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    This document introduces some key concepts in probability and measure theory. It defines a measurable space as consisting of a sample space and a σ-field, and a measure space as a measurable space equipped with a measure. A probability measure is a special type of measure where the total measure is 1. Examples of measures discussed include the counting measure and Lebesgue measure. Properties of measures like monotonicity, subadditivity, and continuity are proved. The cumulative distribution function of a probability measure is introduced.

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    n709 1

    Uploaded by

    S Nguyen
    5 views2 pages
    This document introduces some key concepts in probability and measure theory. It defines a measurable space as consisting of a sample space and a σ-field, and a measure space as a measurable space equipped with a measure. A probability measure is a special type of measure where the total measure is 1. Examples of measures discussed include the counting measure and Lebesgue measure. Properties of measures like monotonicity, subadditivity, and continuity are proved. The cumulative distribution function of a probability measure is introduced.

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    This document introduces some key concepts in probability and measure theory. It defines a measurable space as consisting of a sample space and a σ-field, and a measure space as a measurable space equipped with a measure. A probability measure is a special type of measure where the total measure is 1. Examples of measures discussed include the counting measure and Lebesgue measure. Properties of measures like monotonicity, subadditivity, and continuity are proved. The cumulative distribution function of a probability measure is introduced.

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    © All Rights Reserved
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    5 views2 pages

    n709 1

    Uploaded by

    S Nguyen
    This document introduces some key concepts in probability and measure theory. It defines a measurable space as consisting of a sample space and a σ-field, and a measure space as a measurable space equipped with a measure. A probability measure is a special type of measure where the total measure is 1. Examples of measures discussed include the counting measure and Lebesgue measure. Properties of measures like monotonicity, subadditivity, and continuity are proved. The cumulative distribution function of a probability measure is introduced.

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    Lecture 1: Measurable space, measure and probability

    Random experiment: uncertainty in outcomes


    Ω: sample space or outcome space; a set containing all possible outcomes
    Definition 1.1. Let F be a collection of subsets of a sample space Ω. F is called a σ-field
    (or σ-algebra) if and only if it has the following properties.
    (i) The empty set ∅ ∈ F .
    (ii) If A ∈ F , then the complement Ac ∈ F .
    (iii) If Ai ∈ F , i = 1, 2, ..., then their union ∪Ai ∈ F .
    F is a set of sets
    Two trivial examples: F contains ∅ and Ω only and F contains all subsets of Ω
    Why do we need to consider other σ-field?
    F = {∅, A, Ac , Ω}, where A ⊂ Ω
    C = a collection (set) of subsets of Ω
    σ(C): the smallest σ-field containing C (called the σ-field generated by C)
    σ(C) = C if C itself is a σ-field
    Γ = {F : F is a σ-field on Ω and C ⊂ F }
    σ(C) = ∩F∈Γ F
    σ({A}) = σ({A, Ac }) = σ({A, Ω}) = σ({A, ∅}) = {∅, A, Ac , Ω}
    Rk : the k-dimensional Euclidean space (R1 = R is the real line)
    Bk : the Borel σ-field on Rk ; Bk = σ(O), O is the collection of all open sets
    C ∈ Bk , BC = {C ∩ B : B ∈ Bk } is the Borel σ-field on C
    Measure: length, area, volume...
    Definition 1.2. Let (Ω, F ) be a measurable space. A set function ν defined on F is called
    a measure if and only if it has the following properties.
    (i) 0 ≤ ν(A) ≤ ∞ for any A ∈ F .
    (ii) ν(∅) = 0.
    (iii) If Ai ∈ F , i = 1, 2, ..., and Ai ’s are disjoint, i.e., Ai ∩ Aj = ∅ for any i 6= j, then
    ∞ ∞
    !
    [ X
    ν Ai = ν(Ai ).
    i=1 i=1

    (Ω, F ) a measurable space; (Ω, F , ν) a measure space


    If ν(Ω) = 1, then ν is a probability measure (we usually use notation P instead of ν)

    1
    A measure ν may take ∞ as its value
    (1) For any x ∈ R, ∞ + x = ∞, x ∞ = ∞ if x > 0, x ∞ = −∞ if x < 0, and 0 ∞ = 0;
    (2) ∞ + ∞ = ∞;
    (3) ∞a = ∞ for any a > 0;
    (4) ∞ − ∞ or ∞/∞ is not defined
    Examples:


     ∞ A ∈ F , A 6= ∅
    ν(A) =
    0 A = ∅.

    Counting measure. Let Ω be a sample space, F the collection of all subsets, and ν(A) the
    number of elements in A ∈ F (ν(A) = ∞ if A contains infinitely many elements). Then ν is
    a measure on F and is called the counting measure.
    Lebesgue measure. There is a unique measure m on (R, B) that satisfies m([a, b]) = b − a
    for every finite interval [a, b], −∞ < a ≤ b < ∞. This is called the Lebesgue measure. If we
    restrict m to the measurable space ([0, 1], B[0,1] ), then m is a probability measure.
    Proposition 1.1. Let (Ω, F , ν) be a measure space.
    (i) (Monotonicity). If A ⊂ B, then ν(A) ≤ ν(B).
    (ii) (Subadditivity). For any sequence A1 , A2 , ...,
    ∞ ∞
    !
    [ X
    ν Ai ≤ ν(Ai ).
    i=1 i=1

    (iii) (Continuity). If A1 ⊂ A2 ⊂ A3 ⊂ · · · (or A1 ⊃ A2 ⊃ A3 ⊃ · · · and ν(A1 ) < ∞), then


     
    ν lim An = lim ν (An ) ,
    n→∞ n→∞

    where ∞ ∞
    !
    [ \
    lim An = Ai or = Ai .
    n→∞
    i=1 i=1

    Let P be a probability measure. The cumulative distribution function (c.d.f.) of P is defined


    to be
    F (x) = P ((−∞, x]) , x ∈ R
    Proposition 1.2. (i) Let F be a c.d.f. on R. Then
    (a) F (−∞) = limx→−∞ F (x) = 0;
    (b) F (∞) = limx→∞ F (x) = 1;
    (c) F is nondecreasing, i.e., F (x) ≤ F (y) if x ≤ y;
    (d) F is right continuous, i.e., limy→x,y>x F (y) = F (x).
    (ii) Suppose that a real-valued function F on R satisfies (a)-(d) in part (i). Then F is the
    c.d.f. of a unique probability measure on (R, B).

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