Borel sigma-algebra

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  • Not to be confused with the Borel sigma-algebra generated by which, for a given topology [ilmath](X,\mathcal{O})[/ilmath] is denoted [ilmath]\mathcal{B}(X,\mathcal{J}):=\sigma(\mathcal{O})[/ilmath] or just [ilmath]\mathcal{B}(X)[/ilmath] if the topology is implicit.
  • (This page) The Borel [ilmath]\sigma[/ilmath]-algebra refers to [ilmath]\mathcal{B}(\mathbb{R})[/ilmath], with it's usual topology (the topology induced by the absolute value metric, [ilmath]\vert\cdot\vert[/ilmath]).
    • Because it is so common we simply denote it [ilmath]\mathcal{B} [/ilmath]
    • Again, because it is so common, rather than saying a map is [ilmath]\mathcal{A}/\mathcal{B} [/ilmath]-measurable, we may just say it is [ilmath]\mathcal{A} [/ilmath]-measurable


The Borel [ilmath]\sigma[/ilmath]-algebra is a[Note 1] [ilmath]\sigma[/ilmath]-algebra on [ilmath]\mathbb{R} [/ilmath][1]. It is generated by the open sets of the metric space [ilmath](\mathbb{R},\vert\cdot\vert)[/ilmath]. We denote it as:

  • [ilmath]\mathcal{B}:=\sigma(\mathcal{O})[/ilmath] where [ilmath]\mathcal{O} [/ilmath] denotes the open sets of [ilmath](\mathbb{R},\vert\cdot\vert)[/ilmath][Note 2]

This is actually a special case of the Borel [ilmath]\sigma[/ilmath]-algebra generated by, rather than writing [ilmath]\mathcal{B}(\mathbb{R})[/ilmath] we simply write [ilmath]\mathcal{B} [/ilmath]

The Borel [ilmath]\sigma[/ilmath]-algebra can also be defined on [ilmath]\mathbb{R}^n[/ilmath], that is done as follows:

  • [ilmath]\mathcal{B}^n:=\mathcal{B}(\mathbb{R}^n)[/ilmath][1] with the usual topology on [ilmath]\mathbb{R}^n[/ilmath] (the metric given by the Euclidean norm will do)

Again, this is a special case of the Borel [ilmath]\sigma[/ilmath]-algebra generated by a topology; this time it is the metric space [ilmath](\mathbb{R}^n,\vert\cdot\vert)[/ilmath].


There are many generators of [ilmath]\mathcal{B}^n[/ilmath] (just use [ilmath]n=1[/ilmath] for [ilmath]\mathcal{B} [/ilmath] itself) - some are listed here. First here are some non-obvious definitions:

  • [math][ [a,b))\subset\mathbb{R}^n[/math] means [ilmath]a[/ilmath] and [ilmath]b[/ilmath] are [ilmath]n[/ilmath]-tuples that denote the half-open-half-closed rectangles:
    • [math][ [a,b)):=[a_1,b_1)\times[a_2,b_2)\times\cdots\times[a_n,b_n)\subset\mathbb{R}^n[/math] with the convention of:
      • [math][a_i,b_i)=\emptyset[/math] if [ilmath]b_i\le a_i[/ilmath] and of course
      • [math][ [a,b))=\emptyset[/math] if any of the [ilmath][a_i,b_i)=\emptyset[/ilmath] - this is trivial to show.
    • The notation of [math]((a,b)):=(a_1,b_1)\times(a_2,b_2)\times\cdots\times(a_n,b_n)[/math] is similarly defined.
  • [math]\mathscr{J}_\text{rat}^\circ:=\left\{((a,b))\vert\ a,b\in\mathbb{Q}^n\right\}[/math]
  • [math]\mathscr{J}_\text{rat}:=\left\{[ [a,b))\vert\ a,b\in\mathbb{Q}^n\right\}[/math]
  • [math]\mathscr{J}^\circ:=\left\{((a,b))\vert\ a,b\in\mathbb{R}^n\right\}[/math]
  • [math]\mathscr{J}:=\left\{[ [a,b))\vert\ a,b\in\mathbb{R}^n\right\}[/math]
Claim Proof route Comment
[ilmath]\mathcal{B}^n:=\sigma(\mathcal{O})[/ilmath] - open[1] Trivial (by definition)
[ilmath]\mathcal{B}^n=\sigma(\mathcal{C})[/ilmath] - closed[1] Showing [ilmath]\sigma(\mathcal{C})\subseteq\sigma(\mathcal{O})[/ilmath] and [ilmath]\sigma(\mathcal{O})\subseteq\sigma(\mathcal{C})[/ilmath] - see Claim 1 This is true for any Borel [ilmath]\sigma[/ilmath]-algebra generated by a topology
[ilmath]\mathcal{B}^n=\sigma(\mathcal{K})[/ilmath] - compact[1]

TODO: There's quite a few steps and theorems required (eg: compact set in Hausdorff space is closed)

Link with generated borel sigma algebra - which requires a Hausdorff metric space I believe
[ilmath]\mathcal{B}^n=\sigma(\mathcal{O})=\sigma(\mathscr{J}_\text{rat}^\circ)=\sigma(\mathscr{J}^\circ)[/ilmath] Claim 2

TODO: Check this and the method from the book - page 67 of my notes

Also generated by:

[ilmath]\{(-\infty,a)\vert\ a\in\mathbb{Q}\}[/ilmath] [ilmath]\{(-\infty,a)\vert\ a\in\mathbb{R}\}[/ilmath]
[ilmath]\{(-\infty,b]\vert\ b\in\mathbb{Q}\}[/ilmath] [ilmath]\{(-\infty,b]\vert\ b\in\mathbb{R}\}[/ilmath]
[ilmath]\{(c,+\infty)\vert\ c\in\mathbb{Q}\}[/ilmath] [ilmath]\{(c,+\infty)\vert\ c\in\mathbb{R}\}[/ilmath]
[ilmath]\{[d,+\infty)\vert\ c\in\mathbb{Q}\}[/ilmath] [ilmath]\{[d,+\infty)\vert\ c\in\mathbb{R}\}[/ilmath]

TODO: Integrate these, also find proofs, they're just a remark in[1]

Proof of claims

Claim 1: [ilmath]\sigma(\mathcal{O})=\sigma(\mathcal{C})[/ilmath]

TODO: Be bothered, just use complements

Claim 2: Todo - even write this

TODO: This


  1. There are of course others, for example [ilmath]\mathcal{P}(\mathbb{R})[/ilmath] is always a [ilmath]\sigma[/ilmath]-algebra but is much larger than the Borel one
  2. Conventionally, [ilmath]\mathcal{J} [/ilmath] denotes the open sets, but in measure theory this seems to denote the sets of half-open-half-closed rectangles, and it is too common to ignore


  1. 1.0 1.1 1.2 1.3 1.4 1.5 Measures, Integrals and Martingales - Rene L. Schilling