SigmaField
Mathematical Foundations for Quant Finance
0 of 256 lessons
    1. PG6.1 Sets and set operations, provedProof · 30 min
    2. PG6.2 Injective, surjective and bijective mapsProof · 30 min
    3. PG6.3 Countable setsProof · 30 min
    4. PG6.4 Uncountable sets, and infinitely many coin tossesProof · 30 min
    5. PG6.5 Stage review: sets, maps and sizesProof · 30 min
Proof Gym overview →

Proof Gym PG6 Sets and functions Lesson 1 of 5

ProofLesson PG6.1 in the Proof Gym, stage PG6: Sets and functions. About 30 minutes.

Sets and set operations, proved

Simulate

Check the claim with numbers

Lesson 5.1.1 turned "or", "and" and "not" into union, intersection and complement. "Not (AA or BB)" sounds like "not AA and not BB". In symbols: is (A∪B)c(A \cup B)^c always Ac∩BcA^c \cap B^c?

A small sample space can be checked completely. Take Ω={1,2,3,4}\Omega = \{1, 2, 3, 4\}. It has 16 subsets, so 256 pairs (A,B)(A, B), and the cell tries every pair.

⌘/Ctrl + Enter runs the cell

Both laws hold for all 256 pairs: the complement of a union is the intersection of the complements, and the other way round. The last line tries a careless version, with ∪\cup on both sides. It fails for 240 of the 256 pairs.

Conjecture

De Morgan's laws. For any events AA and BB in a sample space Ω\Omega,

(A∪B)c=Ac∩Bc(A∩B)c=Ac∪Bc\begin{gathered} (A \cup B)^c = A^c \cap B^c \\ (A \cap B)^c = A^c \cup B^c \end{gathered}

Every pair of subsets of one four-element set. A proof must cover every sample space, including infinite ones, where no computer can try every pair.

How to prove two sets are equal

A⊆BA \subseteq B, read "AA is a subset of BB", means every element of AA is in BB. Two sets are equal when they have the same elements, which is the same as each being a subset of the other.

Rule: Proving two sets equal

A=B  ⟺  A⊆B and B⊆A\begin{gathered} A = B \iff A \subseteq B \text{ and } B \subseteq A \end{gathered}

To prove A⊆BA \subseteq B, take any element xx of AA, using nothing but x∈Ax \in A, and show that x∈Bx \in B. Then do the same the other way round.

This is called double inclusion. Each half is a short chain of "so", one membership at a time. Remember that x∈Acx \in A^c means x∈Ωx \in \Omega and x∉Ax \notin A.

Format 1

Reorder the steps

Here is the proof of the first law, with its lines shuffled. Put them in order with the arrows, or drag a line by its handle.

  1. So x∈Acx \in A^c and x∈Bcx \in B^c, that is, x∈Ac∩Bcx \in A^c \cap B^c. This proves (A∪B)c⊆Ac∩Bc(A \cup B)^c \subseteq A^c \cap B^c.
  2. An element of A∪BA \cup B is in AA or in BB, so x∉A∪Bx \notin A \cup B, and x∈(A∪B)cx \in (A \cup B)^c. This proves Ac∩Bc⊆(A∪B)cA^c \cap B^c \subseteq (A \cup B)^c.
  3. An element of AA or of BB would be in A∪BA \cup B, so x∉Ax \notin A and x∉Bx \notin B.
  4. First, take any x∈(A∪B)cx \in (A \cup B)^c. Then x∈Ωx \in \Omega and x∉A∪Bx \notin A \cup B.
  5. Next, take any x∈Ac∩Bcx \in A^c \cap B^c. Then x∈Ωx \in \Omega, x∉Ax \notin A and x∉Bx \notin B.
  6. Each set is a subset of the other, so (A∪B)c=Ac∩Bc(A \cup B)^c = A^c \cap B^c.

The second law has the same shape, with "or" and "and" trading places. Lesson PG6.5 asks for a proof of the same shape.

Simulate

The probability rules

Lesson 5.1.1 stated two rules and said the Proof Gym proves them from the axioms: P(Ac)=1−P(A)P(A^c) = 1 - P(A), and P(A∪B)=P(A)+P(B)−P(A∩B)P(A \cup B) = P(A) + P(B) - P(A \cap B). The proof splits a set into pieces that do not overlap.

Write B∖AB \setminus A, read "BB minus AA", for the outcomes of BB that are not in AA. The cell takes the loaded die of lesson 5.1.1 and tries all 64×6464 \times 64 pairs of events, with exact fractions.

⌘/Ctrl + Enter runs the cell

The second line confirms that AA and B∖AB \setminus A never overlap and together make A∪BA \cup B. The third does the same for A∩BA \cap B and B∖AB \setminus A, which make BB. The last line confirms the addition rule exactly, for all 4,096 pairs.

Conjecture

For any probability PP and any events AA and BB,

P(Ac)=1−P(A)P(A∪B)=P(A)+P(B)−P(A∩B)\begin{gathered} P(A^c) = 1 - P(A) \\[6pt] P(A \cup B) = P(A) + P(B) \\ - P(A \cap B) \end{gathered}

and if A⊆BA \subseteq B, then P(A)≤P(B)P(A) \le P(B).

One probability on one die. The proof uses only the three axioms, so it works for every probability.

Format 2

Fill the gap

The proof from the axioms of lesson 5.1.1, with its key steps left out. Write a=P(A)a = P(A), b=P(B)b = P(B) and c=P(A∩B)c = P(A \cap B), and type each answer in those letters, such as a-2c, then check.

Not. AA and AcA^c are disjoint and together make Ω\Omega, so axioms 3 and 2 give a+P(Ac)=P(Ω)=1a + P(A^c) = P(\Omega) = 1. So P(Ac)=P(A^c) = .

Split BB. An outcome of BB that is in AA is in A∩BA \cap B, and one that is not is in B∖AB \setminus A. No outcome is in both, so BB is the union of the disjoint events A∩BA \cap B and B∖AB \setminus A.

By axiom 3, b=c+P(B∖A)b = c + P(B \setminus A), so P(B∖A)=P(B \setminus A) = .

Split A∪BA \cup B. An outcome of A∪BA \cup B is either in AA, or in BB but not in AA, and never both. So A∪BA \cup B is the union of the disjoint events AA and B∖AB \setminus A, and by axiom 3, P(A∪B)=P(A \cup B) = .

Order. If A⊆BA \subseteq B, then A∩B=AA \cap B = A, so c=ac = a and P(B)−P(A)=P(B∖A)P(B) - P(A) = P(B \setminus A). By axiom 1, that is at least , so P(A)≤P(B)P(A) \le P(B).

How to type answers
  • Powers with ^, brackets round a power that is a sum: r^k, r^(k+1).
  • Fractions with / and brackets: (1-r)/(1+r). Multiply with * or side by side: 2k+1.
  • Press Enter in any box to check them all.

Simulate

Can you cancel a set?

With numbers, a+b=a+ca + b = a + c means b=cb = c. Is the same true for sets: does A∩B=A∩CA \cap B = A \cap C force B=CB = C? The cell tries all 512 triples of subsets of {1,2,3}\{1, 2, 3\}.

⌘/Ctrl + Enter runs the cell

Of the 512 triples, 152 have A∩B=A∩CA \cap B = A \cap C but B≠CB \ne C. The first is A=∅A = \varnothing, B=∅B = \varnothing, C={1}C = \{1\}: both intersections are empty. When the unions agree as well, no triple has B≠CB \ne C.

Conjecture

If A∩B=A∩CA \cap B = A \cap C and A∪B=A∪CA \cup B = A \cup C, then B=CB = C.

All 512 triples on a three-element set. One condition alone fails, so a proof must use both.

Format 3

Find the error

A proof of the conjecture with one faulty line. Notice which condition it never uses. Select the faulty line.

Summary card

  • A⊆BA \subseteq B means every element of AA is in BB. Prove A=BA = B by double inclusion: A⊆BA \subseteq B and B⊆AB \subseteq A.
  • De Morgan's laws: (A∪B)c=Ac∩Bc(A \cup B)^c = A^c \cap B^c and (A∩B)c=Ac∪Bc(A \cap B)^c = A^c \cup B^c.
  • From the axioms: P(Ac)=1−P(A)P(A^c) = 1 - P(A), P(A∪B)=P(A)+P(B)−P(A∩B)P(A \cup B) = P(A) + P(B) - P(A \cap B), and A⊆BA \subseteq B gives P(A)≤P(B)P(A) \le P(B). Each proof splits a set into disjoint pieces.
  • Sets cannot be cancelled: A∩B=A∩CA \cap B = A \cap C alone does not give B=CB = C. With A∪B=A∪CA \cup B = A \cup C as well, it does.

Free further reading

Optional. This lesson covers what you need; these add more examples and practice. All are free to read.