Sigma algebra

A sigma algebra is an advanced mathematical concept. It refers to a formal mathematical structure intended among other things to provide a rigid basis for axiomatic probability theory.

Formal definition

Given a set $\Omega$. Let P=2^$\Omega$ be it's power set, i.e. set of all subsets of $\Omega$. Let F ⊆ P such that all the following conditions are satisfied:

1. Ø ∈ $\Omega$.
2. A ∈ F => $A^{c}$ ∈ F
3. G ⊆ F => $\bigcup _{G_{i}inG}^{}G_{i}$ ∈ F

Example

Given the set $\Omega$={Red,Yellow,Green}

The power set $2^{\Omega }$ is {A0,A1,A2,A3,A4,A5,A6,A7}, with

• A0={} (The empty set}
• A1={Green}
• A2={Yellow}
• A3={Yellow, Green}
• A4={Red}
• A5={Red, Green}
• A6={Red, Yellow}
• A7={Red, Yellow, Green} (the whole set $\Omega$)

Let F={A0, A1, A4, A5, A7}, a subset of $2^{\Omega }$.

Notice that the following is satisfied:

1. The empty set is in F.
2. The original set $\Omega$ is in F.
3. For any set in F, you'll find it's complement in F as well.
4. For any subset of F, the union of the sets therein will also be in F. For example, the union of all elements in the subset {A0,A1,A4} of F is A0 U A1 U A4 = A5.

Thus F is a sigma algebra over $\Omega$.

External links

• [1] Tutorial on www.probability.net , electronic document.