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Probability Theory and Applications: Ntroduction To Robability

The document introduces some basic concepts in probability theory, including sample space, events, algebra of events, sigma-algebra, combination of events, definition of probability, and elementary properties of probability. It provides examples of sample spaces, simple events, algebra of events, and sigma-algebra. It also defines probability as a function that satisfies three axioms and discusses elementary properties such as the probability of the empty set being 0 and the probability of a union of two events.

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Viba R Udupa
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59 views9 pages

Probability Theory and Applications: Ntroduction To Robability

The document introduces some basic concepts in probability theory, including sample space, events, algebra of events, sigma-algebra, combination of events, definition of probability, and elementary properties of probability. It provides examples of sample spaces, simple events, algebra of events, and sigma-algebra. It also defines probability as a function that satisfies three axioms and discusses elementary properties such as the probability of the empty set being 0 and the probability of a union of two events.

Uploaded by

Viba R Udupa
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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MA208 –Probability Theory and

Applications
I NTRODUCTION TO P ROBABILITY

Dr. Kedarnath (MACS) December 28, 2020 1/9


R EFERENCE B OOKS FOR MA208

P L Meyer, Introductory Probability and Statistical Applications.


S M Ross, Introduction to Probability and Statistics for Engineers
and Scientists.
Hwei Hsu, Probability, Random Variables and Random Processes.
V K Rohatgi, A K Md. Ehsanes Saleh, An Introduction to
Probability and Statistics.
William Feller, An Introduction to Probability Theory and its
Applications.

Dr. Kedarnath (MACS) December 28, 2020 2/9


I NTRODUCTION TO P ROBABILITY
D EFINITION (S AMPLE S PACE )
Sample space (Ω) is the set of all possible sample points w ∈ Ω.

E XAMPLES
Tossing a coin: Ω = {H, T }
Rolling a die: Ω = {1, 2, 3, 4, 5, 6}
Number of customers in a queue: Ω = {0, 1, 2, 3, · · · }
Call holding time (in minutes): Ω = {x ∈ R | x > 0} = (0, ∞)

Note: |Ω| = “ finite” or “countably infinite” or “uncountably infinite”

D EFINITION (E VENT )
A is called an event if A ⊆ Ω.

D EFINITION (S IMPLE E VENT )


A is called simple event if A ⊆ Ω and |A| = 1.

Dr. Kedarnath (MACS) December 28, 2020 3/9


D EFINITION (A LGEBRA )
A collection I, of subsets of Ω, |Ω| < ∞, is called Algebra if the following holds,
1 ∅∈I
2 If A ∈ I =⇒ A0 ∈ I
n
[
3 If A1 , A2 , . . . , An ∈ I =⇒ Ai ∈ I.
i=1
(Closed under finite Union)

C OROLLARY (1)
If A ∈ I is an Algebra, Ω ∈ I

C OROLLARY (2)
n
\
If A1 , A2 , . . . , An ∈ I =⇒ Ai ∈ I.
i=1

(Hints: By De Morgan Law)

Dr. Kedarnath (MACS) December 28, 2020 4/9


C OMBINATION OF E VENTS

Union “A or B”: A ∪ B = {w ∈ Ω | w ∈ A or w ∈ B}
Intersection “A and B”: A ∩ B = {w ∈ Ω | w ∈ A and w ∈ B}
Complement “not A”: A0 = {w ∈ Ω | w ∈
/ A}
Mutually Exclusive Events: A and B are mutually exclusive events
if A ∩ B = ∅

Dr. Kedarnath (MACS) December 28, 2020 5/9


D EFINITION (S IGMA –A LGEBRA (σ–A LGEBRA ))
A collection A of subsets of Ω is called σ–Algebra if the following holds
1 ∅∈A
2 If A ∈ A =⇒ A0 ∈ A
∞
[
3 If A1 , A2 , . . . , An ∈ A =⇒ Ai ∈ A .
i=1
(Closed under countable Union)

C OROLLARY
1 Ω∈A
∞
\
2 If A1 , A2 , . . . , An ∈ A =⇒ Ai ∈ A .
i=1

E XAMPLES (σ– ALGEBRA )


A = {∅, Ω} is a σ–Algebra (trivial)
A = P(Ω), power set of Ω is a σ–Algebra (trivial)
Let Ω = {1, 2, 3, 4, 5, 6} A = {∅, Ω, {1, 3, 5}, {2, 4, 6}} (Non trivial σ–Algebra)

Dr. Kedarnath (MACS) December 28, 2020 6/9


BASIC N OTION OF P ROBABILITY

D EFINITION (P ROBABILITY )
A function P : A → [0, 1] is called probability if the following holds:
1 0 ≤ P (A) ≤ 1
2 P (Ω) = 1
∞
! ∞
[ X
3 P Ai = P (Ai ) if A1 , A2 , . . . are pairwise mutually exclusive events.
i=1 i=1

The above properties are called axioms of probability.

Dr. Kedarnath (MACS) December 28, 2020 7/9


E LEMENTARY P ROPERTIES OF P ROBABILITY

T HEOREM
If ∅ is the empty set, then P (∅) = 0

T HEOREM
If A ∈ A =⇒ P (A) = 1 − P (A0 )

T HEOREM
A, B ∈ A , then P (A ∪ B) = P (A) + P (B) − P (A ∩ B)

Dr. Kedarnath (MACS) December 28, 2020 8/9


Exercise: Let A, B ∈ A . Find out the probability that exactly one of the
events A or B occurs.

Dr. Kedarnath (MACS) December 28, 2020 9/9

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