TABLE OF CONTENTS This appendix briefly presents some notions of probability theory which are used in the text. For more complete exposition the reader should consult standard texts on probability theory, such as Feller (1971), Papoulis (1965), Ash (1972) and Lo ve (1963). In two of the sections of this book (viz. Sections 5.3 and 6.7) we have used some material on stochastic processes and stochastic differential equations which is, however, not covered in this appendix; for this, the reader should consult Wong and Hajek (1985), Gikhman and Skorohod (1972), Fleming and Rishel (1975), Fleming and Soner (1993) and the references cited in Section 6.7.
Let ? denote a set whose elements are the outcomes of a random experiment. This random experiment might be the toss of a coin (in which case ? has only two elements) or selection of an integer from the set [0, ?) (in which case ? is countably infinite) or the continuous roulette wheel which corresponds to a nondenumerable ?. Any subset of ? on which a probability measure can be defined is known as an event. Specifically, if F denotes the class of all such events (i.e., subsets of ?), then it has the following properties:
?? F.
If A ? F, then its complement A c={ ? ??: 
} also belongs to F. (The empty set, 
, being the complement of ?, also belongs to F
