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Tutorials in Probability

# Tutorials in Probability

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1. Dynkin systems
2. Caratheodorys Extension
3. Stieltjes-Lebesgue Mesure
4. Measurability
5. lebesgue integration
6. Product Spaces
7. Fubini Theorem
8. jensen Inequality
9. Lp - Spaces p>=1
10. Bouded linear Functionls
11. Comlex Mesure
13. regular Measure
14. Maps of finite Vriation
15. Stieltjes Integration
16. Differentiation
17. Image Measure
18. The jacobian Formula
19. Fourier Transform
20. Gaussian measure
1. Dynkin systems
2. Caratheodorys Extension
3. Stieltjes-Lebesgue Mesure
4. Measurability
5. lebesgue integration
6. Product Spaces
7. Fubini Theorem
8. jensen Inequality
9. Lp - Spaces p>=1
10. Bouded linear Functionls
11. Comlex Mesure
13. regular Measure
14. Maps of finite Vriation
15. Stieltjes Integration
16. Differentiation
17. Image Measure
18. The jacobian Formula
19. Fourier Transform
20. Gaussian measure

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07/21/2013

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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