Probability Space
A probability space is a measure space such that .
Event
Suppose that is a probability space. An event is an element of .
Random Variable
Suppose that is a probability space. A random variable is a measurable function .
Distribution of a Random Variable
Suppose that is a random variable. The distribution of is the probability measure on defined by
for every Borel set .
Expectation as an Integral
Suppose that is a random variable on . If the integral is defined, the expected value of is
Independence of Events
Events and are independent if
Independence of Random Variables
Random variables are independent if for all Borel sets ,
Monotone Convergence Theorem for Expectations
Suppose that are random variables and . Then
Dominated Convergence Theorem for Expectations
Suppose that are random variables that converge pointwise to , and suppose that for every , where . Then
Weak Law of Large Numbers
Suppose that are independent identically distributed random variables with finite expected value . Then
in probability.
Strong Law of Large Numbers
Suppose that are independent identically distributed random variables with finite expected value . Then
almost surely.