about Sigma-algebra

Sigma-algebra($\Sigma$-algebra,$\sigma$-algerbra)

In mathematical analysis and in probability theory, a $\sigma$-algebra (also $\sigma$-field) on a set $X$ is a collection $\Sigma$ of subsets of $X$ that includes the empty subset, is closed under complement, and is closed under countable unions and countable intersections.

The pair $(X,\Sigma )$ is called a measurable space or Borel space.
A $\sigma$-algebra is a type of algebra of sets. An algebra of sets needs only to be closed under the union or intersection of finitely many subsets, which is a weaker condition.

If X = { a , b , c , d } X = \{a, b, c, d\} X={ a,b,c,d}, one possible $\sigma$-algebra on $X$ is Σ = {   ∅ , { a , b } , { c , d } , { a , b , c , d } } \Sigma = \{ \emptyset, \{ a,b\},\{c,d\},\{a,b,c,d\} \} Σ={  ∅,{ a,b},{ c,d},{ a,b,c,d}}, where $\varnothing$ is the empty set. In general, a finite algebra is always a $\sigma$-algebra.

If { A 1 , A 2 , A 3 , … } \{A1, A2, A3, …\} { A1,A2,A3,…} is a countable partition of $X$ then the collection of all unions of sets in the partition (including the empty set) is a $\sigma$-algebra.

Definition and properties

Definition
Let $X$ be some set, and let $P(X)$ represent its power set. Then a subset $\Sigma \subseteq P(X)$ is called a $\sigma$-algebra if it satisfies the following three properties:

1. $X$ is in $\Sigma$, and $X$ is considered to be the universal set in the following context.
2. $\Sigma$ is closed under complementation: if $A$ is in $\Sigma$, then so is its complement, $X\setminus A$.
3. $\Sigma$ is closed under countable unions. if $A_1,A_2,A_3,\dots$ are in $\Sigma$, then so is $A=A_1\cup A_2\cup A_3\cup \dots$ .

From these properties, it follows that the $\sigma$-algebra is also closed under countable intersections (by applying De Morgan’s laws).

It also follows that the empty set ∅ \empty