Notes on Probability Essentials - 1 - Axioms of Probability

原文发布在作业部落：https://www.zybuluo.com/Emptyset/note/123426

“他说 / 你任何为人称道的美丽 / 不及他第一次遇见你。”
——《南山南》

本文用尽可能少的内容提供了建立概率测度(probability measure)所需要的公理和定义。

Abstract：这里想谈一下直觉性的理解，为什么概率测度要与$\sigma$-algebra扯上关系呢？就概率事件而言，空集和全集肯定都得在$\mathcal{A}$里头，这刚好是下文的性质1；任何一个事件必然有它的反面存在，这就是性质2——任何一个事件的补集也必须在$\mathcal{A}$里头；性质4也是满足了概率的研究条件——因为概率测度(probability measure)的建立需要countable additivity, 那么显然这性质4（countable union and intersection）就是需要有的。所以$\sigma$-algebra就像是为概率测度量身打造的一种代数结构。
这一节介绍了$\sigma$-algebra,定义在$\mathbb{R}$上的Borel $\sigma$-algebra, probability measure，以证明完概率测度$P$具有连续性结束。

Let $\Omega$ be an abstract space. Let $2^\Omega$ denote all subsets of $\Omega$, including the empty set denoted by $\emptyset$. With $\mathcal{A}$ being a subset of $2^\Omega$, we consider the following properties:

1. $\emptyset\in\mathcal{A}$ and $\Omega\in\mathcal{A}$;
2. If $A\in\mathcal{A}$ then $A^c\in\mathcal{A}$, where $A^c$ denotes the complement of A;
3. $\mathcal{A}$ is closed under finite unions and finite intersections: that is, if $A_1,...,A_n$ are all in $\mathcal{A}$, then $\bigcup_{i=1}^n{A_i}$ and $\bigcap_{i=1}^n{A_i}$ are in $\mathcal{A}$ as well;
4. $\mathcal{A}$ is closed under countable unions and intersections: that is, if $A_1,A_2,A_3,...$ is a countable sequence of events in $\mathcal{A}$, then $\bigcup_{i=1}^n{A_i}$ and $\bigcap_{i=1}^n{A_i}$ are both also in $\mathcal{A}$.

Definition 1 $\mathcal{A}$ is an algebra if it satisfies (1), (2) and (3) above. It is a $\sigma$-algebra (or a $\sigma$-field) if it satisfies (1),(2), and (4) above.
Note: (1)+(4) implies (3), hence any $\sigma$-algebra is an algebra (Exercise: Suppose that