Measure space ($(X,\mathcal{M},\mu )$)

A measure space is a set $X$, a sigma-algebra $\mathcal{M}$ of its subsets, and a measure $\mu$ defined on $\mathcal{M}$. Specifying only $X$ leaves both the measurable questions and their weights undetermined.

For a concrete probability space, take $X=\{a,b,c\}$, $\mathcal{M}$ its power set, and weights $1/2,1/3,1/6$. Define $\mu (A)$ by adding the weights of the elements in $A$. ThenA probability measure is exactly a measure normalized by $\mu (X)=1$, usually written $\mathbb{P}(\Omega )=1$. An indicator function has expected value equal to its event's probability. For a different continuous example, $[0,1]$ with the restricted Lebesgue measure is a probability space; the event $[0,1/4]$ has probability $1/4$.