×
Language:

Tutorial 1: Dynkin systems 1
1. Dynkin systems
Deﬁnition 1
A
dynkin system
on a set
is a subset
D
of thepower set
(Ω)
, with the following properties:
(
i
)
D
(
ii
)
A,B
D
,A
B
B
\
A
D
(
iii
)
A
n
D
,A
n
A
n
+1
,n
1
+
n
=1
A
n
D
Deﬁnition 2
A
σ
-algebra
on a set
is a subset
of the power set
(Ω)
with the following properties:
(
i
)
(
ii
)
A
F
A
c
=
\
A
(
iii
)
A
n
,n
1
+
n
=1
A
n

Tutorial 1: Dynkin systems 2
Exercise 1.
Let
be a
σ
-algebra on Ω. Show that
, thatif
A,B
then
A
B
and also
A
B
. Recall that
B
\
A
=
B
A
c
and conclude that
is also a dynkin system on Ω.
Exercise 2.
Let (
D
i
)
i
be an arbitrary family of dynkin systemson Ω, with
=
. Show that
D
=
i
D
i
is also a dynkin system onΩ.
Exercise 3.
Let (
i
)
i
be an arbitrary family of
σ
-algebras on Ω,with
=
. Show that
=
i
i
is also a
σ
-algebra on Ω.
Exercise 4.
Let
A
be a subset of the power set
(Ω). Deﬁne:
D
(
A
)
=
{D
dynkin system on Ω :
A ⊆ D}
Show that
(Ω) is a dynkin system on Ω, and that
D
(
A
) is not empty.Deﬁne:
D
(
A
)
=
D∈
D
(
A
)
D

Tutorial 1: Dynkin systems 3
Show that
D
(
A
) is a dynkin system on Ω such that
A D
(
A
), andthat it is the smallest dynkin system on Ω with such property, (i.e. if
D
is a dynkin system on Ω with
A D
, then
D
(
A
)
D
).
Deﬁnition 3
Let
A
(Ω)
. We call
dynkin system generated
by
A
, the dynkin system on
, denoted
D
(
A
)
, equal to the intersection of all dynkin systems on
, which contain
A
.
Exercise 5.
Do exactly as before, but replacing dynkin systems by
σ
-algebras.
Deﬁnition 4
Let
A
(Ω)
. We call
σ
-algebra generated
by
A
, the
σ
-algebra on
, denoted
σ
(
A
)
, equal to the intersection of all
σ
-algebras on
, which contain
A
.
Deﬁnition 5
A subset
A
of the power set
(Ω)
is called a
π
-system
on
, if and only if it is closed under ﬁnite intersection, i.e. if it hasthe property:
A,B
A
A
B
A
Search History:
Searching...
Result 00 of 00
00 results for result for
• p.

Notes