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– If μ is a measure over a probabilizable space (Ω, ), then the triplet (Ω, , μ) is called a measured space.
1.2. Probability elements
We will now review the concept of a probability measure or probability distribution, and the concept of random variable, as well as the chief properties of these concepts.
1.2.1. Probabilities
A probability measure or probability distribution is a finite measure whose total mass is equal to 1.
– for any A ∈ , ℙ(A) ≥ 0,
– ℝ(Ω) = 1,
– for any sequence of pairwise disjoint events in , denoted by (An)n∈ℕ, we have
We will only review those properties of a probability that will be useful for this book.
nn∈ℕ– If (An)n∈ℕ is increasing (for the inclusion), then,
– If (An)n∈ℕ is decreasing (for the inclusion), then,
We will now review the concept of independent events and σ-algebras.
– Two events, A and B, are independent if ℙ(A ∩ B) = ℙ(A) × ℙ(B).
– A family of events (Ai ∈ i, i ∈ I) is said to be mutually independent if for any finite family J ⊂ I, we have