Sigma algebra lemmas

[Brixfoly]

Motivation for this change

fyi @hoheinzollern @affeldt-aist (probably needs some discussion for cvg_mu lemmas, but at least it's here)

Checklist

• added corresponding entries in CHANGELOG_UNRELEASED.md

• added corresponding documentation in the headers

Reference: How to document

Merge policy

As a rule of thumb:

• PRs with several commits that make sense individually and that
  all compile are preferentially merged into master.
• PRs with disorganized commits are very likely to be squash-rebased.

Reminder to reviewers

• Read this Checklist
• Put a milestone if possible
• Check labels

[affeldt-aist]

Very useful, thank you.