[See Solution] Let \mathcalE be any collection of subsets of R. Show that there is always a smallest σ -algebra \mathcalA containing \mathcalE. [Hint:
Question: Let \(\mathcal{E}\) be any collection of subsets of \(\mathrm{R}\). Show that there is always a smallest \(\sigma\) -algebra \(\mathcal{A}\) containing \(\mathcal{E}\). [Hint: Show that the intersection of \(\sigma\) -algebras is again a \(\sigma\) -algebra.]
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