Event Space contains Empty Set

Theorem
Let $\mathcal E$ be an experiment with a probability space $\left({\Omega, \Sigma, \Pr}\right)$.

The event space $\Sigma$ of $\mathcal E$ has the property that:
 * $\varnothing \in \Sigma$

That is, the empty set is in the event space.

Also see

 * Elementary Properties of Event Space