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http://en.wikipedia.org/wiki/Probability_axioms

Probability axioms

From Wikipedia, the free encyclopedia. The probability of some event E (denoted ) is defined with respect to a "universe" or sample space Ω of all must satisfy the Kolmogorov axioms.

possible elementary events in such a way that

Alternatively, a probability can be interpreted as a measure on a σ-algebra of subsets of the sample space, those subsets being the events, such that the measure of the whole set equals 1. This property is important, since it gives rise to the natural concept of conditional probability. Every set A with non-zero probability defines another probability

on the space. This is usually read as "probability of B given A". If the conditional probability of B given A is the same as the probability of B, then B and A are said to be independent. In the case that the sample space is finite or countably infinite, a probability function can also be defined by its values on the elementary events {e1},{e2},... where

Contents

1 Kolmogorov axioms 1.1 First axiom 1.2 Second axiom 1.3 Third axiom 2 Lemmas in probability 3 See also 4 External links

Kolmogorov axioms

The following three axioms are known as the Kolmogorov axioms, after Andrey Kolmogorov who developed them. We of subsets of Ω, and a function P assigning real numbers to members of F. have an underlying set Ω, a sigma-algebra The members of F are those subsets of Ω that are called "events".

First axiom

For any set i.e., for any event,

That is, the probability of an event is a non-negative real number.

Second axiom

That is, the probability that some elementary event in the entire sample set will occur is 1. More specifically, there are no

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Probability axioms - Wikipedia, the free encyclopedia

http://en.wikipedia.org/wiki/Probability_axioms

elementary events outside the sample set. This is often overlooked in some mistaken probability calculations; if you cannot precisely define the whole sample set, then the probability of any subset cannot be defined either.

Third axiom

Any countable sequence of pairwise disjoint events E1,E2,... satisfies .

That is, the probability of an event set which is the union of other disjoint subsets is the sum of the probabilities of those subsets. This is called σ-additivity. If there is any overlap among the subsets this relation does not hold. For an algebraic alternative to Kolmogorov's approach, see algebra of random variables.

Lemmas in probability

From the Kolmogorov axioms one can deduce other useful rules for calculating probabilities:

That is, the probability that A or B will happen is the sum of the probabilities that A will happen and that B will happen, minus the probability that A and B will happen. This can be extended to the inclusion-exclusion principle.

That is, the probability that any event will not happen is 1 minus the probability that it will. Using conditional probability as defined above, it also follows immediately that

That is, the probability that A and B will happen is the probability that A will happen, times the probability that B will happen given that A happened; this relationship gives Bayes' theorem. It then follows that A and B are independent if and only if

See also

frequency probability personal probability eclectic probability statistical regularity

External links

The Legacy of Andrei Nikolaevich Kolmogorov (http://www.kolmogorov.com/) Curriculum Vitae and Biography. Kolmogorov School. Ph.D. students and descendants of A.N. Kolmogorov. A.N. Kolmogorov works, books, papers, articles. Photographs and Portraits of A.N. Kolmogorov. Retrieved from "http://en.wikipedia.org/wiki/Probability_axioms" Categories: Probability theory

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Probability axioms - Wikipedia, the free encyclopedia

http://en.wikipedia.org/wiki/Probability_axioms

This page was last modified 14:14, 8 August 2005. All text is available under the terms of the GNU Free Documentation License (see Copyrights for details).

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