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Probability theory
From Wikipedia, the free encyclopedia.

Probability theory is the mathematical study of probability.

Mathematicians think of probabilities as numbers in the interval from 0 to 1 assigned to "events" whose occurrence or
failure to occur is random. Probabilities P(E) are assigned to events E according to the probability axioms.

The probability that an event E occurs given the known occurrence of an event F is the conditional probability of E given
F; its numerical value is (as long as P(F) is nonzero). If the conditional probability of E given F
is the same as the ("unconditional") probability of E, then E and F are said to be independent events. That this relation
between E and F is symmetric may be seen more readily by realizing that it is the same as saying
.

Two crucial concepts in the theory of probability are those of a random variable and of the probability distribution of a
random variable; see those articles for more information.

Contents
1 A somewhat more abstract view of probability
2 Philosophy of application of probability
3 See also
4 Bibliography

A somewhat more abstract view of probability

"Pure" mathematicians usually take probability theory to be the study of probability spaces and random variables — an
approach introduced by Kolmogorov in the 1930s. A probability space is a triple (Ω, F, P), where

Ω is a non-empty set, sometimes called the "sample space", each of whose members is thought of as a potential
outcome of a random experiment. For example, if 100 voters are to be drawn randomly from among all voters in
California and asked whom they will vote for governor, then the set of all sequences of 100 Californian voters
would be the sample space Ω.

F is a sigma-algebra of subsets of Ω whose members are called "events". For example the set of all sequences of
100 Californian voters in which at least 60 will vote for Schwarzenegger is identified with the "event" that at least
60 of the 100 chosen voters will so vote. To say that F is a sigma-algebra necessarily implies that the complement
of any event is an event, and the union of any (finite or countably infinite) sequence of events is an event.

P is a probability measure on F, i.e., a measure such that P(Ω) = 1.

It is important to note that P is defined on F and not on Ω. With Ω denumerable we can define F := powerset(Ω) which is
trivially a sigma-algebra and the biggest one we can create using Ω. In a discrete space we can therefore omit F and just
write (Ω, P) to define it. If on the other hand Ω is non-denumerable and we use F = powerset(Ω) we get into trouble
defining our probability measure P because F is too 'huge'. So we have to use a smaller sigma-algebra F (e.g. the Borel
algebra of Ω). We call this sort of probability space a continuous probability space and are led to questions in measure
theory when we try to define P.

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A random variable is a measurable function on Ω. For example, the number of voters who will vote for Schwarzenegger
in the aforementioned sample of 100 is a random variable.

If X is any random variable, the notation P(X ≥ 60) is shorthand for P({ ω in Ω : X(ω) ≥ 60 }), so that "X ≥ 60" is an
"event".

For an algebraic alternative to Kolmogorov's approach, see algebra of random variables.

Philosophy of application of probability

Some statisticians will assign probabilities only to events that they think of as random, according to their relative
frequencies of occurrence, or to subsets of populations as proportions of the whole; those are frequentists. Others assign
probabilities to propositions that are uncertain according either to subjective degrees of belief in their truth, or to logically
justifiable degrees of belief in their truth. Such persons are Bayesians. A Bayesian may assign a probability to the
proposition that there was life on Mars a billion years ago, since that is uncertain; a frequentist would not assign such a
probability, since it is not a random event that has a long-run relative frequency of occurrence.

See also
Glossary of probability and statistics
list of probability topics, list of statistical topics
expected value
Fuzzy measure theory
likelihood function
Predictive modelling
probability
probability axioms
probability distribution
random variable
statistical independence
variance
List of publications in statistics
Notation in probability

Bibliography
Pierre Simon de Laplace (1812) Analytical Theory of Probability

The first major treatise blending calculus with probability theory, originally in French: Theorie Analytique
des Probabilités.

Andrei Nikolajevich Kolmogorov (1933) Foundations of the Theory of Probability

The modern measure-theoretic foundation of probability theory, originally in German: Grundbegriffe der
Wahrscheinlichkeitrechnung.

Harold Jeffreys (1939) The Theory of Probability

An empiricist, Bayesian approach to the foundations of probability theory.

Edward Nelson (1987) Radically Elementary Probability Theory

Discrete foundations of probability theory, based on nonstandard analysis and internal set theory.
downloadable. http://www.math.princeton.edu/~nelson/books.html

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Patrick Billingsley: Probability and Measure, John Wiley and Sons, New York, Toronto, London, 1979.

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Categories: Probability theory | Discrete mathematics | Mathematical analysis

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