Lecture-01: Introduction to probability

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Outline:

• What is probability?

• Basic concepts of probability

• Probability measure and laws of probability

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C-01: Pitfalls of various approaches to probability

• The pitfalls of an intuitive approach to probability: i.e. the probability that an event E happens
as the fraction of outcomes in which E occurs i.e.

# outcomes where E occurs

P E =
# all possible outcomes

• Example 0.2.1. Suppose that we flip two coins. What is the probability that we obtain one
heads (H) and one tails (T)?

• Solution 1 (very close to modern understanding of probability): The possible outcomes are
HH,HT, TH, TT.
• The outcomes where we have one heads and one tails are HT, TH. Hence, Probability of one
heads and one tails = 2/4 = 1/2.
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C-02: Probability is more than common sense

• Solution 2 (d’Alembert): The possible outcomes are two heads, one heads and one tails, two
tails. Only one of these outcomes has one heads and one tails. Hence, Probability of one heads
and one tails = 1/3.

• The basic principles of probability are little more than “common sense” properly formulated in
mathematical language.

• The success of Kolmogorov’s theory is due to the fact that it genuinely captures our real-world
observations about randomness.

• Once we are comfortable with the basic framework of probability theory, we will start
developing increasingly sophisticated models of random phenomena.

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 Basic principle of probability

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C-01: Random experiment and sample space

• A random experiment is an experiment whose outcome cannot be predicted before the exper-
iment is performed. We do, however, know in advance what outcomes are possible in the
experiment.

• For example, if you flip a coin, you know it will come up either heads or tails; you just do not
know which of these outcomes will actually occur in a given experiment.

• The first ingredient of any probability model is the specification of all possible outcomes of a
random experiment.

• The sample space Ω is the set of all possible outcomes of a random experiment

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Ex-01: Example on random experiment and sample space

• Two dice: Consider the random experiment of throwing one red die and one blue die. We
denote by (i, j) the outcome that the red die comes up i and the blue die comes up j.

• Hence, we define the sample space: Ω = {i, j ∶ 1 ≤ i, j ≤ 6}.

• Waiting time: Consider the random experiment of waiting for a bus that will arrive at a
random time in the future.

• In this case, the outcome of the experiment can be any real number t ≥ 0 (t = 0 means the bus
comes immediately, t = 1.5 means the bus comes after 1.5 hours, etc.)

• We can therefore define the sample space: Ω = [0, ∞).

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Ex-02: Flight of a bumblebee

• A bee is buzzing around, and we track its flight trajectory for 5 seconds. What possible out-
comes are there in such a random experiment?
• A flight path of the bee might look something like this:

• As bees have not yet discovered the secret of teleportation, their flight path cannot have any
jumps. So, the sample space for this experiment can be chosen as

• Ω = {all continuous paths ω: [0,5] → ℝ3 }. Here, Ω faithfully describes all possible out-
comes of this random experiment.
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C-02: Events

• Once we have defined all possible outcomes of a random experiment, we should discuss what
types of questions we can ask about such outcomes.

• This leads us to the notion of events. Informally, an event is a statement for which we can det-
ermine whether it is true or false after the experiment has been performed.

• Two dice: Consider the random experiment of throwing one red die and one blue die. We
denote by (i, j) the outcome that the red die comes up i and the blue die comes up j.

• consider the following event: “The sum of the numbers on the dice is 7.” This event occurs in
a given experiment iff the outcome of the experiment happens to lie in the following subset of
all possible outcomes:
E = 1, 6 , 2, 5 , 3, 4 , 4, 3 , 5, 2 , 6, 1 ⊂ Ω = {i, j ∶ 1 ≤ i, j ≤ 6}
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E-04: Events

• We cannot predict in advance whether this event will occur, but we can determine whether it
has occurred once the outcome of the experiment is known.

• Waiting time: Consider the random experiment of waiting for a bus that will arrive at a
random time in the future.

• Consider the following event: “The bus comes within the first hour.” this event occurs in a
given experiment iff the outcome of the experiment happens to lie in the following subset of
all possible outcomes:

E = 0,1 ⊂ Ω = [0, ∞).

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 Probability measure

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C-03: Probability measure

• To model a random experiment, we will specify for each event A our “degree of confidence”
about whether this event will occur by assigning a number 0 ≤ P A ≤ 1

• (which must obey some rules that encode our common sense about how random experiments
work), called a probability, to every event A.

• If P A = 1, then we are certain that the event A will occur: in this case A will happen every
time we perform the experiment.

• If P A = 0, we are certain the event A will not occur: in this case A never happens in any
experiment.

• If P A = 0.7, say, then the event will occur in some realizations of the experiment and not in
others: i.e. before we run the experiment, we are 70% confident that the event will happen.
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C-04: Rules satisfied by probability measure of an event

• Intuitively, this specifies the “likelihood” of any outcome, or of any set of possible outcomes.

• A probability measure is an assignment of a number P(A) to every event A such that the
following rules are satisfied:

• 1. 0 ≤ P A ≤ 1 (probability is a “degree of confidence”) (non-negative). 2. P Ω = 1 (we are

certain that something will happen) (normalization).

• 3. If A,B are events with A ∩ B = ϕ, then P A ∪ B = P A + P B (the probabilities of

mutually exclusive events add up).

• More generally, if events E1 , E2 , . . . satisfy Ei ∩ Ej = ϕ for all i ≠ j, P ∪i=1 Ei = σi=1 P Ei

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C-05: Probabilistic model

• A probabilistic model is a mathematical description of an uncertain situation in accordance

with three ingredients sample space, probability law, and probability measure.

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