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**1. The need for measure theory.
**

This introductory section is directed primarily to those readers who have some familiarity with undergraduate-level probability theory, and who may be unclear as to why it is necessary to introduce measure theory and other mathematical diﬃculties in order to study probability theory in a rigorous manner. We attempt to illustrate the limitations of undergraduate-level probability theory in two ways: the restrictions on the kinds of random variables it allows, and the question of what sets can have probabilities deﬁned on them.

**1.1. Various kinds of random variables.
**

The reader familiar with undergraduate-level probability will be comfortable with a statement like, “Let X be a random variable which has the Poisson(5) distribution.” The reader will know that this means that X takes as its value a “random” non-negative integer, such that the integer k ≥ 0 is chosen with probability P(X = k) = e−5 5k /k!. The expected value ∞ of, say, X 2 , can then be computed as E(X 2 ) = k=0 k 2 e−5 5k /k!. X is an example of a discrete random variable. Similarly, the reader will be familiar with a statement like, “Let Y be a random variable which has the Normal(0, 1) distribution.” This means that the probability that Y lies between two real numbers a < b is given 2 b by the integral P(a ≤ Y ≤ b) = a √1 e−y /2 dy. (On the other hand, 2π P(Y = y) = 0 for any particular real number y.) The expected value of, 2 ∞ say, Y 2 , can then be computed as E(Y 2 ) = −∞ y 2 √1 e−y /2 dy. Y is an 2π example of an absolutely continuous random variable. But now suppose we introduce a new random variable Z, as follows. We let X and Y be as above, and then ﬂip an (independent) fair coin. If the coin comes up heads we set Z = X, while if it comes up tails we set Z = Y . In symbols, P(Z = X) = P(Z = Y ) = 1/2. Then what sort of random variable is Z? It is not discrete, since it can take on an uncountable number of diﬀerent values. But it is not absolutely continuous, since for certain values z (speciﬁcally, when z is a non-negative integer) we have P(Z = z) > 0. So how can we study the random variable Z? How could we compute, say, the expected value of Z 2 ? The correct response to this question, of course, is that the division of random variables into discrete versus absolutely continuous is artiﬁcial. Instead, measure theory allows us to give a common deﬁnition of expected value, which applies equally well to discrete random variables (like X above), to continuous random variables (like Y above), to combinations of them (like

A FIRST LOOK AT RIGOROUS PROBABILITY THEORY - (Second Edition) © World Scientific Publishing Co. Pte. Ltd. http://www.worldscibooks.com/mathematics/6300.html

. b]) = P([a. Ltd. 6. In symbols. A3 .worldscibooks. What precisely does this mean? Well. (We include in this the degenerate case when a = b. . b)) = P((a. the probability that X lies in any interval contained in [0.) Similarly. so that P({a}) = 0 for the singleton set {a}. 1] (for example. Z above). 1]. . b]) = P((a. (1. we would like to extend (1. Indeed.2. suppose that X is a random variable which has the uniform distribution on the unit interval [0.(Second Edition) © World Scientific Publishing Co. (1. 5/6]). A FIRST LOOK AT RIGOROUS PROBABILITY THEORY .3) Equation (1.) = P(A1 ) + P(A2 ) + P(A3 ) + . and to other kinds of random variables not yet imagined.2) to the case of a countably inﬁnite number of disjoint subsets: if A1 . 1]) = x∈[0. and 12. then P (A ∪ B) = P(A) + P(B) . The need for measure theory. (1. then we would expect that P([0.2. .1] P({x}). 1. We can write this as 0 ≤ a ≤ b ≤ 1. . However. the probability that X is equal to any particular number a is zero. are disjoint subsets of [0. in words.2.2.2.2) P([a. to allow for countable operations (such as limits. Note that we do not extend equation (1. X ∼ Uniform[0.3) to uncountable additivity. then P (A1 ∪ A2 ∪ A3 ∪ . which are extremely important in probability theory).. The uniform distribution and non-measurable sets. continuous random variables are often studied in detail. . Equation (1.2. These issues are considered in Sections 4. A2 . if we did. http://www. and in general that if A and B are disjoint subsets of [0.1) In words. To take the simplest case. In undergraduate-level probability. 1/2] and B = [2/3. and in general that P(a ≤ X ≤ b) = b − a whenever 0 ≤ a ≤ b ≤ 1.2 1.com/mathematics/6300. with the same formula holding if ≤ is replaced by <. . etc.2. certainly this means that P(0 ≤ X ≤ 1) = 1 It also means that P(0 ≤ X ≤ 1/2) = 1/2. .2. that P(3/4 ≤ X ≤ 7/8) = 1/8. Indeed. this means that P(1/4 ≤ X ≤ 1/2 or 2/3 ≤ X ≤ 5/6) = P(1/4 ≤ X ≤ 1/2) + P(2/3 ≤ X ≤ 5/6) = 1/4 + 1/6 = 5/12 . a closer examination suggests that perhaps such random variables are not completely understood after all.3) is called countable additivity.2) is called ﬁnite additivity. 1] is simply the length of the interval. 1]. Pte. if A = [1/4. 1].html . b)) = b − a .

to reﬂect the fact that X is “uniform” on the interval [0.1) r rational Furthermore. (For a review of countable and uncountable sets.2. But now suppose we ask. to the contrary. 1] is contained in the union (H ⊕ r) of shifts of H. Ltd. 1] is not countable. a + r > 1}.e. (1. Proposition 1. (1. Let H be a subset of [0. 1] into a disjoint union of equivalence classes. we see that each point in (0.e. This relation partitions the interval [0. Suppose. are all probabilities such as these necessarily even deﬁned ? That is. assume that 0 ∈ H (say.2. 1]. i. 1). the probability that X lies in the subset A) even make sense for every possible subset A ⊆ [0. a + r ≤ 1} ∪ {a + r − 1 .3) and (1.5) on [0. the solution to some polynomial equation with integer coeﬃcients? Can we compute these things? More fundamentally. since H contains just one point from each equivalence class. if 0 ∈ H. 1]. The uniform distribution and non-measurable sets.2. are all disjoint.6.com/mathematics/6300. satisfying (1. α∈I rα is deﬁned to be the supremum of α∈J rα over ﬁnite J ⊆ I.) It is for this reason that we restrict attention to countable operations. we see that these sets H ⊕ r.3) since the interval [0. For deﬁniteness. Also.) Similarly.4) then we should have P(A ⊕ r) = P(A) .5). but can be skipped if desired since the result is not used elsewhere in this book. r∈[0. http://www. / Now. what is the probability that X is rational? What is the probability that X n is rational for some positive integer n? What is the probability that X is algebraic. deﬁned for all subsets A ⊆ [0. (There is no contradiction to (1.1. a ∈ A. see page 200). 1] consisting of precisely one element from each equivalence class (such H must exist by the Axiom of Choice. We will derive a contradiction to this.2.2.worldscibooks. for rational r ∈ [0. 3 which is clearly false since the left-hand side equals 1 while the right-hand side equals 0. since H contains an element of each equivalence class. Pte. then replace it by 1/2). A FIRST LOOK AT RIGOROUS PROBABILITY THEORY . 1] by: x ∼ y if and only if the diﬀerence y − x is rational. Proof (optional).2.. That is.2. recall that for non-negative uncountable collections {rα }α∈I . 1] we deﬁne the r-shift of A by A ⊕ r ≡ {a + r . 0 ≤ r ≤ 1. The proof requires equivalence relations. There does not exist a deﬁnition of P(A). 1]? It turns out that the answer to this last question is no.(Second Edition) © World Scientific Publishing Co. Deﬁne an equivalence relation (see Subsection A. the probability that X lies in some subset should be unaﬀected by “shifting” (with wrap-around) the subset by a ﬁxed amount.5) So far so good. a ∈ A. as the following proposition shows. if for each subset A ⊆ [0. 1]. does P(A) (i.1) and (1. that P(A) could be so deﬁned for each subset A ⊆ [0.html .2.2. see Subsection A.

with P(∅) = 0 and P{1. 1]) < ∞ and P{x} = 0 for all x.g. 2}. by countable additivity (1. see e. Suppose that Ω = N is the set of positive integers.6 continues to hold if we require only (1.2.3. The need for measure theory. Pte. This leads to the desired contradiction: A countably inﬁnite sum of the same quantity repeated can only equal 0.3. Proposition 1. 2} = 1.3) and that 0 < P([0. Exercise 1. 3}. This is the motivation for the next section. Exercise 1. Shift-invariance (1. Billingsley (1995.1) r rational P(H) .(Second Edition) © World Scientific Publishing Co. Is P ﬁnitely additive? Exercise 1. Suppose that Ω = N.3.5) implies that P(H ⊕ r) = P(H). y = P{2. Suppose that Ω = {1. 3} and F is the collection of all subsets of Ω. we have P((0. or ∞.3). or −∞.1) r rational P(H ⊕ r) . but it can never equal 1. 1]) = r∈[0.2. Remark. Prove that P is countably additive if and only if 3 P{2} = 4 . The existence of problematic sets like H above turns out to be equivalent to the Axiom of Choice. 1. then we cannot deﬁne them for all possible subsets of [0. we can never deﬁne such sets explicitly – only implicitly via the Axiom of Choice as in the above proof. This proposition says that if we want our probabilities to satisfy reasonable* properties.4. Ltd. Rather. In particular.2.3.2. Find (with proof) necessary and suﬃcient conditions on the real numbers x. whence 1 = P((0. and P(A) = 1 if A is inﬁnite. Suppose Ω = {1. 1]. http://www. and z.html . with x = P{1. 2}. we must restrict their deﬁnition to certain “measurable” sets. 3}. such that there exists a countably additive probability measure P on F.2. Exercise 1. 46). and P is deﬁned for all A ⊆ Ω by P(A) = |A| if A is ﬁnite (where |A| is the number of elements in * In fact. and P is deﬁned for all A ⊆ Ω by P(A) = 0 if A is ﬁnite. assuming the Continuum Hypothesis.1.com/mathematics/6300. But then.4 1. A FIRST LOOK AT RIGOROUS PROBABILITY THEORY .3. 1 Suppose P{1} = 4 . y.3. p. Exercises. 1]) = r∈[0.worldscibooks. 2. and z = P{1.

it will not be possible to deﬁne a probability on every single subset.5.5). In this section.) (a) Is P ﬁnitely additive? (b) Is P countably additive? Exercise 1. (a) In what step of the proof of Proposition 1. deﬁned on all subsets of [0.2. (By convention.2. and P(A) = ∞ if A is inﬁnite.2. Ltd. 5 the subset A). we have discussed why measure theory is necessary to develop a mathematical rigorous theory of probability. We have discussed basic properties of probability measures such as additivity. ∞ + ∞ = ∞. We have considered the possibility of random variables which are neither absolutely continuous nor discrete.html .4. we have proved that.1.3) and (1. Section summary. Pte.1). A FIRST LOOK AT RIGOROUS PROBABILITY THEORY . for the uniform distribution on [0. Finally. however we can still ask the following.1) used? (b) Give an example of a countably additive set function P. 1].(Second Edition) © World Scientific Publishing Co.worldscibooks. but not (1.com/mathematics/6300.2. 1.3.4. This P is of course not a probability measure (in fact it is counting measure). which satisﬁes (1.2. and therefore do not ﬁt easily into undergraduate-level understanding of probability.6 was (1. http://www. Section summary. 1].

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