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An introduction to probability theory

An introduction to probability theory

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Christel Geiss and Stefan Geiss
Department of Mathematics and Statistics
April 10, 2008
Christel Geiss and Stefan Geiss
Department of Mathematics and Statistics
April 10, 2008

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06/17/2013

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An introduction to probability theory
Christel Geiss and Stefan GeissDepartment of Mathematics and StatisticsUniversity of Jyv¨askyl¨aApril 10, 2008

2

Contents
1 Probability spaces 9
1.1 Deﬁnition of
σ
-algebras . . . . . . . . . . . . . . . . . . . . . . 101.2 Probability measures . . . . . . . . . . . . . . . . . . . . . . . 141.3 Examples of distributions . . . . . . . . . . . . . . . . . . . . 251.3.1 Binomial distribution with parameter 0
< p <
1 . . . . 251.3.2 Poisson distribution with parameter
λ >
0 . . . . . . . 251.3.3 Geometric distribution with parameter 0
< p <
1 . . . 251.3.4 Lebesgue measure and uniform distribution . . . . . . 261.3.5 Gaussian distribution on
R
with mean
m
R
andvariance
σ
2
>
0 . . . . . . . . . . . . . . . . . . . . . . 271.3.6 Exponential distribution on
R
with parameter
λ >
0 . 281.3.7 Poissons Theorem . . . . . . . . . . . . . . . . . . . . 291.4 A set which is not a Borel set . . . . . . . . . . . . . . . . . . 30
2 Random variables 35
2.1 Random variables . . . . . . . . . . . . . . . . . . . . . . . . . 352.2 Measurable maps . . . . . . . . . . . . . . . . . . . . . . . . . 372.3 Independence . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
3 Integration 45
3.1 Denition of the expected value . . . . . . . . . . . . . . . . . 453.2 Basic properties of the expected value . . . . . . . . . . . . . . 493.3 Connections to the Riemann-integral . . . . . . . . . . . . . . 563.4 Change of variables in the expected value . . . . . . . . . . . . 583.5 Fubinis Theorem . . . . . . . . . . . . . . . . . . . . . . . . . 593.6 Some inequalities . . . . . . . . . . . . . . . . . . . . . . . . . 663.7 Theorem of Radon-Nikodym . . . . . . . . . . . . . . . . . . . 693.8 Modes of convergence . . . . . . . . . . . . . . . . . . . . . . . 71
4 Exercises 77
4.1 Probability spaces . . . . . . . . . . . . . . . . . . . . . . . . . 774.2 Random variables . . . . . . . . . . . . . . . . . . . . . . . . . 814.3 Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 833