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For questions involving the Borel-Cantelli lemma or the second Borel-Cantelli lemma. Use this tag along with (probability-theory), (real-analysis) or (measure-theory).

The Borel-Cantelli lemma in measure theory states that given a sequence $(E_n)$ of measurable sets in a measure space $(S, \Sigma, \mu)$, if the series $$\sum_n \mu(E_n)$$ converges, then $$\mu(\limsup E_n) = 0$$

This means that almost every $x$ in $S$ belongs to $E_n$ for at most finitely many $n$, or, equivalently, that the set of $x$ in $S$ that belong to $E_n$ for infinitely many $n$, has measure $0$.


In probability theory, the first Borel-Cantelli lemma states that, given a sequence $(E_n)$ of events in a probability space $(\Omega, \mathscr F, \mathbb P)$, if the series $$\sum_n \mathbb P(E_n)$$ converges, then $$\mathbb P(\limsup E_n) = 0$$


In probability theory, the second Borel-Cantelli lemma states that, given a sequence $(E_n)$ of independent events in a probability space $(\Omega, \mathscr F, \mathbb P)$, if the series $$\sum_n \mathbb P(E_n)$$ diverges, then $$\mathbb P(\limsup E_n) = 1$$

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