【配套教材】概率论与数理统计教程(第三版)——茆诗松
性质1: P ( Ω ) = 0 P(\Omega)=0 P(Ω)=0
证明:由于任何事件与不可能事件之并仍是此事件本身,所以
Ω
=
Ω
∪
∅
∪
∅
∪
.
.
.
∪
∅
∪
.
.
.
\Omega=\Omega\cup\varnothing\cup\varnothing\cup...\cup\varnothing\cup...
Ω=Ω∪∅∪∅∪...∪∅∪...
因为不可能事件与任何事件是互不相容的,故由可列可加性公理得
P
(
Ω
)
=
P
(
Ω
)
+
P
(
∅
)
+
P
(
∅
)
+
.
.
.
+
P
(
∅
)
+
.
.
.
P(\Omega)=P(\Omega)+P(\varnothing)+P(\varnothing)+...+P(\varnothing)+...
P(Ω)=P(Ω)+P(∅)+P(∅)+...+P(∅)+...
从而由
P
(
Ω
)
=
1
P(\Omega)=1
P(Ω)=1得
P
(
∅
)
+
P
(
∅
)
+
.
.
.
=
0
P(\varnothing)+P(\varnothing)+...=0
P(∅)+P(∅)+...=0
再由非负性公理,必有
P
(
Ω
)
=
0
P(\Omega)=0
P(Ω)=0
结论得证
1.3.1 概率的可加性
性质2(有限可加性):若有限个事件
A
1
,
A
2
,
.
.
.
,
A
n
A_1,A_2,...,A_n
A1,A2,...,An互不相容,则有
P
(
⋃
i
=
1
n
A
i
)
=
∑
i
=
1
n
P
(
A
i
)
P(\bigcup\limits_{i = 1}^n {{A_i}} ) = \sum\limits_{i = 1}^n {P({A_i})}
P(i=1⋃nAi)=i=1∑nP(Ai)
证明:对
A
1
,
A
2
,
.
.
.
,
A
n
,
∅
,
∅
,
.
.
.
A_1,A_2,...,A_n,\varnothing,\varnothing,...
A1,A2,...,An,∅,∅,...应用可列可加性,得
P ( A 1 ∪ A 2 ∪ . . . ∪ A n ) = P ( A 1 ∪ A 2 ∪ . . . ∪ A n ∪ ∅ ∪ ∅ ∪ . . . ) = P ( A 1 ) + P ( A 2 ) + . . . + P ( A n ) + P ( ∅ ) + P ( ∅ ) + . . . = P ( A 1 ) + P ( A 2 ) + . . . + P ( A n ) \begin{aligned} P({A_1} \cup {A_2} \cup ... \cup {A_n}) &= P({A_1} \cup {A_2} \cup ... \cup {A_n} \cup \varnothing \cup \varnothing \cup ...) \\ &= P({A_1}) + P({A_2}) + ... + P({A_n}) + P(\varnothing ) + P(\varnothing ) + ... \\ &= P({A_1}) + P({A_2}) + ... + P({A_n})\\ \end{aligned} P(A1∪A2∪...∪An)=P(A1∪A2∪...∪An∪∅∪∅∪...)=P(A1)+P(A2)+...+P(An)+P(∅)+P(∅)+...=P(A1)+P(A2)+...+P(An)
结论得证
性质3:对任一事件A,有 P ( A ‾ ) = 1 − P ( A ) P(\overline A ) = 1 - P(A) P(A)=1−P(A)
证明:因为 A A A与 A ‾ \overline A A互不相容,且 Ω = A ∪ A ‾ \Omega = A \cup \overline A Ω=A∪A。所以由概率的正则性和有限可加性得 1 = P ( A ) + P ( A ‾ ) 1 = P(A) + P(\overline A ) 1=P(A)+P(A),由此可得 P ( A ‾ ) = 1 − P ( A ) P(\overline A ) = 1 - P(A) P(A)=1−P(A)
1.3.2 概率的单调性
性质4:若 A ⊃ B A \supset B A⊃B,则 P ( A − B ) = P ( A ) − P ( B ) P(A - B) = P(A) - P(B) P(A−B)=P(A)−P(B)
证明:因为
A
⊃
B
A \supset B
A⊃B,所以
A
=
B
∪
(
A
−
B
)
A = B \cup (A - B)
A=B∪(A−B)
且
B
B
B与
A
−
B
A - B
A−B互不相容,由有限可加性得
P
(
A
)
=
P
(
B
)
+
P
(
A
−
B
)
P(A) = P(B) + P(A - B)
P(A)=P(B)+P(A−B)
即得
P
(
A
−
B
)
=
P
(
A
)
−
P
(
B
)
P(A - B) = P(A) - P(B)
P(A−B)=P(A)−P(B)
结论得证
推论(单调性):若 A ⊃ B A \supset B A⊃B,则 P ( A ) ⩾ P ( B ) P(A) \geqslant P(B) P(A)⩾P(B)
性质5:对任意两个事件 A , B A,B A,B,有 P ( A − B ) = P ( A ) − P ( A B ) P(A - B) = P(A) - P(AB) P(A−B)=P(A)−P(AB)
证明:因为
A
−
B
=
A
−
A
B
A - B = A - AB
A−B=A−AB,且
A
B
⊂
A
AB \subset A
AB⊂A,所以由性质4得
P
(
A
−
B
)
=
P
(
A
−
A
B
)
=
P
(
A
)
−
P
(
A
B
)
P(A - B) = P(A - AB) = P(A) - P(AB)
P(A−B)=P(A−AB)=P(A)−P(AB)
结论得证
1.3.3 概率的加法公式
性质6(加法公式):对任意两个事件
A
,
B
A,B
A,B,有
P
(
A
∪
B
)
=
P
(
A
)
+
P
(
B
)
−
P
(
A
B
)
P(A \cup B) = P(A) + P(B) - P(AB)
P(A∪B)=P(A)+P(B)−P(AB)
对任意n个事件
A
1
,
A
2
,
.
.
.
,
A
n
A_1,A_2,...,A_n
A1,A2,...,An,有
P
(
⋃
i
=
1
n
A
i
)
=
∑
i
=
1
n
P
(
A
i
)
−
∑
1
⩽
i
<
j
⩽
n
P
(
A
i
A
j
)
+
∑
1
⩽
i
<
j
<
k
⩽
n
P
(
A
i
A
j
A
k
)
+
.
.
.
+
(
−
1
)
n
−
1
P
(
A
1
A
2
.
.
.
A
n
)
\begin{aligned} P(\bigcup\limits_{i = 1}^n {{A_i}} ) &= \sum\limits_{i = 1}^n {P({A_i}) - \sum\limits_{1 \leqslant i\lt j \leqslant n}^{} {P({A_i}{A_j})} } + \\ & \sum\limits_{1 \leqslant i\lt j \lt k \leqslant n}^{} {P({A_i}{A_j}{A_k}) + ... + {{( - 1)}^{n - 1}}P({A_1}{A_2}...{A_n})} \end{aligned}
P(i=1⋃nAi)=i=1∑nP(Ai)−1⩽i<j⩽n∑P(AiAj)+1⩽i<j<k⩽n∑P(AiAjAk)+...+(−1)n−1P(A1A2...An)
推论(半可加性):对于任意两个事件
A
,
B
A,B
A,B,有
P
(
A
∪
B
)
⩽
P
(
A
)
+
P
(
B
)
P(A \cup B) \leqslant P(A) + P(B)
P(A∪B)⩽P(A)+P(B)
对任意n个事件
A
1
,
A
2
,
.
.
.
,
A
n
A_1,A_2,...,A_n
A1,A2,...,An,有
P
(
⋃
i
=
1
n
A
i
)
⩽
∑
i
=
1
n
P
(
A
i
)
P(\bigcup\limits_{i = 1}^n {{A_i}} ) \leqslant \sum\limits_{i = 1}^n {P({A_i})}
P(i=1⋃nAi)⩽i=1∑nP(Ai)
例:配对问题
在一个有n个人参加的晚会上,每个人都带了一件礼物,且假定各人带的礼物都不相同。晚会期间各人从放在一起的n件礼物中随机抽取一件,问至少有一个人自己抽到自己礼物的概率是多少?
以 A i A_i Ai记事件“第 i i i个人自己抽到自己的礼物”, i = 1 , 2 , . . . , n i=1,2,...,n i=1,2,...,n。所求概率为 P ( A 1 ∪ A 2 ∪ . . . ∪ A n ) P({A_1} \cup {A_2} \cup ... \cup {A_n}) P(A1∪A2∪...∪An)
P ( A 1 ) = P ( A 2 ) = . . . = P ( A n ) = 1 n , P ( A 1 A 2 ) = P ( A 1 A 3 ) = . . . = P ( A n − 1 A n ) = 1 n ( n − 1 ) , P ( A 1 A 2 A 3 ) = P ( A 1 A 2 A 4 ) = . . . = P ( A n − 2 A n − 1 A n ) = 1 n ( n − 1 ) ( n − 2 ) , . . . P ( A 1 A 2 . . . A n ) = 1 n ! \begin{aligned} & P({A_1}) = P({A_2}) = ... = P({A_n}) = {1 \over n}, \\ & P({A_1}{A_2}) = P({A_1}{A_3}) = ... = P({A_{n - 1}}{A_n}) = {1 \over {n(n - 1)}}, \\ & P({A_1}{A_2}{A_3}) = P({A_1}{A_2}{A_4}) = ... = P({A_{n - 2}}{A_{n - 1}}{A_n}) = {1 \over {n(n - 1)(n - 2)}}, \\ & ... \\ & P({A_1}{A_2}...{A_n}) = {1 \over {n!}} \\ \end{aligned} P(A1)=P(A2)=...=P(An)=n1,P(A1A2)=P(A1A3)=...=P(An−1An)=n(n−1)1,P(A1A2A3)=P(A1A2A4)=...=P(An−2An−1An)=n(n−1)(n−2)1,...P(A1A2...An)=n!1
所以由概率的加法公式得
P
(
A
1
∪
A
2
∪
.
.
.
∪
A
n
)
=
1
−
1
2
!
+
1
3
!
−
1
4
!
+
.
.
.
+
(
−
1
)
n
−
1
1
n
!
P({A_1} \cup {A_2} \cup ... \cup {A_n}) = 1 - {1 \over {2!}} + {1 \over {3!}} - {1 \over {4!}} + ... + {( - 1)^{n - 1}}{1 \over {n!}}
P(A1∪A2∪...∪An)=1−2!1+3!1−4!1+...+(−1)n−1n!1
例如,当
n
=
5
n=5
n=5时,此概率为
0.6333
0.6333
0.6333;当
n
→
∞
n \to \infty
n→∞时,此概率的极限为
1
−
e
−
1
=
0.6321
1 - {e^{ - 1}} = 0.6321
1−e−1=0.6321。这表明:即使参加晚会的人很多(比如100人以上),事件“至少有一个人自己抽到自己礼物”也不是必然事件。
1.3.4 概率的连续性
定义1:(1)对
F
\mathcal{F}
F中任一单调不减的事件序列
F
1
⊂
F
2
⊂
.
.
.
⊂
F
n
⊂
.
.
.
{F_1} \subset {F_2} \subset ... \subset {F_n} \subset ...
F1⊂F2⊂...⊂Fn⊂...,称可列并
⋃
n
=
1
∞
F
n
\bigcup\limits_{n = 1}^\infty {{F_n}}
n=1⋃∞Fn为
{
F
n
}
\{ {F_n}\}
{Fn}的极限事件,记为
lim
n
→
∞
F
n
=
⋃
n
=
1
∞
F
n
\mathop {\lim }\limits_{n \to \infty } {F_n} = \bigcup\limits_{n = 1}^\infty {{F_n}}
n→∞limFn=n=1⋃∞Fn
(2)对
F
\mathcal{F}
F中任一单调不增的事件序列
E
1
⊃
E
2
⊃
.
.
.
⊃
E
n
⊃
.
.
.
{E_1} \supset {E_2} \supset ... \supset {E_n} \supset ...
E1⊃E2⊃...⊃En⊃...,称可列交为
⋂
n
=
1
∞
E
n
\bigcap\limits_{n = 1}^\infty {{E_n}}
n=1⋂∞En为
{
E
n
}
\{ {E_n}\}
{En}的极限事件,记为
lim
n
→
∞
E
n
=
⋂
n
=
1
∞
E
n
\mathop {\lim }\limits_{n \to \infty } {E_n} = \bigcap\limits_{n = 1}^\infty {{E_n}}
n→∞limEn=n=1⋂∞En
定义2:对
F
\mathcal{F}
F上的一个概率P
(1)若它对
F
\mathcal{F}
F中任一单调不减的事件序列
{
F
n
}
\{ {F_n}\}
{Fn}均成立
lim
n
→
∞
P
(
F
n
)
=
P
(
lim
n
→
∞
F
n
)
\mathop {\lim }\limits_{n \to \infty } P({F_n}) = P(\mathop {\lim }\limits_{n \to \infty } {F_n})
n→∞limP(Fn)=P(n→∞limFn)
则称概率
P
P
P是下连续的
(2)若它对
F
\mathcal{F}
F中任一单调不增的事件序列
{
E
n
}
\{ {E_n}\}
{En}均成立
lim
n
→
∞
P
(
E
n
)
=
P
(
lim
n
→
∞
E
n
)
\mathop {\lim }\limits_{n \to \infty } P({E_n}) = P(\mathop {\lim }\limits_{n \to \infty } {E_n})
n→∞limP(En)=P(n→∞limEn)
则称概率
P
P
P是上连续的
性质7(概率的连续性):若 P P P为事件域 F \mathcal{F} F上的概率,则 P P P既是下连续的,又是上连续的。
性质8:若
P
P
P是
F
\mathcal{F}
F上满足
P
(
Ω
)
=
1
P(\Omega ) = 1
P(Ω)=1的非负集合函数,则它具有可列可加性的充要条件是
(1)它是有限可加的;(2)它是下连续的。