PROBABILITY AND STOCHASTIC PROCESS

Unit No: 1

Lecture Notes-2
Conditional Probability
In some experiments it may that some events are not mutually exclusive because of common
elements in the sample space. These correspond to the simultaneous or joint of non exclusive
P( A B)
events. For two events A and B, the probability
is called the joint probability. A study
of venn diagram will readily show that
P( A B) P ( A) P( B) P ( A B )

Equivalently,
P ( A B ) P ( A) P ( B ) P ( A B ) P( A) P( B)

i.e the probability of the union of two events never exceeds the sum of the event probabilities.
A very useful concept in probability theory is that of conditional probability, denoted P(A|B); it
represents the probability of A occurring, given that B has occurred. In a real world random
experiment, it is quite likely that the occurrence of the event A is very much influenced by the
occurrence of the event B. To give a simple example, let a bowl contain 3 resistors and 1
capacitor. The occurrence of the event 'the capacitor on the second draw' is very much dependent
on what has been drawn at the first instant. Such dependencies between the events is brought out
using the notion of conditional probability.
The conditional probability P(A|B) can be written in terms of the joint probability P(AB) and the
probability of the event P(A). This relation can be arrived at by using either the relative
frequency definition of probability or the classical definition. Given some event B with nonzero
probability P(B)>0
We define the conditional probability of an event A, given B, by
P( A B)
P( A / B )
P(B)
The probability P(A/B) reflects the fact that the probability of an event A may depend on second
A B
event B. If A and B are mutually exclusive,
and P(A/B)=0. Conditional probability is
a defined quantity and cannot be proven.