Hewitt-Savage zero-one law

The Hewitt-Savage zero-one law is a theorem in probability theory, similar to Kolmogorov's zero-one law, that specifies that a certain type of event will either almost surely happen or almost surely not happen. It is sometimes known as the Hewitt-Savage law for symmetric events. It is named after Edwin Hewitt and Leonard Jimmie Savage.

tatement of the Hewitt-Savage zero-one law

Let $(X\_\{n\})\_\{n\; =\; 1\}^\{infty\}$ be a sequence of independent and identically-distributed random variables taking values in a set $mathbb\{X\}$. The Hewitt-Savage zero-one law says that any event whose occurrence or non-occurrence is determined by the values of these random variables and whose probability is unchanged by finite permutations of the indices, has probability either 0 or 1.

Somewhat more abstractly, define the "exchangeable sigma algebra" or "sigma algebra of symmetric events" $mathcal\{E\}$ to be the set of events (depending on the sequence of variables $(X\_\{n\})\_\{n\; =\; 1\}^\{infty\}$) whose probabilities are unchanged by finite permutations of the indices in the sequence $(X\_\{n\})\_\{n\; =\; 1\}^\{infty\}$. Then $A\; in\; mathcal\{E\}\; implies\; mathbb\{P\}\; (A)\; in\; \{\; 0,\; 1\; \}$.

Since any finite permutation can be written as a product of transpositions, if we wish to check whether or not an event $A$ is symmetric (lies in $mathcal\{E\}$), it is enough to check if its probability is unchanged by an arbitrary transposition $(i,\; j)$, $i,\; j\; in\; mathbb\{N\}$.

Example

Let the sequence $(X\_\{n\})\_\{n\; =\; 1\}^\{infty\}$ take values in $[0,\; infty)$. Then the event that the series $sum\_\{n\; =\; 1\}^\{infty\}\; X\_\{n\}$ converges (to a finite value) is a symmetric event in $mathcal\{E\}$, since its probability is unchanged under transpositions (for a finite re-ordering, the convergence or divergence of the series — and, indeed, the numerical value of the sum itself — is independent of the order in which we add up the terms). Thus, the series either converges almost surely or diverges almost surely. If we assume in addition that the common expected value $mathbb\{E\}\; [X\_\{n\}]\; >\; 0$, we may conclude that

:$mathbb\{P\}\; left(\; sum\_\{n\; =\; 1\}^\{infty\}\; X\_\{n\}\; =\; +\; infty\; ight)\; =\; 1,$

i.e. the series diverges almost surely. This is a particularly simple application of the Hewitt-Savage zero-one law. In many situations, it can be easy to apply the Hewitt-Savage zero-one law to show that some event has probability 0 or 1, but surprisingly hard to determine "which" of these two extreme values is the correct one.

References

* E. Hewitt and L.J. Savage, Symmetric measures on Cartesian products, "Trans. Amer. Math. Soc." 80 (1955) 470–501