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Notes in probability

NOTE-1
BASIC PROBABILITY LAWS

1.1 Preview and definitions

A. Set theory
1.

2.

Union operation:

A B x, x A or x B or x Aand B.

Intersection operation:

A B x, x A and x B.

3.

The complement operation:

Ac x, x A and x ,
where is the universal set.

4.

The difference operation:

A \ B x, x A and x B

= A Bc .
5.

A A A, A A A, A A, A , A , A A ,

where is the empty set.

6.

The commutative laws:

7.

The distribution laws:

8.

The associative laws:

9.

The complement laws:

A B B A,

A B B A.

A ( B C ) ( A B) ( A C )
A ( B C ) ( A B) ( A C ) .

A ( B C ) ( A B) C
A ( B C ) ( A B) C .

( Ac )c A,

A Ac ,

A Ac .
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10.

The difference laws:

11.

Demorgans laws:

( A \ B) B A B
( A \ B) B
( A \ B) A A
( A \ B) A A \ B .

( A B)c Ac Bc
( A B)c Ac Bc .

B. Probability Theory
1.

Random Experiment: It is an experiment which produce

unpredictable outcomes (random outcomes).

2.

Simple event: a random outcome of a random experiment.

3.

Event: A Logical construction of simple events.

4.

Sample space : The set of all random outcomes of a random

outcomes.

5.

The impossible events : It never happens.

6.

Disjoint events: unintersected events, i.e. A B .

7.

Independent events: The occurrence of one does not affect the

occurrence of another.

8.

The probability function: It is a real valued function which maps

a class of subsets of (called a field) into [0,1] interval,
p : [0,1] .

9.

is afield iff:
E E c and
A, B A B .

10.

The pair ( , p) is called a probability field.

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11.

The triple (, , p) is called a probability space.

12.

For any event A, 0 p( A) 1 .

EXERCISES (Probability Space):

1. Answer yes or no?
i) { , } is a probability field?
ii) { A , A c , , } is a probability field?
iii) { A , , } is a probability field?
iv){ , , p }is a probability space ,given the following:
{ a , b , c , d}, p ( ) 1
{{ a },{ b , c , d}, , }, p({a}) = 1 / 1000 ,
p({b, c, d}) = 999 / 1000, p( ) = 0.

v) { , , p }is a probability space ,given the following:

{ a , b , c , d}, p ( ) 1
{{ a },{ b , c },{ d}, , }, p({a}) = p({d}) = 1 / 4 ,
p({b, c}) = 1 / 2, p( ) = 0.

2. Prove that if A,B

A B c .

(a probability field) , then

A B

and

3. Design a probability space when tossing 3 fair dice.

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1.2 Axioms of Probability theory

1.

If events A and B are disjoint, i.e. A B , then

p( A B) p( A) p( B)

which is called the law of addition of probabilities.

2.

p() 1 .

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1.3 Probability Laws

p( ) 0 ,

1.

since .
2.

p( Ac ) 1 p( A) ,
since Ac A .

3.

p( A \ B) p( A) p( A B) ,
since A ( A \ B) ( A B) .

4.

p( A B) p( A) p( B) p( A B) ,
since A B B ( A \ B) .

5. A B p( A) p( B)
6.

Generalization of the first axiom:

n

p(in1 Ai ) p( Ai ) ,
i 1

proof: use mathematical induction.

7.

For two independent events A,B:

p( A B) p( A). p( B)

which is called the law of multiplication of probabilities.

8.

Generalization of the multiplication law:

n

p(in1 Ai ) p( Ai ) ,
i 1

proof: use mathematical induction.

9.

p( A B C ) p( A) p( B) p(C ) p( A B) p( A C ) p( B C )
p( A B C ).

10.

For the independent case:

p( A B) p( A). p( Bc ) p( B) .

11.

For the independent case:

p( A B C ) p( A). p( Bc ). p(C c ) p( B). p(C c ) p(C ) .

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EXERCISES (Probability Laws):

4. Prove the following:
i ) p ( E F G ) p ( E ) p ( F ) p (G ) p ( E F ) p ( E G )
- p(F G) + p(E F G )
ii) p( E F G ) p( E ) p( F ) p(G ) p( E c F G ) p( E F c G )
p( E F G c ) 2 p( E F G ).

iii) Bon Ferroni' s inequality :

p(E F) p(E) + p(F) - 1
then prove :
n

i 1

i 1

p( Ei ) p( Ei ) ( n 1).
iv) Bool' s inequality :
n

i =1

i 1

p( Ei ) p( Ei )

v ) p(exactly one of the events E or F occurs) = p(E) + p(F) - 2p(E F).

vi)p(E c Fc ) 1 p( E ) p( F ) p( E F ).

5.(REPORT-1) Prove by induction:

n

i 1

i 1

p( E i ) p( Ei ) p( Ei E i ) ...
i1 i2

( 1) r 1

i1 i2 .. i r

( 1) n 1

p( E i Ei .. E i )...
1

i1 i2 .. i r

p( E i E i .. Ei ),

i1 i2 .. in

where

p( Ei E i .. E i ) is taken over all possible

1

combinations (r from n) subsetsof size r of {1,2,..., n}.

6. Tossing three coins ,obtain the probability that the first coin falls heads
or the second coin falls heads when : i- the coins are fair
ii- the
coins are unfair (p(H)=p, p(T)=q).
7. A class of 100 students , 70 students like mathematics and 60 students
like physics and 50 students like both. A student is chosen at random
,find the probability that:

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Notes in probability

a-

he likes math. or
phys.
ii- he does not like math. nor phys.
iii- he likes math. but he does not like phys.
8. A class of 100 students , 60 students wish to be computer engineers
A and 40 students wish to be electric circuits designers B.One third
of A and half of B have math. ability. A student is chosen at random ,
find the probability that:
i- he is A and has math. ability.
ii- he is B and has math. ability.
iii- he is A or has math. ability.
iv- he is B but does not have math. ability.
9. Buffons needle problem ,1777
If a needle of length L is thrown onto ruled paper with distance d between
the lines (d>L), what is the probability that the needle will intersect a line
,assuming all locations of the center of the needle and all of its directions
to be equiprobable?
10. Paradox
The probability that the last digit of a telephone number is either odd or
divisible by 3 (assuming all digits to be equiprobable) may be found by
two methods: 1- there 10 disjoint equiprobable possibilities , of which
five (1,3,5,7,9) are odd and four (0,3,6,9) are divisible by 3 ; hence
p=5/10 +4/10 =9/10. 2- There are three digits that are neither odd nor
divisible by 3 (2,4,8) ;hence p=1-3/10=7/10. Find and then correct the
error.
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1.4 CONDITIONAL PROBABILITY

Notation: A | B : the occurrence of A given the occurrence of B.
Definition:
p( A | B )

p( A B )
, p( B ) 0
p( B )

Laws:
1.

p( A | ) p( A) .

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2.

p( | B ) 1 .

3.

p( | ) 0 .

4.

p( Ac | B) 1 p( A | B) .

5.

p( A \ B | C ) p( A | C ) p( A B | C ) .

6.

p( A B | C ) p( A | C ) p( B | C ) p( A B | C ) .

7.

p( A2 A1 ) p( A1 ). p( A2 | A1 ) .

8.

Generalization:
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p(in1 Ai ) p( A1 ). p( Ai | ij11 Aj ) , use math. induction.

i 2

Definition: The partition of a set

E1 , E2 ,....., Em are partitions of the set iff:
subsets: E j j ,
disjoint: E j Ek ,
exhaustive: im1 Ei .

a)
b)
c)

9. The total probability theorem:

If E1, E2 ,....., Em are partitions of and E is an event, then
m

p( E ) p( Ei ). p( E | Ei ) .
i 1

10.

Bayestheorem:
If E1, E2 ,....., Em are partitions of and E is an event, then
p( Ek | E )

p( Ek ). p( E | Ek )
p( E )

Attention: The total probability and Bayes theorems have a lot of

applications. The tree diagram may be used to follow up the different
branches of the consequence of probabilities in the applications.
11.

Independent events:
p( A | B) p( A) ,
p( B | A) p( B) ,

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p( A B) p( A). p( B) .

EXERCISES (Conditional Probability):

11.

Using the definition of the conditional probability, prove the

following:
ii) p( / F ) = 0

i ) p( F / F ) = 1

iii) E F p( E / G) p( F / G)
iv) p( E c / F ) 1 p ( E / F )
v ) p( E G / F ) = p( E / F ) + p( G / F ) - -p( E G / F )
vi ) p( E / F c ) ( p ( E ) p ( E F ) ) / ( 1 p ( F ) )
vii ) p( E / F ) = 0 ( iff ) E and F are disjoint.
viii) p( E F G) = p( E)p( F / E)p( G / E F )
ix) REPORT : Generalize viii:
n

m1

p( E i ) p ( E1 ) p ( E m / E l ).
i =1
l1
m 2
x ) If ( E, F ) are independent , then

( E, F c ) and ( E c , F c ) are independent.

xi) If ( E, F, G) are independent , then ( E, F G) , ( E, F G) ,

( E c , F G c ) and ( E c , F , G c ) are independent.

12. 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?
13. At a certain stage of a criminal investigation ,the inspector ( )in
charge is 60% convinced of the guilt of a certain suspect ( ). Suppose
that a new piece of evidence ( )that shows that the criminal has certain
characteristics ( )is uncovered ( ).If 20% of the population
possesses ( )his characteristics, how certain of the guilt of the suspect
should the inspector now be if it turns out ( )that the suspect has his
characteristics?
14. A laboratory blood test is 95% effective in detecting ( )a certain
disease when it is present. However, the test also yields a false positive
result for 1% of the healthy persons tested. If .5% of the population
actually has the disease , what is the probability that a person has the
disease given that the test result is positive?
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15. What is the probability that a single shot ( )was recorded from three
independent weapons ( )given the following:
p ( E1 ) . 5 ,
where

p(E 2 ) . 6

and p(E 3 ) . 8

E i : the accident that the shot is from weapon .i

16. A multiple choice exam has four questions. Each question has three
possible answers. A student guesses ( ) all his answers. Assuming
independent guessings ,what is the probability that the correct answers
are more than the wrong ones?
17. Each one of two urns contains three identical balls labeled as 1,2 and
3. A single ball is drawn randomly from each urn independently. What is
the probability that the labeled balls 2 are the more drawn balls?
18. REPORT: Generalization of 17. We have k urns, each contains n
labeled balls as 1,2,3 ...n. A single ball is drawn randomly from each
urn, what is the probability that the labeled balls m are the more drawn
balls?.
19.A system composed of n separate components is said to be a parallel
system if it functions when at least one of the components functions (see
the fig.). For such a system if component i, independent of other
components ,functions with probability Pi , i 1, 2, .. n , what is the
probability that the system functions?
1
2
A

B
n