A frequently used statement on infinite sequences of random events. Let be a sequence of events from a certain probability space and let be the event consisting in the occurance of (only) a finite number out of the events , . Then, according to the Borel–Cantelli lemma, if
If the events are mutually independent, then or 0, depending on whether the series converges or diverges, i.e. in this case the condition (*) is necessary and sufficient for ; this is the so-called Borel criterion for "zero or one" (cf. Zero-one law). This last criterion can be generalized to include certain classes of dependent events. The Borel–Cantelli lemma is used, for example, to prove the strong law of large numbers.
|[B]||E. Borel, "Les probabilités dénombrables et leurs applications arithmetiques" Rend. Circ. Mat. Palermo (2) , 27 (1909) pp. 247–271 Zbl 40.0283.01|
|[C]||F.P. Cantelli, "Sulla probabilità come limite della frequenza" Atti Accad. Naz. Lincei , 26 : 1 (1917) pp. 39–45 Zbl 46.0779.02|
|[L]||M. Loève, "Probability theory" , Princeton Univ. Press (1963) MR0203748 Zbl 0108.14202|
|[F]||W. Feller, "An introduction to probability theory and its applications", 1 , Wiley (1957) pp. Chapt.14|
Borel–Cantelli lemma. Encyclopedia of Mathematics. URL: http://www.encyclopediaofmath.org/index.php?title=Borel%E2%80%93Cantelli_lemma&oldid=26368