Chapter 1 Introduction

Lectures 1 - 3. In this chapter we introduce the basic notions random experiment , sample space , events and probability of event. By a random experiment, we mean an experiment which has multiple outcomes and one don't know in advance which outcome is going to occur. We call this an experiment with `random' outcome. We assume that the set of all possible outcomes of the experiment is known. Definition 1.1. Sample space of a random experiment is the set of all possible outcomes of the random experiment. Example 1.0.1 Toss a coin and note down the face. This is a random experiment, since there are multiple outcomes and outcome is not known before the toss, in other words, outcome occur randomly. More over, the sample space is

Example 1.0.2 Toss two coins and note down the number of heads obtained. Here sample space is .

Example 1.0.3 Pick a point `at random' from the interval picking any point. Sample space is .

. `At random' means there is no bias in

Definition 1.2 ( Event ) Any subset of a sample space is said to be an event. Example 1.0.4 is an event corresponding to the sample space in Example 1.0.1. are said to be mutually exclusive if

Definition 1.3 ( mutually exclusive events) Two events . If and are mutually exclusive, then occurrence of

implies non occurrence of , since

and vice versa.

Note that non occurrence of Example 1.0.5 The events But the events ,

need not imply occurrence of ,

need not be

of the sample space in Example 1.0.1 are mutually exclusive.

are not mutually exclusive.

Now we introduce the concept of probability of events (in other words probability measure). Intuitively probability quantifies the chance of the occurrence of an event. We say that an event has occurred, if the outcome belongs to the event. In general it is not possible to assign probabilities to all events from the sample space. For the experiment given in Example 1.0.3, it is not possible to assign probabilities to all . So one need to restrict to a smaller class of subsets of the sample space. For the subsets of random experiment given in Example 1.0.3, it turns out that one can assign probability to each interval in as its length. Therefore, one can assign probability to any finite union of intervals in , by representating the finite union of intervals as a finite disjoint union of intervals. In fact one can assign probability to any countable union interval in by preserving the desirable property "probability of countable disjoint union is the sum of probabilities". Also note that if one can assign probability to an event, then one can assign probability to its compliment, since occurence of the event is same as the non-occurance of its compliemt. Thus one seek to define probability on those class of events which satisfies "closed under complimentation" and "closed under countable union". This leads to the following special family of events where one can assign probabilities. Definition 1.4 A family of subsets following. (i) of a nonempty set is said to be a -field if it satisfies the

(ii) if (iii) if

, then , then Let .

Example 1.0.6

be a nonempty set. Define

Then

are

-fields. Moreover, if

is a

-field of subsets of

, then

i.e.,

is the smallest and Let

is the largest

-field of subsets of . Define

Example 1.0.7

be a nonempty set and

Then

is a is called the

-field and is the smallest -field generated by be an index set and .

-field containing the set

Lemma 1.0.1 is a -field.

Let

be a family of

-fields. Then

Proof. Since

for all

, we have

. Now,

Similarly it follows that

Hence

is a

-field. Let . Then

Example 1.0.8

is a

-field and is the smallest

-field containing

. We denote it by is a , then -field. From the definition of . Hence, ,

This can be seen as follows. From Lemma 1.0.1, clearly -field containing (i) (ii) if , then . If . is a -field containing

is the smallest

Definition 1.5 A family

of subsets of a non empty set

is said to be a field if

(iii) if

, then

. -field is a field. In particular, . Define are fields.

Example 1.0.9 Any Example 1.0.10 Let

Then

is a field but not a

-field. , if both is finite. Hence

Note that (i) and (ii) in the definition of field follows easily. To see (iii), for are finite so is (iii) follows. i.e., To see that is a field. -field, take and if either or is finite, then

is not a

Now

Definition 1.6 (Probability measure)

Let be a nonempty set and be a -field of subsets of . A map is said to be

a probability measure if P satisfies (i) (ii) if are pairwise disjoint, then

Definition 1.7 (Probability space).

The triplet ; where , a nonempty set (sample space), ,a -field and , a probability

measure; is called a probability space. Example 1.0.11 Let . Define on as follows.

Then

is a probability space. This probability space corresponds to the random experiment of

tossing an unbiased coin and noting the face. Example 1.0.12 Let . Define on as follows.

Then Solution.

is a probability space.

If

are pairwise disjoint. Then

(This holds since Therefore

's are disjoint)

Therefore properties (i) , (ii) are satisfied. Hence Theorem 1.0.1 (Properties of probability measure) are in (1) (2) Finite sub-additivity: . . Then

is a probability measure . Let a probability space and

(3)Monotonicity: if

, then

(4)Boole's inequality (Countable sub-additivity):

(5)Inclusion - exclusion formula:

(6)Continuity property: (i) For

(ii) For

Proof. Since

This proves (1). Now

Therefore

since

. This proves (3).

We prove (5) by induction. For

and

(Here

Hence we have

and

Combining the above, we have

Assume that equality holds for

Consider

Therefore the result true for From property (5), we have

. Hence by induction property (5) follows.

Hence

Thus we have (2). Now we prove (6)(i). Set

Then

are disjoint and (1.0.1) Also (1.0.2)

Using (1.0.1), we get

Now using the definition of convergence of series, one has (1.0.3) Hence from (1.0.3), we have

Proof of (6)(ii) is as follows. Note that

Now using (6)(i) we have

i.e.,

Hence

From property (2), it follows that

i.e.,

Therefore (1.0.4) Set

Then

and are in

. Also

Hence (1.0.5) Here the second equality follows from the continuity property 6(i). Using (1.0.5), letting (1.0.4), we have in

Recall that all the examples of probability spaces we had seen till now are with sample space finite or countable and the -field as the power set of the sample space. Now let us look at a random experiment . (1.0.6) The -field we are using to define P is -field of subsets of for all elements of , the . , preserving (1.0.6). Set -field generated by all intervals in . with uncountable sample space and the -field as a proper subset of the power set. Consider the random experiment in Example 1.0.3, i.e, pick a point 'at random' from the interval Since point is picked 'at random', the probability measure should satisfy the following.

is called the Borel Our aim is to define

Clearly Let . then

. can be represented as

where

Then

where

Therefore For Hence Define

. , it follows from the definition of is a field. on as follows. that .

(1.0.7) where

's are pair wise disjoint intervals of the form Extension of from to

follows from the extension theorem by Caratheodary. To understand the

statement of the extension theorem, we need the following definition. Definition 1.8 (Probability measure on a field) Let be a nonempty set and be a field. Then

is said to be a probability measure on (i) (ii) if be such that

if

are pairwise disjoint and

, then

Example 1.0.13

The set function

given by (1.0.7) is a probability measure on the field A probability measure defined on a field has a unique

Theorem 1.0.2 (Extension Theorem) extension to .

Using Theorem 1.0.2, one can extend

defined by (1.0.7) to

. Since

see Exercise 1.6 , there exists a unique probability measure

on

preserving (1.0.6).