Thursday, 25 September 2014

probability theory - P(limsupAn)=1 if forallAinmathfrakF s.t. suminftyn=1P(AcapAn)=infty



Let F=(An)nN. Prove that P(lim supAn)=1 if AF s.t. P(A)>0,n=1P(AAn)=. (Side question 1 Is second Borel-Cantelli out because we don't know if the An's are independent?)



Suppose AF s.t. P(A)>0,n=1P(AAn)=, but P(lim supAn)<1. My prof gave us this convenient hint: Show M>0 s.t. P(j=MAcj)>0.




1>P(lim supAn)



1P(lim supAn)>0



P(lim infAcn)>0



By definition of lim infAcn, M>0 s.t. P(j=MAcj)>0. (Side questions 2 and 3 Isn't this =1? ...Wait, is that what we're trying to prove? Haha)



1P(j=MAj)>0




1>P(j=MAj)



Main question: Now I guess we have to come up with some A s.t.



1>P(j=MAj)n=1P(AAn), or is there something else to do?


Answer



Show that the series nP(AAn) converges for A=n=MAcn.


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