Sigma algebra generated by a piecewise function

In summary, the conversation is about finding the sigma algebra generated by a given random variable in a unit interval probability space. The person is unsure of how to combine certain sets into the sigma algebra, and asks for clarification. They are later reassured that their understanding is correct and provided with the sigma algebra generated by the random variable.
  • #1
ellese
3
0
I have this homework question and I'm a little bit stuck.

The question is:
Let (Ω, F , P ) be the unit interval probability space, and X be the random variable
defined by

(See attatchment)

Find the σ-algebra generated by X.

From my understanding of sigma-algebras I want to look for the set that is non-empty, closed under complementation and closed under countable unions.

The idea I have so far is to include the sets {1}{3} and {(3, 7]} but I'm not sure how to combine these into a sigma algebra. Do I want σ(X) = {∅, {1}{3}{(3, 7]}{[3,7]}, {1, (3,7]}, {1, 3} , {1, [3,7]}}?
 

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  • #2
Any help would be much appreciated. Thank you! Yes, your understanding is correct. The sigma algebra generated by X is indeed $$\sigma (X) =\{\emptyset , \{1\}, \{3\}, \{7\}, \{1,3\}, \{3,7\}, \{1,7\}, \{1,3,7\}\}.$$
 

1. What is a sigma algebra generated by a piecewise function?

A sigma algebra generated by a piecewise function is a collection of subsets of the domain of a piecewise function that satisfies certain properties. It is used to define the measurable sets over which the function is defined.

2. How is a sigma algebra generated by a piecewise function different from a regular sigma algebra?

A regular sigma algebra is a collection of subsets that is closed under countable unions, intersections, and complements. A sigma algebra generated by a piecewise function is a subset of a regular sigma algebra that is specifically generated by the subsets over which the function is defined.

3. What is the purpose of using a sigma algebra generated by a piecewise function?

The purpose of using a sigma algebra generated by a piecewise function is to define the measurable sets over which the function is defined. This allows for the function to be integrated and analyzed in a mathematically precise way.

4. How is a sigma algebra generated by a piecewise function used in probability theory?

In probability theory, a sigma algebra generated by a piecewise function is used to define the sample space and measurable events. This allows for the calculation of probabilities and the analysis of random variables defined by the piecewise function.

5. Can a sigma algebra generated by a piecewise function be generated by multiple functions?

Yes, a sigma algebra generated by a piecewise function can be generated by multiple functions. This is because each function may have different subsets over which it is defined, and the sigma algebra is generated by the union of all these subsets.

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