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Borel-Cantelli lemma (Theorem)

Let $ A_1, A_2,\dots$ be random events in a probability space.

  1. If $ \sum_{n=1}^\infty P(A_n)<\infty$, then $ P(A_n \operatorname{i.o.}) = 0$;
  2. If $ A_1,A_2,\dots$ are independent, and $ \sum_{n=1}^\infty P(A_n)=\infty$, then $ P(A_n \operatorname{i.o.})=1$

where $ A=[A_n \operatorname{i.o.}]$ represents the event “$ A_n$ happens for infinitely many values of $ n$.” Formally, $ A = \limsup A_n$, which is a limit superior of sets.



"Borel-Cantelli lemma" is owned by Koro.
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Attachments:
proof of Borel-Cantelli 1 (Proof) by kshum
proof of Borel-Cantelli 2 (Proof) by kshum
corollary of Borel-Cantelli lemma (Corollary) by renato
criterion for almost-sure convergence (Corollary) by stevecheng
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Cross-references: limit superior of sets, represents, independent, probability space, random events
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This is version 4 of Borel-Cantelli lemma, born on 2002-12-08, modified 2004-02-23.
Object id is 3688, canonical name is BorelCantelliLemma.
Accessed 13074 times total.

Classification:
AMS MSC60A99 (Probability theory and stochastic processes :: Foundations of probability theory :: Miscellaneous)

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