Tutorial 1: Dynkin systems

1. Dynkin systems
Denition 1 A Dynkin system on a set is a subset D of the power set P(), with the following properties: (i) (ii) (iii) D A, B D, A B B \ A D
+

An D, An An+1 , n 1
n=1

An D

Denition 2 A -algebra on a set is a subset F of the power set P() with the following properties: (i) (ii) (iii) F A F Ac = \ A F
+

An F, n 1
n=1

An F

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Tutorial 1: Dynkin systems

Exercise 1. Let F be a -algebra on . Show that F, that if A, B F then A B F and also A B F. Recall that B \ A = B Ac and conclude that F is also a Dynkin system on . Exercise 2. Let (Di )iI be an arbitrary family of Dynkin systems on , with I = . Show that D = iI Di is also a Dynkin system on . Exercise 3. Let (Fi )iI be an arbitrary family of -algebras on , with I = . Show that F = iI Fi is also a -algebra on . Exercise 4. Let A be a subset of the power set P(). Dene: D(A) = {D Dynkin system on : A D} Show that P() is a Dynkin system on , and that D(A) is not empty. Dene: D D(A) =
DD(A)

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Tutorial 1: Dynkin systems

Show that D(A) is a Dynkin system on such that A D(A), and that it is the smallest Dynkin system on with such property, (i.e. if D is a Dynkin system on with A D, then D(A) D). Denition 3 Let A P(). We call Dynkin system generated by A, the Dynkin system on , denoted D(A), equal to the intersection of all Dynkin systems on , which contain A. Exercise 5. Do exactly as before, but replacing Dynkin systems by -algebras. Denition 4 Let A P(). We call -algebra generated by A, the -algebra on , denoted (A), equal to the intersection of all -algebras on , which contain A. Denition 5 A subset A of the power set P() is called a -system on , if and only if it is closed under nite intersection, i.e. if it has the property: A, B A A B A
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Tutorial 1: Dynkin systems

Exercise 6. Let A be a -system on . For all A D(A), we dene: (A) = {B D(A) : A B D(A)} 1. If A A, show that A (A) 2. Show that for all A D(A), (A) is a Dynkin system on . 3. Show that if A A, then D(A) (A). 4. Show that if B D(A), then A (B). 5. Show that for all B D(A), D(A) (B). 6. Conclude that D(A) is also a -system on .

Exercise 7. Let D be a Dynkin system on which is also a -system. 1. Show that if A, B D then A B D.
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Tutorial 1: Dynkin systems

2. Let An D, n 1. + An = + Bn . n=1 n=1

Consider Bn = n Ai . i=1

Show that

3. Show that D is a -algebra on . Exercise 8. Let A be a -system on . Explain why D(A) is a -algebra on , and (A) is a Dynkin system on . Conclude that D(A) = (A). Prove the theorem: Theorem 1 (Dynkin system) Let C be a collection of subsets of which is closed under pairwise intersection. If D is a Dynkin system containing C then D also contains the -algebra (C) generated by C.

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