Probability Theory

January 26, 2007

Emtiyaz Khan

We will start with the definition of a probability space followed by a discussion of “independence” and “conditional probability.” Next we burn our brains (existence assumed) with random variables and its probability density function. We then define expectation of a random variable. Finally we will enjoy the “brain-tandoori” by discussing the importance of expectation using two classical results of probability theory, called “central limit theorem” and “law of large number.”