3. Consider two events A and B such that P(A) > 1 and P(B) > 1 , for some very small > 0.
Prove that P(A B) is close to 1.
5. Consider a measurable space (, F) with = [0, 1]. A measure P is defined on the non-empty subsets
of (in F), which are all of the form (a, b), (a, b], [a, b) and [a, b], as the length of the interval, i.e.,
P((a, b)) = P((a, b]) = P([a, b)) = P([a, b]) = b a.