EE5110 Probability Foundations for Electrical Engineers

August 2016

Department of Electrical Engineering

Indian Institute of Technology Madras

Lecture 07: 16-Aug-2016

Lecturer: Dr. K.P. Naveen <naveenkp@ee.iitm.ac.in>

7.1

Infinite Sequence of Sets

We will study two key results in this section:

Continuity of Probability
Borel-Cantelli Lemma
Reference for the material in this section:
[1]

B RUCE H AJEK, Random Processes for Engineers.

Continuity of Probability
Definition 7.1. A sequence of sets (i.e., events) A1 , A2 , (denoted, {An : n 1}) is said to be increasing if
A1 A2 (i.e., An An+1 for all n 1). Analogously, a sequence of sets {An : n 1} is said to be
decreasing if A1 A2 (i.e., An An+1 for all n 1).

Example
Infinite coin tosses: Define An = {at least one H in the first n tosses} for all n 1. Then, {An : n 1}
is increasing. If Bn = {no H in the first n tosses} then {Bn : n 1} is decreasing. In general, note that, if
{An : n 1} is an increasing sequence of sets then {Acn : n 1} is decreasing.
One-dimensional dart game: = [0, 1]. Define An = [0, 1 n1 ] for all n 1. Then, {An : n 1} is
increasing. If Bn = [0, n1 ] then {Bn : n 1} is decreasing.
Sn
Given any sequence of setsT{An : i 1}, define Bn = i=1 Ai . Then, {Bn : n 1} is increasing. On the
n
other hand, suppose Cn = i=1 Ai then {Cn : n 1} is decreasing.
Lemma 7.2.

(a) If {An : n 1} is an increasing sequence of sets then

!

[
P
An = lim P (An ).
n

n=1

(b) If {An : n 1} is a decreasing sequence of sets then

!

\
P
An = lim P (An ).
n

n=1

7-1

Lecture 07: 16-Aug-2016

7-2

Before proceeding to the proof of the above lemma, let us first briefly review the definition of limits for sequences of
real numbers.
Sequences and Series
References for sequences and series:
[1]

WALTER RUDIN, Principles of Mathematical Analysis.

[2]

T OM M. A POSTLE, Mathematical Analysis.

[3]

T ERENCE TAO, Analysis I.

Definition 7.3.

(a) A sequence of real numbers {xn : n 1} is said to converge to x, denoted lim xn = x,

n

if for every  > 0 there exists an N such that |xn x| <  for all n N .
(b) A sequence of real numbers {xn : n 1} is said to converge to +, denoted lim xn = +, if for every
n
M > 0 there exists an NM such that xn > M for all n NM .
(c) A sequence of real numbers {xn : n 1} is said to converge to , denoted lim xn = , if for every
n
M < 0 there exists an NM such that xn < M for all n NM .
If the above do not hold, then we say that the sequence diverges.

Examples
1
n n

1. Polynomials: lim

= 0 whereas lim n = . In general, we have

n

1
=
n n

0
1

if > 0
if = 0

if > 0
if = 0.

lim

and
lim n =

2. Exponents:

1
lim pn =
n

if p > 1
if p = 1
if 0 p < 1.

3. Polynomials vs. Exponentials: For any p > 1 (can be arbitrarily close to 1, but greater than 1) and > 0 (can
be arbitrarily large), we have
n
= 0.
n pn
lim

4. For any p > 0, lim

p = 1.

5. The sequence {(1)n : n 1} diverges.

n

n
6. lim 1 + n1 = e. In general, lim 1 + nx = ex .
n

7.

lim ln( n1 )
n

= (where ln denotes natural logarithm, i.e., ln x = y if and only if ey = x).

Lecture 07: 16-Aug-2016

7-3

Properties
Let {xn : n 1} and {yn : n 1} be two sequences. Suppose lim xn = x and lim yn = y.
n

1. lim (xn + yn ) = x + y.
n

2. lim axn = ax for any real number a.

n

3. lim (xn yn ) = xy.

n

1
n xn

4. lim

= x1 , if xn 6= 0 (n 1) and x 6= 0.



5. If xn yn for all n 1 then x y i.e., lim xn lim yn .
n

6. If
 {xn : n 1} is a sequence of non-decreasing numbers, i.e., x1 x2 , then the sequence converges
i.e., lim xn exists , and
n


lim xn

< +
= +

if {xn : n 1} is bounded
otherwise.

Similar conclusion can be made for a sequence of non-increasing real numbers.