Continuity Property of Probability

Definition: A sequence of events <En> is said to be an increasing sequence if

E1 E2 E3 . A sequence of events <En> is said to be a decreasing sequence if
E1 E2 E3 . If <En> is an increasing sequence of events, we define a new event, denoted

by lim E n , by lim E n E n . If <En> is a decreasing sequence of events, we define a new

n n
n 1

event, denoted by lim

n
E n , by lim E n
n
E . n
n 1

Proposition: If <En> is either an increasing or decreasing sequence of events, then
lim P E n P lim E n .
n n

Proof: First, suppose that <En> is an increasing sequence of events, and define a new sequence
C
n 1

of events <Fn> by: i) F1 = E1, and ii) Fn E n E i E n E nC1 , for n > 1. Then <Fn> is an
i 1
n n

increasing sequence of mutually exclusive events such that F i E , and i F i E i , for

i 1 i 1 i 1 i 1

all n 1. Thus


n
n
n

P F i P E i P Fi lim P Fi lim P F i lim P E i lim P E n ,
i 1 i 1 i 1
n
i 1
n
i 1 n
i 1 n

proving the result when the sequence is increasing.

Now suppose that <En> is a decreasing sequence of events. Then E nC is an increasing

sequence of events. From the preceding equations, we have P E C
n lim P E nC . But since
n 1 n

C

C


, or equivalently

E C
E , we see that P E n lim P E nC
n n n
n 1 n 1 n 1




1 P E n lim 1 P E n , or P E n lim P E n , so that

n 1 n
n 1 n

P lim E n lim P E n , proving the result when the sequence is decreasing.

n n
#