Could someone tell me if the proof is correct ? Thanks in advance.
Let $X_i$ be nonempty sets and $p_i\in X_i$ for all $i\in I$ with $I$ infinite; $⊂$ and $$ is finite.
And consider two sets $$Y=\left\{(x_i)\in\prod_i X_i\mid \{i\in I:x_i\neq p_i\} \text{ is finite}\right\}$$ and $$Y_F=\left\{(x_i)\in\prod_i X_i\mid i\notin F:x_i=p_i\right\}$$
Prove that $\bigcup Y_F=Y.$
Proof.
Let $(x_i)\in\bigcup Y_F$ then $(x_i)\in Y_F $ for some $Y_F.$
Thus $(x_i)\in\prod_i X_i$ and if $i\notin F$, then $x_i=p_i$ (or equivalently if $x_i\neq p_i$, then $i$ is in some finite set)
As $i$ is in some finite set, $i\in I$, hence $(x_i)\in Y.$
Now, let $(x_i)\in Y.$
Thus $(x_i)\in\prod_i X_i$ and if $i$ is in some finite set, then $x_i\neq p_i$ (or equivalently if $x_i=p_i$, then $i$ is not in some finite set) .
As $i$ is not in some finite set, let's say $F$, then $x_i=p_i$. Hence $(x_i)\in Y_F$.
I think that your proof is correct, but the wording is awkward in places. I will copy what you wrote and describe how to write things a bit better.
The bit "$(x_{i})\in Y_{F}$ for some $Y_{F}$" is redundant. I think what you mean to say is $(x_{i})\in Y_{F}$ for some finite subset $F\subseteq I$.
My only objection here is to the parenthetical remark. Every mathematical object ever is in a finite set. Specifically it is in the singleton set containing itself. A better way to state your parenthetical remark is "(or equivalently if $x_{i}\neq p_{i}$, then $i\in F$)".
For the same reason as above I would rephrase this statement to, "because the set of indices $i$ for which $x_{i}\neq p_{i}$ is equal to $F$ which is finite, we have that $(x_{i})\in Y$".
No objections.
Again, my objection is to the use of the phrase "some finite set". To avoid confusion it is ideal to clearly define which finite set. The rephrasing I would suggest is the following:
Back to your proof.
Here you mention a finite set $F$, but what relevance does $F$ have to the space $Y$? You haven't stated that $F\subseteq I$, so $Y_{F}$ may not even be defined. I would replace your line with the following:
I hope that this has been helpful. I think that your proof has all of the right ideas. It is just the wording that needs work.