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Rhys Ulerich, CAM 384K concepts (updated February 12, 2009) Page 1 of 1428 Aug
F ⊂
2
Ω
is a
σ
-algebra
i
ff 
F 
∅
(i)
 A
∈F 
=
⇒
A
=Ω
−
 A
∈F 
(ii)
 A
i
∈F∀
i
∈
=
⇒
∞
i
=
1
 A
i
∈F 
(iii)
∅
,
Ω
∈F 
.
F 
is closed under countable intersection.
Ω
∅
is the
sample space
.
F ⊂
2
Ω
is a
σ
-algebra of events.
A
∈F 
is an
event
.(
Ω
,
F 
)is a
measurable space
.
 µ
:
F →
[0
,
∞
]is a
measure
i
ff 
 µ
(
 A
)
≥
 µ
(
∅
)
=
0(i)
 A
i
∈F 
countable
,
 A
i
disjoint
=
⇒
µ
 A
i
=
 µ
(
 A
i
)(ii)If 
is a measure where
(
Ω
)
=
1 then
:
F →
[0
,
1] is a
probability measure
. It obeys
 A
⊂
B
=
⇒
(
 B
)
−
(
 A
)
=
(
 B
−
 A
)
≥
0(monotonicity)
 A
i
∈F 
,
 A
⊂
 A
i
=
⇒
(
 A
)
≤
(
 A
i
)(subadditivity)
 A
i
 A
=
⇒
(
 A
i
)
(
 A
)(continuity from below)
 A
i
 A
=
⇒
(
 A
i
)
(
 A
)(continuity from above)(
Ω
,
F 
,
)is a
probability space
.2 SeptIf 
A⊂
2
Ω
then
A
generates
σ
(
A
)
F 
,σ
-algebra :
A⊂F 
using that
F 
ι
⊂
2
Ω
,ι
∈
 I 
are
σ
-algebras
=
⇒
ι
∈
 I 
F 
ι
is a
σ
-algebra.Given(
Ω
1
,
F 
1
,
1
)
,...,
(
Ω
n
,
F 
n
,
n
)define the
product probability space
(
Ω
,
F 
,
)where
Ω
Ω
1
×···×
Ω
n
=
{
(
ω
1
,...,ω
n
) :
ω
i
∈
Ω
i
}F 
F 
1
×···×F 
n
=
σ
(
{
 A
1
×···×
 A
n
:
A
i
∈F 
i
}
)
1
×···×
n
where
(
 A
1
×···×
 A
n
)
=
1
(
 A
1
)
...
n
(
 A
n
)
F 
exists by Carathéodory’s extension theorem.
F 
is unique by the
π
−
λ
theorem.
P⊂
2
Ω
is a
π
-system
i
ff 
P
∅
(i)
 A
,
 B
∈P
=
⇒
A
∩
 B
∈P
(ii)
L⊂
2
Ω
is a
λ
-system
i
ff Ω
∈L
(i)
 A
,
 B
∈L
,
 A
⊂
B
=
⇒
B
−
 A
∈L
(ii)
 A
i
∈L
,
 A
i
 A
=
⇒
A
∈L
(iii)Generally,
λ
-systems are not
σ
-algebras.A
λ
-system which is additionally closed under intersection is a
σ
-algebra.If 
A⊂
2
Ω
then
A
generates
 
(
A
)
L
,λ
-system :
A⊂L
using that
L
ι
⊂
2
Ω
,ι
∈
 I 
are
λ
-systems
=
⇒
ι
∈
 I 
L
ι
is a
λ
-system.
 
Rhys Ulerich, CAM 384K concepts (updated February 12, 2009) Page 2 of 14(
π
-
λ
theorem
)
P⊂L
=
⇒
σ
(
P
)
⊂
 
(
P
)
⊂L
.The
Borel sets
on
are
R
σ
open sets in
=
σ
(
{
(
a
,
b
] :
a
<
b
}
)
=
σ
(
{
(
a
,
b
):
a
<
b
}
).The Borel sets on
n
are
R
 n
σ
open sets in
n
=
R×···×R
.For measure
µ
:
R→
[0
,
∞
], assume
∃
F 
:
→
such that
µ
((
a
,
b
])
=
F 
(
b
)
−
F 
(
a
).Such an
F 
must be nondecreasing and right continuous.(
Lebesgue-Stieltjes
)
F 
:
→
nondecreasing, right-continuous
=
⇒ ∃
!
 µ
:
R→
[0
,
∞
] where
µ
((
a
,
b
])
=
F 
(
b
)
−
F 
(
a
).(
Lebesgue measure
) The unique measure
λ
:
R→
[0
,
∞
] where
λ
((
a
,
b
])
=
b
−
a
.4 Sept
{
 X 
∈
B
}
 X 
−
1
(
 B
)
=
{
ω
∈
Ω
:
X 
(
ω
)
∈
B
}
.A
random variable
is a function
X 
:(
Ω
,
F 
)
→
such that
{
 X 
∈
B
}∈F∀
 B
∈R
.Define the
probability measure
µ
 X 
:
→
[0
,
1], called the
distribution
, such that
µ
 X 
(
 B
)
=
(
 X 
∈
B
)
.(
,
R
,µ
 X 
)is a
probability space
.The
distribution function
of 
X 
is
F 
 X 
:
→
[0
,
1] such that
F 
 X 
(
 x
)
(
 X 
≤
x
)
=
 µ
 X 
((
−∞
,
 x
]).Every
F 
 X 
satisfies
 x
≤
 y
=
⇒
F 
(
 x
)
≤
F 
(
 y
)(i)
 x
n
x
=
⇒
F 
(
 x
)
=
lim
n
F 
(
 x
n
)
=
F 
(
 x
+
)(ii)
(
 X 
=
x
)
=
F 
(
 x
)
−
F 
(
 x
−
)(iii)
(
 X 
<
x
)
=
F 
(
 x
−
)(v)
F 
(
−∞
)
lim
 x
→−∞
F 
(
 x
)
=
0(vi)
F 
(
+
∞
)
lim
 x
→
+
∞
F 
(
 x
)
=
1(vii)Properties (i), (ii), (vi), and (vii) characterize a distribution.Given
F 
:
→
obeying (i), (ii), (vi), and (vii), there exists a random variable
X 
such that
F 
 X 
=
F 
.
F 
−
1left
(
 y
)
sup
{
 x
∈
 X 
:
F 
(
 x
)
<
y
}
is the
left continuous inverse
of a distribution
F 
.
F 
−
1right
(
 y
)
sup
{
 x
∈
 X 
:
F 
(
 x
)
≤
 y
}
is the
right continuous inverse
of a distribution
F 
.Generally,
F 
−
1
(
 y
)
F 
−
1left
(
 y
) is used.
F 
 X 
continuous
=
⇒
F 
 X 
(
 X 
) is uniformly distributed on(0
,
1).9 SeptRandom variables
X 
and
Y 
are
equal in distribution
, denoted
X 
d 
=
Y 
, when
F 
 X 
=
F 
Y 
.Define the
indicator function
1
 A
(
 x
)
=
1
x
∈
 A
0
x
 A
.
 X 
:(
Ω
,
F 
)
→
(
S
,
S
)is
measurable
if 
∀
 B
∈S{
 X 
∈
B
}∈F 
.
 X 
measurable wrt
F 
is also written
X 
∈F 
.For(
Ω
,
F 
)
X 
→
(
S
,
S
=
σ
(
A
)), if 
{
 X 
∈
 A
}∈F∀
 A
∈A
then
X 
is measurable.For(
Ω
,
F 
)
X 
→
(
S
,
S
)
 f 
→
(
T 
,
T 
)if 
X 
,
f 
measurable then
f 
(
 X 
)measurable.
 X 
1
,
 X 
2
,...
 X 
n
random variables,
f 
:(
n
,
R
n
)
→
(
,
R
)measurable
=
⇒
f 
(
 X 
1
,...,
 X 
n
) a random variable.For example,
X 
1
+
···
+
 X 
n
is a random variable.
 
Rhys Ulerich, CAM 384K concepts (updated February 12, 2009) Page 3 of 14
 X 
1
,...,
 X 
n
,...
random variables
=
⇒
inf 
 X 
n
, sup
 X 
n
, liminf 
 X 
n
, and limsup
 X 
n
are all random variables.The
extended real numbers
are
∪{−∞
,
+
∞}
. The
extended Borel sets
are
R
σ
.An
extended random variable
is a function
X 
:(
Ω
,
F 
)
→
such that
{
 X 
∈
B
}∈F∀
 B
∈R
.All random variables are automatically extended random variables.Property
p
(
ω
)is satisfied
almost everywhere
(a
.
e
.
) when
µ
(
{
ω
∈
Ω
:
¬
 p
(
ω
)
}
)
=
0.Property
p
(
ω
)is satisfied
almost surely
(a
.
s
.
) when
µ
(
{
ω
∈
Ω
:
¬
 p
(
ω
)
}
)
=
0.
 X 
=
Y 
almost surely
when
(
 X 
Y 
)
=
 µ
(
{
 X 
−
Y 
0
}
)
=
0.For
X 
:(
Ω
,
F 
)
→
(
S
,
S
)measurable,
σ
(
 X 
)
 X 
−
1
(
 B
) :
B
∈S
is the
σ
-algebra generated by
X 
.
A
generates
S
=
⇒
X 
−
1
(
A
) generates
σ
(
 X 
).
Y 
:
Ω
→
,
Y 
measurable on
σ
(
 X 
)
=
⇒ ∃
 f 
:
R→R
:
Y 
=
f 
(
 X 
).11 Sept16 Sept(
Ω
,
F 
,µ
)is
σ
-finite
if 
∃
 A
n
∈F 
,
 A
n
Ω
:
µ
(
 A
n
)
<
∞
.
 f 
:
Ω
→
measurable is a
simple function
if 
f 
=
a
i
1
 A
i
where
a
i
∈
,
A
i
∈F 
disjoint,
µ
(
 A
i
)
<
∞
.There are four incremental stages in the development of the
Lebesgue integral
:
 
f d 
 µ
a
i
 µ
(
 A
i
)(1.
f 
simple)
 
f d 
 µ
sup
ϕ
≤
 f 
ϕ
simple
 
ϕ
d 
 µ
=
inf 
ϕ
≥
 f 
ϕ
simple
 
ϕ
d 
 µ
(2.
f 
bounded, finite support)
 
f d 
 µ
sup
0
≤
h
≤
 f h
bounded
h
finite support
 
hd 
 µ
(3.
f 
≥
0)
 
f d 
 µ
 
f 
+
d 
 µ
−
 
f 
−
d 
 µ
(4.
f 
=
f 
+
−
f 
−
)For
f 
≥
0 we get the
continuity
result
 
(
 f 
∧
n
)1
 A
n
d 
 µ
 
f d 
 µ
using
A
n
underlying the
σ
-finite space.For
f 
=
f 
+
−
f 
−
, we say
f 
is
integrable
only when
 
f 
+
d 
 µ,
 
f 
−
d 
 µ <
∞
.Note
|
 f 
|
=
f 
+
+
f 
−
and
 
|
 f 
|
d 
 µ
⇐⇒
 
f 
+
d 
 µ,
 
f 
−
d 
 µ <
∞
.The Legesgue integral has the following properties:
 f 
≥
0a
.
e
.
=
⇒
 
f d 
 µ
≥
0(i)
 
af d 
 µ
=
a
 
f d 
 µ
(ii)
 
f 
+
gd 
 µ
=
 
f d 
 µ
+
 
gd 
 µ
(iii)
 f 
≤
g
a
.
e
.
=
⇒
 
f d 
 µ
≤
 
gd 
 µ
(iv)
 f 
=
g
a
.
e
.
=
⇒
 
f d 
 µ
=
 
gd 
 µ
(v)
 
f d 
 µ
≤
 
|
 f 
|
d 
 µ
(vi)
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