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- 2. PROCEDURE
- 3. "STATISTICAL" PROBABILITY
- 4. SUMMARY
- 5. HISTORICAL NOTE
- The Sample Space
- 1. THE EMPIRICAL BACKGROUND
- 1.3] THE SAMPLE SPACE. EVENTS 13
- 3. THE SAMPLE SPACE. EVENTS
- 4. RELATIONS AMONG EVENTS
- 5. DISCRETE SAMPLE SPACES
- 1.6] PROBABILITIES IN DISCRETE SAMPLE SPACES: PREPARATIONS
- 6. PROBABILITIES IN DISCRETE SAMPLE SPACES: PREPARATIONS
- 7. THE BASIC DEFINITIONS AND RULES
- 8. PROBLEMS FOR SOLUTION
- 1. GENERAL ORIENTATION THE REFLECTION PRINCIPLE
- m.2] RANDOM WALKS: BASIC NOTIONS AND NOTATIONS 73
- 2. RANDOM WALKS: BASIC NOTIONS AND NOTATIONS
- 3. THE MAIN LEMMA
- 4. LAST VISIT AND LONG LEADS
- *5. CHANGES OF SIGN
- 6. AN EXPERIMENTAL ILLUSTRATION
- 7. MAXIMA AND FIRST PASSAGES
- III.S] DUALITY. POSITION OF MAXIMA 91
- 8. DUALITY. POSITION OF MAXIMA
- 9. AN EQUIDISTRIBUTION THEOREM
- 10. PROBLEMS FOR SOLUTION
- Combination of Events
- 1. UNION OF EVENTS
- IV.2] APPLICATION TO THE CLASSICAL OCCUPANCY PROBLEM 101
- 2. APPLICATION TO THE CLASSICAL OCCUPANCY PROBLEM
- 3. THE REALIZATION OF m AMONG N EVENTS
- IV.4] APPLICATION TO MATCHING AND GUESSING 107
- 4. APPLICATION TO MATCHING AND GUESSING
- 5. MISCELLANY
- 6. PROBLEMS FOR SOLUTION
- Conditional Probability
- 1. CONDITIONAL PROBABILITY
- 3. STOCHASTIC INDEPENDENCE
- 4. PRODUCT SPACES. INDEPENDENT TRIALS
- ·5. APPLICATIONS TO GENETICS
- ·6. SEX-LINKED CHARACTERS
- ·7. SELECTION
- 1. BERNOULLI TRIALSl
- 2. THE BINOMIAL DISTRIBUTION
- 3. THE CENTRAL TERM AND THE TAILS
- 4. THE LAW OF LARGE NUMBERS
- VI.5] THE POISSON APPROXIMATION 153
- 5. THE POISSON APPROXIMATIONs
- 6. THE POISSON DISTRIBUTION
- V1.7] OBSERVATIONS FITTING THE POISSON DISTRIBUTION 159
- 7. OBSERVATIONS FITTING THE POISSON DISTRIBUTION12
- 8. WAITING TIMES. THE NEGATIVE BINOMIAL DISTRIBUTION
- VJ.9] THE MULTINOMIAL DISTRIBUTION 167
- 9. THE MULTINOMIAL DISTRIBUTION
- 1. GENERALITIES
- 2. CONVOLUTIONS
- 3. EQUALIZATIONS AND W AlTING TIMES IN BERNOULLI TRIALS
- 4. PARTIAL FRACTION EXPANSIONS
- XI.5] BIVARIATE GENERATING FUNCTIONS 279
- 5. BIVARIATE GENERATING FUNCTIONS
- *6. THE CONTINUITY THEOREM
- 7. PROBLEMS FOR SOLUTION
- 1. SUMS OF A RANDOM NUMBER OF VARIABLES
- 2. THE COMPOUND POISSON DISTRIBUTION
- lao Processes witb independent increments
- XII.3] EXAMPLES FOR BRANCHING PROCESSES 293
- 3. EXAMPLES FOR BRANCHING PROCESSES
- XII.4] EXTINCTION PROBABILITIES IN BRANCHING PROCESSES 295
- 4. EXTINCTION PROBABILITIES IN BRANCHING PROCESSES
- 5. THE TOTAL PROGENY IN BRANCHING PROCESSES
- 1. INFORMAL PREPARATIONS AND EXAMPLES
- 2. DEFINITIONS
- 3. THE BASIC RELATIONS
- 4. EXAMPLES
- 5. DELAYED RECURRENT EVENTS A GENERAL LIMIT THEOREM
- *7. APPLICATION TO THE THEORY OF SUCCESS RUNS
- ·8. MORE GENERAL PATTERNS
- 9. LACK OF MEMORY OF GEOMETRIC WAITING TIMES
- 10. RENEWAL THEORY
- *11. PROOF OF THE BASIC LIMIT THEOREM
- 12. PROBLEMS FOR SOLUTION
- 3. EXPECTED DURATION OF THE GAME
- *5. EXPLICIT EXPRESSIONS
- 6. CONNECTION WITH DIFFUSION PROCESSES
- XIV.7] RANDOM WALKS IN THE PLANE AND SPACE 359
- *7. RANDOM WALKS IN THE PLANE AND SPACE
- 9. PROBLEMS FOR SOLUTION
- 1. DEFINITION
- 2. ILLUSTRATIVE EXAMPLES
- 3. IDGHER TRANSITION PROBABILITIES
- 4. CLOSURES AND CLOSED SETS
- 5. CLASSIFICATION OF STATES
- 6. IRREDUCIBLE CHAINS. DECOMPOSITIONS
- 7. INVARIANT DISTRIBUTIONS
- 9. PERIODIC CHAINS
- 10. APPLICATION TO CARD SHUFFLING
- XV.llJ INVARIANT MEASURES. RATIO LIMIT THEOREMS 407
- ·11. INVARIANT MEASURES. RATIO LIMIT THEOREMS
- *12. REVERSED CHAINS. BOUNDARIES
- 13. THE GENERAL MARKOV PROCESS
- 14. PROBLEMS FOR SOLUTION
- 1. GENERAL THEORY
- 2. EXAMPLES
- 3. RANDOM WALK WITH REFLECTING BARRIERS
- 4. TRANSIENT STATES; ABSORPTION PROBABILITIES
- XVI.5] APPLICATION TO RECURRENCE TIMES 443
- 5. APPLICATION TO RECURRENCE TIMES
- 1. GENERAL ORIENTATION. MARKOV PROCESSES
- 2. THE POISSON PROCESS
- 3. THE PURE BIRTH PROCESS
- *4. DIVERGENT BIRTH PROCESSES
- 6. EXPONENTIAL HOLDING TIMES

**An Introduction
**

**to Probability Theory
**

**and Its Applications
**

WILLIAM FELLER

Eugene Higgins Professor of Mathematics

Princeton University

VOLUME I

THIRD EDITION

John Wiley & Sons, Inc.

New York . London . Sydney

Copyright, 1950 by William Feller

Copyright © 1957, 1968 by John Wiley & Sons, Inc.

All Rights Reserved. This book or any part thereof

must not be reproduced in any form without the

written permission of the publisher.

Library of Congress Catalog Card Number: 68-11708

Printed in the United States of America

To

O. E. Neugebauer:

o et praesidium et dulce decus meum

Preface to the Third Edition

WHEN THIS BOOK WAS FIRST CONCEIVED (MORE THAN 25 YEARS AGO)

few mathematicians outside the Soviet Union recognized probability as a

legitimate branch of mathematics. Applications were limited in scope,

and the treatment of individual problems often led to incredible com-

plications. Under these circumstances the book could not be written for

an existing audience, or to satisfy conscious needs. The hope was rather

to attract attention to little-known aspects of probability, to forge links

between various parts, to develop unified methods, and to point to

potential applications. Because of a growing interest in probability, the

book found unexpectedly many users outside mathematical disciplines.

Its widespread use was understandable as long as its point of view was

new and its material was not otherwise available. But the popularity

seems t6 persist even now, when the contents of most chapters are avail-

able in specialized works streamlined for particular needs. For this reason

the character of the book remains unchanged in the new edition. I hope

that it will continue to serve a variety of needs and, in particular, that

it will continue to find readers who read it merely for enjoyment and

enlightenment.

Throughout the years I was the grateful recipient of many communica-

tions from users, and these led to various improvements. Many sections

were rewritten to facilitate study. Reading is also improved by a better

typeface and the superior editing job by Mrs. H. McDougal: although

a professional editor she has preserved a feeling for the requirements of

readers and reason.

The greatest change is in chapter III. This chapter was introduced

only in the second edition, which was in fact motivated principally by

the unexpected discovery that its enticing material could be treated by

elementary methods. But this treatment still depended on combinatorial

artifices which have now been replaced by simpler and more natural

probabilistic arguments. In essence this chapter is new.

Most conspicuous among other additions are the new sections on

branching processes, on Markov chains, and on the De Moivre-Laplace

theorem. Chapter XIII has been rearranged, and throughout the book

vii

viii

PREFACE TO THE THIRD EDITION

there appear minor changes as well as new examples and problems.

I regret the misleading nature of the author index, but I felt obliged to

state explicitly whenever an idea or example could be traced to a particular

source. Unfortunately this means that quotations usually refer to an

incidental remark, and are rarely indicative of the nature of the paper

quoted. Furthermore, many examples and problems were inspired by

reading non-mathematical papers in which related situations are dealt

with by different methods. (That newer texts now quote these non-mathe-

matical papers as containing my examples shows how fast probability

has developed, but also indicates the limited usefulness of quotations.)

Lack of space as well as of competence precluded more adequate

historical indications of how probability has changed from the semi-

mysterious discussions of the 'twenties to its present flourishing state.

For a number of years I have been privileged to work with students

and younger colleagues to whose help and inspiration lowe much.

Much credit for this is due to the support by the U.S. Army Research

Office for work in probability at Princeton University. My particular

thanks are due to Jay Goldman for a thoughtful memorandum about his

teaching experiences, and to Loren Pitt for devoted help with the proofs.

WILLIAM FELLER

July, 1967

Preface to the First Edition

IT WAS THE AUTHOR'S ORIGINAL INTENTION TO WRITE A BOOK ON

analytical methods in probability theory in which the latter was to be

treated as a topic in pure mathematics. Such a treatment would have

been more uniform and hence more satisfactory from an aesthetic point

of view; it would also have been more appealing to pure mathematicians.

However, the generous support by the Office of Naval Research of work

in probability theory at Cornell University led the author to a more

ambitious and less thankful undertaking of satisfying heterogeneous needs.

It is the purpose of this book to treat probability theory as a self-

contained mathematical subject rigorously, avoiding non-mathematical

concepts. At the same time, the book tries to describe the empirical

background and to develop a feeling for the great variety of practical

applications. This purpose is served by many special problems, numerical

estimates, and examples which interrupt the main flow of the text. They

are clearly set apart in print and are treated in a more picturesque language

and with less formality. A number of special topics have been included

in order to exhibit the power of general methods and to increase the

usefulness of the book to specialists in various fields. To facilitate reading,

detours from the main path are indicated by stars. The knowledge of

starred sections is not assumed in the remainder.

A serious attempt has been made to unify methods. The specialist

will find many simplifications of existing proofs and also new results.

In particular, the theory of recurrent events has been developed for the

purpose of this book. It leads to a new treatment of Markov chains

which permits simplification even in the finite case.

The examples are accompanied by about 340 problems mostly with

complete solutions. Some of them are simple exercises, but most of

them serve as additional illustrative material to the text or contain various

complements. One purpose of the examples and problems is to develop

the reader's intuition and art of probabilistic formulation. Several

previously treated examples show that apparently difficult problems may

become almost trite once they are formulated in a natural way and put

into the proper context.

ix

x

PREFACE TO THE FIRST EDITION

There is a tendency in teaching to reduce probability problems to pure

analysis as soon as possible and to forget the specific characteristics of

probability theory itself. Such treatments are based on a poorly defined

notion of random variables usually introduced at the outset. This book

goes to the other extreme and dwells on the notion of sample space,

without which random variables remain an artifice.

In order to present the true background unhampered by measurability

questions and other purely analytic difficulties this volume is restricted

to discrete sample spaces. This restriction is severe, but should be welcome

to non-mathematical users. It permits the inclusion of special topics

which are not easily accessible in the literature. At the same time, this

arrangement makes it possible to begin in an elementary way and yet to

include a fairly exhaustive treatment of such advanced topics as random

walks and Markov chains. The general theory of random variables and

their distributions, limit theorems, diffusion theory, etc., is deferred to a

succeeding volume.

This book would not have been written without the support of the

Office of Naval Research. One consequence of this support was a fairly

regular personal contact with J. L. Doob, whose constant criticism and

encouragement were invaluable. To him go my foremost thanks. The

next thanks for help are due to John Riordan, who followed the manu-

script through two versions. Numerous corrections and improvements

were suggested by my wife who read both the manuscript and proof.

The author is also indebted to K. L. Chung, M. Donsker, and S.

Goldberg, who read the manuscript and corrected various mistakes;

the solutions to the majority of the problems were prepared by S. Goldberg.

Finally, thanks are due to Kathryn Hollenbach for patient and expert

typing help; to E. Elyash, W. Hoffman, and J. R. Kinney for help in

proofreading.

Cornell University

January 1950

WILLIAM FELLER

Note on the Use of the Book

THE EXPOSITION CONTAINS MANY SIDE EXCURSIONS AND DOES NOT ALWAYS

progress from the easy to the difficult; comparatively technical sections

appear at the beginning and easy sections in chapters XV and XVII.

Inexperienced readers should not attempt to follow many side lines, lest

they lose sight of the forest for too many trees. Introductory remarks

to the chapters and stars at the beginnings of sections should facilitate

orientation and the choice of omissions. The unstarred sections form a

self-contained whole in which the starred sections are not used.

A first introduction to the basic notions of probability is contained in

chapters I, V, VI, IX; beginners should cover these with as few digressions

as possible. Chapter II is designed to develop the student's technique

and probabilistic intuition; some experience in its contents is desirable,

but it is not necessary to cover the chapter systematically: it may prove

more profitable to return to the elementary illustrations as occasion arises

at later stages. For the purposes of a first introduction, the elementary

theory of continuous distributions requires little supplementary explana-

tion. (The elementary chapters of volume 2 now provide a suitable

text.)

From chapter IX an introductory course may proceed directly to

chapter XI, considering generating functions as an example of more

general transforms. Chapter XI should be followed by some applications

in chapters XIII (recurrent events) or XII (chain reactions, infinitely

divisible distributions). Without generating functions it is possible to

turn in one of the following directions: limit theorems and fluctuation

theory (chapters VIII, X, III); stochastic processes (chapter XVII);

random walks (chapter III and the main part of XIV). These chapters

are almost independent of each other. The Markov chains of chapter

XV depend conceptually on recurrent events, but they may be studied

independently if the reader is willing to accept without proof the basic

ergodic theorem.

Chapter III stands by itself. Its contents are appealing in their own

right, but the chapter is also highly illustrative for new insights and new

methods in probability theory. The results concerning fluctuations in

xi

xu

NOTE ON THE USE OF THE BOOK

coin tossing show that widely held beliefs about the law of large numbers

are fallacious. They are so amazing and so at variance with common

intuition that even sophisticated colleagues doubted that coins actually

misbehave as theory predicts. The record of a simulated experiment is

therefore included in section 6. The chapter treats only the simple coin-

tossing game, but the results are representative of a fairly general situation.

The sign ~ is used to indicate the end of a proof or of a collection of

examples.

It is hoped that the extensive index will facilitate coordination between

the several parts.

Contents

CHAPTER

PAGE

INTRODUCTION: THE NATURE OF PROBABILITY THEORY.

1

1. The Background . . .

1

2. Procedure . . . . . .

3

3. "Statistical" Probability

4

4. Summary . . .

5

5. Historical Note .

6

I THE SAMPLE SPACE. . . . . .

7

1. The Empirical Background.

7

2. Examples . . . . . . . .

9

3. The Sample Space. Events.

13

4. Relations among Events . .

14

5. Discrete Sample Spaces . .

17

6. Probabilities in Discrete Sample Spaces: Preparations

19

7. The Basic Definitions and Rules

22

8. Problems for Solution. . . . . . .

24

II ELEMENTS OF COMBINATORIAL ANALYSIS.

1. Preliminaries. .

2. Ordered Samples . . . . . .

3. Examples . . . . . . . . .

4. Subpopulations and Partitions

*5. Application to Occupancy Problems.

*5a. Bose-Einstein and Fermi-Dirac Statistics

*5b. Application to Runs. . . . . .

6. The Hypergeometric Distribution

7. Examples for Waiting Times

8. Binomial Coefficients

9. Stirling's Formula. . .

Problems for Solution: . .

10. Exercises and Examples

26

26

28

31

34

38

40

42

43

47

50

52

54

54

* Starred sections are not required for the understanding of the sequel and should

be omitted at first reading.

xiii

XIV

CONTENTS

CHAPTER

PAGE

11. Problems and Complements of a Theoretical

Character. . . . . . . . . . . . . . . .

58

12. Problems and Identities Involving Binomial Co-

efficients . . . . . . . . . . . . . . . .

63

"'III FLUCTUATIONS IN COIN TOSSING AND RANDOM WALKS.

67

1. General Orientation. The Reflection Principle

68

2. Random Walks: Basic Notions and Notations

73

3. The Main Lemma. . . . .

76

4. Last Visits and Long Leads.

78

"'5. Changes of Sign . . . . .

84

6. An Experimental Illustration

86

7. Maxima and First Passages.

88

8. Duality. position of Maxima.

91

9. An Equidistribution Theorem.

94

10. Problems for Solution

95

"'IV COMBINATION OF EVENTS

98

1. Union of Events . .

98

2. Application to the Classical Occupancy Problem

101

3. The Realization of **m **among N events.

106

4. Application to Matching and Guessing.

107

5. Miscellany. . . . .

109

6. Problems for Solution . . . . . . . .

111

V CONDITIONAL PROBABILITY. STOCHASTIC INDEPENDENCE.

114

1. Conditional Probability . . . . . . . . . . . .. 114

2. Probabilities Defined by Conditional Probabilities.

Urn Models . . . . . . . . . . .

118

3. Stochastic Independence. . . . . .

125

4. Product Spaces. Independent Trials.

128

"'5. Applications to Genetics.

132

"'6. Sex-Linked Characters.

136

"'7. Selection. . . . . .

139

8. Problems for Solution .

140

VI THE BINOMIAL AND THE POISSON DISTRIBUTIONS

146

1. Bernoulli Trials. . . . . . . .

146

2. The Binomial Distribution . . .

147

3. The Central Term and the Tails.

150

4. The Law of Large Numbers . .

152

CONTENTS

Xv

CHAPTER

PAGE

5. The Poisson Approximation . . . . . . . .

153

6. The Poisson Distribution. . . . . . . . . .

156

7. Observations Fitting the Poisson Distribution.

159

8. Waiting Times. The Negative Binomial Distribution 164

9. The Multinomial Distribution.

167

10. Problems for Solution . . . . . . . . . . .

169

VII THE NORMAL ApPROXIMATION TO THE BINOMIAL

DISTRIBUTION.

•

•

1. The Normal Distribution.

2. Orientation: Symmetric Distributions .

3. The DeMoivre-Laplace Limit Theorem.

4. Examples . . . ., .. ..

5. Relation to the Poisson Approximation

"'6. Large Deviations .

7. Problems for Solution.

. .

"'VIII UNLIMITED SEQUENCES OF BERNOULLI TRIALS

1. Infinite Sequences of Trials.

2. Systems of Gamblmg.

.

3. The Borel-CanteIIi Lemmas ..

4. The Strong Law of Large Numbers

5. The Law of the Iterated Logarithm

6. Interpretation m Number Theory Language

7. Problems for Solution .

.

IX RANDOM VARIABLES ; EXPECTATION.

1. Random Variables

.

2. Expectations .

3. Examples and Applications.

4. The Variance.

5. Covariance ; Variance of a Sum.

6. Chebyshev's Inequality. . .

"'7. Kolmogorov's Inequality.

"'8. The Correlation Coefficient

9. Problems for Solution .

X LAWS OF LARGE NUMBERS.

1. IdenticalIy Distributed Variables

"'2. Proof of the Law of Large Numbers.

3. The Theory of "Fair" Games. "

174

174

179

182

187

190

192

193

196

196

198

200

202

204

208

210

212

212

220

223

227

229

233

234

236

237

243

243

246

248

XVI

CONTENTS

CHAPTER

PAGE

251

253

256

258

261

"'4. The Petersburg Game . . . . . . . .

5. Variable Distributions. . . . . . . .

"'6. Applications to Combinatorial Analysis

"'7. The Strong Law of Large Numbers

8. Problems for Solution . . . . . . . .

XI INTEGRAL VALUED VARIABLES. GENERATING FUNCTIONS

264

1. Generalities . . . . . . . . . . . . . . . .. 264

2. Convolutions. . . . . . . . . . . . . . . . .. 266

3. Equalizations and Waiting Times in Bernoulli Trials 270

4. Partial Fraction Expansions . .

275

5. Bivariate Generating Functions.

279

"'6. The Continuity Theorem.

280

7. Problems for Solution. . . . .

283

"'XII COMPOUND DISTRIBUTIONS. BRANCHING PROCESSES.

286

l. Sums ofa Random Number of Variables.

286

2. The Compound Poisson Distribution .

288

2a. Processes with Independent Increments

292

3. Examples for Branching Processes. . .

293

4. Extinction Probabilities in Branching Processes .

295

5. The Total Progeny in Branching Processes

298

6. Problems for Solution. . . . . . .

301

XIII RECURRENT EVENTS. RENEWAL THEORY

303

1. Informal Preparations and Examples

303

2. Definitions. . . . .

307

3. The Basic Relations. . . . . . . .

311

4. Examples . . . . . . . . . . . .

313

5. Delayed Recurrent Events. A General Limit Theorem 316

6. The Number of Occurrences of fj . . . • .

320

"'7. Application to the Theory of Success Runs. .

322

"'8. More General Patterns. . . . . . . . . . .

326

9. Lack of Memory of Geometric Waiting Times

328

10. Renewal Theory . . . . . . . .

329

'" 11. Proof of the Basic Limit Theorem.

335

12. Problems for Solution. . . . . .

338

XIV RANDOM WALK AND RUIN PROBLEMS.

1. General Orientation. . . .

2. The Classical Ruin Problem . . .

342

342

344

CONTENTS

XVll

CHAPTER

PAGE

3. Expected Duration of the Game . . . . . . . .. 348

*4. Generating Functions for the Duration of the Game

and for the First-Passage Times. . .

349

*5. Explicit Expressions. . . . . . . . .

352

6. Connection with Diffusion Processes. .

354

*7. Random Walks in the Plane and Space

359

8. The Generalized One-Dimensional Random Walk

(Sequential Sampling) .

363

9. Problems for Solution. . . . . . . . . . .

367

XV MARKOV CHAINS. . . .

372

1. Definition . . . . .

372

2. Illustrative Examples

375

3. Higher Transition Probabilities

382

4. Closures and Closed Sets. . .

384

5. Classification of States. . . .

387

6. Irreducible Chains. Decompositions.

390

7. Invariant Distributions.

392

8. Transient Chains . . . . . .

399

9. Periodic Chains. . . . . . .

404

10. Application to Card Shuffling.

406

* 11. Invariant Measures. Ratio Limit Theorems

407

*12. Reversed Chains. Boundaries

414

13. The General Markov Process.

419

14. Problems for Solution . . . .

424

*XVI ALGEBRAIC TREATMENT OF FINITE MARKOV CHAINS

428

1. General Theory. . . . . . . . . . .

428

2. Examples . . . . . . . . . . . . . . .

432

3. Random Walk with Reflecting Barriers . .

436

4. Transient States; Absorption Probabilities .

438

5. Application to Recurrence Times . . . . .

443

XVII THE SIMPLEST TiME-DEPENDENT STOCHASTIC PROCESSES

444

1. General Orientation. Markov Processes

444

2. The Poisson Process. . .

446

3. The Pure Birth Process. . . .

448

*4. Divergent Birth Processes . .

451

5. The Birth and Death Process .

454

6. Exponential Holding Times. .

458

XVlll

CONTENTS

CHAPTER

7. Waiting Line and Servicing Problems . .

8. The Backward (Retrospective) Equations.

9. General Processes. .

10. Problems for Solution

ANSWERS TO PROBLEMS .

INDEX . . • • . • • •

PAGE

460

468

470

478

483

499

INTRODUCTION

The Nature

of Probability Theory

1. THE BACKGROUND

Probability is a mathematical discipline with aims akin to those, for

example, of geometry or analytical mechanics. In each field we must

carefully distinguish three aspects of the theory: (a) the formal logical

content, (b) the intuitive background, (c) the applications. The character,

and the charm, of the whole structure cannot be appreciated without

considering all three aspects in their proper relation.

(a) Formal Logical Content

Axiomatically, mathematics is concerned solely with relations among

undefined things. This aspect is well illustrated by the game of chess. It

is impossible to "define" chess otherwise than by stating a set of rules.

The conventional shape of the pieces may be described to some extent,

but it will not always be obvious which piece is intended for "king." The

chessboard and the pieces are helpful, but they can be dispensed with.

The essential thing is to know how the pieces move and act. It is meaning-

less to talk about the "definition" or the "true nature" of a pawn or a king.

Similarly, geometry does not care what a point and a straight line "really

are." They remain undefined notions, and the axioms of geometry specify

the relations among them: two points determine a line, etc. These are

the rules, and there is nothing sacred about them. Different forms of

geometry are based on different sets of axioms, and the logical structure of

non-Euclidean geometries is independent of their relation to reality.

Physicists have studied the motion of bodies under laws of attraction

different from Newton's, and such studies are meaningful even if Newton's

law of attraction is accepted as true in nature.

1

2

THE NATURE OF PROBABILITY THEORY

(b) Intuitive Background

In contrast to chess, the axioms of geometry and of mechanics have

an intuitive background. In fact, geometrical intuition is so strong that it

is prone to run ahead of logical reasoning. The extent to which logic,

intuition, and physical experience are interdependent is a problem into

which we need not enter. It is certain that intuition can be trained and

developed. The bewildered novice in chess moves cautiously, recalling

individual rules, whereas the experienced player absorbs a complicated

situation at a glance and is unable to account rationally for his intuition.

In like manner mathematical intuition grows with experience, and it is

possible to develop a natural feeling for concepts such as four-dimensional

space.

Even the collective intuition of mankind appears to progress. Newton's

notions of a field of force and of action at a distance and Maxwell's con-

cept of electromagnetic waves were at first decried as "unthinkable" and

"contrary to intuition." Modern technology and radio in the homes have

popularized these notions to such an extent that they form part of the

ordinary vocabulary. Similarly, the modern student has no appreciation

of the modes of thinking, the prejudices, and other difficulties against

which the theory of probability had to struggle when it was new. Nowa-

days newspapers report on samples of public opinion, and the magic of

statistics embraces all phases of life to the extent that young girls watch

the statistics of their chances to get married. Thus everyone has acquired

a feeling for the meaning of statements such as "the chances are three in

five." Vague as it is, this intuition serves as background and guide for the

first step. It will be developed as the theory progresses and acquaintance

is made with more sophisticated applications.

(c) Applications

The concepts of geometry and mechanics are in practice identified with

certain physical objects, but the process is so flexible and variab!e that no

general rules can be given. The notion of a rigid body is fundamental and

useful, even though no physical object is rigid. Whether a given body

can be treated as if it were rigid depends on the circumstances and the

desired degree of approximation. Rubber is certainly not rigid, but in

discussing the motion of automobiles on ice textbooks usually treat the

rubber tires as rigid bodies. Depending on the purpose of the theory, we

disregard the atomic structure of matter and treat the sun now as a ball of

continuous matter, now as a single mass point.

In applications, the abstract mathematical models serve as tools, and

different models can describe the same empirical situation. The manner

in which mathematical theories are applied does not depend on preconceived

PROCEDURE

3

ideas; it is a purposeful technique depending" on, and changing with, experi·

ence. A philosophical analysis of such techniques is a legitimate study,

but is is not within the realm of mathematics, physics, or statistics. The

philosophy of the foundations of probability must be divorced from

mathematics and statistics, exactly as the discussion of our intuitive space

concept is now divorced from geometry.

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