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The Borel Cantelli Lemma states that the probability of a set of outcomes happening infinitely many times in an infinite sequence is $0$ under some conditions. I neither understand the math (behind the proof) nor the intuition behind what is being said. Can someone motivate the use of this theorem?

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up vote 4 down vote accepted

Toss a coin with $X_1, X_2,...$ denoting sequence of independent Bernoulli trials and probability of success (head or tail or whatever) on $n^{th}$ trial be $p_n$. Then Borel- Cantelli lemma tries to answer what is the probability of an infinite number of successes, i.e. $P(X_n = 1 \ i.o$). This, is either zero or one depending on if $\sum p_n < \infty $. So if you choose your $p_n$ judiciously, for example, if $p_n=1/n^2$, then $P(X_n=1 \ i.o)=0$. Similarly, $P(X_n=1 \ i.o)=1$ if $p_n=1/n$.

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What is i.o ? $ $ – Inquest Jan 19 '13 at 22:50
@Inquest infinitely often. – jay-sun Jan 20 '13 at 6:11

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