On inequalities for conditional probabilities of unions of events and the conditional Borel–Cantelli lemma

Abstract

New sharp upper and lower bounds for conditional (given a σ-algebra A) probabilities of unions of events and for a generalization of the conditional Borel–Cantelli lemma are obtained. Averaging the left- and right-hand sides of the corresponding inequalities yields bounds better than those obtained by directly estimating the probabilities of events. An example is given. New generalizations of the conditional Borel–Cantelli lemma are also obtained. Averaging yields new versions of this lemma under conditions different from the classical ones.