Exercise 3: Probability Axioms

Probability Space
Given a random experiment, let  be a sample space and , its event space be a -field. Then the
triple (, , P) is called a probability space, or a probability model or a probability system. Hence, to
build the probability space, we need to:
• list all possible outcomes of the random experiment to get ,
• list or describe all events of  that are of interest to get , and
• define the probability function P on .

Probability Function
Let  be a sample space and  its event space be a -field. A set function P defined on  is called a
probability function if the following axioms are satisfied:

Example: Consider the experiment of choosing two officers from a class of 12 female and 8
male students. The genders of the officers are recorded. The probability space for this
experiment may be defined as:
 = {FF, FM, MF, MM}
 = power set of 
For any event E in , P ( E ) =  P (ω j )
ω j E

where P(FF) = 33/95, P(FM) = P(MF) = 24/95, P(MM) = 14/95

Example: In choosing a random number in the interval (2, 4), the probability space is defined
1
as Ω = ω | 2  ω  4 ,  is the Borel set on , and P ( E ) =  2 dω . To show that P(E) is valid
E
probability function, we show that it satisfies the following properties:

1 ω U− L
Axiom 1. Take P ( E ) =  2 dω = = where U and L are upper and lower limits of set
E
2 E 2
E. Then, for any subset of (2, 4), 0  P ( E )  1.
ω 4−2
Axiom 2. P (Ω ) = = =1
2 Ω 2
Axiom 3. Let E1 = (2, 2.5), E2 = (2.5, 3], E3 = E4 = … = { }.
3
  ω 3−2
Then P  Ei  = P (2, 3] = = = 0.5
 i =1  2 2 2
2.5 3

ω ω 2.5 − 2 3 − 2.5
and  P ( Ei ) = P (2, 2.5) + P (2.5, 3] =
i =1 2
+
2
=
2
+
2
= 0.5
2 2.5