How to use this course
Émile Borel’s name is attached to more objects in a first graduate course than almost anyone else’s: Borel sets, Borel measures, the Heine–Borel theorem, the Borel–Cantelli lemma, Borel summation. Each of these began as a short, concrete argument that Borel made and then left for others to generalize. He was also a public figure: an editor, a deputy in the French parliament, Minister of Marine, and the founder of institutions that still shape French science.
- Real analysis: sequences, series, open and closed sets in \(\mathbb R\), uniform continuity.
- Complex analysis: power series, radius of convergence, analytic continuation.
- Elementary probability: independence, expectation, variance.
- For Lesson 09, some linear algebra (matrices, convex combinations).
Each technical lesson opens with a paragraph for the general reader, then gives precise statements, proof sketches and exercises with folded solutions. Lessons 04 to 07 follow Borel’s work in analysis (1894–1901); Lessons 08 to 10 follow his turn to probability after 1905.
Timeline
| 1871 | Born 7 January in Saint-Affrique, Aveyron, son of the Protestant pastor Honoré Borel and Émilie Teissié-Solier. |
| 1889 | First in the entrance examinations of both the École polytechnique and the École normale supérieure; chooses the École normale. Wins the Concours général. |
| 1892 | First in the agrégation in mathematics. |
| 1893 | Doctorate under Gaston Darboux, Sur quelques points de la théorie des fonctions. Maître de conférences at Lille. |
| 1896 | Elementary proof of Picard’s theorem on entire functions. |
| 1897 | Returns to the École normale supérieure as maître de conférences. |
| 1898 | Leçons sur la théorie des fonctions: the first theory of measure for sets of points. Grand Prix of the Académie des sciences. |
| 1899 | Memoir on divergent series in the Annales de l’École normale. |
| 1901 | Marries Marguerite Appell, daughter of Paul Appell. Leçons sur les séries divergentes. |
| 1905 | President of the Société mathématique de France. Begins publishing on probability. |
| 1906 | Founds La Revue du mois with his wife. |
| 1909 | Chair of the theory of functions created for him at the Sorbonne. Les probabilités dénombrables et leurs applications arithmétiques: normal numbers and the first strong law of large numbers. |
| 1910–20 | Deputy director of the École normale supérieure. |
| 1913 | Paper on statistical mechanics and irreversibility containing the typing monkeys. |
| 1914–18 | Artillery officer, sound-ranging, then research and inventions under Paul Painlevé. His nephew and adopted son Fernand Lebeau is killed in 1915. Croix de guerre, 1918. |
| 1921 | Elected to the Académie des sciences. Chair of probability and mathematical physics. First note on games of strategy. |
| 1922 | Founds the Institut de statistique de l’Université de Paris. |
| 1924–36 | Deputy for the Aveyron in the Chamber of Deputies. |
| 1925 | Minister of Marine, 17 April to 28 November, in Painlevé’s government. |
| 1928 | Institut Henri Poincaré opens, with Borel as its director. |
| 1934 | President of the Académie des sciences. |
| 1941 | Leaves his chair. Arrested and held at Fresnes prison for about a month; afterwards active in the Resistance. |
| 1950 | Grand Cross of the Légion d’honneur. |
| 1955 | First gold medal of the CNRS. Falls on board ship returning from a statistics congress in Brazil. |
| 1956 | Dies 3 February in Paris, aged 85. Buried at Saint-Affrique. |
Saint-Affrique to Paris, 1871–1889
Félix Édouard Justin Émile Borel was born on 7 January 1871 in Saint-Affrique, a small town in the Aveyron in southern France. His father, Honoré Borel, was a Protestant pastor who ran a small school for the children of Protestant families in the family home. His mother, Émilie Teissié-Solier, came from a family of wool merchants of the town. He had two sisters, both much older than him.
He learned to read and count in his father’s school. At eleven he went to the lycée at Montauban, where he lived with his eldest sister, Madame Lebeau. His teachers saw quickly that he was exceptional, and he was sent to Paris on a scholarship to the Collège Sainte-Barbe, following courses at the Lycée Louis-le-Grand. Sainte-Barbe prepared boys for the competitive examinations of the grandes écoles.
In 1889 he came first in the entrance examinations of both the École polytechnique and the École normale supérieure, and he won the Concours général in mathematics. The two schools offered different futures: Polytechnique led to engineering and the state corps, the École normale to teaching and research. He chose the École normale. The choice set him on the path of Charles Hermite, Henri Poincaré and his own future teacher Gaston Darboux.
The École normale, the thesis, Lille, 1889–1897
At the École normale Borel came first in the agrégation in 1892 and wrote his doctoral thesis under Darboux, Sur quelques points de la théorie des fonctions, defended in 1893 and published in the Annales de l’École normale in 1895.
The thesis was about analytic continuation. Borel studied series such as \(\sum_n A_n/(z-a_n)\) whose poles \(a_n\) are dense along a curve. Weierstrass and Poincaré had treated such curves as natural boundaries beyond which a function cannot be continued. Borel showed that if the \(A_n\) decrease fast enough, the series still converges at most points of the curve and can define a function that passes through it in a weaker sense. To prove that “most points” survive, he needed two new tools: a covering theorem for intervals and the idea that a countable set has length zero. Both reappear in Lessons 04 and 05. The thesis also contains what is now called Borel’s lemma on smooth functions with prescribed Taylor series (Lesson 06).
In 1893 he became maître de conférences at the University of Lille. In three or four years there he published 22 papers. Among them was his 1896 proof of Émile Picard’s theorem that a non-constant entire function omits at most one complex value. Picard’s proof of 1879 used the elliptic modular function. Borel found a proof by elementary estimates of growth, which had been sought for almost two decades and which opened the theory of value distribution later completed by Rolf Nevanlinna.
Paris, the Appells and the Revue du mois, 1897–1914
In January 1897 Borel returned to the École normale as maître de conférences. His lectures became books: the Leçons sur la théorie des fonctions (1898) set out his theory of measure, and Leçons sur les séries divergentes (1901) his summation methods. These were the first volumes of the “Borel collection” of monographs on the theory of functions, which ran to dozens of volumes by many authors, including Henri Lebesgue, René Baire and Paul Montel. The Académie des sciences gave him its Grand Prix in 1898, the Poncelet Prize in 1901, the Vaillant Prize in 1904 and the Petit d’Ormoy Prize in 1905.
In October 1901 he married Marguerite Appell, the seventeen-year-old daughter of the mathematician Paul Appell. Under the pen name Camille Marbo, built from the first letters of Marguerite and of Borel, she wrote more than thirty novels and won the Prix Femina in 1913 for La Statue voilée. The couple had no children of their own. In 1906 they used the money from one of his prizes to found La Revue du mois, a monthly review of science, letters and politics that ran until 1920.
From 1905 Borel turned to probability. His 1909 paper on denumerable probabilities (Lesson 08) was the first to apply measure theory to infinite sequences of random trials. The same year the Sorbonne created a chair of the theory of functions for him, and in 1910, on the death of Jules Tannery, he became deputy director of the École normale, responsible for its scientific students. He also became interested in the new physics: his book Introduction géométrique à quelques théories physiques (1914) used hyperbolic geometry to explain the composition of velocities in special relativity.
DiscussionBorel published lecture courses as books within a year or two of giving them, and recruited younger mathematicians to do the same in his series. What did this practice do for the speed at which new analysis spread, and what did it cost in polish and precision?
The covering theorem
For the general reader. If you try to cover a closed stretch of the number line with infinitely many small open windows, you never actually need infinitely many. Some finite collection already does the job. Borel proved this for countably many windows in his thesis. The result is the seed of the modern notion of compactness.
- State and prove Borel’s covering theorem.
- Use it to show that \([0,1]\) cannot be covered by intervals of total length less than 1.
- See why each hypothesis is needed.
Let \([a,b]\) be a closed bounded interval and let \(I_1,I_2,\dots\) be a sequence of open intervals with \([a,b]\subseteq\bigcup_n I_n\). Then there is \(N\) such that \([a,b]\subseteq I_1\cup\cdots\cup I_N\).
Proof sketch
Let \(S\) be the set of \(x\in[a,b]\) such that \([a,x]\) is covered by finitely many \(I_n\). Then \(a\in S\), and \(S\) is an interval starting at \(a\). Let \(c=\sup S\). Some \(I_m\) contains \(c\), say \(I_m=(\alpha,\beta)\) with \(\alpha<c<\beta\). Choose \(x\in S\) with \(x>\alpha\); the finite cover of \([a,x]\) together with \(I_m\) covers \([a,y]\) for every \(y<\beta\). Hence \(c\in S\), and if \(c<b\) then points beyond \(c\) are in \(S\), a contradiction. So \(c=b\in S\).
The argument uses only the least upper bound property of \(\mathbb R\), and it works equally well for an arbitrary family of open intervals. Pierre Cousin (1895) and Lebesgue (1904) gave such general versions. Eduard Heine had used a related argument in 1872 to prove that a continuous function on a closed interval is uniformly continuous, and the result became known as the Heine–Borel theorem. In \(\mathbb R^n\) it says that closed bounded sets are compact: every open cover has a finite subcover.
Borel’s use of the theorem
If open intervals \(I_n\) of lengths \(\ell_n\) cover \([a,b]\), then \(\sum_n \ell_n\ge b-a\).
By the theorem, finitely many \(I_1,\dots,I_N\) cover \([a,b]\), and for finitely many intervals the inequality \(\sum_{n\le N}\ell_n\ge b-a\) follows by induction on \(N\). Now enumerate the rationals \(r_1,r_2,\dots\) of \([0,1]\) and put an open interval of length \(\varepsilon 2^{-n}\) around \(r_n\). These cover all rationals and have total length at most \(\varepsilon\). For \(\varepsilon<1\) the corollary says they miss points of \([0,1]\). This is the picture at the top of the page, and it is the first appearance of a set of measure zero.
Exercise 4.1Show that the conclusion fails for the half-open interval \((0,1]\) and for the unbounded set \([0,\infty)\).
Show solution
Exercise 4.2Use the covering theorem to prove that a continuous function \(f:[a,b]\to\mathbb R\) is uniformly continuous.
Show solution
Exercise 4.3Prove the finite case of the corollary: if open intervals \(I_1,\dots,I_N\) of lengths \(\ell_i\) cover \([a,b]\), then \(\sum\ell_i>b-a\).
Show solution
Measure and Borel sets
For the general reader. How long is a set of points that is not an interval? Borel proposed simple rules: a countable union of non-overlapping pieces has the total length of the pieces, and removing a piece subtracts its length. The sets reachable from intervals by these rules are now called Borel sets. Lebesgue built his integral on this idea four years later.
- State Borel’s axioms for measure from the 1898 Leçons.
- Define the Borel \(\sigma\)-algebra and place it in the hierarchy of open, \(F_\sigma\) and \(G_\delta\) sets.
- Compute measures of Cantor-type sets.
Borel’s programme (1898)
In the Leçons sur la théorie des fonctions Borel asked for a measure \(m\) on sets of real numbers with three properties: the measure of an interval is its length; if \(E_1,E_2,\dots\) are pairwise disjoint, \(m(\bigcup E_n)=\sum m(E_n)\); and if \(F\subseteq E\), then \(m(E\setminus F)=m(E)-m(F)\). He called sets obtainable from intervals by repeated countable disjoint unions and differences “measurable”. Countable additivity, the second rule, was the decisive step. Camille Jordan’s earlier content was only finitely additive, and the rationals in \([0,1]\) had no Jordan content at all.
Borel did not prove that his rules were consistent, that is, that no set receives two different measures. Lebesgue settled this in his 1902 thesis, written under Borel’s guidance, by defining outer measure through countable covers by intervals, exactly the device of Lesson 04.
The Borel \(\sigma\)-algebra \(\mathcal B(\mathbb R)\) is the smallest family of subsets of \(\mathbb R\) containing the open sets and closed under complements and countable unions. There is a unique measure \(\lambda\) on \(\mathcal B(\mathbb R)\) with \(\lambda((a,b))=b-a\) for all \(a<b\). It is translation invariant, and every countable set has measure 0.
Existence follows from Lebesgue’s outer measure together with Carathéodory’s criterion (1914); uniqueness follows because intervals form a class closed under intersection that generates \(\mathcal B(\mathbb R)\). Countable sets have measure 0 by Borel’s covering argument: a point is an interval of length 0, and countable additivity does the rest.
The Borel hierarchy
Open sets are countable unions of open intervals. Countable intersections of open sets are called \(G_\delta\), countable unions of closed sets \(F_\sigma\), and the process continues transfinitely through all countable ordinals. Every level is contained in \(\mathcal B(\mathbb R)\), and \(\mathcal B(\mathbb R)\) has the cardinality of the continuum. Since the Cantor set has measure 0 and continuum many points, it has \(2^{\mathfrak c}\) subsets, all Lebesgue-null. So most Lebesgue-measurable sets are not Borel. Descriptive set theory, founded by Baire, Lebesgue, Nikolai Luzin and Mikhail Suslin, studies this hierarchy.
Exercise 5.1Let \(C\) be Cantor’s middle-thirds set. Show \(\lambda(C)=0\) and that \(C\) is uncountable.
Show solution
Exercise 5.2Show that the set of \(x\in[0,1]\) whose decimal expansion never uses the digit 7 is a Borel set of measure 0.
Show solution
Exercise 5.3Show that the irrationals form a \(G_\delta\) set and the rationals an \(F_\sigma\) set.
Show solution
Power series and entire functions
For the general reader. A Taylor series records all the derivatives of a function at one point. For analytic functions the series determines the function. Borel showed that for merely smooth functions anything goes: every sequence of numbers is the list of derivatives of some smooth function. He also found elementary ways to control how fast entire functions grow, and used them to give a new proof of Picard’s theorem.
- Prove Borel’s lemma on prescribed Taylor coefficients.
- State the Borel–Carathéodory inequality and use it to bound entire functions.
- Understand the statement of Picard’s little theorem and Borel’s role.
For every sequence \(c_0,c_1,c_2,\dots\) of real numbers there is a function \(f\in C^\infty(\mathbb R)\) with \(f^{(n)}(0)=c_n\) for all \(n\).
Proof sketch
Fix \(\chi\in C^\infty(\mathbb R)\) with \(\chi=1\) on \([-\tfrac12,\tfrac12]\) and \(\chi=0\) outside \([-1,1]\). Put
\[ f(x)=\sum_{n=0}^{\infty}\frac{c_n}{n!}\,x^n\,\chi(\lambda_n x), \]with \(\lambda_n\ge1\) growing fast. Each term \(g_n(x)=\frac{c_n}{n!}x^n\chi(\lambda_nx)\) agrees with \(\frac{c_n}{n!}x^n\) near 0, so it contributes \(c_n\) to the \(n\)-th derivative at 0 and nothing to the others. The term is supported in \(|x|\le1/\lambda_n\), and for \(k<n\) one checks \(\sup|g_n^{(k)}|\le C_{n,k}|c_n|\lambda_n^{k-n}\), where \(C_{n,k}\) depends only on \(\chi\), \(n\) and \(k\). Choosing \(\lambda_n\) so that \(\sup|g_n^{(k)}|\le2^{-n}\) for all \(k<n\) makes every differentiated series converge uniformly, so \(f\) is smooth and term-by-term differentiation is justified.
Growth of analytic functions
Let \(f\) be analytic on a neighbourhood of \(|z|\le R\), and let \(A(R)=\max_{|z|=R}\operatorname{Re}f(z)\). For \(0<r<R\),
\[ \max_{|z|=r}|f(z)|\le\frac{2r}{R-r}\,A(R)+\frac{R+r}{R-r}\,|f(0)|. \]The inequality bounds a function using only an upper bound on its real part. It carries the names of Borel and Constantin Carathéodory, who gave the sharp form. For the proof, assume \(f(0)=0\) and \(A=A(R)>0\). Then \(\phi(z)=f(z)/(2A-f(z))\) maps the disc \(|z|<R\) into the unit disc with \(\phi(0)=0\), so the Schwarz lemma gives \(|\phi(z)|\le r/R\) on \(|z|=r\); solving for \(f\) gives \(|f|\le 2Ar/(R-r)\). The general case follows by applying this to \(f-f(0)\).
A non-constant entire function \(f:\mathbb C\to\mathbb C\) takes every complex value with at most one exception.
Picard’s proof composed \(f\) with the inverse of the elliptic modular function and applied Liouville’s theorem. Borel’s 1896 proof avoided this and worked by comparing growth rates. If \(f\) omits 0 and 1, then \(f=e^{g}\) and \(1-f=e^{h}\) for entire \(g,h\), so \(e^{g}+e^{h}=1\). Borel then proved general theorems showing that identities among exponentials of entire functions force the functions to be constant. These ideas led to Nevanlinna’s theory of value distribution in the 1920s.
Exercise 6.1Show that \(\sum_n n!\,x^n\) has radius of convergence 0, and explain why Borel’s lemma still gives a smooth function with \(f^{(n)}(0)=(n!)^2\). Why can that function not be analytic at 0?
Show solution
Exercise 6.2Let \(f\) be entire with \(\operatorname{Re}f(z)\le C|z|^k\) for \(|z|\ge1\). Use the Borel–Carathéodory inequality and Cauchy’s estimates to show that \(f\) is a polynomial of degree at most \(k\).
Show solution
Exercise 6.3Show that \(e^{z}\) omits exactly one value, so Picard’s theorem is sharp.
Show solution
Summing divergent series
For the general reader. The series \(1-1+1-1+\cdots\) has no sum in the usual sense, yet physicists and astronomers kept meeting divergent series that gave excellent numerical answers. Borel found a method that assigns sums to many such series by turning them into integrals. His method is still used in quantum field theory, where perturbation series typically diverge.
- Define Borel summation and check that it is consistent with ordinary summation.
- Sum classic divergent series.
- State Borel’s theorem on the polygon of summability.
The method (1899)
The identity \(\int_0^\infty t^n e^{-t}\,dt=n!\) suggests writing \(a_n=\int_0^\infty \frac{a_n t^n}{n!}e^{-t}\,dt\) and exchanging sum and integral.
Given \(\sum_{n\ge0}a_n\), form the Borel transform \(\mathcal B(t)=\sum_{n\ge0}\frac{a_n}{n!}t^n\). If this series has a positive radius of convergence, \(\mathcal B\) continues analytically to a neighbourhood of \([0,\infty)\), and the integral below converges, the series is Borel summable with sum
\[ \sum_{n\ge0}a_n \overset{\mathrm B}{=} \int_0^\infty e^{-t}\,\mathcal B(t)\,dt. \]The method is regular: if \(\sum a_n\) converges to \(s\), its Borel sum exists and equals \(s\). It is also linear. Borel developed the method in his 1899 memoir and in his Leçons sur les séries divergentes (1901). He was not the first to assign sums to divergent series. Euler had done so freely, and Ernesto Cesàro had introduced averaging methods. Borel’s contribution was a method strong enough to sum series with factorially growing terms.
Power series and the Borel polygon
Apply the method to a power series \(\sum a_nz^n\) with sum \(f(z)\) near 0. For each singular point \(a\) of \(f\), draw the line through \(a\) perpendicular to the segment \([0,a]\), and keep the open half-plane containing 0. The intersection of these half-planes is the Borel polygon of \(f\).
Let \(f\) be analytic at 0 with Taylor series \(\sum a_nz^n\). Then the series is Borel summable at every point inside the Borel polygon of \(f\), and its Borel sum is the analytic continuation of \(f\) there.
The polygon contains the disc of convergence and is usually much larger. For uniqueness, George Neville Watson (1912) and Alan Sokal (1980) showed that a function analytic and suitably bounded in a sector is determined by its asymptotic series, so the Borel sum is the only “natural” value. In modern resurgence theory, singularities of \(\mathcal B\) on \([0,\infty)\) obstruct summation and encode nonperturbative effects.
Exercise 7.1Find the Borel sums of \(1-1+1-1+\cdots\) and of \(\sum_n z^n\) for \(\operatorname{Re}z<1\).
Show solution
Exercise 7.2Show that Euler’s series \(\sum_{n\ge0}(-1)^n n!\,x^n\) is Borel summable for \(x>0\) and find its sum as an integral.
Show solution
Exercise 7.3Describe the Borel polygon of \(f(z)=\frac{1}{1+z^2}\). Compare it with the disc of convergence.
Show solution
Denumerable probabilities and normal numbers
For the general reader. Toss a fair coin forever. Will the proportion of heads tend to one half? Borel showed in 1909 that it does with probability one. Translated into numbers, almost every real number has digits in which every pattern appears with exactly the expected frequency. Yet it is very hard to prove this for any particular number such as \(\pi\).
- Formulate infinite sequences of trials as Borel measure on \([0,1]\).
- Prove the Borel–Cantelli lemmas and Borel’s strong law for coin tossing.
- Define normal numbers and prove that almost every number is normal.
The model
In Les probabilités dénombrables et leurs applications arithmétiques (1909) Borel considered countably many trials, where earlier probability had dealt with finitely many. Write \(x\in[0,1]\) in binary, \(x=\sum_k d_k(x)2^{-k}\). Under Lebesgue measure the digits \(d_1,d_2,\dots\) are independent and each equals 1 with probability \(\tfrac12\). So an infinite coin-tossing sequence is a random point of \([0,1]\), and probabilities of events about the whole sequence are measures of sets.
Let \(A_1,A_2,\dots\) be events and \(\limsup A_n\) the event that infinitely many occur. (i) If \(\sum P(A_n)<\infty\), then \(P(\limsup A_n)=0\). (ii) If the \(A_n\) are independent and \(\sum P(A_n)=\infty\), then \(P(\limsup A_n)=1\).
Part (i): \(P(\limsup A_n)\le P(\bigcup_{n\ge N}A_n)\le\sum_{n\ge N}P(A_n)\to0\). Part (ii): \(P(\bigcap_{n\ge N}A_n^c)=\prod_{n\ge N}(1-P(A_n))\le\exp(-\sum_{n\ge N}P(A_n))=0\). Borel worked with independent events; Francesco Paolo Cantelli stated part (i) in general in 1917.
Let \(S_n(x)=d_1(x)+\cdots+d_n(x)\). For almost every \(x\in[0,1]\), \(S_n(x)/n\to\tfrac12\).
Proof by the fourth moment
Let \(X_k=d_k-\tfrac12\), independent with mean 0, \(E X_k^2=\tfrac14\) and \(E X_k^4=\tfrac1{16}\). Expanding \((X_1+\cdots+X_n)^4\), all terms containing some \(X_k\) to the first power have mean 0, so
\[ E\Big(S_n-\frac n2\Big)^4=n\,E X_1^4+3n(n-1)\big(E X_1^2\big)^2=\frac{3n^2-2n}{16}\le\frac{3n^2}{16}. \]By Markov’s inequality, \(P(|S_n/n-\tfrac12|>\varepsilon)\le\frac{3}{16\,\varepsilon^4n^2}\), which is summable. By Borel–Cantelli (i), almost surely \(|S_n/n-\tfrac12|>\varepsilon\) only finitely often. Take \(\varepsilon=1/m\) for \(m=1,2,\dots\) and intersect the countably many full-measure sets. Borel’s own argument had gaps. Georg Faber (1910) and Felix Hausdorff (1914) gave rigorous proofs, and the fourth-moment argument above is the standard modern version.
Normal numbers
A number \(x\) is normal in base \(b\) if every block of \(k\) digits occurs in its base-\(b\) expansion with limiting frequency \(b^{-k}\), and absolutely normal if it is normal in every base \(b\ge2\).
Almost every real number is absolutely normal.
For a fixed base and block, the same argument as above applies to the indicator of the block at positions \(k\) apart, giving full measure. There are countably many bases and blocks, and a countable intersection of full-measure sets has full measure. Explicit examples are harder. David Champernowne showed in 1933 that \(0.123456789101112\ldots\) is normal in base 10. Whether \(\pi\), \(e\) or \(\sqrt2\) is normal in any base is unknown.
Exercise 8.1Check the moment formula \(E(X_1+\cdots+X_n)^4=nE X_1^4+3n(n-1)(EX_1^2)^2\) for independent mean-zero \(X_k\).
Show solution
Exercise 8.2Show that \(\tfrac13\) is not normal in base 2, though its digits 0 and 1 each have frequency \(\tfrac12\).
Show solution
Exercise 8.3For binary digits of a random \(x\), let \(B_n\) be the event that digits \(n,\dots,n+\lceil2\log_2n\rceil-1\) are all 1, and \(C_j\) the event that the \(\lfloor\log_2 j\rfloor\) digits starting at position \(j^2\) are all 1. Show that almost surely only finitely many \(B_n\) occur but infinitely many \(C_j\) occur.
Show solution
Games of strategy
For the general reader. In games like poker, the outcome depends on both chance and the players’ choices. Between 1921 and 1927 Borel wrote a series of notes in which he defined games of strategy and suggested that the best play is often to randomize, choosing among moves with fixed probabilities. He solved small cases and asked whether a best mixed strategy always exists. John von Neumann proved in 1928 that it does.
- Formulate finite two-person zero-sum games and mixed strategies.
- Solve Borel’s symmetric games with three strategies.
- State the minimax theorem and sketch a proof.
Borel’s formulation
In his 1921 note in the Comptes rendus, Borel considered two players who each choose one of \(n\) “methods of play”. If player I chooses \(i\) and player II chooses \(j\), player I wins \(a_{ij}\) and player II loses it. Borel studied symmetric games, where the roles can be exchanged, so the payoff matrix \(A=(a_{ij})\) is skew-symmetric: \(a_{ji}=-a_{ij}\). A mixed strategy is a probability vector \(x\in\Delta_n=\{x\ge0,\ \sum x_i=1\}\). If the players use \(x\) and \(y\), the expected gain of player I is \(x^{\mathsf T}Ay\).
Borel showed that for \(n=3\) and, in a later note, for \(n=5\), each player has a mixed strategy guaranteeing an expected gain of at least 0. At first he doubted that this extended to all \(n\). By 1927 he regarded the general question as open, having found no counterexample.
For every real \(m\times n\) matrix \(A\),
\[ \max_{x\in\Delta_m}\ \min_{y\in\Delta_n}\ x^{\mathsf T}Ay\;=\;\min_{y\in\Delta_n}\ \max_{x\in\Delta_m}\ x^{\mathsf T}Ay. \]The common value \(v\) is the value of the game. If \(A\) is skew-symmetric, then \(v=0\).
Proof sketch
The inequality \(\max\min\le\min\max\) is elementary. The key step is an alternative: either some \(y\in\Delta_n\) has \(Ay\le0\) in every coordinate, so \(\min_y\max_x x^{\mathsf T}Ay\le0\), or some \(x\in\Delta_m\) has \(x^{\mathsf T}Ay>0\) for all \(y\), so \(\max_x\min_y x^{\mathsf T}Ay>0\). To prove it, let \(K=\{Ay+u : y\in\Delta_n,\ u\ge0\}\), a closed convex subset of \(\mathbb R^m\). If \(0\in K\), the first case holds. If not, a hyperplane separates 0 from \(K\): there is \(z\) with \(z\cdot k>0\) for all \(k\in K\). Letting \(u\) grow along each coordinate shows \(z\ge0\), and normalizing gives \(x\in\Delta_m\) in the second case. Applying the alternative to \(A-cJ\), where \(J\) is the all-ones matrix, for every real \(c\) shows that no \(c\) can lie strictly between \(\max\min\) and \(\min\max\). For skew-symmetric \(A\), \(x^{\mathsf T}Ax=0\) for all \(x\), so \(v\le0\le v\).
The priority question became public in 1953, when Econometrica published English translations of three of Borel’s notes with commentary by Maurice Fréchet, followed by a reply from von Neumann. Borel had the concepts of pure and mixed strategy; von Neumann had the theorem. In 1938 Borel also analysed a simplified poker game, “la relance”, in his book on applications of probability to games of chance.
Exercise 9.1In rock–paper–scissors with payoff \(+1\) for a win, \(-1\) for a loss and 0 for a tie, show that the uniform strategy is optimal and the only optimal strategy.
Show solution
Exercise 9.2Solve Borel’s general symmetric game with three strategies, \(A=\begin{pmatrix}0&a&-b\\-a&0&c\\b&-c&0\end{pmatrix}\) with \(a,b,c>0\).
Show solution
Exercise 9.3Find the value and optimal strategies of the \(2\times2\) game \(A=\begin{pmatrix}3&-1\\-2&1\end{pmatrix}\).
Show solution
Kinetic theory, paradoxes and monkeys
For the general reader. Borel thought hard about what probability means in physics and in daily life. He showed how the bell-shaped distribution of molecular speeds follows from pure geometry in many dimensions. He pointed out a puzzle about conditioning on events of probability zero. And he invented the image of monkeys at typewriters to explain why some possible events never happen in practice.
- Derive the Gaussian as the limit of a coordinate of a uniformly random point on a high-dimensional sphere.
- Work through the Borel–Kolmogorov paradox.
- Quantify the typing monkeys.
Gas molecules and high-dimensional spheres
In the kinetic theory of gases, \(N\) particles of fixed total kinetic energy have a velocity vector on a sphere in \(\mathbb R^{3N}\). Borel argued in 1906 that a uniformly distributed point on such a sphere has nearly Gaussian coordinates, recovering Maxwell’s distribution from geometry. The result is often called the Poincaré–Borel lemma.
Let \(U_n\) be uniformly distributed on the sphere of radius \(\sqrt n\) in \(\mathbb R^n\), and let \(X_n\) be its first coordinate. Then \(X_n\) has density proportional to \((1-x^2/n)^{(n-3)/2}\) on \(|x|<\sqrt n\), and \(X_n\) converges in distribution to the standard normal law.
The slice of the sphere at height \(x\) is a sphere of dimension \(n-2\) and radius \(\sqrt{n-x^2}\), and the surface element contributes a factor \(\sqrt n/\sqrt{n-x^2}\). This gives the density \((n-x^2)^{(n-3)/2}\) up to a constant. Then \((1-x^2/n)^{(n-3)/2}\to e^{-x^2/2}\).
The Borel–Kolmogorov paradox
In his 1909 textbook Éléments de la théorie des probabilités, Borel asked: choose a point uniformly on the Earth’s surface and suppose it lies on a given great circle. What is its conditional distribution on that circle? Symmetry suggests uniform. But if the circle is a meridian, conditioning by longitude gives a different answer. Andrey Kolmogorov explained in 1933 that conditioning on an event of probability zero is defined only relative to a family of events, a \(\sigma\)-algebra, and different families give different answers.
The typing monkeys
In a 1913 paper on statistical mechanics and irreversibility, Borel imagined a million monkeys typing ten hours a day at random. They might in principle reproduce the books of the world’s great libraries, yet the probability is so small that the event can be treated as impossible. He used the image to explain why a gas never spontaneously gathers in one half of its container, although the laws of mechanics allow it. Late in life, in Les probabilités et la vie (1943), he raised this into a principle: sufficiently small probabilities should be treated as zero at the human, terrestrial and cosmic scales.
Exercise 10.1Verify that \((1-x^2/n)^{(n-3)/2}\to e^{-x^2/2}\) for each fixed \(x\).
Show solution
Exercise 10.2A point is uniform on the unit sphere, with longitude \(\lambda\in[0,2\pi)\) and latitude \(\varphi\in[-\pi/2,\pi/2]\). The area element is \(\cos\varphi\,d\lambda\,d\varphi\). Compute the conditional density of \(\varphi\) given \(\lambda\in\{\lambda_0,\lambda_0+\pi\}\) (a great circle through the poles) by conditioning on \(\lambda\) lying in a thin wedge, and compare with the conditional distribution of \(\lambda\) given \(\varphi=0\) (the equator).
Show solution
Exercise 10.3A monkey types characters independently and uniformly from 27 keys (26 letters and a space). Show that with probability 1 the word “hamlet” appears infinitely often in its infinite text, and estimate the number of characters typed before it first appears.
Show solution
War, politics and institutions, 1914–1940
When war broke out in 1914 Borel was 43. He volunteered, commanded an artillery battery, and organized sound-ranging, the location of enemy guns by the arrival times of their reports at several microphones. In 1915 his friend Paul Painlevé, a mathematician and now a minister, put him at the head of the technical office of a new directorate of inventions for national defence. When Painlevé’s government fell in 1917, Borel went back to the front. His nephew and adopted son Fernand Lebeau was killed in 1915. Borel received the Croix de guerre in 1918.
After the war he changed direction. In 1920 he resigned as deputy director of the École normale. In 1921 he moved to the Sorbonne chair of probability and mathematical physics, succeeding Joseph Boussinesq, and was elected to the Académie des sciences. In 1922 he founded the Institut de statistique de l’Université de Paris, the first French school of statistics, and from 1924 he edited a multi-volume Traité du calcul des probabilités et de ses applications.
He also entered politics. He was elected to the Chamber of Deputies for the Aveyron in 1924, on the republican centre-left, and sat until 1936. He served as mayor of Saint-Affrique. From 17 April to 28 November 1925 he was Minister of Marine in Painlevé’s government. As a deputy he argued for state funding of research, and his efforts, with those of the physicist Jean Perrin, prepared the ground for the national research funds of the 1930s and the founding of the CNRS in 1939.
His most lasting institution was the Institut Henri Poincaré, opened in Paris in 1928 with money from the Rockefeller Foundation and the Rothschild family. It was devoted to probability and mathematical physics, and Borel led it from its opening. In the 1930s it became the home of the French school of probability, including Maurice Fréchet and the young Wolfgang Doeblin. Borel was president of the Académie des sciences in 1934.
DiscussionBorel moved between pure mathematics, applied statistics, journalism and government. Use his career to discuss whether a mathematician’s public role and research tend to support or crowd out each other.
Occupation, last years and legacy, 1940–1956
Borel left his Sorbonne chair in 1941. That year, under the occupation, he was arrested and held at Fresnes prison for about a month. On his release he returned to Saint-Affrique and worked with the Resistance in the Aveyron. After the Liberation he received the Médaille de la Résistance.
In his seventies he wrote a stream of books for a wide audience: Le jeu, la chance et les théories scientifiques contemporaines (1941), Les probabilités et la vie (1943), Les paradoxes de l’infini (1946) and Les nombres inaccessibles (1952). The last argued that most real numbers can never be individually named. He was elected to the Bureau des longitudes in 1946, chaired the science committee of UNESCO from 1948, and received the Grand Cross of the Légion d’honneur in 1950. In 1955 the CNRS awarded him its first gold medal.
In 1955 he travelled to Brazil to present a paper at a session of the International Statistical Institute. On the voyage home he fell on board ship. He never fully recovered and died in Paris on 3 February 1956, aged 85. He is buried at Saint-Affrique.
Legacy
- Measure and integration: countable additivity, Borel sets and sets of measure zero made Lebesgue’s integral possible and are the language of modern analysis.
- Topology: the covering theorem became the definition of compactness.
- Probability: the 1909 paper began probability as measure theory, the framework Kolmogorov axiomatized in 1933; Borel–Cantelli is in every probability course.
- Divergent series: Borel summation is a standard tool in asymptotics, resurgence and quantum field theory.
- Game theory: pure and mixed strategies, defined in his notes of 1921–1927.
- Students: Henri Lebesgue wrote his thesis under Borel’s guidance; Paul Montel, Georges Valiron, Georges Bouligand, Ernest Esclangon, Francis Perrin and Tadeusz Ważewski were among his doctoral students.
- Institutions: the Institut Henri Poincaré, the Paris institute of statistics (now ISUP), and a role in the creation of the CNRS. A lunar crater bears his name.
Final projectChoose one of Borel’s ideas from Part II: the covering argument, measure zero, Borel summation, the strong law or mixed strategies. Write a two-page account that presents Borel’s original concrete form, then the general form in which it is taught today, and identify who made the generalization.
Sources and further reading
Biography
- J. J. O’Connor and E. F. Robertson, Émile Borel, MacTutor History of Mathematics Archive.
- M. Fréchet, La vie et l’œuvre d’Émile Borel, L’Enseignement mathématique 11 (1965).
- Borel, Émile, Dictionary of Scientific Biography (via MacTutor).
- Émile Borel, Wikipedia; Émile Borel, Wikipédia (French).
- Émile Borel, Mathematics Genealogy Project.
- Académie des sciences, Fonds Borel (archive inventory).
Mathematics
- É. Borel, Sur quelques points de la théorie des fonctions, Ann. Sci. ÉNS 12 (1895).
- É. Borel, Leçons sur la théorie des fonctions, Gauthier-Villars, 1898.
- É. Borel, Mémoire sur les séries divergentes, Ann. Sci. ÉNS 16 (1899); Leçons sur les séries divergentes, 1901.
- É. Borel, Les probabilités dénombrables et leurs applications arithmétiques, Rend. Circ. Mat. Palermo 27 (1909).
- É. Borel, La théorie du jeu et les équations intégrales à noyau symétrique gauche, C. R. Acad. Sci. 173 (1921); English translation in Econometrica 21 (1953).
- M. Fréchet, Émile Borel, initiator of the theory of psychological games and its application, Econometrica 21 (1953); J. von Neumann, Communication on the Borel notes, Econometrica 21 (1953).
- G. H. Hardy, Divergent Series, Oxford, 1949.
- T. Hawkins, Lebesgue’s Theory of Integration: Its Origins and Development, Chelsea, 1975.
- J. von Plato, Creating Modern Probability, Cambridge, 1994.
- R. Dimand and M. A. Dimand, The early history of the theory of strategic games from Waldegrave to Borel, History of Political Economy 24 (1992).