Beyond finite sample space II

Presidency University

November, 2021
Example: Extension to uncountable sample space

I Let us consider the random experiment where we choose a real

number at random from the interval (0, 1].
Example: Extension to uncountable sample space

I Let us consider the random experiment where we choose a real

number at random from the interval (0, 1].

I Here, every number in this interval is a possible outcome so

that the sample space is uncountable.
Example: Extension to uncountable sample space

I Let us consider the random experiment where we choose a real

number at random from the interval (0, 1].

I Here, every number in this interval is a possible outcome so

that the sample space is uncountable.

I If we follow the same idea of assigning numbers p(ω) to each

outcome, we run into difficulties.
Example: Extension to uncountable sample space

I Let us consider the random experiment where we choose a real

number at random from the interval (0, 1].

I Here, every number in this interval is a possible outcome so

that the sample space is uncountable.

I If we follow the same idea of assigning numbers p(ω) to each

outcome, we run into difficulties.

I Fix any number ω in (0, 1].

Example: Extension to uncountable sample space

I Let us consider the random experiment where we choose a real

number at random from the interval (0, 1].

I Here, every number in this interval is a possible outcome so

that the sample space is uncountable.

I If we follow the same idea of assigning numbers p(ω) to each

outcome, we run into difficulties.

I Fix any number ω in (0, 1].

I Since we are selecting a point at random the chances of it

falling in (0, 12 ] and the chances of it falling in ( 21 , 1] must be
the same and hence each must be equal to 12 .
I This means p(ω) ≤ 12 .
I This means p(ω) ≤ 12 .

I Continuing this arguemnt we find that the probability of the

point falling in (0, 14 ] and ( 14 , 12 ] are same.
I This means p(ω) ≤ 12 .

I Continuing this arguemnt we find that the probability of the

point falling in (0, 14 ] and ( 14 , 12 ] are same.

I This means p(ω) ≤ 14 .

I This means p(ω) ≤ 12 .

I Continuing this arguemnt we find that the probability of the

point falling in (0, 14 ] and ( 14 , 12 ] are same.

I This means p(ω) ≤ 14 .

I If we continue this way, we shall find p(ω) = 0.

I This means p(ω) ≤ 12 .

I Continuing this arguemnt we find that the probability of the

point falling in (0, 14 ] and ( 14 , 12 ] are same.

I This means p(ω) ≤ 14 .

I If we continue this way, we shall find p(ω) = 0.

I Thus if you try to associate real numbers to outcomes you

observe that each outcome must have number zero.
I A similar problem occurs in the concept of length from which
we can take clue: points have length zero, but intervals have
positive length.
I A similar problem occurs in the concept of length from which
we can take clue: points have length zero, but intervals have
positive length.

I The idea is we should not try to associate real number to

different outcomes, rather we can try to associate at one
stroke a probability to each event.
I A similar problem occurs in the concept of length from which
we can take clue: points have length zero, but intervals have
positive length.

I The idea is we should not try to associate real number to

different outcomes, rather we can try to associate at one
stroke a probability to each event.

I But then what are events?

I A similar problem occurs in the concept of length from which
we can take clue: points have length zero, but intervals have
positive length.

I The idea is we should not try to associate real number to

different outcomes, rather we can try to associate at one
stroke a probability to each event.

I But then what are events?

I Imitation being the first choice (because we do not have any

guiding principle at this stage), let us say that every possible
subset of Ω = (0, 1] is an event.
I A similar problem occurs in the concept of length from which
we can take clue: points have length zero, but intervals have
positive length.

I The idea is we should not try to associate real number to

different outcomes, rather we can try to associate at one
stroke a probability to each event.

I But then what are events?

I Imitation being the first choice (because we do not have any

guiding principle at this stage), let us say that every possible
subset of Ω = (0, 1] is an event.

I This means that for every subset A of Ω, we want to associate

a probability P(A).
I Let us recall our demands for any number to be accepted as
probability.
I Let us recall our demands for any number to be accepted as
probability.

I For every subset A of Ω = (0, 1], we want to associate a

number P(A) which satisfies
I P(∅) = 0
I P(Ω) = 1 P
I For disjoint events A1 , A2 , ...., P(∪Ai ) = P(Ai ).
I These conditions were dictated by our intuitive notion of what
a probability ought to be.
I These conditions were dictated by our intuitive notion of what
a probability ought to be.

I Now there is another condition that reflects the fact that we

want to model the specific experiment of picking a point at
random.
I These conditions were dictated by our intuitive notion of what
a probability ought to be.

I Now there is another condition that reflects the fact that we

want to model the specific experiment of picking a point at
random.

I Picking a point at random means thatthe probability

i that the
selected point belongs to any interval 2n , 2n should be 21n .
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I These conditions were dictated by our intuitive notion of what
a probability ought to be.

I Now there is another condition that reflects the fact that we

want to model the specific experiment of picking a point at
random.

I Picking a point at random means thatthe probability

i that the
selected point belongs to any interval 2n , 2n should be 21n .
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I If we can make an assignment of a value P(A) for each event

A so that these conditions are satisfied we can say that we
have succesfully created a probability model for this random
experiment.
I Unfortunately this is not possible due to the following result by
S.M.Ulam.
I Unfortunately this is not possible due to the following result by
S.M.Ulam.

I There is no function P defined for all subsets A of the unit

interval (0, 1] such
i that it is non negative, countably additive,
and P 2n , 2n = 21n .
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I Unfortunately this is not possible due to the following result by
S.M.Ulam.

I There is no function P defined for all subsets A of the unit

interval (0, 1] such
i that it is non negative, countably additive,
and P 2n , 2n = 21n .
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I We may ask ourselves: Can we find a particular set A for

which we fail to associate probability?
I Unfortunately this is not possible due to the following result by
S.M.Ulam.

I There is no function P defined for all subsets A of the unit

interval (0, 1] such
i that it is non negative, countably additive,
and P 2n , 2n = 21n .
k k+1

I We may ask ourselves: Can we find a particular set A for

which we fail to associate probability?

I The answer is No. We cannot do that.

I The condition of countable additivity is a collective condition,
not an individual condition applying to each event A. This
causes problems.
I The condition of countable additivity is a collective condition,
not an individual condition applying to each event A. This
causes problems.

I For example, consider a simple analogy: Suppose we attempt

to share 11 items among 6 persons.Then certainly we cannot
give two items to each of 6 persons. But can we name one
single person to whom we fail to give? No, simply because any
person we name we can surely start giving two items to him.
I So where did we go wrong?
I So where did we go wrong?

I Which of our demands is so tough that it can not be met?

I So where did we go wrong?

I Which of our demands is so tough that it can not be met?

I Or we may ask in which of the demands we can make a

compromise?
I So where did we go wrong?

I Which of our demands is so tough that it can not be met?

I Or we may ask in which of the demands we can make a

compromise?

I The fact is, while revisiting the demands, each of them seem
reasonable and neccessary (for our idea to be an extension of
classical model).
I The only demand on which we have to compromise is “every
subset of Ω is an event”. Is it really necessary?
I The only demand on which we have to compromise is “every
subset of Ω is an event”. Is it really necessary?

I What exactly is the purpose of our building a probability

model?
I The only demand on which we have to compromise is “every
subset of Ω is an event”. Is it really necessary?

I What exactly is the purpose of our building a probability

model?

I We want to answer simple questions concerning the random

experiment. So it is enough if we can assign probabilities to all
the subsets that we are likely to come across in practice.
I The only demand on which we have to compromise is “every
subset of Ω is an event”. Is it really necessary?

I What exactly is the purpose of our building a probability

model?

I We want to answer simple questions concerning the random

experiment. So it is enough if we can assign probabilities to all
the subsets that we are likely to come across in practice.

I In other words, rather than defining probabilities for all subsets,

it is enough to define probabilities to events of “our interset”.
I The only demand on which we have to compromise is “every
subset of Ω is an event”. Is it really necessary?

I What exactly is the purpose of our building a probability

model?

I We want to answer simple questions concerning the random

experiment. So it is enough if we can assign probabilities to all
the subsets that we are likely to come across in practice.

I In other words, rather than defining probabilities for all subsets,

it is enough to define probabilities to events of “our interset”.

I Thus the compromise we make here is we abandon the

assumption that every subset be an event.
I Then the question is : which subsets should be events?
I Then the question is : which subsets should be events?

I For our example, clearly each interval should be an event

because we need to answer what is the probability that the
selected point belong to some interval.
I In general, we can have some demands for events:
I ∅ and Ω must be events, otherwise we cannot answer P(∅) = 0
or P(Ω) = 1.
I In general, we can have some demands for events:
I ∅ and Ω must be events, otherwise we cannot answer P(∅) = 0
or P(Ω) = 1.
I If A is an event then its complement Ac should also be an
event. If you can answer ‘what are the chances of something
happening’, then we should be able to answer ‘what are the
chances of that something not happening’.
I In general, we can have some demands for events:
I ∅ and Ω must be events, otherwise we cannot answer P(∅) = 0
or P(Ω) = 1.
I If A is an event then its complement Ac should also be an
event. If you can answer ‘what are the chances of something
happening’, then we should be able to answer ‘what are the
chances of that something not happening’.

I If we have countably many events An then their union ∪An

should also be an event. If some one asks you ‘what are the
chances of this happening’ ‘what are the chances of that
happening’ etc then we should also answer ‘what are the
chances of one of the things happening’).
I Let B be the smallest class of subsets of Ω = (0, 1] satisfying
these conditions.
I Let B be the smallest class of subsets of Ω = (0, 1] satisfying
these conditions.

I We agree to treat sets that belong to this class as events. Sets

which are not in this class are not events.
I Two points are to be noted at this stage:
I Two points are to be noted at this stage:

I Now every subset of Ω is not an event as we have defined it

earlier. Events are only those subsets of Ω = (0, 1] which are
in B.
I Two points are to be noted at this stage:

I Now every subset of Ω is not an event as we have defined it

earlier. Events are only those subsets of Ω = (0, 1] which are
in B.

I We have constructed the class B by imposing certain

restrictions not by picking subsets of Ω. Except ∅ and Ω, we
are not picking any other subsets explictly, rather imposing
some restrcitions like: “if some set A is in B, then some other
particular set B must also be in B”. This is justified because
recall that the class B was meant for our convenience,
meaning the choice is subjective: I may be interested in some
event and you might be interested in some completely different
event. So we both can choose our B as per our convenience.
I With this change of attitude, to build a probability model we
need to assign probability P(A) to all events A– that is, to sets
belonging to the class B satisfying the same demands as
earlier.
I With this change of attitude, to build a probability model we
need to assign probability P(A) to all events A– that is, to sets
belonging to the class B satisfying the same demands as
earlier.

I In fact this is possible, we can actually build a probability

model.
I With this change of attitude, to build a probability model we
need to assign probability P(A) to all events A– that is, to sets
belonging to the class B satisfying the same demands as
earlier.

I In fact this is possible, we can actually build a probability

model.

I There is a function P defined for all setsin B such

i that it is
non negative, countably additive, and P 2n , 2n = 21n .
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I This example tells us some new aspects of probability:
I It is not always possible to define probability for all subsets of
the sample space Ω. Of course in certain instances, this is
possible as we have seen in case of finite Ω.
I This example tells us some new aspects of probability:
I It is not always possible to define probability for all subsets of
the sample space Ω. Of course in certain instances, this is
possible as we have seen in case of finite Ω.
I Thus we need to modify our definition of events: we cannot
say that any subset of Ω is event.
I Infact we have to redefine a class of subsets of Ω, which we
can call events.
I Infact we have to redefine a class of subsets of Ω, which we
can call events.

I It is possible to construct such a class by imposing restrictions

(rather than explicitly picking up subsets from Ω), where the
choice of restrictions arise from usual necessity to answer
different questions in probability.
I Infact we have to redefine a class of subsets of Ω, which we
can call events.

I It is possible to construct such a class by imposing restrictions

(rather than explicitly picking up subsets from Ω), where the
choice of restrictions arise from usual necessity to answer
different questions in probability.

I Once we have such a class of events, we can define probability

at one stroke to all sets in that class.