In probability theory, a probability space is a mathematical construct that models a real-world process (or “experiment”) consisting of states that occur randomly.
A probability space consists of 3 parts:
- A sample space, Ω, which is the set of all possible outcomes.
- A set of events F, where each event is a set containing zero or more outcomes.
- The assignment of probabilities to the events; that is, a function P from events to probabilities.