Classical (a priori) definition. When a random experiment's outcomes are all equally likely, the classical or a priori probability of an event A is
P(A)=n(S)n(A)=exhaustive number of cases in Snumber of cases favourable to A.
This is the everyday 'favourable over total' rule, and it silently needs two things: the outcomes must be equally likely, and there must be finitely many of them. Neither the coin-till-first-head experiment (infinite outcomes) nor a biased die (unequal chances) can be handled by this definition alone -- which is why the axiomatic approach was developed.
Axiomatic approach (Kolmogorov, 1933). Let S be a finite sample space, P(S) the class of all events, and P a real-valued function on P(S). P(A) is a probability function exactly when it obeys three axioms:
- [P1] Non-negativity: P(A)≥0 for every event A.
- [P2] Additivity: for mutually exclusive A,B: P(A∪B)=P(A)+P(B) (and more generally, for mutually exclusive A1,…,An: P(A1∪⋯∪An)=P(A1)+⋯+P(An)).
- [P3] Normalisation: P(S)=1. …