Probability theory or probability calculus is the branch of mathematics concerned

with probability. Although there are several different probability interpretations,

probability theory treats the concept in a rigorous mathematical manner by
expressing it through a set of axioms. Typically these axioms formalise probability
in terms of a probability space, which assigns a measure taking values between 0
and 1, termed the probability measure, to a set of outcomes called the sample
space. Any specified subset of the sample space is called an event.

Central subjects in probability theory include discrete and continuous random

variables, probability distributions, and stochastic processes (which provide
mathematical abstractions of non-deterministic or uncertain processes or measured
quantities that may either be single occurrences or evolve over time in a random
fashion). Although it is not possible to perfectly predict random events, much can
be said about their behavior. Two major results in probability theory describing
such behaviour are the law of large numbers and the central limit theorem.

As a mathematical foundation for statistics, probability theory is essential to

many human activities that involve quantitative analysis of data.[1] Methods of
probability theory also apply to descriptions of complex systems given only partial
knowledge of their state, as in statistical mechanics or sequential estimation. A
great discovery of twentieth-century physics was the probabilistic nature of
physical phenomena at atomic scales, described in quantum mechanics. [2]

History of probability
Main article: History of probability
The modern mathematical theory of probability has its roots in attempts to analyze
games of chance by Gerolamo Cardano in the sixteenth century, and by Pierre de
Fermat and Blaise Pascal in the seventeenth century (for example the "problem of
points").[3] Christiaan Huygens published a book on the subject in 1657.[4] In the
19th century, what is considered the classical definition of probability was
completed by Pierre Laplace.[5]

Initially, probability theory mainly considered discrete events, and its methods
were mainly combinatorial. Eventually, analytical considerations compelled the
incorporation of continuous variables into the theory.

This culminated in modern probability theory, on foundations laid by Andrey

Nikolaevich Kolmogorov. Kolmogorov combined the notion of sample space, introduced
by Richard von Mises, and measure theory and presented his axiom system for
probability theory in 1933. This became the mostly undisputed axiomatic basis for
modern probability theory; but, alternatives exist, such as the adoption of finite
rather than countable additivity by Bruno de Finetti.[6]

Treatment
Most introductions to probability theory treat discrete probability distributions
and continuous probability distributions separately. The measure theory-based
treatment of probability covers the discrete, continuous, a mix of the two, and
more.

Motivation
Consider an experiment that can produce a number of outcomes. The set of all
outcomes is called the sample space of the experiment. The power set of the sample
space (or equivalently, the event space) is formed by considering all different
collections of possible results. For example, rolling an honest dice produces one
of six possible results. One collection of possible results corresponds to getting
an odd number. Thus, the subset {1,3,5} is an element of the power set of the
sample space of dice rolls. These collections are called events. In this case,
{1,3,5} is the event that the dice falls on some odd number. If the results that
actually occur fall in a given event, that event is said to have occurred.
Probability is a way of assigning every "event" a value between zero and one, with
the requirement that the event made up of all possible results (in our example, the
event {1,2,3,4,5,6}) be assigned a value of one. To qualify as a probability
distribution, the assignment of values must satisfy the requirement that if you
look at a collection of mutually exclusive events (events that contain no common
results, e.g., the events {1,6}, {3}, and {2,4} are all mutually exclusive), the
probability that any of these events occurs is given by the sum of the
probabilities of the events.[7]

The probability that any one of the events {1,6}, {3}, or {2,4} will occur is 5/6.
This is the same as saying that the probability of event {1,2,3,4,6} is 5/6. This
event encompasses the possibility of any number except five being rolled. The
mutually exclusive event {5} has a probability of 1/6, and the event {1,2,3,4,5,6}
has a probability of 1, that is, absolute certainty.

When doing calculations using the outcomes of an experiment, it is necessary that

all those elementary events have a number assigned to them. This is done using a
random variable. A random variable is a function that assigns to each elementary
event in the sample space a real number. This function is usually denoted by a
capital letter.[8] In the case of a dice, the assignment of a number to certain
elementary events can be done using the identity function. This does not always
work. For example, when flipping a coin the two possible outcomes are "heads" and
"tails". In this example, the random variable X could assign to the outcome "heads"
the number "0" (

(
ℎ

)
=
0
{\displaystyle X(heads)=0}) and to the outcome "tails" the number "1" (

)
=
1
{\displaystyle X(tails)=1}).

Discrete probability distributions

Main article: Discrete probability distribution

The Poisson distribution, a discrete probability distribution.

Discrete probability theory deals with events that occur in countable sample
spaces.

Examples: Throwing dice, experiments with decks of cards, random walk, and tossing
coins.

Classical definition: Initially the probability of an event to occur was defined as

the number of cases favorable for the event, over the number of total outcomes
possible in an equiprobable sample space: see Classical definition of probability.

For example, if the event is "occurrence of an even number when a dice is rolled",
the probability is given by
3
6
=
1
2
{\tfrac {3}{6}}={\tfrac {1}{2}}, since 3 faces out of the 6 have even numbers and
each face has the same probability of appearing.

Modern definition: The modern definition starts with a finite or countable set
called the sample space, which relates to the set of all possible outcomes in
classical sense, denoted by
Ω\Omega . It is then assumed that for each element

∈
Ω
x\in \Omega \,, an intrinsic "probability" value

)
f(x)\, is attached, which satisfies the following properties:

)
∈
[
0
,
1
]
for all

∈
Ω
;
f(x)\in [0,1]{\mbox{ for all }}x\in \Omega \,;
∑

∈
Ω

)
=
1
.
\sum _{x\in \Omega }f(x)=1\,.
That is, the probability function f(x) lies between zero and one for every value of
x in the sample space Ω, and the sum of f(x) over all values x in the sample space
Ω is equal to 1. An event is defined as any subset
E\, of the sample space
Ω
\Omega \,. The probability of the event

E\, is defined as

)
=
∑

)
.
P(E)=\sum _{x\in E}f(x)\,.
So, the probability of the entire sample space is 1, and the probability of the
null event is 0.

The function

)
f(x)\, mapping a point in the sample space to the "probability" value is called a
probability mass function abbreviated as pmf. The modern definition does not try to
answer how probability mass functions are obtained; instead, it builds a theory
that assumes their existence[citation needed].

Continuous probability distributions

Main article: Continuous probability distribution

The normal distribution, a continuous probability distribution.

Continuous probability theory deals with events that occur in a continuous sample
space.

Classical definition: The classical definition breaks down when confronted with the
continuous case. See Bertrand's paradox.

Modern definition: If the sample space of a random variable X is the set of real
numbers (

\mathbb {R} ) or a subset thereof, then a function called the cumulative

distribution function (CDF)

F\, exists, defined by

)
=

(
≤

)
F(x)=P(X\leq x)\,. That is, F(x) returns the probability that X will be less than
or equal to x.

The CDF necessarily satisfies the following properties.

F\, is a monotonically non-decreasing, right-continuous function;

lim

→
−
∞

)
=
0
;
\lim _{x\rightarrow -\infty }F(x)=0\,;
lim

→
∞

)
=
1
.
\lim _{x\rightarrow \infty }F(x)=1\,.
The random variable

X is said to have a continuous probability distribution if the corresponding CDF

F is continuous. If

F\, is absolutely continuous, i.e., its derivative exists and integrating the
derivative gives us the CDF back again, then the random variable X is said to have
a probability density function (PDF) or simply density

)
=

.
f(x)={\frac {dF(x)}{dx}}\,.
For a set

E\subseteq \mathbb {R} , the probability of the random variable X being in

E\, is

)
=
∫

)
.
P(X\in E)=\int _{x\in E}dF(x)\,.
In case the PDF exists, this can be written as

)
=
∫

.
P(X\in E)=\int _{x\in E}f(x)\,dx\,.
Whereas the PDF exists only for continuous random variables, the CDF exists for all
random variables (including discrete random variables) that take values in

.
\mathbb {R} \,.

These concepts can be generalized for multidimensional cases on

\mathbb {R} ^{n} and other continuous sample spaces.

Measure-theoretic probability theory

The utility of the measure-theoretic treatment of probability is that it unifies
the discrete and the continuous cases, and makes the difference a question of which
measure is used. Furthermore, it covers distributions that are neither discrete nor
continuous nor mixtures of the two.

An example of such distributions could be a mix of discrete and continuous

distributions—for example, a random variable that is 0 with probability 1/2, and
takes a random value from a normal distribution with probability 1/2. It can still
be studied to some extent by considering it to have a PDF of
(

]
+

)
)
/
2
(\delta [x]+\varphi (x))/2, where

]
\delta [x] is the Dirac delta function.

Other distributions may not even be a mix, for example, the Cantor distribution has
no positive probability for any single point, neither does it have a density. The
modern approach to probability theory solves these problems using measure theory to
define the probability space:

Given any set

Ω
\Omega \, (also called sample space) and a σ-algebra

{\mathcal {F}}\, on it, a measure

P\, defined on

{\mathcal {F}}\, is called a probability measure if

(
Ω
)
=
1.
P(\Omega )=1.\,

If

{\mathcal {F}}\, is the Borel σ-algebra on the set of real numbers, then there is a
unique probability measure on

{\mathcal {F}}\, for any CDF, and vice versa. The measure corresponding to a CDF is
said to be induced by the CDF. This measure coincides with the pmf for discrete
variables and PDF for continuous variables, making the measure-theoretic approach
free of fallacies.

The probability of a set

E\, in the σ-algebra

{\mathcal {F}}\, is defined as

)
=
∫

)
P(E)=\int _{\omega \in E}\mu _{F}(d\omega )\,
where the integration is with respect to the measure

\mu _{F}\, induced by

.
F\,.

Along with providing better understanding and unification of discrete and

continuous probabilities, measure-theoretic treatment also allows us to work on
probabilities outside

\mathbb {R} ^{n}, as in the theory of stochastic processes. For example, to study
Brownian motion, probability is defined on a space of functions.

When it is convenient to work with a dominating measure, the Radon-Nikodym theorem

is used to define a density as the Radon-Nikodym derivative of the probability
distribution of interest with respect to this dominating measure. Discrete
densities are usually defined as this derivative with respect to a counting measure
over the set of all possible outcomes. Densities for absolutely continuous
distributions are usually defined as this derivative with respect to the Lebesgue
measure. If a theorem can be proved in this general setting, it holds for both
discrete and continuous distributions as well as others; separate proofs are not
required for discrete and continuous distributions.

Classical probability distributions

Main article: Probability distributions
Certain random variables occur very often in probability theory because they well
describe many natural or physical processes. Their distributions, therefore, have
gained special importance in probability theory. Some fundamental discrete
distributions are the discrete uniform, Bernoulli, binomial, negative binomial,
Poisson and geometric distributions. Important continuous distributions include the
continuous uniform, normal, exponential, gamma and beta distributions.
Convergence of random variables
Main article: Convergence of random variables
In probability theory, there are several notions of convergence for random
variables. They are listed below in the order of strength, i.e., any subsequent
notion of convergence in the list implies convergence according to all of the
preceding notions.

Weak convergence
A sequence of random variables

1
,

2
,
…
,
X_{1},X_{2},\dots ,\, converges weakly to the random variable

X\, if their respective CDF

1
,

2
,
…
F_{1},F_{2},\dots \, converge to the CDF

F\, of

X\,, wherever

F\, is continuous. Weak convergence is also called convergence in distribution.

Most common shorthand notation:

{\displaystyle \displaystyle X_{n}\,{\xrightarrow {\mathcal {D}}}\,X}

Convergence in probability
The sequence of random variables

1
,

2
,
…
X_{1},X_{2},\dots \, is said to converge towards the random variable

X\, in probability if
lim

→
∞

(
|

|
≥

)
=
0
\lim _{n\rightarrow \infty }P\left(\left|X_{n}-X\right|\geq \varepsilon \right)=0
for every ε > 0.
Most common shorthand notation:

{\displaystyle \displaystyle X_{n}\,{\xrightarrow {P}}\,X}

Strong convergence
The sequence of random variables

1
,

2
,
…
X_{1},X_{2},\dots \, is said to converge towards the random variable

X\, strongly if

(
lim

→
∞

)
=
1
P(\lim _{n\rightarrow \infty }X_{n}=X)=1. Strong convergence is also known as
almost sure convergence.
Most common shorthand notation:

→
a
.
s
.

{\displaystyle \displaystyle X_{n}\,{\xrightarrow {\mathrm {a.s.} }}\,X}

As the names indicate, weak convergence is weaker than strong convergence. In fact,
strong convergence implies convergence in probability, and convergence in
probability implies weak convergence. The reverse statements are not always true.

Law of large numbers

Main article: Law of large numbers
Common intuition suggests that if a fair coin is tossed many times, then roughly
half of the time it will turn up heads, and the other half it will turn up tails.
Furthermore, the more often the coin is tossed, the more likely it should be that
the ratio of the number of heads to the number of tails will approach unity. Modern
probability theory provides a formal version of this intuitive idea, known as the
law of large numbers. This law is remarkable because it is not assumed in the
foundations of probability theory, but instead emerges from these foundations as a
theorem. Since it links theoretically derived probabilities to their actual
frequency of occurrence in the real world, the law of large numbers is considered
as a pillar in the history of statistical theory and has had widespread influence.
[9]

The law of large numbers (LLN) states that the sample average

=
1

=
1

{\overline {X}}_{n}={\frac {1}{n}}{\sum _{k=1}^{n}X_{k}}

of a sequence of independent and identically distributed random variables

X_{k} converges towards their common expectation (expected value)

\mu , provided that the expectation of
|

|
|X_{k}| is finite.

It is in the different forms of convergence of random variables that separates the

weak and the strong law of large numbers[10]

Weak law:

{\displaystyle \displaystyle {\overline {X}}_{n}\,{\xrightarrow {P}}\,\mu } for

→
∞n\to \infty
Strong law:

¯
→
a
.
s
.
{\displaystyle \displaystyle {\overline {X}}_{n}\,{\xrightarrow {\mathrm
{a.\,s.} }}\,\mu } for

→
∞
.
{\displaystyle n\to \infty .}
It follows from the LLN that if an event of probability p is observed repeatedly
during independent experiments, the ratio of the observed frequency of that event
to the total number of repetitions converges towards p.

For example, if

1
,

2
,
.
.
.
Y_{1},Y_{2},...\, are independent Bernoulli random variables taking values 1 with
probability p and 0 with probability 1-p, then
E
(

)
=

{\textrm {E}}(Y_{i})=p for all i, so that

{\bar {Y}}_{n} converges to p almost surely.

Central limit theorem

Main article: Central limit theorem
The central limit theorem (CLT) explains the ubiquitous occurrence of the normal
distribution in nature, and this theorem, according to David Williams, "is one of
the great results of mathematics."[11]

The theorem states that the average of many independent and identically distributed
random variables with finite variance tends towards a normal distribution
irrespective of the distribution followed by the original random variables.
Formally, let

1
,

2
,
…
X_{1},X_{2},\dots \, be independent random variables with mean
\mu and variance

2
>
0.
\sigma ^{2}>0.\, Then the sequence of random variables

=
∑

=
1

Z_{n}={\frac {\sum _{i=1}^{n}(X_{i}-\mu )}{\sigma {\sqrt {n}}}}\,

converges in distribution to a standard normal random variable.

For some classes of random variables, the classic central limit theorem works
rather fast, as illustrated in the Berry–Esseen theorem. For example, the
distributions with finite first, second, and third moment from the exponential
family; on the other hand, for some random variables of the heavy tail and fat tail
variety, it works very slowly or may not work at all: in such cases one may use the
Generalized Central Limit Theorem (GCLT).

See also
icon Mathematics portal
Expected value – Average value of a random variable
Variance – Statistical measure of how far values spread from their average
Fuzzy logic – System for reasoning about vagueness
Fuzzy measure theory – theory of generalized measures in which the additive
property is replaced by the weaker property of monotonicity
Glossary of probability and statistics – List of definitions of terms and concepts
in statistics and probability
Likelihood function – Function related to statistics and probability theory
Notation in probability
Predictive modelling – Form of modelling that uses statistics to predict outcomes
Probabilistic logic – use of probability and logic to deal with uncertain
situations
Probabilistic proofs of non-probabilistic theorems
Probability distribution – Mathematical function for the probability a given
outcome occurs in an experiment
Probability axioms – Foundations of probability theory
Probability interpretations – Philosophical interpretation of the axioms of
probability
Probability space – Mathematical concept
Statistical independence – When the occurrence of one event does not affect the
likelihood of another
Statistical physics – Physics of large number of particles' statistical behavior
Subjective logic
Pairwise independence§Probability of the union of pairwise independent events – Set
of random variables of which any two are independent
Lists
Catalog of articles in probability theory
List of probability topics
List of publications in statistics
List of statistical topics – Here are a list of articles that fall under the
Category: Statistics
References
Citations
Inferring From Data
"Quantum Logic and Probability Theory". The Stanford Encyclopedia of Philosophy.
10 August 2021.
LIGHTNER, JAMES E. (1991). "A Brief Look at the History of Probability and
Statistics". The Mathematics Teacher. 84 (8): 623–630. doi:10.5951/MT.84.8.0623.
ISSN 0025-5769. JSTOR 27967334.
Grinstead, Charles Miller; James Laurie Snell. "Introduction". Introduction to
Probability. pp. vii.
Daston, Lorraine J. (1980). "Probabilistic Expectation and Rationality in
Classical Probability Theory". Historia Mathematica. 7 (3): 234–260.
doi:10.1016/0315-0860(80)90025-7.
""The origins and legacy of Kolmogorov's Grundbegriffe", by Glenn Shafer and
Vladimir Vovk" (PDF). Retrieved 2012-02-12.
Ross, Sheldon (2010). A First Course in Probability (8th ed.). Pearson Prentice
Hall. pp. 26–27. ISBN 978-0-13-603313-4. Retrieved 2016-02-28.
Bain, Lee J.; Engelhardt, Max (1992). Introduction to Probability and Mathematical
Statistics (2nd ed.). Belmont, California: Brooks/Cole. p. 53. ISBN 978-0-534-
38020-5.
"Leithner & Co Pty Ltd - Value Investing, Risk and Risk Management - Part I".
Leithner.com.au. 2000-09-15. Archived from the original on 2014-01-26. Retrieved
2012-02-12.
Dekking, Michel (2005). "Chapter 13: The law of large numbers". A modern
introduction to probability and statistics : understanding why and how. Library
Genesis. London : Springer. pp. 180–194. ISBN 978-1-85233-896-1.
David Williams, "Probability with martingales", Cambridge 1991/2008

This article includes a list of general references, but it lacks sufficient

corresponding inline citations. Please help to improve this article by introducing
more precise citations. (September 2009) (Learn how and when to remove this
template message)
Sources
Pierre Simon de Laplace (1812). Analytical Theory of Probability.
The first major treatise blending calculus with probability theory, originally in
French: Théorie Analytique des Probabilités.
A. Kolmogoroff (1933). Grundbegriffe der Wahrscheinlichkeitsrechnung.
doi:10.1007/978-3-642-49888-6. ISBN 978-3-642-49888-6.
An English translation by Nathan Morrison appeared under the title Foundations of
the Theory of Probability (Chelsea, New York) in 1950, with a second edition in
1956.
Patrick Billingsley (1979). Probability and Measure. New York, Toronto, London:
John Wiley and Sons.
Olav Kallenberg; Foundations of Modern Probability, 2nd ed. Springer Series in
Statistics. (2002). 650 pp. ISBN 0-387-95313-2
Henk Tijms (2004). Understanding Probability. Cambridge Univ. Press.
A lively introduction to probability theory for the beginner.
Olav Kallenberg; Probabilistic Symmetries and Invariance Principles. Springer -
Verlag, New York (2005). 510 pp. ISBN 0-387-25115-4
Durrett, Rick (2019). Probability: Theory and Examples, 5th edition. UK: Cambridge
University Press. ISBN 9781108473682.
Gut, Allan (2005). Probability: A Graduate Course. Springer-Verlag. ISBN 0-387-
22833-0.
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