Mathematics
Concise Lecture Notes
Probability
Key topics covered in the Class:
• General Terminology (Events, Sample Space)
• Classical & Axiomatic Definitions of Probability
• Set Theory in Probability (Addition Theorems)
• Independent Events & Conditional Probability
• Total Probability Theorem & Bayes’ Theorem
• Random Variables & Binomial Probability Distribution
GENERAL TERMINOLOGY
• Random Experiment: An experiment where the outcome is not known in advance (e.g., throwing
a dice).
• Sample Space (S): The set of all possible outcomes of an experiment.
• Event: A subset of the sample space (Simple event = singleton set; Compound event = more
than one outcome).
GENERAL TERMINOLOGY
• Equally Likely Events: Events that have equal chances of occurring.
• Mutually Exclusive: Events that cannot occur simultaneously (𝐸1 ∩ 𝐸2 = 𝜙).
• Mutually Exhaustive: Events whose union makes up the entire sample space (𝐸1 ∪ 𝐸2 = 𝑆).
CLASSICAL (a-priori) DEFINITION
Number of favourable outcomes
• Formula: 𝑃(𝐸) = .
Total number of outcomes
• Condition: This formula applies only when outcomes are mutually exclusive, mutually exhaustive, and
equally likely.
Important Note
• Range: Probability always lies between 0 and 1 (0 ≤ 𝑃(𝐸) ≤ 1); sum of all sample point
probabilities is 1.
Favourable Unfavourable
• Odds: Odds in favour = ; Odds against = .
Unfavourable Favourable
• Non-occurrence: Probability of event E not happening is 𝑃(𝐸‾ ) = 1 − 𝑃(𝐸).
NOTE
𝑓𝑎𝑣
• If outcomes in the sample space are not equally likely, the classical formula ( ) cannot be
𝑡𝑜𝑡𝑎𝑙
used directly.
• Instead, 𝑃(𝐸) is calculated as the sum of the individual probabilities of all favourable outcomes.
USE OF SET THEORY
• Addition Theorem: 𝑃(𝐴 ∪ 𝐵) = 𝑃(𝐴) + 𝑃(𝐵) − 𝑃(𝐴 ∩ 𝐵).
• Usage: 𝑃(𝐴 ∪ 𝐵) represents the probability of A or B occurring (at least one occurs).
• For mutually exclusive events, 𝑃(𝐴 ∩ 𝐵) = 0.
USE OF SET THEORY
• De-Morgan’s Laws: 𝐴 ∪ 𝐵 = 𝐴‾ ∩ 𝐵‾ and 𝐴 ∩ 𝐵 = 𝐴‾ ∪ 𝐵‾.
• Neither A nor B: Represented as 𝑃(𝐴‾ ∩ 𝐵‾) = 1 − 𝑃(𝐴 ∪ 𝐵).
• Simultaneous Occurrence: 𝑃(𝐴 ∩ 𝐵) represents the probability of A and B occurring together.
USE OF SET THEORY
• For Three Sets: 𝑃(𝐴 ∪ 𝐵 ∪ 𝐶) = ∑𝑃(𝐴) − ∑𝑃(𝐴 ∩ 𝐵) + 𝑃(𝐴 ∩ 𝐵 ∩ 𝐶).
• Represents the probability that at least one of the three events occurs.
INDEPENDENT EVENTS
• Definition: Two events are independent if the occurrence (or non-occurrence) of one does not
affect the other.
• Formula: 𝑃(𝐴 ∩ 𝐵) = 𝑃(𝐴) ⋅ 𝑃(𝐵).
NOTE
• Combinations: If A and B are independent, then pairs like (𝐴‾, 𝐵), (𝐴, 𝐵‾), and (𝐴‾, 𝐵‾) are also
independent.
• Three Events: A, B, and C are independent only if they are pairwise independent AND 𝑃(𝐴 ∩
𝐵 ∩ 𝐶) = 𝑃(𝐴)𝑃(𝐵)𝑃(𝐶).
CONDITIONAL PROBABILITY
• Definition: Probability of event A occurring given that event B has already occurred.
𝑃(𝐴∩𝐵) 𝑃(𝐴∩𝐵)
• Formula: 𝑃(𝐴|𝐵) = (and similarly 𝑃(𝐵|𝐴) = ).
𝑃(𝐵) 𝑃(𝐴)
• Effectively, the sample space reduces to the outcomes of the event that has already
happened.
TOTAL PROBABILITY THEOREM
• Total Probability: If Sample Space S is divided into mutually exclusive events 𝐸1 , 𝐸2 . . . 𝐸𝑛 , then
𝑃(𝐸) = ∑𝑃(𝐸𝑖 ) ⋅ 𝑃(𝐸|𝐸𝑖 ).
• Bayes’ Theorem (Reverse Probability): Used to find the probability of a specific cause (𝐸𝑖 )
given an effect (𝐸) has occurred.
𝑃(𝐸2 )⋅𝑃(𝐸|𝐸2 )
• Formula: 𝑃(𝐸2 |𝐸) = .
𝑃(𝐸)
RANDOM VARIABLE
• Definition: A real-valued function that assigns a unique numerical value to every outcome of a
random experiment.
• Probability Distribution (P.D.): A table listing values of the random variable (𝑥𝑖 ) against their
respective probabilities 𝑃(𝑥𝑖 ), where ∑𝑃(𝑥𝑖 ) = 1.
MEAN, VARIANCE & S.D.
• Mean (𝜇): Also called Expected Value 𝐸(𝑋). Formula: 𝜇 = ∑𝑝𝑖 𝑥𝑖 .
• Variance (𝜎𝑥2 ): Formula: ∑𝑝𝑖 𝑥𝑖2 − (𝜇)2 .
• Standard Deviation (𝜎𝑥 ): √Variance.
BERNOULLI’S TRIAL
• Conditions: Finite number of trials (𝑛), only two outcomes (Success 𝑝 / Failure 𝑞), and trials
are independent.
• Binomial Probability Formula: 𝑃(𝑋 = 𝑟) = 𝑛 𝐶𝑟 𝑝𝑟 𝑞 𝑛−𝑟 .
• Here, 𝑟 is the number of successes, and 𝑝 + 𝑞 = 1.
MEAN, VARIANCE & S.D.
• Mean: 𝑋‾ = 𝑛𝑝.
• Variance: 𝜎𝑥2 = 𝑛𝑝𝑞.
• Standard Deviation: 𝜎𝑥 = √𝑛𝑝𝑞.