Problem 1 Let (n,A,P) be a probability space. Show that the probability measure P is continuous from below, i.e. for any sequence of events A₁, A2,... EA with the property that An An+1 for all n € N, we have Hint: Define sets B₁, B2,... by P(ŮA₂) = lim P(A₂). An n-x n=1 n-1 Bn:= An \UAk. k=1 Show that BnB = whenever k #l. Now express U-1 An in terms of the Bn, use the axioms of the probability measure, and recall that n=1 N EP ΣP(B) = lim Σ P(B₂). N-on=1 n=1

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Problem 1
Let (n,A,P) be a probability space. Show that the probability measure
P is continuous from below, i.e. for any sequence of events A₁, A2,... EA with the property that
An An+1 for all n EN, we have
Hint: Define sets B₁, B2,... by
P(Ů An) = lim P(A₂).
n-∞
n=1
n-1
Bn := An\UAk.
k=1
Show that BnBe=Ø whenever kl. Now express U-1 An in terms of the Bn, use the axioms
of the probability measure, and recall that
N
ΣP(B₁)= lim Σ P(B₂).
N-00 n=1
n=1
Transcribed Image Text:Problem 1 Let (n,A,P) be a probability space. Show that the probability measure P is continuous from below, i.e. for any sequence of events A₁, A2,... EA with the property that An An+1 for all n EN, we have Hint: Define sets B₁, B2,... by P(Ů An) = lim P(A₂). n-∞ n=1 n-1 Bn := An\UAk. k=1 Show that BnBe=Ø whenever kl. Now express U-1 An in terms of the Bn, use the axioms of the probability measure, and recall that N ΣP(B₁)= lim Σ P(B₂). N-00 n=1 n=1
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Step 1

Given that

 Let Ω,A, be a probability space.

  Hint: Let sets B1,B2,.....  defined by

              Bn=An\k=1n-1Ak

 

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