Lecture 3. Kolmogorov’s axioms.

DEFINITION 1: Let Ω be any set and A be system of subsets of the Ω. A is called an algebra if

1) A ϵ A ⇨ A ϵ A ¿

2) A1 , … , A n ϵ A ⇨ ¿ i=1 ¿ n A i ϵ A

We see that from definition algebra is the closed system with respect to the operations
complement and finite union.

DEFINITION 2: The system J of the subsets ofΩ is called σ −¿ algebra if the following conditions
hold:

1) Aϵ J ⇨ A ϵ J ¿

2) A1 , … , A n … ϵ J ⇨ ¿ i=1 ¿ ∞ Ai ϵ J

We see that σ −¿algebra is the closed system with respect to the operations complement
and countable union.

From definition of algebra and sigma algebra we see that:

1) Ωϵ A∧also Ωϵ J ;
2) ∅ ϵ A∧also ∅ ϵ J ;

3 ¿ ¿ i=1 ¿ n A i ϵ A∧also ¿ i=1 ¿ ∞ A i ϵ J .

Proof of 1.From the definition of algebra we see that

Ωϵ A since A=Ω/ A here A ϵ A∧ Aϵ A implies that Ωϵ A .

From the definition of σ −algebra we see that

Ωϵ J since A=Ω/ A here A ϵ J ∧ Aϵ J implies that Ωϵ J

Proof of 2. If

∅ ϵ A then ∅ ϵ A since ∅=Ω 1¿ ¿ Ωϵ A .

⇒

If

∅ ϵ J then ∅ ϵ J since ∅=Ω1 ¿ ¿ Ωϵ J .

⇒

Proof of 3. It is clear that we can write

¿ i=1 ¿ n A i=Ω/¿ i ¿ n ¿¿

Ω/ Ai =A i ϵ A
From the definition of algebra ¿ i=1 ¿ n A i ϵ A . From here we have

Ω/ ¿ i=1 ¿ n A i ¿=¿ i=1 ¿ n A i ¿ ϵ A

By De Morgan law

¿ i=1 ¿ n A i ¿=¿ i=1 ¿ n A i

Thus, we obtain that

¿ i=1 ¿ n A i ϵ A

Similarly, It is clear that we can write

¿ i=1 ¿ ∞ A i=Ω/¿ i¿ ∞¿ ¿

Ω/ Ai =A i ϵ J

From the definition of algebra ¿ i=1 ¿ ∞ A i ϵ J . From here we have

Ω/¿ i=1 ¿ ∞ A i ¿=¿ i=1 ¿ ∞ A i ¿ ϵ J

By De Morgan law

¿ i=1 ¿ ∞ A i ¿=¿ i=1 ¿ ∞ Ai

Thus, we obtain that

¿ i=1 ¿ ∞ A i ϵ J

End of proof.

Note that if Ω is a finite sample space then notions algebra and σ −¿algebra are the same.

EXAMPLE: Let Ω be any sample space . In this case the system { ∅ , Ω } is an algebra and σ −¿
algebra. This σ −¿algebra is called minimal σ −¿algebra (or trivial , poor σ −¿ algebra ).

EXAMPLE: The system of all subsets of Ω is σ −¿algebra . This σ −¿algebra is called the largest
σ −¿algebra (maximal, richest sigma algebra).

EXAMPLE: The system { A , A , ∅ , Ω } is σ −¿algebra. This σ −¿algebra is called σ −¿algebra

generated by event A.

EXAMPLE: Let Ω be finite sample space

Ω={ w 1 , w 2 , w 3 , w 4 }

J 1= {{ w 1, w2 } , { w 3 , w 4 } , ∅ , Ω }

the system is algebra and σ −¿ algebra . Since Ω is finite.

Let consider the following system

 J 2= {{ w 1 } , { w 2 } , ∅ , Ω }

this system is not algebra and σ −¿ algebra because

{ w1 }= {w2 , w3 , w 4 }
Is not belong to the system J 2.

Note that the intersection of the σ −¿ algebra is σ −¿algebra. But union of the σ −¿ algebra
maybe σ −¿algebra and may not be σ −¿ algebra.
 Kolmogorov’s axioms

Let Ω be any sample space and J be any σ −¿algebra generated by subsets of Ω. Set
function P ( A ) ; Aϵ J is called probability measura or probability of the event A if the following
axioms hold:

P1 ¿ P ( A ) ≥ 0; Aϵ J −nonnegativity .

P2 ¿ For A i ϵ J ;i=1,2 , …such that Ai ∩ A j = ∅ , i≠ j

∞
P ( ¿ i=1 ¿ ∞ A i )=∑ P( A i ¿)−σ additivity . ¿
i=1

P3 ¿ P ( Ω) =1.

The triplet ( Ω , J , P ) is called probability space where Ω issample space, J is the σ −¿ algebra
generated by subsets of Ω and P is the probability measure defined by axioms P1−P3 . The
probability space is the mathematical model of the stochastic experiment.

In case when Ω is discrete sample space each subset of Ω is called event. But in general case
when Ω also maybe uncountable we cannot called event any subset of Ω. In this case, any
element of σ −¿ algebra is called event: Aϵ J is called event.
 Properties of probability

Using Kolmogorov’s axioms and operations over events we shall prove properties of the
probability measure.
Let (Ω , F ,P) be some probability space.
1. P(∅ ) = 0
Proof. We know that∅ ∪Ω=Ω. Therefore
P( ∅ ∪ Ω)=P(Ω)

On the other hand ∅ ∩Ω=∅ .

Therefore by the Kolmogorov axiom P2 i.e.,

we can write P( ∅)+ P(Ω)=P(Ω)

From here we obtain
P( ∅)=0 . ∎
2. P( A ) = 1−¿ P(A)
Proof. By the definition of complement we have A ∪ A=Ω. Therefore
P( A ∪ A)=P(Ω)
Since A ∩ A=∅ then by the second Kolmogorov’s axiom we have
P( A)+ P( A)=P( Ω) .
By the third Kolmogorov’s axiom i.e., P(Ω)=1 we get
P( A)=1−P( A) . ∎
3. Monotonicity of probability:
If A ⊆ B , then P( A)≤ P( B) .
Proof.

B
A

Fig. 1
Here C=B ∖ A . From the figure 1 we see that B= A ∪ C and the events A, C are disjoint.
Therefore
P( B)=P( A ∪ C) .
On the other hand A ∩C=∅ . Therefore by the second Kolmogorov’s axiom we have
 P( B)=P( A)+ P(C).
By the first Kolmogorov axioms we have P(C)≥ 0. Therefore if we throw out P(C) we obtain
P( B)≥ P( A) .
This property has been proved. ∎
4. Probability of the difference:
Let A ⊆ B , then P( B ∖ A)=P(B)−P ( A ).
Proof.

A
B

Fig. 2

Here C=B ∖ A . From the figure 2 we see that B= A ∪C and the sets A, C are disjoint. Therefore,
P( B)=P( A ∪ C)
On the other hand, A ∩C=∅ . Therefore by the second Kolmogorov’s axiom we have
P( B)=P( A)+ P(C)
From here we get
P(C)=P(B)−P(A ).
Substituting C=B ∖ A in the last equality we obtain
P(B ∖ A)=P(B)−P (A ).
The proof is complete.∎

5. P( B ∖ A)=P(B) – P( A ∩ B)
Proof.

C1 C2

Fig. 3
Here C 1 = A ∩ Band C 2=B ∖ A . From the figure 3 we see that B=C 1 ∪C 2and the setsC 1, C 2 are
disjoint, i.e.,C 1 ∩C 2=∅ . Therefore,
P( B)=P(C 1 ∪ C 2).
Since C 1 ∩C 2=∅ , we can apply the second Kolmogorov’s axiom and write
P( B)=P(C 1) + P (C 2).
From here we get
P (C 2) = P( B)– P ¿ )
Substituting C 1 = A∩B and C 2 = B∖A in the last equality we get
P( B ∖ A)=P(B) – P( A ∩ B).
We have proved this property.∎
6. P( A ∪ B)=P( A)+ P(B) – P( A ∩ B)
Proof.

C2
C3
C1

Fig. 4

From the figure 4 we see that A∪B= C 1 ∪C 2 ∪ C3 . So, we can write

P ¿A∪B) = P (C 1 ∪C 2 ∪ C3 ).
Since C 1 ,C 2,C 3 are disjoint, then by the second Kolmogorov’s axiom
P ¿A∪B) = ¿ ) = P ¿) + P (C 2) + P (C 3).
Here C 1 = A∖B, C 2 = A∩B, C 3 = B∖A.
Therefore, by the fifth property we have
P( A ∪ B)=P( A ∖ B)+ P( A ∩ B)+ P (B ∖ A)=P( A) – P( A ∩ B)+ P( A ∩B)+ P( B) – P( A ∩ B)=P( A)+ P(B
Thus, we obtain
P( A ∪ B)=P( A)+ P(B) – P( A ∩ B) .
The proof is complete. ∎
7. Probability of symmetric difference:
P( A ∆ B)=P( A)+ P(B) – 2 P( A ∩ B).
Proof.
Using operations of union, intersection and difference, the symmetric difference can be
expressed as follows
A ∆ B=( A ∪B)∖( A ∩ B).
We can write the following
Fig.5
P( A ∆ B)=P((A ∪ B)∖( A ∩ B)) .
Using the fifth and sixth properties we can write

P ( A ∆ B )=P ( A ∪ B ) – P ( A ∩B )=¿

¿ P ( A ) + P ( B ) – P( A ∩ B) – P( A ∩ B)=¿

¿ P( A)+ P(B) – 2 P( A ∩ B).

Thus,
P( A ∆ B)=P( A)+ P(B)– 2 P( A ∩ B).
The proof is complete. ∎

Geometrical probability

If the stochastic experiment has the uncountable outcomes in this case we cannot use the
classical probability. Therefore we need a new definition of the probability. For example,
if our stochastic experiment consists of shooting of any disk target. In this case the sample
space has the following form:
Ω={( x , y ) : x 2+ y 2 ≤ R 2 }∪ { D }

Where R is the radius of disk and D is shooting out of target. We see that our sample is
uncountable set.
Let’s consider another example. Let’s measure the temperature of some room. In this case
the sample space has the following form:
Ω=[−T , T ],T ≥0
For the grate mathematical model of the similar stochastic experiments we introduce a new
notion - notion of geometric probability.
Let Ω ⊆ Rn, n ≥ 1be the subset of Euclidean space Rn . By β (Ω) we denote the σ-
algebra (Borelianσ algebra) of subsets of Ω . Probability of any event A ∈ β ¿) is defined by
 mes ( A )
P( A)= (1)
mes ( Ω )
wheremes( Ω)< ∞, and mes( Ω) is finite and a Lebesgue measure.
Note that in one-dimensional case (n=1), the Lebesgue measure means length, in two-
dimensional case (n=2) it means area, and in three-dimensional case (n=3) it means
volume.
Geometrical probability satisfies Kolmogorov axioms.
Example 1. Let we choose at random a point from the circle of radius R. Find the
probability that this point also belongs to the square inscribed in a circle?
In this case sample space is
Ω={( x , y ) : x 2+ y 2 ≤ R 2 }

We see that mes ( Ω )=S d=π R2.

Let introduce the following event

A=¿

In this case

2
mes ( A ) =S s=2 R

mes ( A ) 2 R2 2
P ( A )= = =
mes ( Ω ) π R2 π

We see that P( A) doesn’t depend on R .

Example 2. Let coefficients b , c of the quadratic equation

2
x + bx+ c=0
be chosen at random from the interval [0,2]. Find the probability that this equation has the real
solutions.

Solution. Ω is the set of pairs (b , c ):

Ω={ ( b , c ) : 0≤ b ≤ 2 ,0 ≤ c ≤2 }

is the set of pairs for which the equation has real

A (b , c )

roots:

A={( b , c ) : D=b −4 c ≥ 0 }
2

Geometrically the sample space Ω is square

mesΩ=S s=4.

From b 2−4 c ≥ 0 we find:

b2
c≤
4

Therefore, measure of A is:

2
mes ( A ) =∫
0
b2
4
db= |
b3 2 8 2
= =
12 0 12 3

Therefore by the definition of geometrical probability:

2
mes ( A ) 3 1
P ( A )= = =
mes ( Ω ) 4 6