Chap1 - Chapter 1. General Probability Theory Definition...

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Unformatted text preview: Chapter 1. General Probability Theory Definition 1.1.1. Let be a nonempty set, and let F be a collection of subsets of . We say F is a -algebra (or field) provided that (i) the empty set belongs to F ; (ii) whenever a set A belongs to F , its com- plement A c also belongs to F ; (iii) whenever a sequence of sets A 1 , A 2 , be- longs to F , their union i =1 U i belongs to F . 1 Definition 1.1.2. Let be a nonempty set, and let F be a -field of subsets of . A prob- ability measure P is a fucntion that, to every set A F , assigns a number in [0 , 1], called the probability of A and write P ( A ). We require (i) P () = 1 (ii) whenever A 1 , A 2 , is a sequence of dis- joint sets in F , then P ( n =1 A n ) = X n =1 P ( A n ) (1 . 1 . 2) . The triple ( , F , P ) is called a probability space. Definition 1.1.5. Let ( , F , P ) be a probabil- ity space. If a set A F satisfies P ( A ) = 1, we say that the event A occurs almost surely....
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This note was uploaded on 01/04/2012 for the course MATH 6235 taught by Professor Peng,liang during the Fall '11 term at Georgia Institute of Technology.

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Chap1 - Chapter 1. General Probability Theory Definition...

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