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1

I) Show that the deﬁnition of probability implies:

1: Probability of the impossible event P{∅} = 0.

Note: A common technique is to partition the space, i.e. cover it completely with disjoint sets:

A family of sets A

1

, A

2

, A

3

, A

4

, etc. . . is called a partition of space S if

(1) they are mutually exclusive, A

j

∩ A

k

= ∅ for any k = j, and

(2) their union completely covers the space, S = A

1

∪ A

2

∪ A

3

∪ . . .

Note: The notation “+” introduced in class can be used in this case instead of “∪”. In other words,

the statement “the family of sets A

1

, A

2

, A

3

, A

4

, etc. . . is a partition of space S” is equivalent to

writing simply:

S = A

1

+A

1

+A

3

+ . . .

Proof. Events S and ∅ are mutually exclusive, S ∩ ∅ = ∅; they also cover the entire space,

S ∪ ∅ = S. In other words, S = S + ∅ is atrivial partition of S. Thus, using the additivity

property of probability, P(S) = P(S + ∅) = P(S) + P(∅) = 1. This is equivalent to

1 + P(∅) = 1, i.e. P(∅) = 0.

2: If

¯

A = complement of A, i.e.

¯

A∪ A = S and

¯

A∩A = ∅,

P(A) = 1 −P(

¯

A) ≤ 1.

Proof. The sets Aand

¯

Aform a partition of S. Using again the additivity property P(A) +

P(

¯

A) = P(A∪

¯

A) = P(S) = 1 which means that P(A) = 1 −P(

¯

A).

3: For any A and B,

P(A∪ B) = P(A) + P(B) −P(A∩ B).

Proof. It can be easily checked that the setsAand B∩

¯

Aare a partition of A. Then A∪B =

A∪

B ∩

¯

A

(orA∪ B = A+

B ∩

¯

A

) implies P(A∪ B) = P (A) + P

B ∩

¯

A

. Similarly

set B can be partition into sets A ∩ B and B ∩

¯

A: B = (A∩ B) +

B ∩

¯

A

meaning that

P(B) = P (A∩ B) + P

B ∩

¯

A

. Therefore

P(A∪ B) = P (A) + P

B ∩

¯

A

= P (A) + P(B) −P (A∩ B) .

4: If A ⊂ B, then

P(B) = P(A) + P(B ∩

¯

A) ≥ P(A)

1

Proof. If A ⊂ B, sets A and B ∩

¯

A are a partition of B: B = A +

B ∩

¯

A

so P(B) =

P(A) + P

B ∩

¯

A

**. Since probabilities are positive numbers the inequality follows.
**

II) Prove that deﬁnition of the event class F implies that

1: IfA ∈ F and B ∈ F then A∩ B ∈ F .

Proof. By the deﬁnition of the event class F unions and complements of its elements be-

long to F. Since

¯

A ∪

¯

B = A∩ B, the event A ∩ B =

¯

A∪

¯

B is a combination of union and

complements, therefore t A∩ B ∈ F.

2: Both S and ∅ belong to F.

Proof. Let A ∈ F be an event (the class F is not empty). S = A ∪

¯

A and ∅ = A ∩

¯

A.They

are expressed as unions and intersections of events so they are events.

3: Finite unions and intersections of events are events.

Note: This proof is easiest done by induction. The technique is the following. Prove that the statement

is true for 2 events. Then prove that if it’s true for n events, it must be true for n + 1 events. Since

it was true for n = 2 then it has to be true for n = 2 + 1 = 3, then for n = 4, and so on, for any

value of n.

Proof. Let {A

k

}

k∈N

be a sequence of events. By deﬁnition A

1

∪ A

2

∈ F. Assume that

B =

n

k=1

A

k

∈ F. Then,

n+1

k=1

A

k

= (

n

k=1

A

k

) ∪A

n+1

= B∪A

n+1

is a union of two events,

which was shown to be an event. So

N+1

k=1

A

k

∈ F. Similar procedure for intersections of

events, and combinations of unions and intersections.

III) Show that if A∩ B = ∅, P(A) ≤ P(

¯

B).

Note: If A∩ B = ∅, it follows that A ⊂

¯

B. You can check it using Venn diagrams. Or, here’s a proof

of this based on logic:

• because A∩ B = ∅, if x is an element of A, x ∈ A, it cannot be an element of B, x / ∈ B

A∩ B = ∅ ⇔ x ∈ A & x / ∈ B

• Note that not belonging to B leaves to x only one choice, to belong to

¯

B, since S = B +

¯

B; in

other words, every element of A also belongs

¯

B, i.e.

A ⊂

¯

B.

Proof. The proof is short. Thus, A∩ B = ∅ is equivalent to A ⊂

¯

B. From the property 4 of

probability, P(A) ≤ P(

¯

B).

IV) Show that

2

1: P(A) = P(B) = P(A∩ B) ⇒P

A∩

¯

B

∪

¯

A∩ B

= 0.

Proof. Since A =

A∩

¯

B

+(A∩ B), P(A) = P

A∩

¯

B

+P (A∩ B). But P(A) = P(A∩ B)

⇒P

A∩

¯

B

= 0. Similarly, P

B ∩

¯

A

**= 0, hence the result.
**

2: P(A) = P(B) = 1 ⇒P (A∩ B) = 1.

Proof. Since P(A) = P(B) = 1 the probabilities

¯

A and

¯

B have to be zero (S = A +

¯

A) so

P(

¯

A) = P(

¯

B) = 0. But

P (A∩ B) = P

¯

A∪

¯

B

= 1 −P

¯

A∪

¯

B

= 1 −P(

¯

A) −P(

¯

B) + P

¯

A∩

¯

B

,

that is

P (A∩ B) = 1 + P

¯

A∩

¯

B

.

Since

¯

A∩

¯

B ⊂

¯

A, P

¯

A∩

¯

B

≤ P

¯

A

= 0, so P (A∩ B) = 1.

V) Prove that:

P(A∪ B ∪ C) = P(A) + P(B) + P(C) −P(A∩ B) −P(A∩ C) −P(B ∩ C) + P(A∩ B ∩ C).

What is the corresponding decomposition for

P(A∪ B ∪ C ∪ D) =?

Proof. Using several times the rule for the probability of the union of events yields

P(A∪ B ∪ C) = P [(A∪ B) ∪ C] = P(A∪ B) + P(C) −P [(A∪ B) ∩ C] =

= P(A) + P(B) −P(A∩ B) + P(C) −P [(A∪ B) ∩ C] .

But (A∪ B) ∩ C = (A∩ C) ∪ (B ∩ C) so

P [(A∪ B) ∩ C] = P [(A∩ C) ∪ (B ∩ C)] = P (A∩ C) + P (B ∩ C) −P [(A∩ C) ∩ (B ∩ C)]

and since (A∩ C) ∩ (B ∩ C) = A∩ B ∩ C

P(A∪ B ∪ C) = P(A) + P(B) + P(C) −P(A∩ B) −P(A∩ C) −P(B ∩ C) + P(A∩ B ∩ C).

The expression should be a sum of the probabilities of all the sets, their 2-, 3- and 4-

intersections, with alternating signs.

3

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