Theorem

equivalent definition of σ(X)\sigma(X) for a random variable XX


If XX is a random variable and 𝒞\mathcal{C} is a class of subsets of \mathbb{R} such that σ(𝒞)=()\sigma(\mathcal{C}) = \mathcal{B}(\mathbb{R}) then σ(X)=σ([XB],B𝒞)\sigma(X) = \sigma([X \in B],\, B \in \mathcal{C}).