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Sigma

A σ-algebra is a collection of subsets of a set that is closed under complementation and countable unions. It allows for the definition of measures, which assign a size or volume to subsets. A σ-algebra must be nonempty, closed under complements and countable unions, and contain the empty set. Measures are then defined on the σ-algebra. Examples include the power set of a set, countable/co-countable sets of an uncountable set, and the Borel σ-algebra of open/closed sets of a topological space.

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28 views2 pages

Sigma

A σ-algebra is a collection of subsets of a set that is closed under complementation and countable unions. It allows for the definition of measures, which assign a size or volume to subsets. A σ-algebra must be nonempty, closed under complements and countable unions, and contain the empty set. Measures are then defined on the σ-algebra. Examples include the power set of a set, countable/co-countable sets of an uncountable set, and the Borel σ-algebra of open/closed sets of a topological space.

Uploaded by

Seong Geun Shin
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Sigma-algebra

In mathematics, a σ-algebra (pronounced sigma-algebra) or σ-field over a set X is a collection Σ


of subsets of X that is closed under complementation and countable unions of its members. It is
the countable analog of a Boolean algebra, and every σ-algebra is a (represented) Boolean
algebra.

The main use of σ-algebras is in the definition of measures on X. The concept is important in
mathematical analysis and probability theory.

Formally, a non-empty subset Σ of the powerset of a set X is a σ-algebra if and only if it has the
following properties:

1. If E is in Σ then so is the complement X\E of E.


2. The union of countably many sets in Σ is also in Σ.

In other words, a non-empty subset Σ should satisfy the following three conditions for it to be
classified as a σ-algebra:

1. It should be closed under complements


2. It should be closed under countable unions
3. It should contain the empty set

From these axioms, it follows that X and the empty set are in Σ (since Σ is nonempty), and that
the σ-algebra is also closed under countable intersections (via De Morgan's laws).

A measure on X is a function which assigns a real number to subsets of X; this can be thought of
as making precise a notion of 'size' or 'volume' for sets. One might like to assign such a size to
every subset of X, but the axiom of choice implies that when the size under consideration is
standard length for subsets of the real line, then there exist sets known as Vitali sets for which no
size exists. For this reason, one considers instead a smaller collection of privileged subsets of X
whose measure is defined; these sets constitute the σ-algebra.

Elements of the σ-algebra are called measurable sets. An ordered pair ( X, Σ), where X is a set and
Σ is a σ-algebra over X, is called a measurable space. A function between two measurable spaces
is called measurable if the preimage of every measurable set is measurable. The collection of
measurable spaces forms a category with the measurable functions as morphisms. Measures are
defined as certain types of functions from a σ-algebra to [0,∞].

Notation

σ-algebras are sometimes denoted using capital letters of the Fraktur typeface. Thus, may be
used to denote (X,Σ). Another common convention is to use calligraphic capital letters in place of
Σ, thus is often used in place of (X,Σ). This is handy to avoid situations where Σ might be
confused for the summation operator.

Examples
If X is any set, then the family consisting only of the empty set and X is trivially a σ-algebra over
X. Another σ-algebra over X is given by the full power set of X. The collection of subsets of X
which are countable or whose complements are countable is a σ-algebra, which is distinct from
the powerset of X if and only if X is uncountable.

If {Σa} is a family of σ-algebras over X, then the intersection of all Σa is also a σ-algebra over X.

If U is an arbitrary family of subsets of X then we can form a special σ-algebra from U, called the
σ-algebra generated by U. We denote it by σ(U) and define it as follows. First note that there is a
σ-algebra over X that contains U, namely the power set of X. Let Φ be the family of all σ-algebras
over X that contain U (that is, a σ-algebra Σ over X is in Φ if and only if U is a subset of Σ.) Then
we define σ(U) to be the intersection of all σ-algebras in Φ. σ(U) is then the smallest σ-algebra
over X that contains U. For a simple example, consider the set X={1,2,3}. Then the σ-algebra
generated by the subset {1} is σ({1}) = { ∅, {1}, {2,3}, X}. Note that by an abuse of notation, when
the collection of subsets contains only one member, call it A, one may write σ(A) instead of σ({A}).

In general, there is no explicit description of the σ-algebra generated by a given collection. This is
in contrast with a similar construction in topology: the smallest topology generated by a family of
subsets can be explicitly described.

An important example is the Borel algebra over any topological space: the σ-algebra generated
by the open sets (or, equivalently, by the closed sets). Note that this σ-algebra is not, in general,
the whole power set. For a non-trivial example, see the Vitali set.

On the Euclidean space Rn, another σ-algebra is of importance: that of all Lebesgue measurable
sets. This σ-algebra contains more sets than the Borel σ-algebra on Rn and is preferred in
integration theory, as it gives a complete measure space.

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