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Tutorial 2

The document outlines a tutorial on measures and σ-algebras, presenting various problems related to measure spaces, σ-algebras, and properties of probability measures. It includes questions on the validity of measure spaces, continuity properties, and Fatou's Lemma, along with definitions and examples of Borel sets. Additionally, it discusses the conditions under which a set function qualifies as a measure.

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15 views2 pages

Tutorial 2

The document outlines a tutorial on measures and σ-algebras, presenting various problems related to measure spaces, σ-algebras, and properties of probability measures. It includes questions on the validity of measure spaces, continuity properties, and Fatou's Lemma, along with definitions and examples of Borel sets. Additionally, it discusses the conditions under which a set function qualifies as a measure.

Uploaded by

Sinqobile Bandile
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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1

Department of Statistical Sciences


STA3045F Tutorial 2 February 25, 2022
Measures and σ-algebras
1. Which of the following triples (Ω, F, µ) are valid measure spaces? Which ones are finite or
σ-finite? Which ones are probability spaces? Give reasons for your answers.
(a) X
Ω = N, F = 2N , µ(A) := n2 , A ∈ F
n∈A

(b)

0 A=∅
Ω = R, F = {A ⊆ R : ∀x ∈ R, x ∈ A ⇐⇒ −x ∈ A} , µ(A) :=
6 ∅
sup x A =
x∈A

(c)
Ω = R, F = {(a, b] : a, b ∈ R, a < b} , µ((a, b]) := b − a.
(d)
∞
X
Ω
Ω = [0, 1], F =2 , µ(A) := 3n δ 1 (A).
n
n=1

2. Let {Fα : α ∈ I} (I 6= ∅) be a collection of σ-algebras on a set Ω.


(a) Show that \
Fα
α∈I
is also a σ-algebra on Ω.
(b) Give an example to show that [
Fα
α∈I
need not be a σ-algebra on Ω.
3. Let (Ω, F, µ) be a measure space and (An ) be a countable collection of elements of F.
(a) (Continuity from above) Show that if A1 ⊇ A2 ⊇ . . . and µ(An0 ) < ∞ for some n0 ≥ 1,
then
∞
!
\
µ An = lim µ(An ).
n→∞
n=1

(b) Show that if µ is a probability measure and µ(An ) = 1 for each n ≥ 1, then
∞
!
\
µ An = 1.
n=1

4. Let (Ω, F, P) be a probability space and {An : n ∈ N+ } be a countable collection of elements


of F. Prove Fatou’s Lemma:
P(lim inf An ) ≤ lim inf P(An ) ≤ lim sup P(An ) ≤ P(lim sup An ).
n→∞ n→∞ n→∞ n→∞

Recall that ∞ [
∞ ∞ \
∞
\ [
lim sup An := Ak and lim inf An := Ak .
n→∞ n→∞
n=1 k=n n=1 k=n
2

5. Let Ω be a non-empty set and F = 2Ω . Define # : F → [0, ∞] as


(
|A| if A is finite
#(A) := .
∞ otherwise

Show that # is a measure on (Ω, F). When is # finite? When is it σ-finite?

6. Show that each of the following sets are Borel sets (in R):

(a) All intervals (open, closed, half-open, bounded and unbounded)


(b) All singletons
(c) Q
(d) All countable sets
(e) The irrational numbers

7. Let (Ω, F) be a measurable space and µ : F → [0, ∞] be a set function such that µ(∅) = 0
and

i. µ is additive:

µ(A ∪ B) = µ(A) + µ(B) if A, B ∈ F are disjoint;

ii. µ is σ-sub-additive:
∞
! ∞
[ X
µ An ≤ µ(An ) if A1 , A2 , . . . ∈ F.
n=1 n=1

Show that µ is a measure on (Ω, F).

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