Chapter 0

Review of set theory

Set theory plays a central role in the theory of probability. Thus, we will open
this course with a quick review of those notions of set theory which will be used
repeatedly.

0.1 Sets
Throughout this chapter, let X be a set, which we will call the whole space. The
elements of X will often be called points. If A is a subset of X and x is a point in
X, then the notation
x∈A
means that x belongs to A, i.e., it is one of the points in A. If x does not belong to
A, we write
x ∈� A.
Whenever the identity of the whole space X is clear, we will refer to subsets of X
simples as sets.
If A and B are sets, the notations

A⊂B or B⊃A

mean that A is a subset of B, i.e., every point in A is also a point in B. Two sets
are called equal if they contain exactly the same set of points, i.e.,

A⊂B and B ⊂ A.
6 Chapter 0

When considering the collection of all subsets of X, we always include the empty
set, which is denoted by �. By definition,

∀x ∈ X, x ∈� �.

For every set A, it always holds that

� ⊂ A ⊂ X.

We will often consider sets of sets. To avoid confusion, we will use the term a
collection (42&!) of sets, rather then a set of sets; however remember, a collection
is nothing but a set. Thus, is C is a collection of sets and A is a set, then A ∈ C
means that the set A is one of the elements of the collection of sets C. The notation
A ⊂ C, on the other hand, is meaningless.

Example: Let X be a whole space. The collection of all its subsets is denoted by
2X ; it is called the power set of X (%8'(% ;7&"8). This notation is suggestive, as if
X has finite cardinality �X�, then

�2X � = 2�X� .

▲▲▲

Definition 0.1 A sequence (An ) of sets is called increasing (%-&3) if

A1 ⊂ A2 ⊂ A3 ⊂ �.

It is called decreasing (;$9&*) if

A1 ⊃ A2 ⊃ A3 ⊃ �.

In either case it is called monotone.

To denote sets, we will use curly brackets. For example, if x, y ∈ X, then

{x, y}

denotes the set whose only elements are x and y. If (xk )nk=1 is a finite sequence of
distinct points in X, we will denote the set whose only elements are the elements
of that sequence by
{xk ∶ k = 1, . . . , n}.
 Review of set theory 7

If (xk ) is an infinite sequence of distinct points in X, we will denote the set whose
only elements are the elements of that sequence by

{xk ∶ k ∈ N}.

Suppose that for every x ∈ X, ⇡(x) is a proposition assuming values either True or
False. Then,
{x ∈ X ∶ ⇡(x)}

denotes the set of all points in X for which the proposition ⇡(x) is True. More
generally, if ⇡1 (x), ⇡2 (x), . . . is a sequence of propositions regarding the point x,
then
{x ∈ X ∶ ⇡1 (x), ⇡2 (x), . . . }

denotes the set of all points in X for which all the propositions ⇡k (x) are True.

Example: Let X = N and for n ∈ N let

�
�
�True n is even
⇡(n) = �
�
�
�False n is odd.

Then,
{n ∈ N ∶ ⇡(n)}

denotes the set of even integers. In many instances, we will use the more intuitive
notation
{n ∈ N ∶ n is even}.

▲▲▲
As a tautological, yet useful remark: every set A can be expressed using the curly
bracket notation as
A = {x ∈ X ∶ x ∈ A}.

Finally, for every x ∈ X, {x} is a subset of X, i.e., an element of 2X ; such a subset

is called a singleton (0&$*(*). Be careful to distinguish x from {x}.
8 Chapter 0

0.2 Unions and intersections

Let C be a collection of subsets of X. The subset of X including all those points
that belong to at least one set of the collection C is called the union ($&(*!) of the
collection, and it is denoted by

�C or �{A ∶ A ∈ C}.

In the case where the collection C includes only two sets, e.g., C = {A, B}, we
simply write
� C = A ∪ B.
If
C = {Ai ∶ i = 1, . . . , n}
is a finite collection of sets, we write
n
� C = � Ai .
i=1

If
C = {Ai ∶ i ∈ N}
is a countable collection of sets, we write
∞
� C = � Ai .
i=1

Finally, if
C = {A ∶ ∈ }
is a non-countable collection of sets, where is an index set, we write

�C = � A .
∈

By convention if C is an empty collection of sets, then

� C = �.

It is easy to see that whenever A ⊂ B, then

A ∪ B = B.
 Review of set theory 9

In particular, it always holds that

�∪A= A and A ∪ X = X.

Moreover, if (An ) is an increasing sequence of sets, then

n
� Ak = An .
k=1

Let C be a collection of subsets of X. The subset of X including all those points

that belong to all sets of the collection C is called the intersection (+&;*() of the
collection, and it is denoted by

�C or �{A ∶ A ∈ C}.

In the case where the collection C includes only two sets, e.g., C = {A, B}, we
simply write
� C = A ∩ B.
If
C = {Ai ∶ i = 1, . . . , n}
is a finite collection of sets, we write
n
� C = � Ai .
i=1

If
C = {Ai ∶ i ∈ N}
is a countable collection of sets, we write
∞
� C = � Ai .
i=1

Finally, if
C = {A ∶ ∈ }
is a non-countable collection of sets, where is an index set, we write

�C = � A .
∈
10 Chapter 0

By convention if C is an empty collection of sets then

� C = X.

It is easy to see that whenever A ⊂ B, then

A ∩ B = A.

In particular, it always holds that

�∩A=� and A ∩ X = A.

Moreover, if (An ) is a decreasing sequence of sets, then

n
� Ak = An .
k=1

Definition 0.2 Two sets A and B are called disjoint (.*9') if they have no points
in common, i.e., A ∩ B = �. A disjoint collection of sets is a collection of sets such
that every two distinct sets in this collection are disjoint.

Since unions of disjoint collections of sets play an important role in the theory of
probability, we will denote the union of a disjoint collection by �. For example,

A�B

denotes the union of the disjoint sets A and B.

Unions and intersections satisfy the following important properties:

1. Both are commutative and associative.

2. Intersections are distributive over unions,

A ∩ (B ∪ C) = (A ∩ B) ∪ (A ∩ C).

3. Unions are distributive over intersections,

A ∪ (B ∩ C) = (A ∪ B) ∩ (A ∪ C).
 Review of set theory 11

0.3 Complements
Let A be a set. It complement (.*-:/) is the set of points which do not belong to
A,
Ac = {x ∶ x ∈� A}.
Complementation satisfies the following properties:

1. For all sets A,

A ∪ Ac = X and A ∩ Ac = �.
2. For all sets A, (Ac )c = A.
3. �c = X and X c = �.
4. If A ⊂ B then Ac ⊃ Bc .
5. For every (possibly non-countable) collection C of sets,

(�{A ∶ A ∈ C}) = �{Ac ∶ A ∈ C},

c

and
(�{A ∶ A ∈ C}) = �{Ac ∶ A ∈ C}.
c

Let A and B be sets. The di↵erence between A and B is the set of all those points
that are in A but not in B, namely,

A � B = {x ∶ x ∈ A and x ∈� B} = A ∩ Bc .

0.4 Limits
Let (An ) be a sequence of sets. The superior limit (0&*-3 -&"#) of this sequence is
defined as the set of points that belong to infinitely many of those sets:

lim sup An = {x ∶ for all k there exists an n ≥ k such that x ∈ An }.

n

If x ∈ lim supn An we say that x ∈ An infinitely often (%1:1 05&!").

The inferior limit (0&;(; -&"#) of this sequence is defined as the set of points that
belong to all but finitely many of those sets:

lim inf An = {x ∶ there exists k such that x ∈ An for all n ≥ k}.

n
12 Chapter 0

If x ∈ lim supn An we say that x ∈ An eventually ($*/; 9"$ -: &5&2"). Note that
both superior and inferior limits always exist. Also, it always holds that

lim inf An ⊂ lim sup An .

n n

In the event that the superior limit and the inferior limit of a sequence of sets
coincide, we call this set the limit of the sequence, namely,

lim An = lim sup An = lim inf An .

n n n

By definition, for k ∈ N,
∞
� An = {x ∶ there exists an n ≥ k such that x ∈ An },
n=k

hence,
∞ ∞
� � An = lim sup An .
k=1 n=k n

Likewise, for k ∈ N,
∞
� An = {x ∶ x ∈ An for all n ≥ k},
n=k

hence,
∞ ∞
� � An = limninf An .
k=1 n=k

Proposition 0.1 If (An ) is a monotone sequence of sets, then it has a limit. Specif-
ically, if (An ) is increasing then
∞
lim An = � An .
n
n=1

and if (An ) is decreasing then

∞
lim An = � An .
n
n=1
 Review of set theory 13

Proof : Let (An ) be increasing. Then for every k ∈ N,

∞ ∞ ∞
� An = � An and � Ak .
n=k n=1 n=k
Thus,
∞ ∞ ∞
lim sup An = � � An = � An ,
n k=1 n=1 n=1
and ∞
lim inf An = � An .
n
k=1

Let (An ) be decreasing. Then for every k ∈ N,

∞ ∞ ∞
� An = � An and � Ak .
n=k n=1 n=k
Thus,
∞
lim sup An = � Ak ,
n k=1
and ∞ ∞ ∞
lim inf An = � � An = � An .
n
k=1 n=1 n=1
n
Example: Let X be the set of integers, N, and let
�
�
�{2, 4, 6, . . . } n is even
An = �
�
�{1, 3, 5, . . . } n is odd.
�
Then,
lim sup An = X and lim inf An = �,
n→∞ n→∞

i.e., the sequence (An ) does not have a limit. ▲▲▲

Example: Let again X = N and let
Ak = �k j ∶ j = 0, 1, 2, . . . � ,
namely,
A1 = {1} A2 = {1, 2, 4, . . . } A2 = {1, 3, 9, . . . },
etc. Then,
lim Ak = {1}.
k
▲▲▲
14 Chapter 0

0.5 Algebras and -algebras of sets

Definition 0.3 A collection C of sets is called an algebra of sets (-: %9"#-!
;&7&"8) if it satifsies the following properties:

1. If A ∈ C then Ac ∈ C.
2. If A, B ∈ C the A ∪ B ∈ C.
3. X ∈ C.

Proposition 0.2 Let C be an algebra of sets. Then,

1. � ∈ C.
2. If A1 , . . . , An ∈ C then ∪ni=1 Ai ∈ C.
3. If A1 , . . . , An ∈ C then ∩ni=1 Ai ∈ C.
4. Let A, B ∈ C. Then their di↵erence A � B is in C.

Proof : Since C is closed under complementation and X ∈ C,

� = X c ∈ C.

The second assertion follows by induction. The third assertion follows from the
second assertion and de Morgan’s Law,

n n c

� Ai = �� Ai �
c
∈ C.
i=1 i=1

The fourth assertion holds because

A � B = A ∩ Bc .

n
Thus, an algebra of sets is a collection of sets closed under finitely many set-
theoretic operations of union, intersection and complementation.
 Review of set theory 15

Example: Let A be a set. Then, the collection of sets

C = {�, A, Ac , X}

is an algebra of sets. ▲▲▲

Example: The collection of all subsets 2X is an algebra of sets. ▲▲▲

Example: Suppose that X is an infinite set. The collection of all finite subsets of
X is not an algebra of sets. Neither is the collection of all infinite subsets of X.
▲▲▲

Definition 0.4 A collection C of sets is called a -algebra of sets if it is an alge-

bra of sets, and in addition, if (An ) is a sequence of sets in C, then
∞
� An ∈ C.
n=1

Proposition 0.3 Let C be a algebra of sets. If (An ) is a sequence of sets in C,

then ∞
� An ∈ C.
n=1

Proof : This is an immediate consequence of the identity

∞ ∞ c

� An = � � Acn � .
n=1 n=1

n
That is, a -algebra of sets is closed with respect to countably many set-theoretic
operations.

Example: The collection of all subsets 2X is a -algebra of sets. ▲▲▲

16 Chapter 0

Proposition 0.4 Let C , ∈ be a (possible non-countable) family of -algebras

of sets. Then, their intersection,

F = �{C ∶ ∈ }

is also a -algebra of sets.

Proof : Let (An ) be a sequence of sets in F . By definition, An ∈ C for every ∈ .

Since C is a -algebra, then

∞
X∈C , Acn ∈ C and � An ∈ C .
n=1

This this holds for every ∈ , then

∞
X ∈ F, Acn ∈ F and � An ∈ F .
n=1

Definition 0.5 Let C be a non-empty collection of sets. The -algebra generated

by C is the intersection of all those -algebras containing C.

(C) = �{A ∶ A is a -algebra and C ⊂ A}.

Since 2X is a -algebra containing C, this intersection is not empty. By Proposi-

tion 0.4, (C) is a -algebra.

Example: Let A be a set. Then,

({A}) = {�, A, Ac , X}.

▲▲▲

. Exercise 0.1 Let A, B be sets. Find ({A, B}).

 Review of set theory 17

0.6 Inverse functions

In calculus, you learned that a function f ∶ X → Y is invertible only if it is both
one-to-one and onto; in this case, we can define

f −1 ∶ Y → X.

An inverse function, however, can always be defined as a mapping between sets.

For every function f ∶ X → Y we can define

f −1 ∶ 2Y → 2X

by
f −1 (A) = {x ∈ X ∶ f (x) ∈ A}, A ⊂ Y.

An important property of the inverse function f −1 is that it preserves (commutes

with) set-theoretic operations:

Proposition 0.5 Let f ∶ X → Y. Then,

1. For every A ⊂ Y
( f −1 (A))c = f −1 (Ac ).
2. If A, B ⊂ Y are disjoint so are f −1 (A), f −1 (B) ⊂ X.
3. f −1 (Y) = X.
4. If An ⊂ Y is a sequence of subsets, then
∞ ∞
f −1 � � An � = � f −1 (An ).
n=1 n=1

Proof : Just follow the definitions. For example,

x ∈ f −1 (A) i↵ f (x) ∈ A,

hence

x ∈ ( f −1 (A))c i↵ f (x) ∈� A i↵ f (x) ∈ Ac i↵ x ∈ f −1 (Ac ).

18 Chapter 0

n
The fact that inverse functions commute with set-theoretic operations has the fol-
lowing implication. Let X and Y be sets and let f ∶ X → Y. Let F ⊂ 2Y be a
-algebra of subsets of Y, then

{ f −1 (A) ∶ A ∈ F }

is a -algebra of subsets of X.