Existence and Uniqueness of Sigma-Algebra Generated by Collection of Subsets

Theorem
Let $X$ be a set.

Let $\mathcal G \subseteq \powerset X$ be a collection of subsets of $X$.

Then $\map \sigma {\mathcal G}$, the $\sigma$-algebra generated by $\mathcal G$, exists and is unique.

Existence
By Power Set is Sigma-Algebra, there is at least one $\sigma$-algebra containing $\mathcal G$.

Next, let $\Bbb E$ be the collection of $\sigma$-algebras containing $\mathcal G$:


 * $\Bbb E := \set {\Sigma': \mathcal G \subseteq \Sigma', \text{$\Sigma'$ is a $\sigma$-algebra} }$

By Intersection of Sigma-Algebras, $\Sigma := \bigcap \Bbb E$ is a $\sigma$-algebra.

Also, by Set Intersection Preserves Subsets:
 * $\mathcal G \subseteq \Sigma$

Now let $\Sigma'$ be a $\sigma$-algebra containing $\mathcal G$.

By construction of $\Sigma$, and Intersection is Subset: General Result:
 * $\Sigma \subseteq \Sigma'$

Uniqueness
Suppose both $\Sigma_1$ and $\Sigma_2$ are $\sigma$-algebras generated by $\mathcal G$.

Then property $(2)$ for these $\sigma$-algebras implies both $\Sigma_1 \subseteq \Sigma_2$ and $\Sigma_2 \subseteq \Sigma_1$.

By definition of set equality:
 * $\Sigma_1 = \Sigma_2$