Sigma-Algebra Contains Empty Set
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Theorem
Let $X$ be a set, and let $\Sigma$ be a $\sigma$-algebra on $X$.
Then $\O \in \Sigma$.
Proof
Axiom $(1)$ of a $\sigma$-algebra grants $X \in \Sigma$.
By axiom $(2)$ and Set Difference with Self is Empty Set, it follows that $\O = X \setminus X \in \Sigma$.
$\blacksquare$
Sources
- 2005: René L. Schilling: Measures, Integrals and Martingales ... (previous) ... (next): $3.2 \ \text{(i)}$