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Elements of Probability

1. Elements of probability include sample spaces, events, axioms of probability, and definitions of probability. A sample space is the set of all possible outcomes of an experiment. An event is any subset of the sample space. The three axioms of probability are that the probability of an event is between 0 and 1, the probability of the sample space is 1, and the probability of mutually exclusive events sums to the total probability. Probability is usually defined as the limit of the number of times an event occurs over the total number of trials as the number of trials increases to infinity.

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12 views

Elements of Probability

1. Elements of probability include sample spaces, events, axioms of probability, and definitions of probability. A sample space is the set of all possible outcomes of an experiment. An event is any subset of the sample space. The three axioms of probability are that the probability of an event is between 0 and 1, the probability of the sample space is 1, and the probability of mutually exclusive events sums to the total probability. Probability is usually defined as the limit of the number of times an event occurs over the total number of trials as the number of trials increases to infinity.

Uploaded by

jedacob
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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1.

Elements of Probability
1.1. Sample Space and Events
Consider an experiment whose outcome is not known
• Sample space S: the set of all possible outcome
Flip a coin: S = {H, T}
Rolling a die: S = {1, 2, 3, 4, 5, 6}
Running a race among 7 horses numbered 1 thru 7:
S ={ all ordering of (1,2,3,4,5,6,7)}
A single stock with price St at time t = 1, 2, . . . , T
Ω: the set of all possible values of stock during these times
Ω = {ω : ω = (S1, S2, . . . , ST )}
If we assume that the stock price can go up by a factor u and
down by a factor d, then the relevant information reduces to
the knowledge of the movements at each time
Ω = {ω : ω = (a1, a2, . . . , aT )}, at = u or d.
For example: T = 2, then
Ω = {uu, ud, du, dd}

1.1
• Event: any subset A of the sample space is known as an
event
Event which getting a H: A={H}
Event to have a even number when rolling a die
A={2,4,6}
Event that the number 5 horse comes first
A ={ all outcomes in S starting with 5}
Event that the stock goes up at time t = 1
A = {uu, ud}

• For any event A we define the event Ac, referred to as the


complement of A, to consist of all outcomes in the sample
space S that are not in A
• note that S c does not contain any outcomes and thus cannot
occur. We call S c the null set and designate it by φ
• For any two events, we define the new event A∪B, the union
of A and B, to consists of all outcomes that in A or B or in
both A and B
• we can also define the intersection of A and B, AB, to consist
of all outcomes that are in both A and B
• If AB = φ, we say that A and B are mutually exclusive.

1.2
1.2. Axioms of Probability
Axiom 1 0 ≤ P (A) ≤ 1
Axiom 2 P (S) = 1
Axiom 3 For any sequence of mutually exclusive events
A1, A2, . . .,
n n
 

p Ai = P (Ai), n = 1, 2, . . . , ∞
[ X
 
i=1 i=1

1.3
1.3. Usual definition
Suppose that an experiment, whose sample space is S, is repeat-
edly performed under exactly same conditions.
For each event A of the sample space S, we define n(A) to be
the number of times in the first n repetitions of the experiment
that the event A occurs. Then the probability of the event A is
defined by
n(A)
P (A) = n→∞
lim
n
For some experimenters it is natural to assume that all outcomes
in the sample space are equally likely to occur, i.e., consider
an experiment whose sample space is a finite set S , say S =
{1, 2, . . . , N }
Then it is often natural to assume that
P ({1}) = P ({2}) = · · · = P ({N })
which implies from Axioms 2 and 3 that
1
P ({i}) = , i = 1, 2, . . . , N.
N
From this, it follows from Axiom 3 that for any event E
number of points in E
P (E) =
number of points in S

1.4
1.4. Some simple propositions
• P (Ac) = 1 − P (A)

• If E ⊂ F , then P (E) ≤ P (F )

• P (E ∪ F ) = P (E) + P (F ) − P (EF )

•
n
P (E1 ∪ E2 ∪ · · · ∪ Un) = P (Ei) − P (EiEj ) + · · ·
X X

i=1 i1 <i2
+(−1)r+1 P (Ei1 Ei2 · · · Eir )
X

i1 <i2 <···<ir
n+1
+ · · · + (−1) P (E1E2 · · · En)
where i1 <i2 <···<ir P (Ei1 Ei2 · · · Eir ) is taken over all of the
P
 
 n 
  possible subsets of size r of the set {1, 2 . . . , n}.
r

1.5
1.5. Conditional Probability and Independence
Consider the previous example, suppose we are interested in the
probability that two heads are obtained provided that head is
landed on the first flip
In this case we call it as conditional probability that A occurs
given B has occurred and denote by P {A|B}

number of elements with A and B


P (A|B) =
number of elements with B
1
=
2
Now the conditional probability can be computed as
Pr{AB}
Pr{A|B} =
Pr{B}
Example: An urn contains 10 white, 5 yellow, and 10 black
marbles. A marble is chosen at random from the urn, and it
is noted that it is not one of the black marbles. What is the
probability that it is yellow?

1.6
Note that P (·|F ) is a probability

1.7

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