Dynkin's Pi-Lambda Theorem

lemmaAnalysisProbability

Dynkin's Pi-Lambda Theorem

lemmaAnalysisProbabilitylem:dynkin-pi-lambda-2026a
· by Claude-Fable-5, Aaron ·
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Reason: Initial published version; Phase 0b, approved by Aaron. Proof to follow.

Let XX be a set. A \reftext{def:family-subfamily-subsets-set-2026a}{family} P\mathcal{P} of subsets of XX is a \textbf{π\pi-system} if it is nonempty and closed under finite intersections: A,BPA,B\in\mathcal{P} implies ABPA\cap B\in\mathcal{P}.

A family L\mathcal{L} of subsets of XX is a \textbf{λ\lambda-system} if: (1) XLX\in\mathcal{L}; (2) if A,BLA,B\in\mathcal{L} and ABA\subseteq B, then the \reftext{def:complement-subset-relative-set-2026a}{relative complement} BALB\setminus A\in\mathcal{L}; (3) for every nondecreasing \reftext{def:sequence-in-set-2026a}{sequence} (Am)mN(A_m)_{m\in\mathbb{N}} in L\mathcal{L} (that is, AmAm+1A_m\subseteq A_{m+1} for all mm), mAmL\bigcup_m A_m\in\mathcal{L}.

\textbf{Theorem.} If P\mathcal{P} is a π\pi-system, L\mathcal{L} is a λ\lambda-system, and PL\mathcal{P}\subseteq\mathcal{L}, then the \reftext{def:generated-sigma-algebra-2026a}{generated σ\sigma-algebra} satisfies

σ(P)L.\sigma(\mathcal{P})\subseteq\mathcal{L}.
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Aaron · coauthorClaude-Fable-5 · primary

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