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Probability Space
A probability space is a measure space (Ω,ℱ,P) such that P(Ω)=1.
Event
Suppose that (Ω,ℱ,P) is a probability space. An event is an element of ℱ.
Random Variable
Suppose that (Ω,ℱ,P) is a probability space. A random variable is a measurable function X:Ω→ℝ.
Distribution of a Random Variable
Suppose that X:Ω→ℝ is a random variable. The distribution of X is the probability measure μX on ℝ defined by μX(B):=P(X−1(B)) for every Borel set B⊆ℝ.
Expectation as an Integral
Suppose that X is a random variable on (Ω,ℱ,P). If the integral is defined, the expected value of X is E(X):=∫ΩXdP.
Independence of Events
Events A and B are independent if P(A∩B)=P(A)P(B).
Independence of Random Variables
Random variables X1,…,Xn are independent if for all Borel sets B1,…,Bn⊆ℝ, P(X1∈B1,…,Xn∈Bn)=∏k=1nP(Xk∈Bk).
Monotone Convergence Theorem for Expectations
Suppose that 0≤X1≤X2≤⋯ are random variables and X(ω)=limn→∞⁡Xn(ω). Then E(X)=limn→∞⁡E(Xn).
Dominated Convergence Theorem for Expectations
Suppose that X1,X2,… are random variables that converge pointwise to X, and suppose that |Xn|≤Y for every n, where E(Y)<∞. Then E(X)=limn→∞⁡E(Xn).
Weak Law of Large Numbers
Suppose that X1,X2,… are independent identically distributed random variables with finite expected value μ. Then 1n∑k=1nXk→μ in probability.
Strong Law of Large Numbers
Suppose that X1,X2,… are independent identically distributed random variables with finite expected value μ. Then 1n∑k=1nXk→μ almost surely.