Countable Intersection of Events is Event
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Theorem
Let $\EE$ be an experiment with a probability space $\struct {\Omega, \Sigma, \Pr}$.
The event space $\Sigma$ of $\EE$ has the property that:
- $\quad A_1, A_2, \ldots \in \Sigma \implies \ds \bigcap_{i \mathop = 1}^\infty A_i \in \Sigma$
That is, the countable intersection of events is also an event.
Proof
By definition, a probability space $\struct {\Omega, \Sigma, \Pr}$ is a measure space.
So, again by definition, an event space $\Sigma$ is a $\sigma$-algebra on $\Omega$.
From Sigma-Algebra is Delta-Algebra:
- $\ds A_1, A_2, \ldots \in \Sigma \implies \bigcap_{i \mathop = 1}^\infty A_i \in \Sigma$
by definition of $\delta$-algebra.
$\blacksquare$
Also see
Sources
- 1986: Geoffrey Grimmett and Dominic Welsh: Probability: An Introduction ... (previous) ... (next): $1$: Events and probabilities: $1.4$: Probability spaces: $(13)$