MA 4040: Probability Theory

Dr. Sameen Naqvi

Department of Mathematics, IIT Hyderabad
Email id: sameen@math.iith.ac.in

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 Properties
Let (Ω, F, P) be a probability space.
(i) (Finite additivity) If A1 , A2 , . . . , An are finite number of
disjoint events, then
n n
!
[ X
P Ai = P (Ai )
i=1 i=1
Proof: Let Ai = φ, i = n + 1, n + 2, . . .. Then,
P (Ai ) = 0, i = n + 1, n + 2, . . .. Therefore,
n ∞
! !
[ [
P Ai = P Ai
1=1 1=1
∞
X
= P (Ai ) (using Countable additivity axiom)
i=1
Xn
= P (Ai ) .
i=1 2 / 10
 Properties

(ii) Suppose A is a subset of Ω such that A ∈ F. Then,

P (Ac ) = 1 − P (A)

Proof:
Here, A ∪ Ac = Ω and A ∩ AC = φ. Therefore, by finite
additivity axiom,

P (A ∪ Ac ) = P (A) + P (Ac )
⇒ P (Ω) = P (A) + P (Ac )
⇒ P (Ac ) = 1 − P (A) (since P(Ω) = 1).

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 Properties

(iii) Consider two events A1 and A2 such that A1 , A2 ∈ F and

A1 ⊆ A2 . Then,

P (A2 − A1 ) = P (A2 ) − P (A1 )

Proof:
Here, A2 = A1 ∪ (A2 − A1 ) and A1 ∩ (A2 − A1 ) = φ.
Therefore,

P (A2 ) = P (A1 ∪ (A2 − A1 ))

= P (A1 ) + P (A2 − E1 ) (using finite additivity)
⇒ P (A2 − A1 ) = P (A2 ) − P (A1 )

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 Properties

(iv) (Monotonicity of probability measures) Consider two events

A1 and A2 such that A1 , A2 ∈ F and A1 ⊆ A2 . Then,

P (A1 ) ≤ P (A2 )

Proof: Here, A2 = A1 ∪ (A2 − A1 ) and A1 ∩ (A2 − A1 ) = φ.

Therefore,

P (A2 ) = P (A1 ) + P (A2 − A1 )

⇒ P (A2 ) ≥ P (A1 ) (∵ P (A2 − A1 ) ≥ 0)

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 Properties
(v) If A1 , A2 , . . . , are disjoint events in F, then
P (φ) = 0.
Proof: Let A1 = Ω andSAi = φ, i = 2, 3, . . .. Then
P (A1 ) = 1, and A1 = ∞i=1 Ai , Ai ∈ F, i = 1, 2, . . ..
Therefore,
∞
!
[
1 = P (A1 ) = P Ai
i=1
∞
X
= P (Ai ) (using countable additivity)
i=1
∞
X
=1+ P (φ)
i=2
∞
X
⇒ P (φ) = 0 ⇒ P (φ) = 0.
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 Properties
(vi) For any A1 , A2 ∈ F,
P (A1 ∪ A2 ) = P (A1 ) + P (A2 ) − P (A1 ∩ A2 )
Proof: Here, A1 ∪ A2 = A1 ∪ (A2 − A1 ) and
A1 ∩ (A2 − A1 ) = φ. Therefore,
P (A1 ∪ A2 ) = P (A1 ∪ (A2 − A1 ))
= P (A1 ) + P (A2 − A1 ) (using (i))
Also, (A1 ∩ A2 ) ∩ (A2 − A1 ) = φ and
A2 = (A1 ∩ A2 ) ∪ (A2 − A1 ). Therefore,
P (A2 ) = P ((A1 ∩ A2 ) ∪ (A2 − A1 ))
= P (A1 ∩ A2 ) + P (A2 − A1 ) (using (i))
⇒ P (A2 − A1 ) = P (A2 ) − P (A1 ∩ A2 )
Thus, P (A1 ∪ A2 ) = P (A1 ) + P (A2 ) − P (A1 ∩ A2 ).
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 Remark

(a) If P(A) = 0 and B ⊆ A, then P(B) = 0.

Similarly, if P(C ) = 1 and C ⊆ D, then P(D) = 1.

(b) Let A1 , A2 ∈ F. Then,

P (A1 ∪ A2 ) ≤ P (A1 ) + P (A2 )

and

P (A1 ∩ A2 ) ≥ P (A1 ) + P (A2 ) − 1

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 Theorem 1: Inclusion-Exclusion Formula

Let (Ω, F, P) be a probability space and let

E1 , E2 , . . . , En ∈ F (n ∈ N, n ≥ 2 ). Then,
n n
!
[ X
P Ei = Sk,n
i=1 k=1

where S1,n = P(E1 ) + . . . P(En ) = ni=1 P (Ei ) and, for

P
k ∈ {2, 3, . . . , n},
X
Sk,n = (−1)k−1 P (Ei 1 ∩ Ei 2 ∩ · · · ∩ Ei k ).
1≤i1 <···<ik ≤n

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Thank you for listening!

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