 Solution

ID: past-exam-of-the-martingales-and-financial-mathematics-course-of-the-university-of-oxford/2011/a/1/c/i/solution

Two sigma-algebras are independent if every event in one is independent of every event in the other:

P (G \cap H) = P (G) P (H) for all G \in G, H \in H .

The same formula defines independence of the generating collections when restricted to their members.

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