UNCERTAINTY THEORY LABORATORY

UTLAB

A Question?

What is a Measurable Set?

Baoding Liu

Tsinghua University

http://orsc.edu.cn/liu

UNCERTAINTY THEORY LABORATORY

UTLAB

Algebra
Let be a nonempty set. A collection (a) A; (b) if A A, then Ac A; (c) if Ai A for i = 1, 2, , n, then

A is called an algebra over if

n

i=1

Ai A.

-Algebra
If the condition (c) is replaced with closure under countable union, i.e., (c ) if Ai A for i = 1, 2, , then
i=1

then

A is called a -algebra over .

Ai A,

Baoding Liu

Tsinghua University

http://orsc.edu.cn/liu

UNCERTAINTY THEORY LABORATORY

UTLAB

Examples

{, } is the smallest -algebra over . Power set P() (all subsets of ) is the largest -algebra over . Let A be the set of all nite disjoint unions of all intervals of the form (, a], (a, b], (b, ) and . Then A is an algebra over , but not a -algebra because Ai = (0, (i 1)/i] A for all i but
i=1

Ai = (0, 1) A.

Baoding Liu

Tsinghua University

http://orsc.edu.cn/liu

UNCERTAINTY THEORY LABORATORY

UTLAB

Theorem

A -algebra A is closed under dierence, countable union, countable intersection, limit, upper limit, and lower limit. That is, A2 \ A1 A;
i=1

Ai A; Ai A;

i=1

Ai A;

lim Ai A;

lim sup Ai =
i k=1 i=k

lim inf Ai =
i k=1 i=k

Ai A.

Baoding Liu

Tsinghua University

http://orsc.edu.cn/liu

UNCERTAINTY THEORY LABORATORY

UTLAB

Measurable Set

Let be a nonempty set, and A a -algebra over . Then the sets in -algebra A are called measurable sets.

Denition

Baoding Liu

Tsinghua University

http://orsc.edu.cn/liu

UNCERTAINTY THEORY LABORATORY

UTLAB

Borel Algebra (Over the Set of Real Numbers

Denition
The smallest -algebra algebra.

B containing all open intervals is called a Borel

Baoding Liu

Tsinghua University

http://orsc.edu.cn/liu

UNCERTAINTY THEORY LABORATORY

UTLAB

Borel Set (Over the Set of Real Numbers

Denition
Any element in Borel algebra

B is called a Borel set.

Borel algebra is a -algebra. Open set, closed set, the set of rational numbers, the set of irrational numbers, and countable set of real numbers are all Borel sets.

Baoding Liu

Tsinghua University

http://orsc.edu.cn/liu

UNCERTAINTY THEORY LABORATORY

UTLAB

Cantor Set

Cantor set consists of all real numbers that can be expressed in ternary form using only digits 0 and 2, i.e.,

x=
i=1

ai 3i

where ai = 0 or 2 for i = 1, 2, The Cantor set is in [0,1], closed, uncountable, and has Lebesgue measure zero.

Baoding Liu

Tsinghua University

http://orsc.edu.cn/liu

UNCERTAINTY THEORY LABORATORY

UTLAB

Measurable Space

Denition
Let be a nonempty set, and a measurable space.

A a -algebra over .

Then (, A) is called

Baoding Liu

Tsinghua University

http://orsc.edu.cn/liu

UNCERTAINTY THEORY LABORATORY

UTLAB

Product -Algebra
Let

Ai

be -algebras over i and write = 1 2 n .

Denition
A measurable rectangle in is a set A = A1 A2 An , where Ai Ai for i = 1, 2, , n.

Denition
The smallest -algebra containing all measurable rectangles of is called the product -algebra, denoted by A = A1 A2 An . Note that the product -algebra A is the smallest -algebra containing measurable rectangles, rather than the product of A1 , A2 , , An .

Baoding Liu

Tsinghua University

http://orsc.edu.cn/liu