Key to Corrections for Problem Set 1

Prove: For events E1 , E2 , ..., En ,

n
X n
X n
X
P (∪nk=1 Ek ) = P (Ei ) − P (Ei Ej ) + P (Ei Ej Ek ) − ... + (−1)n−1 P (E1 E2 ...En ).
i i<j i<j<k

Proof. We first show that the claim holds for n=1 and n=2. The case n = 1 is a trivial
case (P (E1 ) = P (E1 )).
Let E1 and E2 be events. We have already proven that

P (E1 ∪ E2 ) = P (E1 ) + P (E2 ) − P (E1 E2 ). (1)

Suppose that for events E1 , E2 , ..., En ,

n
X n
X n
X
P (∪nk=1 Ek ) = P (Ei )− P (Ei Ej )+ P (Ei Ej Ek )−...+(−1)n−1 P (E1 E2 ...En ). (2)
i i<j i<j<k
Then,

P (∪n+1 n
k=1 Ek ) =P (∪k=1 Ek ∪ En+1 )
=P (∪nk=1 Ek ) + P (En+1 ) − P (∪nk=1 Ek ∩ En+1 ), using (1)
=P (∪nk=1 Ek ) + P (En+1 ) − P (∪nk=1 (Ek ∩ En+1 ))
n
X Xn X n
= P (Ei ) − P (Ei Ej ) + P (Ei Ej Ek ) − ... + (−1)n−1 P (E1 E2 ...En )
i i<j i<j<k
n
X n
X
+ P (En+1 ) − P (Ei En+1 ) − P ((Ei En+1 )(Ej En+1 ))
i i<j
n
X
+ P ((Ei En+1 )(Ej En+1 )(Ek En+1 )) − ...
i<j<k

n−1
+ (−1) P ((E1 En+1 )(E2 En+1 )...(En En+1 ))

Here we applied to P (∪nk=1 Ek ) and P (∪nk=1 (Ek ∩ En+1 )) the induction hypothesis
given by equation(2). More specifically, we treat Ek ∩ En+1 as one event.
Xn n
X Xn
= P (Ei ) − P (Ei Ej ) + P (Ei Ej Ek ) − ... + (−1)n−1 P (E1 E2 ...En )
i i<j i<j<k
n
X n
X n
X
+ P (En+1 ) − P (Ei En+1 ) − P (Ei Ej En+1 ) + P (Ei Ej Ek En+1 ) − ...
i i<j i<j<k

n−1
+ (−1) P (E1 E2 ...En En+1 )
n
X n
X n
X
= P (Ei ) − P (Ei Ej ) + P (Ei Ej Ek ) − ... + (−1)n−1 P (E1 E2 ...En )
i i<j i<j<k
Xn n
X n
X
+ P (En+1 ) − P (Ei En+1 ) + P (Ei Ej En+1 ) − P (Ei Ej Ek En+1 ) + ...
i i<j i<j<k

+ (−1)n P (E1 E2 ...En En+1 )

n+1
X n+1
X n+1
X
= P (Ei ) − P (Ei Ej ) + P (Ei Ej Ek ) − ... + (−1)n P (E1 E2 ...En+1 ).
i i<j i<j<k

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