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 σ -algebra扯上关系呢?就概率事件而言,空集和全集肯定都得在 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 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 σ -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 σ -algebra,定义在 R 上的Borel σ -algebra, probability measure,以证明完概率测度 P 具有连续性结束。
Let
- ∅∈A and Ω∈A ;
- If A∈A then Ac∈A , where Ac denotes the complement of A;
- A is closed under finite unions and finite intersections: that is, if A1,...,An are all in A , then ⋃ni=1Ai and ⋂ni=1Ai are in A as well;
- A is closed under countable unions and intersections: that is, if A1,A2,A3,... is a countable sequence of events in A , then ⋃ni=1Ai and ⋂ni=1Ai are both also in A .
Definition 1 A is an algebra if it satisfies (1), (2) and (3) above. It is a σ -algebra (or a σ -field) if it satisfies (1),(2), and (4) above.
Note: (1)+(4) implies (3), hence any σ -algebra is an algebra (Exercise: Suppose that