Sets, Fields, Sigma Fields, Limit of Sequences of Subsets and Borel fields

Md Aktar Ul Karim
Probability - Theory and Applications
Symbiosis Statistical Institute, Pune

Contents

1 Introduction to Set Theory 2

1.1 Operations of Union and Intersection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.2 Power Sets: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.3 Cartesian Products: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.4 Classes of Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.5 Closure Properties of Set: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5

2 Limits of Sequences of Subsets 5

2.1 Sequences of Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.2 Limits of Sequences of Subsets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.3 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.4 Problems with solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7

3 Fields and Sigma Fields 9

3.1 Field of Sets or Algebra of Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
3.2 Sigma Fields or Sigma Algebra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
3.3 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
3.4 Differences Between Fields and Sigma Fields . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10

4 Sigma Field Generated by a Class of Subsets 10

4.1 Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
4.2 Basic Properties: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
4.3 Solved Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
5 Borel Sigma Field 13
5.1 Borel Sets: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
5.2 Properties of the Borel Field . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
5.3 Examples: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
5.4 Solved Problems: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

1. Introduction to Set Theory

Definition of Sets:
A set is a collection of distinct objects. For example, the set of all vowels in the English alphabet is {a, e, i, o, u}.
Sets are usually denoted by capital letters such as A, B,, etc. Elements are written as a ∈ A, meaning ”element
a belongs to set A.”
Basic Set Notation

• Union (A ∪ B): The set contains all elements that are in A, B, or both.

• Intersection (A ∩ B): The set contains all elements that are in both A and B.

• Set Difference (A − B): The set of elements that are in A but not in B.

• Complement (Ac ): The set of all elements that are not in A (relative to a universal set).

• Subset (A ⊆ B): A set is A a subset of the set B if every element of A is also in B.

Examples:

A = 1, 2, 3 & B = 3, 4, 5
A ∪ B = 1, 2, 3, 4, 5
A∩B =3
A − B = 1, 2
B − A = 4, 5

1.1. Operations of Union and Intersection

• Idempotent:

1. Union: A ∪ A = A

2. Intersection: A ∩ A = A

• Commutative:

2
 1. Union: A ∪ B = B ∪ A

2. Intersection: A ∩ B = B ∩ A

• Associative:

1. Union: (A ∪ B) ∪ C = A ∪ (B ∪ C)

2. Intersection: (A ∩ B) ∩ C = A ∩ (B ∩ C)

• Distributive:

1. Union over Intersection: A ∪ (B ∩ C) = (A ∪ B) ∩ (A ∪ C)

2. Intersection over Union: A ∩ (B ∪ C) = (A ∩ B) ∪ (A ∩ C)

• Complement:

1. Union with Complement: A ∪ Ac = U (where U is the universal set)

2. Intersection with Complement: A ∩ Ac = ∅ (where ∅ is the empty set)

3. (A ∪ B)c = Ac ∩ B c

4. (A ∩ B)c = Ac ∪ B c

1.2. Power Sets:

The power set of a set A is the set of all subsets of A. If A = a, b, then the power set of A, denoted P(A),
is:
P(A) = ∅, a, b, a, b

1.3. Cartesian Products:

The Cartesian product of two sets A and B, denoted by A × B, is the set of all ordered pairs (a, b) where
a ∈ A and b ∈ B.
A × B = (a, b) : a ∈ A, b ∈ B

Example: If A = 1, 2 and B = a, b, then:

A × B = (1, a), (1, b), (2, a), (2, b)

3
1.4. Classes of Sets
A class of sets is simply a collection of sets. A class may consist of any number of sets, possibly infinite.
Examples: Finite Classes: The class A = 1, 2, 1, 2 Infinite Classes: The class of all subsets of the real line
B such as intervals like (a, b), [a, b), and so on.
Operations on Classes of Sets:

• Union: The union of all sets in a class A is the set containing elements that belong to at least one set in
A:
[
A∈A
A∈A

• Intersection: The intersection of all sets in a class A is the set containing elements that belong to every
set in A.
\
A
A∈A

Example
Consider the class of intervals on the real line: I = {(0, 1), (1, 2), (2, 3), · · · }.
The union of all sets in this class is (0, ∞).

1.5. Closure Properties of Set:

A class of sets is said to be closed under an operation if applying that operation to sets in the class
results in a set that is also in the class.

• Union: A class A is closed under union if for any two sets A, B ∈ A, A ∪ B ∈ A.

• Intersection: A class A is closed under intersection if for any two sets A, B ∈ A, A ∩ B ∈ A.

• Complement: A class A is closed under complement if for any set A ∈ A, its complement Ac ∈ A.

Examples

1. The power set P(X) of any set X is closed under union, intersection, and complement.

2. A finite class may not always be closed under union and intersection if the resulting sets are not part of
the class.

3. Real-World Examples:

• In probability theory, the class of events in a probability space is often a class closed under countable
union and intersection (sigma field).

• In measure theory, the class of measurable sets is closed under these operations.

4
1.6. Exercises

1. Let A = {1, 2, 3, 4, 5}, B = {3, 4, 5, 6, 7}, and C = {5, 6, 7, 8, 9}.

• Find A ∪ B ∩ C, A ∩ B ∩ C, and Ac (relative to {1, 2, 3, 4, 5, 6, 7, 8, 9}).

• Is the class {A, B, C} closed under union?

2. Show whether the following classes are closed under union and intersection:

• A = {[0, 1], [1, 2], [0, 2]}

• B = {(0, 1), (1, 2), (2, 3), . . . }

2. Limits of Sequences of Subsets

2.1. Sequences of Sets

A sequence of sets {An } is an ordered collection of sets A1 , A2 , A3 , . . ..

• Increasing Sequence: {An } is said to be monotonically increasing if An ⊆ An+1 for eachn. The limit of an
increasing sequence of sets is:
∞
[
lim An = An
n→∞
n=1

• Decreasing Sequence: {Bn } is monotonically decreasing if Bn ⊇ Bn+1 for eachn.. The limit of a decreasing
sequence of sets is:
∞
\
lim An = An
n→∞
n=1

Example

1. Consider the sequence of sets An = [0, n1 ] for n ∈ N. Find limn→∞ An .

Answer: The sequence An is decreasing. The limit is:
∞
\ 1
lim An = [0, ] = {0}
n→∞ n
n=1

2. Consider the sequence of sets An = (0, n1 ) for n ∈ N. Find limn→∞ An .

Answer: The sequence An is decreasing. The limit is:
∞
\ 1
lim An = (0, ) = {0}
n→∞ n
n=1

5
2.2. Limits of Sequences of Subsets

We have defined the limit of the monotone increasing and decreasing sequence of sets. But for the general
sequence of sets to find out the limit, we first have to find out the lim sup and lim inf.

• lim inf An is the set of elements that belong to An for all sufficiently large n. It is written as:
∞ \
[ ∞
lim inf An = Ak = limAn
n=1 k=n

• lim sup An is the set of elements that belong to An for infinitely many n. It is written as:
∞ [
\ ∞
lim sup An = Ak = limAn
n=1 k=n

In general,
limAn ⊆ limAn

. For a sequence of sets An , the limit of a sequence of sets exists if the following condition holds:

limAn = limAn = A, say

and we can say A is a limit of An

Examples

1. Let Bn = (0, n1 ) ∪ (1 − n1 , 1):

Ans:
∞ \
[ ∞
lim inf Bn = Bk = {0, 1}.
n=1 k=n

The sets will become smaller and smaller and ultimately move closer to 0 and 1, and so only 0 and 1
belongs to all sets for large n, so the limit inferior is {0, 1}.
∞ [
\ ∞
lim sup Bn = Bk = (0, 1)
n=1 k=n

The points in (0, 1) are included in infinitely many of the sets, but not always, so the limit superior is
(0, 1).

2. Consider a sequence of events An where An is the event that a fair die shows a number less than n. What
is the limit of these events?
Ans: The events are based on rolling a fair die, with outcomes in the set {1, 2, 3, 4, 5, 6}. So, the event
An for each value of n can be defined as follows:

6
 For n = 1: A1 = {} (since no number on a die is less than 1, this is the empty set).
For n = 2: A2 = {1}
For n = 3: A3 = {1, 2}
For n = 4: A4 = {1, 2, 3}
For n = 5: A5 = {1, 2, 3, 4}
For n = 6: A6 = {1, 2, 3, 4, 5}
For n ≥ 7: An = {1, 2, 3, 4, 5, 6}
The lim inf is given by:
∞ \
[ ∞
lim inf An = Ak
n=1 k=n

For n ≥ 7, we have An = {1, 2, 3, 4, 5, 6}. Hence, all elements from the set {1, 2, 3, 4, 5, 6} belong to every
An for n ≥ 7.
So, lim inf An consists of the outcomes that appear in every An from some point onward.Thus:

lim inf An = {1, 2, 3, 4, 5, 6}

n→∞

The lim sup is given by:

∞ [
\ ∞
lim sup An = Ak
n=1 k=n

Since the events An are increasing and eventually stabilize at {1, 2, 3, 4, 5, 6}, all numbers in {1, 2, 3, 4, 5, 6}
appear infinitely often in the events An . Thus:

lim sup An = {1, 2, 3, 4, 5, 6}

Since lim inf An = lim sup An = {1, 2, 3, 4, 5, 6}, so the limit of the sequence of events An is:

lim An = {1, 2, 3, 4, 5, 6}
n→∞

2.3. Exercises

1. Let An = [0, 1 − n1 ]. Compute limn→∞ An .

2. Consider An = (0, n1 ) ∪ ( n1 , 1). Find limn→∞ An .

2.4. Problems with solutions


(0, 1 )

if n is odd,
n
1. Consider the sequence of sets An =
(1 − 1 , 1)

if n is even.
n
Find the limit.

7
 Ans: When n is odd, the interval is near 0: An = (0, n1 ).
When n is even, the interval is near 1: An = (1 − n1 , 1).

lim inf An :
For odd n, the intervals shrink to 0.
For even n, the intervals shrink to 1.

Since the sets alternate between intervals near 0 and near 1, no element can belong to all An for large n.
Thus:
lim inf An = ∅

lim sup An :
For odd n The intervals near 0 approach 0.
For even n The intervals near 1 approach 1.

Thus:
lim sup An = {0, 1}

As lim inf and lim sup are not equal, the limit does not exist for An .

2. Consider the sequence of sets: 

1 1


4, 2 if n ≡ 0 (mod 3),






Bn = 1 3


 2, 4 if n ≡ 1 (mod 3),


 3


4, 1 if n ≡ 2 (mod 3).



Find the limit of Bn .

1 1


Ans: For n = 3k, the interval is 4, 2 .
1 3


For n = 3k + 1, the interval is 2, 4 .
For n = 3k + 2, the interval is 34 , 1 .

Since, 41 , 21 , 12 , 43 , and 34 , 1 are disjoint. Hence, no element is present in all subsequent sets. Thus

lim inf Bn = ∅

1


Since each point in 4, 1 appears in one of the sets periodically, these intervals will appear infinitely
many times in the sequence of sets for large n. Thus
 
1
lim sup Bn = ,1 .
4

The limit does not exist.

8
3. Fields and Sigma Fields

3.1. Field of Sets or Algebra of Sets

A collection F of sets is called a field of sets if it satisfies the following properties:

• Closure Under Union: If A and B are in the field, then A ∪ B is also in the field.

• Closure Under Intersection: If A and B ar are in the field, then A ∩ B is also in the field.

• Closure Under Complement: If A is in the field, then Ac is also in the field.

• Contains the Empty Set: The empty set ∅ will be in the field.

Example

1. Let Ω = {1, 2, 3}. Consider the collection F = {∅, {1}, {2}, {3}, {1, 2}, {1, 3}, {2, 3}, {1, 2, 3}}. This
collection is a field because:

• Union of any two sets in F is in F.

• Intersection of any two sets in F is in F.

• Complement of any set in F is in F.

2. Consider S = R and F as the collection of all finite unions of intervals of the form [a, b] with a ≤ b. This
collection is also a field because:

• Union of finitely many intervals of this form is a finite union of such intervals.

• Intersection of finitely many such intervals is also a finite union of intervals of this form.

• Complement of any interval in this collection is a union of intervals in the collection.

3.2. Sigma Fields or Sigma Algebra

A Sigma Field is an extension or generalization of the concept of a field by allowing countable operations:

• Closure Under Countable Unions: If {Ai }∞

i=1 is a countable collection of sets in the sigma field, then
S∞
i=1 Ai is also in the sigma field.

• Closure Under Countable Intersections: If {Ai }∞

i=1 is a countable collection of sets in the sigma field, then
T∞
i=1 Ai is also in the sigma field.

• Closure Under Complements: If A is in the sigma field, then Ac is also in the sigma field.

9
 • Contains the Empty Set: The empty set ∅ will be present in the sigma field.

Properties of Sigma Fields

S∞
Countable Additivity: For any countable collection of disjoint sets {Ai }∞
i=1 in the sigma field, the union i=1 Ai

is in the sigma field.

3.3. Exercises

1. S is the sigma field generated by the intervals (a, b) on R, demonstrate that S is closed under countable
unions and intersections.

2. Given F = {∅, [0, 1], [1, 2], [0, 2]}, determine if F is a field or a sigma field. Explain why or why not.

3.4. Differences Between Fields and Sigma Fields

• Closure Properties:
Fields are closed under finite unions, intersections, and complements. But Sigma Fields are closed under
countable unions, intersections, and complements

• Applications:
Fields are useful for simpler models where countable operations are not needed. Sigma Fields are essential
for defining measures that involve countable operations. They allow for a more flexible framework in
measure theory.

4. Sigma Field Generated by a Class of Subsets

4.1. Definitions

• A sigma field generated by a class of sets is the smallest sigma field that contains all the sets in that class.

• If S is a collection of sets, the sigma field generated by S, denoted as σ(S), is the intersection of all sigma
fields that contain S.

• So, we can say, the sigma field generated by S includes:

1. All the sets in S.

2. All sets are obtained by performing countable unions, intersections, and complements of the sets in
All the sets in S.

• Therefore, σ(S) =
T
{F : F is a sigma field and S ⊆ F }

10
4.2. Basic Properties:

• Uniqueness: The sigma field generated by a class of sets is unique because it is defined as the intersection
of all sigma fields containing that class.

• Minimality: σ(S) is the minimal sigma field.

Examples: The Borel sigma field B(R) is the smallest sigma field that contains all open intervals on R.
Counterexample: The collection of finite sets is not a sigma field because it is not closed under countable unions.

4.3. Solved Problems

1. Let A = {1, 2, 3, 4} and consider the collection S = {{1}, {2}}, a Finite Collection of Sets. Then write
down the sigma field generated by S.
Ans: A = {1, 2, 3, 4}, is the whole space and S = {{1}, {2}} is the collection of sets.
Our goal is to determine the sigma field generated by this collection S.
Since the sigma field must contain all sets in S, we {1} and {2} will be present in sigma field.
For any set in a sigma field, its complement must also be in the sigma field:

• The complement of {1} inA = {1, 2, 3, 4} is A \ {1} = {2, 3, 4}.

• The complement of {2} is A \ {2} = {1, 3, 4}.

Then, the countable unions and intersections of the sets in S will also be in the sigma field. Since S has
only a finite number of sets, we will take their finite unions and intersections:

• The union of {1} and {2} is {1, 2}.

• The intersection of {1} and {2} is ∅, the empty set.

Now, the sigma field includes:

∅, {1}, {2}, {1, 2}, {2, 3, 4}, {1, 3, 4}

Finally, we take the complements of the newly formed sets:

• The complement of {1, 2} is A \ {1, 2} = {3, 4}.

• The complement of ∅ is A = {1, 2, 3, 4}.

Thus, the complete sigma field generated by S, denoted σ(S), is:

σ(S) = {∅, {1}, {2}, {1, 2}, {3, 4}, {2, 3, 4}, {1, 3, 4}, {1, 2, 3, 4}}

11
2. Given a finite set U = {a, b, c} and C = {{a}, {b}}, find the sigma field generated by C.
Ans: The sigma field will include: ∅, {a}, {b}, {c}, {a, b}, {a, c}, {b, c}, U .

3. Sigma Field Generated by a Countable Collection of Sets:

Let Ω = [0, 1] and C be the collection of intervals of the form [0, a] for a ∈ [0, 1]. Find out the sigma field
generated by C.
Ans: The sample space is Ω = [0, 1].
The collection of intervals C, is given by C = {[0, a] : a ∈ [0, 1]}.

We want to derive the sigma field generated by C.

• The collection C includes intervals of the form [0, a], such as:

[0, 0], [0, 0.1], [0, 0.5], [0, 1], . . .

These are intervals starting at 0 and ending at various points a ∈ [0, 1].

• The sigma field must include the complements of the sets in C. So, for an interval [0, a], its comple-
ment is given by:
[0, 1] \ [0, a] = (a, 1]

Thus, the sigma field must include intervals of the form (a, 1] as well.

Examples of complements:

[0, 0]c = (0, 1], [0, 0.5]c = (0.5, 1], [0, 1]c = ∅

• Next, the sigma field must be closed under countable unions. This means that if we take a countable
collection of intervals from C or their complements, their union must also be included in the sigma
field.

For example: The union of [0, 0.5] ∪ (0.5, 1] = [0, 1] must be included.
Similarly, unions of smaller intervals and their complements, such as [0, 0.25] ∪ (0.25, 0.5] ∪ (0.5, 1] =
[0, 1], are also in the sigma field.

• Similarly, the sigma field must be closed under countable intersections

For example: The intersection [0, 0.5] ∩ [0, 0.25] = [0, 0.25] must be included.
Also, countable intersections of these intervals (or their complements) will result in intervals or sets
like ∅ or singletons.

So, the sigma field will include:

12
 • Intervals of the form: [0, a] for any a ∈ [0, 1].

• Intervals of the form: (a, 1] for any a ∈ [0, 1].

• [0, 1].

• ∅

• Countable unions and countable intersections or complements of these sets.

This sigma field generated by the collection C = {[0, a] : a ∈ [0, 1]} consists of intervals starting at 0,
their complements, and any countable unions or intersections of these intervals. This sigma field is a step
towards the more general Borel sigma field on [0, 1].

5. Borel Sigma Field

The Borel sigma field (or Borel field) on a given topological space, especially the real line R, is the sigma
field generated by the collection of open sets in that space. It is denoted by B(R) when referring to the real
line.
So, if O(R) represents the collection of all open sets on R, then:

B(R) = σ(O(R))

That is, B(R) is the smallest sigma field that contains all open sets on R.
In simple words, the Borel sigma field starts with the open sets and includes all sets you can create from
them using these basic operations.

5.1. Borel Sets:

A Borel set is any set that can be formed from open or closed sets through a combination of countable
operations such as union, intersection, and complement. These sets are the elements of the Borel sigma field
This means that:

• Open intervals (e.g., (a, b)) are Borel sets.

• Open intervals (e.g., [a, b]) are Borel sets.

• Half-openor half-closed intervals (e.g., [a, b)) are borel sets.

• Singleton points (e.g., {a}) are also Borel sets.

13
5.2. Properties of the Borel Field

1. Closed under complements: If A ∈ B(R), then Ac ∈ B(R).

S∞ T∞
2. Closed under countable unions and intersections: If A1 , A2 , A3 , . . . are in B(R), then n=1 An and n=1 An

are also in B(R).

3. The Borel field contains many different types of sets, from simple intervals to more complex ones.

The Borel field is important because it allows us to measure a broad class of sets (not just
intervals) while maintaining countable additivity, a crucial property in measure theory.

5.3. Examples:

The Borel sigma field B(R) is generated by the open intervals in R. It includes:

• All open sets in R.

• All closed sets in R.

• Countable unions, intersections, and complements of these sets.

5.4. Solved Problems:

1. Prove that the set {a} (a singleton) is a Borel set.

Ans: To prove that the set {a} is a Borel set, we need to show that it can be constructed using operations
allowed in the definition of the Borel sigma field.

• Express the Singleton Set as an Intersection of Open Intervals:

{a} can be expressed as the intersection of open intervals shrinking around the point {a}:
∞  
\ 1 1
{a} = a − ,a + .
n n
n=1

Now:
Each interval a − n1 , a + 1


n is an open interval, which is a Borel set by definition.
Also, as n → ∞, the intervals shrink and converge to the point {a}.

We know that B(R) is a sigma field and is closed under countable intersections and so the intersection
of a countable collection of Borel sets is also a Borel set. Therefore, the singleton {a} is a Borel set.

14
 • Singleton as a Closed Set:
Alternatively, a singleton set {a} is a closed set. A set is closed if it contains all its limit points, and
since a single point has no limit points other than itself, {a} is trivially closed.

Since all closed sets are Borel sets (the complement of a closed set is an open set, and the Borel
sigma field contains all open and closed sets), {a} is a Borel set.

The singleton set {a} is a Borel set because it can be represented both as a countable intersection of open
sets and as a closed set, both of which are Borel sets. Therefore, {a} ∈ B(R).

2. Show that the interval [0, 1) is a Borel set and express it as the complement of an open set.
Ans: An important property of Borel sets is that, if an open set is a Borel set, then its complement is also
a Borel set. So to prove that the interval [0, 1) is a Borel set, we need to express it as the complement of
an open set.

We can express this interval as the complement of an open set as follows:

[0, 1) = R \ (1, ∞).

Since (1, ∞) is an open set in R and The complement of (1, ∞) in R is (−∞, 1], but since we are interested
only in the interval from 0 to 1, we can restrict this to [0, 1).

Since (1, ∞) is an open set and Borel sets are closed under complements, the complement of (1, ∞), which
includes [0, 1), must also be a Borel set.

The interval [0, 1) is a Borel set, and it can be expressed as the complement of the open set (1, ∞):

[0, 1) = R+ \ (1, ∞).

3. Give examples of countable unions of Borel sets and show they remain in the Borel field.

4. Prove that if f : R → R is continuous, then f is Borel measurable.

15