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Monotone class theorem

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In measure theory and probability, the monotone class theorem connects monotone classes and 𝜎-
algebras. The theorem says that the smallest monotone class containing an algebra of sets is precisely
the smallest 𝜎-algebra containing It is used as a type of transfinite induction to prove many other
theorems, such as Fubini's theorem.

Contents

Definition of a monotone class

Monotone class theorem for sets

Monotone class theorem for functions

Proof

Results and applications

See also

Citations

References

Definition of a monotone class

A monotone class is a family (i.e. class) of sets that is closed under countable monotone unions and
also under countable monotone intersections. Explicitly, this means has the following properties:

1. if and then and

2. if and then

Monotone class theorem for sets

Monotone class theorem for sets — Let be an algebra of sets and define to be the
smallest monotone class containing Then is precisely the 𝜎-algebra generated by
; that is

Monotone class theorem for functions

Monotone class theorem for functions — Let be a π-system that contains and let be
a collection of functions from to with the following properties:

1. If then where denotes the indicator function of

2. If and then and

3. If is a sequence of non-negative functions that increase to a bounded function

then

Then contains all bounded functions that are measurable with respect to which is
the 𝜎-algebra generated by

Proof

The following argument originates in Rick Durrett's Probability: Theory and Examples.[1]

Proof

The assumption (2), and (3) imply that is a 𝜆-system. By (1) and
the π−𝜆 theorem, Statement (2) implies that contains all simple functions, and
then (3) implies that contains all bounded functions measurable with respect to

Results and applications

As a corollary, if is a ring of sets, then the smallest monotone class containing it coincides with the 𝜎-ring
of

By invoking this theorem, one can use monotone classes to help verify that a certain collection of subsets is
a 𝜎-algebra.

The monotone class theorem for functions can be a powerful tool that allows statements about particularly
simple classes of functions to be generalized to arbitrary bounded and measurable functions.

See also

Dynkin system – Family closed under complements and countable disjoint unions

π-𝜆 theorem – Family closed under complements and countable disjoint unions

π-system – Family of sets closed under intersection

σ-algebra – Algebric structure of set algebra

Citations

1. ^ Durrett, Rick (2010). Probability: Theory and Examples (4th ed.). Cambridge University Press. p. 276 .
ISBN 978-0521765398.

References

Durrett, Richard (2019). Probability: Theory and Examples (PDF). Cambridge Series in Statistical and
Probabilistic Mathematics. Vol. 49 (5th ed.). Cambridge New York, NY: Cambridge University Press.
ISBN 978-1-108-47368-2. OCLC 1100115281 . Retrieved November 5, 2020.

Last edited on 7 September 2023, at 12:02

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