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MIT6 262S11 Lec01
MIT6 262S11 Lec01
Outline:
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Essentially – essentially – essentially ??? In trying
to be precise, many problems emerge.
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The use of probability models has 2 major problems:
First, how do you make a probability model for a
real world problem?
Partial answer: Learn about estimation and deci-
sions within standard models. Then learn a great
deal about the real-world problem. Then use com-
mon sense and tread lightly.
Better answer: Try oversimplified models first. Use
the mathematics of those simple models to help un-
derstand the real problem. Then in multiple stages,
add to and modify the models to understand the
original problem better.
Usually no model is perfect (look at coin tossing).
Alfred North Whitehead: Seek simplicity and dis-
trust it.
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Discrete stochastic processes
Processes to be studied
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When, where, and how is this useful?
1. Ω is an event.
!∞
2. If A1, A2, . . . , are events, then
n=1 An is an event.
3. If A is an event, the complement Ac is an event.
Not all subsets need be events. Usually each sam-
ple point is taken to be a singleton event. Then
non-events are weird, often necessary, but usually
ignorable.
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The empty set φ is Ωc, so is an event.
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Another consequence is the union bound,
&# ' (
Pr A ≤
n n
Pr {An} ; finite or countable n
n
! !
A1 A2 = A1 A2Ac1
A1 !
A2A1 Pr{A1 A2} = Pr{A1} + Pr{A2Ac1}
A2Ac1
≤ Pr{A1} + Pr{A2}
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Random variables (rv’s)
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! FX (x)
!
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Theoretical nit-pick: FX (x) must be continuous from
the right, i.e., limk→∞ FX (x + 1/k) = FX (x).
This seems obvious, since for a discontinuity at x,
FX (x) is the value at the top (right) of the jump.
Proof: Let Ak = {ω : X(ω) > x + 1
k }. Then Ak−1 ⊆ Ak
for each k > 1.
#∞
{ω : X(ω) > x} = A
k=1 k
&# ' ) *
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Pr{X > x} = Pr k
Ak = lim Pr {Ak } = lim Pr X > x +
k k k
Center step: let B1 = A1; Bk = Ak −Ak−1 for k > 1.
Then {Bk ; k ≥ 1} are disjoint.
&# ' &# ' (∞
Pr A
k k
= Pr B =
k k k=1
Pr{Bk }
(k
= lim B = lim Ak
m=1 m
k→∞ k→∞
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