Monotone Class

Definition (Monotone class)

Let G\mathcal{G} be a collection of sets. Suppose that if (Aj)j1,(Bj)j1G(A_{j})_{j\ge 1},(B_{j})_{j\ge 1}\subseteq \mathcal{G} are such that AjAj+1 and BjBj+1j1A_{j}\subseteq A_{j+1}\text{ and }B_{j}\supseteq B_{j+1}\quad\forall j\ge 1then upon setting A=j=1AjA=\bigcup_{j=1}^{\infty}A_{j} and B=j=1BjB=\bigcap_{j=1}^{\infty}B_{j}, we have that A,BGA,B\in\mathcal{G}. In this case, we call G\mathcal{G} a monotone class.

Theorem (Product σ-algebra is the smallest monotone class containing collection of elementary sets)

P\mathscr{P} , the Product σ-algebra is the smallest Monotone Class containing G\mathcal{G} the collection of Elementary Sets.

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