ThmDex – An index of mathematical definitions, results, and conjectures.
Probability calculus expression for conditional probability given disjoint non-null partition
Formulation 0
Let $P = (\Omega, \mathcal{F}, \mathbb{P})$ be a D1159: Probability space such that
(i) $F, E_0, E_1, E_2, \ldots \in \mathcal{F}$ are each an D1716: Event in $P$
(ii) $E_0, E_1, E_2, \ldots $ is a D83: Proper set partition of $\Omega$
(iii) \begin{equation} \mathbb{P}(E_0), \mathbb{P}(E_1), \mathbb{P}(E_2), \ldots > 0 \end{equation}
(iv) $\mathcal{G} := \sigma \langle E_0, E_1, E_2, \ldots \rangle$ is a D318: Generated sigma-algebra on $\Omega$ with generators $E_0, E_1, E_2, \ldots$
Then \begin{equation} \forall \, n \in \mathbb{N} \text{ and } \omega \in \Omega \left( \omega \in E_n \quad \implies \quad \mathbb{P}(F \mid \mathcal{G}) (\omega) \overset{a.s.}{=} \frac{\mathbb{P} (F \cap E_n)}{\mathbb{P}(E_n)} \right) \end{equation}
Proofs
Proof 0
Let $P = (\Omega, \mathcal{F}, \mathbb{P})$ be a D1159: Probability space such that
(i) $F, E_0, E_1, E_2, \ldots \in \mathcal{F}$ are each an D1716: Event in $P$
(ii) $E_0, E_1, E_2, \ldots $ is a D83: Proper set partition of $\Omega$
(iii) \begin{equation} \mathbb{P}(E_0), \mathbb{P}(E_1), \mathbb{P}(E_2), \ldots > 0 \end{equation}
(iv) $\mathcal{G} := \sigma \langle E_0, E_1, E_2, \ldots \rangle$ is a D318: Generated sigma-algebra on $\Omega$ with generators $E_0, E_1, E_2, \ldots$