Dynkin system

A Dynkin system,[1] named after Eugene Dynkin, is a collection of subsets of another universal set
satisfying a set of axioms weaker than those of 𝜎-algebra. Dynkin systems are sometimes referred to as 𝜆-
systems (Dynkin himself used this term) or d-system.[2] These set families have applications in measure
theory and probability.

A major application of 𝜆-systems is the π -𝜆 theorem, see below.

Definition
Let be a nonempty set, and let be a collection of subsets of (that is, is a subset of the power set of
). Then is a Dynkin system if

1.
2. is closed under complements of subsets in supersets: if and then

3. is closed under countable increasing unions: if is an increasing

sequence[note 1] of sets in then

It is easy to check[proof 1] that any Dynkin system satisfies:

4.
5. is closed under complements in : if then
Taking shows that
6. is closed under countable unions of pairwise disjoint sets: if is a sequence

of pairwise disjoint sets in (meaning that for all ) then

To be clear, this property also holds for finite sequences of pairwise disjoint
sets (by letting for all ).

Conversely, it is easy to check that a family of sets that satisfy conditions 4-6 is a Dynkin class.[proof 2] For
this reason, a small group of authors have adopted conditions 4-6 to define a Dynkin system as they are
easier to verify.

An important fact is that any Dynkin system that is also a π -system (that is, closed under finite
intersections) is a 𝜎-algebra. This can be verified by noting that conditions 2 and 3 together with closure
under finite intersections imply closure under finite unions, which in turn implies closure under countable
unions.

Given any collection of subsets of there exists a unique Dynkin system denoted which is
minimal with respect to containing That is, if is any Dynkin system containing then
is called the Dynkin system generated by For instance, For
another example, let and ; then

Sierpiński–Dynkin's π-λ theorem

Sierpiński-Dynkin's π -𝜆 theorem:[3] If is a π -system and is a Dynkin system with then

In other words, the 𝜎-algebra generated by is contained in Thus a Dynkin system contains a π -
system if and only if it contains the 𝜎-algebra generated by that π -system.

One application of Sierpiński-Dynkin's π -𝜆 theorem is the uniqueness of a measure that evaluates the
length of an interval (known as the Lebesgue measure):

Let be the unit interval [0,1] with the Lebesgue measure on Borel sets. Let be another measure
on satisfying and let be the family of sets such that Let
and observe that is closed under finite
intersections, that and that is the 𝜎-algebra generated by It may be shown that satisfies the
above conditions for a Dynkin-system. From Sierpiński-Dynkin's π -𝜆 Theorem it follows that in fact
includes all of , which is equivalent to showing that the Lebesgue measure is unique on .

Application to probability distributions

The π -𝜆 theorem motivates the common definition of the probability distribution of a random variable
in terms of its cumulative distribution function. Recall that the cumulative distribution
of a random variable is defined as

whereas the seemingly more general law of the variable is the probability measure

where is the Borel 𝜎-algebra. The random variables and

(on two possibly different probability spaces) are equal in distribution (or law), denoted by if they
have the same cumulative distribution functions; that is, if The motivation for the definition
stems from the observation that if then that is exactly to say that and agree on the π -
system which generates and so by the example above:

A similar result holds for the joint distribution of a random vector. For example, suppose and are two
random variables defined on the same probability space with respectively generated π -systems
and The joint cumulative distribution function of is

However, and Because

is a π -system generated by the random pair the π -𝜆 theorem is used to show that the joint
cumulative distribution function suffices to determine the joint law of In other words, and
have the same distribution if and only if they have the same joint cumulative distribution function.

In the theory of stochastic processes, two processes are known to be equal in distribution
if and only if they agree on all finite-dimensional distributions; that is, for all

The proof of this is another application of the π -𝜆 theorem.[4]

See also
Algebra of sets – Identities and relationships involving sets
δ-ring – Ring closed under countable intersections
Field of sets – Algebraic concept in measure theory, also referred to as an algebra of sets
Monotone class – theorem
π-system – Family of sets closed under intersection
Ring of sets – Family closed under unions and relative complements
σ-algebra – Algebric structure of set algebra
𝜎-ideal – Family closed under subsets and countable unions
𝜎-ring – Ring closed under countable unions

Notes
1. A sequence of sets is called increasing if for all

Proofs

1. Assume satisfies (1), (2), and (3). Proof of (5) :Property (5) follows from (1) and (2) by
using The following lemma will be used to prove (6). Lemma: If are
disjoint then Proof of Lemma: implies where
by (5). Now (2) implies that contains so that (5) guarantees
that which proves the lemma. Proof of (6) Assume that are
pairwise disjoint sets in For every integer the lemma implies that
where because is increasing, (3)
guarantees that contains their union as desired.
2. Assume satisfies (4), (5), and (6). proof of (2): If satisfy then (5) implies
and since (6) implies that contains
so that finally (4) guarantees that is
in Proof of (3): Assume is an increasing sequence of subsets in let
and let for every where (2) guarantees that all
belong to Since are pairwise disjoint, (6) guarantees that their union
belongs to which proves (3).
 1. Dynkin, E., "Foundations of the Theory of Markov Processes", Moscow, 1959
2. Aliprantis, Charalambos; Border, Kim C. (2006). Infinite Dimensional Analysis: a Hitchhiker's
Guide (https://books.google.com/books?id=4vyXtR3vUhoC&pg=PA135) (Third ed.).
Springer. Retrieved August 23, 2010.
3. Sengupta. "Lectures on measure theory lecture 6: The Dynkin π − λ Theorem" (https://www.
math.lsu.edu/~sengupta/7360f09/DynkinPiLambda.pdf) (PDF). Math.lsu. Retrieved
3 January 2023.
4. Kallenberg, Foundations Of Modern probability, p. 48

References
Gut, Allan (2005). Probability: A Graduate Course. New York: Springer. doi:10.1007/b138932
(https://doi.org/10.1007%2Fb138932). ISBN 0-387-22833-0.
Billingsley, Patrick (1995). Probability and Measure. New York: John Wiley & Sons, Inc.
ISBN 0-471-00710-2.
Williams, David (2007). Probability with Martingales (https://books.google.com/books?id=e9
saZ0YSi-AC&pg=PA193). Cambridge University Press. p. 193. ISBN 0-521-40605-6.

This article incorporates material from Dynkin system on PlanetMath, which is licensed under the Creative
Commons Attribution/Share-Alike License.
 Families of sets over

F.I.P.

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only if only if

only if
only if or
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they are
disjoint

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(even Never
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(even Never
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Finite
finite finite relative complements countable countable
contains contains Intersection
intersections unions complements in intersections unions
Property

π-system where every complement is equal to a finite disjoint union of sets in

that contains
elements of and it is assumed that

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