Definition (Monotone class)
Let G be a collection of sets. Suppose that if (Aj)j≥1,(Bj)j≥1⊆G are such that Aj⊆Aj+1 and Bj⊇Bj+1∀j≥1then upon setting A=⋃j=1∞Aj and B=⋂j=1∞Bj, we have that A,B∈G. In this case, we call G a monotone class.
Theorem (Product σ-algebra is the smallest monotone class containing collection of elementary sets)
P , the Product σ-algebra is the smallest Monotone Class containing G the collection of Elementary Sets.