Sean Li Math 6710 Notes Fall 2013 Grad Probability I Lecture 1 8/28/13 Course Info John Pike, jpike@cornell.

l.edu OH: MLT 580, WF: 1:30 - 2:30 Website: http://www.math.cornell.edu/~web6710/ Grading: All homework. Probability is a measure space (, F , P ) with P () = 1. represents all possible outcomes of something. F is a -algebra, 2 . It is nonempty, closed under complements, closed under countable unions. P is a set function F [0, 1] s.t. P () = 1, and for {Ai }iI countable disjoint, P (iI Ai ) = iI P (Ai ). If p is a property with P ({w : p(w) is true}) = 1, we say p holds almost surely. Example. Rolling a 6-sided die. = {1, 2, . . . , 6}. F = 2 . P (E ) =
|E | . 6

Example. Flip a coin. = {H, T }. F = 2 . P (H ) = p, P (T ) = 1 p. Example. Random point in [0, 1]. = [0, 1]. F = B [0,1] , B = (T ) in a topological space (X, T ). P = m = Lebesgue measure. Immeasurable set example in [0, 1]: on [0, 1] by x y if x y Q. This partitions [0, 1] into (uncountably many) equivalence classes [x ], [x ], . . . . Let V have one representative from each class (using AOC). Let Vr = r + V (mod 1). [0, 1] = rQ = 1 = rQ m(Vr ). Example. Standard normal distribution. = R. F = B . P (E ) = Example. Poisson (). = N 0. F = 2 . P (E ) =
k E 1 2 E

e 2 dx.

x2

. e k!

Example. countable, w : [0, 1] w/ w w( ) = 1. f : Rn [0, 1] w/ dP f is a pdf, so f = dm whereas w is a pmf for P , so w = dP . dc A measurable function X : (, F ) (S, G ) is a (S, G )-valued R.V. E.g. X ( ) = 1E ( ) = 1 if E , 0 if E c .

f (x)dx = 1.

If (, F , P ) is a prob space and X is a (S, G )-valued R.V, X induces measure m = P X 1 on (S, G ). m(A) = P ({ : X ( ) A), e.g. P (X A). If X : (S , G ) induces -alg on : {X 1 (E ) : E G} = (X ), the sigma algebra induced by X . (X ) F . Example. In rolling a die, one sigma algebra is {, {1, 3, 5}, {2, 4, 6}, }. E [X ] = XdP (when well-dened)

Prob/Measure table: Probability F P X E Extensions of probability spaces. We say that ( , F , P ) extends (, F , P ) if there exists a measurable surjection : which is probability-preserving, meaning P ( 1 (E )) = P (E ). E.g. can extend die roll to = {1, 2, . . . , 6}2 , F = 2 , P (E ) =
E , 36

Measure X f

(x, y ) = x.

Probability can only study concepts and perform operations that are preserved by extentions. Equality/Non-equality of events is probabilistic. E = F = 1 (E ) = 1 (F ). 1 (E F ) = 1 (E ) 1 (F ), etc., so Boolean ops are probabilistic. Cardinality is not probabilistic, i.e. not preserved by extension. Completeness isnt either. ([0, 1], B , m) can extend to ([0, 1], L, m).

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