Definition:Probability Space

A probability space is a measure space $$\left({\Omega, \Sigma, \Pr}\right)$$ in which $$\Pr \left({\Omega}\right) = 1$$.

A probability space is used to define the parameters determining the outcome of an experiment.

In this context, the elements of a probability space are generally referred to as follows:


 * $$\Omega$$ is called the sample space of $$\mathcal E$$;


 * $$\Sigma$$ is called the event space of $$\mathcal E$$;


 * $$\Pr$$ is called the probability measure on $$\mathcal E$$.