Probability measure
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Definition
A probability measure, is a Measure [ilmath]\mu:(X,\mathcal{A})\rightarrow\mathbb{R} [/ilmath] where:
- [ilmath]\mu(X)=1[/ilmath]
Notation
We often denote probability measures using [ilmath]\mathbb{P} [/ilmath], the space this measures is implicit from the context.
