This is an evolving note, such that new concepts will constantly be added.

- Power set is the set of all subsets of
- Sigma-algebra
- Given a set , a -algebra on is a collection s.t. is nonempty and is 1) closed under complements; 2) closed under countable unions
- is closed under countable intersections

- Examples of-algebras
- Any intersection of -algebras is a -algebra

- Given a set , a -algebra on is a collection s.t. is nonempty and is 1) closed under complements; 2) closed under countable unions
- Measure
- A measure on with -algebra is a function for all in , s.t. 1) ; 2) for all countable collections of pairwise disjoint sets in
- A probability measure is a measure s.t.