Probability theory is the branch of mathematics concerned with probability. Although real analysis and probability pdf are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expressing it through a set of axioms.

Typically these axioms formalise probability in terms of a probability space, which assigns a measure taking values between 0 and 1, termed the probability measure, to a set of outcomes called the sample space. Any specified subset of these outcomes is called an event. Central subjects in probability theory include discrete and continuous random variables, probability distributions, and stochastic processes, which provide mathematical abstractions of non-deterministic or uncertain processes or measured quantities that may either be single occurrences or evolve over time in a random fashion.

Although it is not possible to perfectly predict random events, much can be said about their behaviour. Two major results in probability theory describing such behaviour are the law of large numbers and the central limit theorem. As a mathematical foundation for statistics, probability theory is essential to many human activities that involve quantitative analysis of data. Methods of probability theory also apply to descriptions of complex systems given only partial knowledge of their state, as in statistical mechanics.

A great discovery of twentieth century physics was the probabilistic nature of physical phenomena at atomic scales, described in quantum mechanics. Christiaan Huygens published a book on the subject in 1657 and in the 19th century, Pierre Laplace completed what is today considered the classic interpretation. Initially, probability theory mainly considered discrete events, and its methods were mainly combinatorial. Eventually, analytical considerations compelled the incorporation of continuous variables into the theory.

This culminated in modern probability theory, on foundations laid by Andrey Nikolaevich Kolmogorov. Kolmogorov combined the notion of sample space, introduced by Richard von Mises, and measure theory and presented his axiom system for probability theory in 1933.

Most introductions to probability theory treat discrete probability distributions and continuous probability distributions separately. The more mathematically advanced measure theory-based treatment of probability covers the discrete, continuous, a mix of the two, and more. Consider an experiment that can produce a number of outcomes. The set of all outcomes is called the sample space of the experiment.

For example, rolling an honest die produces one of six possible results. One collection of possible results corresponds to getting an odd number.