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# Probability Theory

## Gian-Carlo Rota, M.I.T..

Florian Herzog

2013
Probability space

Probability space
A probability space W is a unique triple W = {Ω, F , P }:
• Ω is its sample space
• F its σ -algebra of events
• P its probability measure
Remarks: (1) The sample space Ω is the set of all possible samples or elementary
events ω : Ω = {ω | ω ∈ Ω}.
(2)The σ -algebra F is the set of all of the considered events A, i.e., subsets of
Ω: F = {A | A ⊆ Ω, A ∈ F }.
(3) The probability measure P assigns a probability P (A) to every event
A ∈ F : P : F → [0, 1].

## Stochastic Systems, 2013 2

Sample space

The sample space Ω is sometimes called the universe of all samples or possible
outcomes ω .
Example 1. Sample space
• Toss of a coin (with head and tail): Ω = {H, T }.
• Two tosses of a coin: Ω = {HH, HT, T H, T T }.
• A cubic die: Ω = {ω1, ω2, ω3, ω4, ω5, ω6}.
• The positive integers: Ω = {1, 2, 3, . . . }.
• The reals: Ω = {ω | ω ∈ R}.
Note that the ω s are a mathematical construct and have per se no real or
scientific meaning. The ω s in the die example refer to the numbers of dots
observed when the die is thrown.

Event

## An event A is a subset of Ω. If the outcome ω of the experiment is in the

subset A, then the event A is said to have occurred. The set of all subsets of
the sample space are denoted by 2Ω.
Example 2. Events
• Head in the coin toss: A = {H}.
• Odd number in the roll of a die: A = {ω1, ω3, ω5}.
• An integer smaller than 5: A = {1, 2, 3, 4}, where Ω = {1, 2, 3, . . . }.
• A real number between 0 and 1: A = [0, 1], where Ω = {ω | ω ∈ R}.
We denote the complementary event of A by Ac = Ω\A. When it is possible
to determine whether an event A has occurred or not, we must also be able to
determine whether Ac has occurred or not.

## Stochastic Systems, 2013 4

Probability Measure I

## Definition 1. Probability measure

A probability measure P on the countable sample space Ω is a set function

P : F → [0, 1],

## satisfying the following conditions

• P(Ω) = 1.
• P(ωi) = pi.
• If A1, A2, A3, ... ∈ F are mutually disjoint, then

[  ∞
X
P Ai = P (Ai).
i=1 i=1

Probability

## The story so far:

• Sample space: Ω = {ω1, . . . , ωn}, finite!
• Events: F = 2Ω: All subsets of Ω
P
• Probability: P (ωi) = pi ⇒ P (A ∈ Ω) = pi
w i ∈A
Probability axioms of Kolmogorov (1931) for elementary probability:
• P(Ω) = 1.
• If A ∈ Ω then P (A) ≥ 0.
• If A1, A2, A3, ... ∈ Ω are mutually disjoint, then

[  ∞
X
P Ai = P (Ai).
i=1 i=1

## Stochastic Systems, 2013 6

Uncountable sample spaces

## Consider the example Ω = [0, 1], every ω is equally ”likely”.

• Obviously, P(ω) = 0.
• Intuitively, P([0, a]) = a, basic concept: length!

## Question: Has every subset of [0, 1] a determinable length?

Answer: No! (e.g. Vitali sets, Banach-Tarski paradox)

## Stochastic Systems, 2013 7

Fundamental mathematical tools

Not every subset of [0, 1] has a determinable length ⇒ collect the ones with a
determinable length in F . Such a mathematical construct, which has additional,
desirable properties, is called σ -algebra.
Definition 2. σ -algebra
A collection F of subsets of Ω is called a σ -algebra on Ω if
• Ω ∈ F and ∅ ∈ F (∅ denotes the empty set)
• If A ∈ F then Ω\A = Ac ∈ F : The complementary subset of A is also
in Ω
S∞
• For all Ai ∈ F : i=1 Ai ∈ F
The intuition behind it: collect all events in the σ -algebra F , make sure that
by performing countably many elementary set operation (∪, ∩,c ) on elements
of F yields again an element in F (closeness).
The pair {Ω, F } is called measure space.

## Stochastic Systems, 2013 8

Example of σ-algebra

## Example 3. σ -algebra of two coin-tosses

• Ω = {HH, HT, T H, T T } = {ω1, ω2, ω3, ω4}
• Fmin = {∅, Ω} = {∅, {ω1, ω2, ω3, ω4}}.
• F1 = {∅, {ω1, ω2}, {ω3, ω4}, {ω1, ω2, ω3, ω4}}.
• Fmax = {∅, {ω1}, {ω2}, {ω3}, {ω4}, {ω1, ω2}, {ω1, ω3}, {ω1, ω4}, {ω2, ω3},
{ω2, ω4}, {ω3, ω4}, {ω1, ω2, ω3}, {ω1, ω2, ω4}, {ω1, ω3, ω4},
{ω2, ω3, ω4}, Ω}.

## Stochastic Systems, 2013 9

Generated σ-algebras

## Definition 3. σ(C): σ -algebra generated by a class C of subsets

Let C be a class of subsets of Ω. The σ -algebra generated by C , denoted
by σ(C), is the smallest σ -algebra F which includes all elements of C , i.e.,
C ∈ F.

## Identify the different events we can measure of an experiment (denoted by A),

we then just work with the σ -algebra generated by A and have avoided all the
measure theoretic technicalities.

## Stochastic Systems, 2013 10

Borel σ-algebra

The Borel σ -algebra includes all subsets of R which are of interest in practical
applications (scientific or engineering).
Definition 4. Borel σ -algebra B(R))
The Borel σ -algebra B(R) is the smallest σ -algebra containing all open
intervals in R. The sets in B(R) are called Borel sets. The extension to the
multi-dimensional case, B(Rn), is straightforward.
• (−∞, a), (b, ∞), (−∞, a) ∪ (b, ∞)
• [a, b] = (−∞, a) ∪ (b, ∞),
S∞ S∞
• (−∞, a] = n=1[a − n, a] and [b, ∞) = n=1[b, b + n],
• (a, b] = (−∞, b] ∩ (a, ∞),
T∞
• {a} = n=1(a − n1 , a + n1 ),
Sn
• {a1, · · · , an} = k=1 ak .

## Stochastic Systems, 2013 11

Measure

Definition 5. Measure
Let F be the σ -algebra of Ω and therefore (Ω, F ) be a measurable space.
The map
µ : F → [0, ∞]
is called a measure on (Ω, F ) if µ is countably additive. The measure µ
is countably additive (or σ -additive) if µ(∅) = 0 and for every sequence of
S
disjoint sets (Fi : i ∈ N) in F with F = i∈N Fi we have
X
µ(F ) = µ(Fi).
i∈N

## If µ is countably additive, it is also additive, meaning for every F, G ∈ F we

have
µ(F ∪ G) = µ(F ) + µ(G) if and only if F ∩ G = ∅
The triple (Ω, F , µ) is called a measure space.

## Stochastic Systems, 2013 12

Lebesgue Measure

The measure of length on the straight line is known as the Lebesgue measure.
Definition 6. Lebesgue measure on B(R)
The Lebesgue measure on B(R), denoted by λ, is defined as the measure on
(R, B(R)) which assigns the measure of each interval to be its length.
Examples:
• Lebesgue measure of one point: λ({a}) = 0.
P∞
• Lebesgue measure of countably many points: λ(A) = i=1 λ({ai }) = 0.
• The Lebesgue measure of a set containing uncountably many points:
– zero
– positive and finite
– infinite

## Stochastic Systems, 2013 13

Probability Measure

## Definition 7. Probability measure

A probability measure P on the sample space Ω with σ -algebra F is a set
function
P : F → [0, 1],
satisfying the following conditions
• P(Ω) = 1.
• If A ∈ F then P (A) ≥ 0.
• If A1, A2, A3, ... ∈ F are mutually disjoint, then

[  ∞
X
P Ai = P (Ai).
i=1 i=1

## Stochastic Systems, 2013 14

F-measurable functions

## Definition 8. F -measurable function

The function f : Ω → R defined on (Ω, F , P ) is called F -measurable if
−1
f (B) = {ω ∈ Ω : f (ω) ∈ B} ∈ F for all B ∈ B(R),

## i.e., the inverse f −1 maps all of the Borel sets B ⊂ R to F . Sometimes it is

easier to work with following equivalent condition:

y ∈ R ⇒ {ω ∈ Ω : f (ω) ≤ y} ∈ F

This means that once we know the (random) value X(ω) we know which of
the events in F have happened.
• F = {∅, Ω}: only constant functions are measurable
• F = 2Ω: all functions are measurable

## Stochastic Systems, 2013 15

F-measurable functions

## Ω: Sample space, Ai: Event, F = σ(A1, . . . , An): σ -algebra of events

X(ω) : Ω 7→ R R
6

t
j X(ω) ∈ R
ω A2
A1
(−∞, a] ∈ B

A3 Y

Ω A4 X −1 : B 7→ F

## Stochastic Systems, 2013 16

F-measurable functions - Example

## Roll of a die: Ω = {ω1, ω2, ω3, ω4, ω5, ω6}

We only know, whether an even or and odd number has shown up:
F = {∅, {ω1, ω3, ω5}, {ω2, ω4, ω6}, Ω} = σ({ω1, ω3, ω5})

## Consider the following random variable:


1, if ω = ω1, ω2, ω3;
f (ω) =
−1, if ω = ω4, ω5, ω6.

## Check measurability with the condition

y ∈ R ⇒ {ω ∈ Ω : f (ω) ≤ y} ∈ F

## {ω ∈ Ω : f (ω) ≤ 0} = {ω4, ω5, ω6} ∈

/ F ⇒ f is not F -measurable.

## Stochastic Systems, 2013 17

Lebesgue integral I

## Definition 9. Lebesgue Integral

(Ω, F ) a measure space, µ : Ω → R a measure, f : Ω → R is F -measurable.
• If f is a simple function, i.e., f (x) = ci, for all x ∈ Ai , ci ∈ R
Z n
X
f dµ = ciµ(Ai).
Ω i=1

## • If f is nonnegative, we can always construct a sequence of simple functions

fn with fn(x) ≤ fn+1(x) which converges to f : limn→∞ fn(x) = f (x).
With this sequence, the Lebesgue integral is defined by
Z Z
f dµ = lim fndµ.
Ω n→∞ Ω

## Stochastic Systems, 2013 18

Lebesgue integral II

## Definition 10. Lebesgue Integral

(Ω, F ) a measure space, µ : Ω → R a measure, f : Ω → R is F -measurable.
• If f is an arbitrary, measurable function, we have f = f + − f − with
+ −
f (x) = max(f (x), 0) and f (x) = max(−f (x), 0),

## and then define

Z Z Z
+ −
f dµ = f dP − f dP.
Ω Ω Ω

f +dP
R
The Rintegral above may be finite or infinite. It is not defined if Ω
and Ω f −dP are both infinite.

## Stochastic Systems, 2013 19

Riemann vs. Lebesgue

The most important concept of the Lebesgue integral is that the limit of
approximate sums (as the Riemann integral): for Ω = R:
f (x) f (x)
6 6

- x - x
∆x

## Stochastic Systems, 2013 20

Riemann vs. Lebesgue integral

## Theorem 1. Riemann-Lebesgue integral equivalence

Let f be a bounded and continuous function on [x1, x2] except at a countable
number of points in [x1, x2]. Then both the Riemann and the Lebesgue integral
with Lebesgue measure µ exist and are the same:
Z x2 Z
f (x) dx = f dµ.
x1 [x1 ,x2 ]

There are more functions which are Lebesgue integrable than Riemann integra-
ble.

## Stochastic Systems, 2013 21

Popular example for Riemann vs. Lebesgue


0, x ∈ Q;
f (x) =
1, x ∈ R\Q.

## The Riemann integral Z 1

f (x)dx
0
does not exist, since lower and upper sum do not converge to the same value.
However, the Lebesgue integral
Z
f dλ = 1
[0,1]

Random Variable

## Definition 11. Random variable

A real-valued random variable X is a F -measurable function defined on a
probability space (Ω, F , P ) mapping its sample space Ω into the real line R:

X : Ω → R.

## Stochastic Systems, 2013 23

Distribution function

## Definition 12. Distribution function

The distribution function of a random variable X, defined on a probability space
(Ω, F , P ), is defined by:

Density function

## R is the density function. Let f : R 7→

Closely related to the distribution function
R be a nonnegative function, satisfying R f dλ = 1. The function f is called
a density function (with respect to the Lebesgue measure) and the associated
probability measure for a random variable X , defined on (Ω, F , P ), is
Z
P ({ω : ω ∈ A}) = f dλ.
A

for all A ∈ F .

## Stochastic Systems, 2013 25

Important Densities I

## • Poisson density or probability mass function (λ > 0):

λx −λ
f (x) = e , x = 0, 1, 2, . . . .
x!

1 x−µ
 
− 1
f (x) = √ e 2 σ
2πσ

## . The normal variable is abbreviated as N (µ, σ).

• Multivariate normal density (x, µ ∈ Rn; Σ ∈ Rn×n):

−2
f (x) = p e .
(2π)ndet (Σ)

## Stochastic Systems, 2013 26

Important Densities II

## • Univariate student t-density ν degrees of freedom (x, µ ∈ R1; σ ∈ R1

Γ( ν+12 )
 1 (x − µ)2 − 12 (ν+1)
f (x) = √ 1+
Γ( ν2 ) πνσ ν σ2

## • Multivariate student t-density with ν degrees of freedom (x, µ ∈ Rn; Σ ∈

Rn×n):

Γ( ν+n )  1 − 1 (ν+n)
2 T −1 2
f (x) = ν
p 1 + (x − µ) Σ (x − µ) .
n
Γ( 2 ) (πν) det (Σ) ν

## Stochastic Systems, 2013 27

Important Densities II

• The chi square distribution with degree-of-freedom (dof) n has the following
density
−x x
 n−2
e 2 2 2
f (x) =
2Γ( n2 )
which is abreviated as Z ∼ χ2(n) and where Γ denotes the gamma
function.
• A chi square distributed random variable Y is created by
n
X 2
Y = Xi
i=1

N (0, 1).

## Stochastic Systems, 2013 28

Important Densities III

X
Y =q ,
Z
ν

## where X ∼ N (0, 1) and Z ∼ χ2(ν).

• Another important density is the Laplace distribution:

1 − |x−µ|
p(x) = e σ

with mean µ and diffusion σ . The variance of this distribution is given as
2σ 2.

## Stochastic Systems, 2013 29

Expectation & Variance

## Definition 13. Expectation of a random variable

The expectation of a random variable X, defined on a probability space
(Ω, F , P ), is defined by:
Z Z
E[X] = XdP = xf dλ.
Ω Ω

With this definition at hand, it does not matter what the sample Ω is. The
calculations for the two familiar cases of a finite Ω and Ω ≡ R with continuous
random variables remain the same.
Definition 14. Variance of a random variable
The variance of a random variable X, defined on a probability space (Ω, F , P ),
is defined by:
Z
2 2 2 2
var(X) = E[(X − E[X]) ] = (X − E[X]) dP = E[X ] − E[X] .

## Stochastic Systems, 2013 30

Normally distributed random variables

## The shorthand notation X ∼ N (µ, σ 2) for normally distributed random

variables with parameters µ and σ is often found in the literature. The
following properties are useful when dealing with normally distributed random
variables:
• If X ∼ N (µ, σ 2)) and Y = aX + b, then Y ∼ N (aµ + b, a2σ 2)).
• If X1 ∼ N (µ1, σ12)) and X2 ∼ N (µ2, σ22)) then
X1 + X2 ∼ N (µ1 + µ2, σ12 + σ22) (if X1 and X2 are independent)

## Stochastic Systems, 2013 31

Conditional Expectation I

## From elementary probability theory (Bayes rule):

P (A ∩ B) P (B|A)P (A)
P (A|B) = = , P (B) > 0.
P (B) P (B)

A A∩B B

E(XIB )
E(X|B) = , P (B) > 0.
P (B)

## Stochastic Systems, 2013 32

Conditional Expectation II

## General case: (Ω, F , P )

Definition 15. Conditional expectation
Let X be a random variable defined on the probability space (Ω, F , P ) with
E[|X|] < ∞. Furthermore let G be a sub-σ -algebra of F (G ⊆ F ). Then
there exists a random variable Y with the following properties:
1. Y is G -measurable.
2. E[|Y |] < ∞.
3. For all sets G in G we have
Z Z
Y dP = XdP, for all G ∈ G.
G G

## Stochastic Systems, 2013 33

Conditional Expectation: Example

Y = E[X|G]
X(ω)
6

X
Y

- ω
G1 G2 G3 G4 G5

## For the trivial σ -algebraR{∅, Ω}:

Y = E[X|{∅, Ω}] = Ω XdP = E[X].

## Stochastic Systems, 2013 34

Conditional Expectation: Properties

• E(E(X|F )) = E(X).
• If X is F -measurable, then E(X|F ) = X .
• Linearity: E(αX1 + βX2|F ) = αE(X1|F ) + βE(X2|F ).
• Positivity: If X ≥ 0 almost surely, then E(X|F ) ≥ 0.
• Tower property: If G is a sub-σ -algebra of F , then

## • Taking out what is known: If Z is G -measurable, then

E(ZX|G) = Z · E(X|G).

Summary

## • σ -algebra: collection of the events of interest, closed under elementary set

operations
• Borel σ -algebra: all the events of practical importance in R
• Lebesgue measure: defined as the length of an interval
• Density: transforms Lebesgue measure in a probability measure
• Measurable function: the σ -algebra of the probability space is ”rich” enough
• Random variable X : a measurable function X : Ω 7→ R
• Expectation, Variance
• Conditional expectation is a piecewise linear approximation of the underlying
random variable.