[Math] Kolmogorov’s probability axioms

axiomsprobability

Why Kolmogorov's axioms are considered such a breakthrough in probability theory? They are just 3 simple statements everyone can agree with.

When creating a system of axioms like this it's necessary the list of the axioms is complete. Suppose we forget about the 3rd Kolmogorov's axiom. Then we would have 2 axioms everyone could agree with when thinking about probability. Does it mean the 2 axioms are enough to claim this is a good axiomatic system of probability? We know it's not, because there's the 3rd axiom left out. But maybe these 3 axioms are not sufficient as well in a similar manner.

Look at Euclid's fifth axiom (parallel postulate). If we ommit fifth postulate, we get hyperbolic geometry, which is certainly no what we wanted to have. A similar question arises here – are those axioms sufficient? Are we sure we won't get any unintended results just following these 3 axioms?

Or maybe the statement that a given set of axioms agrees with our intuition of, let's say, probability must itself be treated as an axiom. We cannot prove it. Kolmogorov axioms survived so many years with no major complaints, then they are believed to match our intuition regarding what probability is accurately. But there are areas where it doesn't work (like quantum mechanics, which is well known for being weird and counter-intuitive). But why those axioms apparently do work in our 'common' and 'everyday' probability problems? Maybe we haven't discovered a case where they fail?

Quoting The Logico-Algebraic Approach to Quantum Mechanics Volume I: Historical Evolution, C.A. Hooker Editor, page 172:

It is obvious that since the Kolmogorov axioms are rooted in empirical
experience, any change in the theory, if by such change one wants to
extend its applications to the physical world, should spring directly
from some phenomenological considerations. Anticipating our
discussions in the subsequent sections one might say that the point of
departure for the contemplated change in the model can be traced to
the remarkable discovery that the physical systems arising in quantum
physics are of such nature that one is no longer entitled to make the
assumption that the associated experimental proposition constitute a
Boolean sigma-algebra. As a consequence, the conventional i.e. the
Kolmogorov formalism of probability theory is inadequate for a precise
description of these systems. As a spectacular instance of such
failure we may mention the facts that the notion of disjoint events is
at a somewhat deeper level and that the identity
$P(A+B)=P(A)+P(B)-P(AB)$ is not always true (the examples of Feynman are
concerned with this failure among other things).

Best Answer

You seem to be tackling several issues at once. First though, some inaccuracies. You write "when creating a system of axioms like these..." I'm not sure what 'these' refers to. Then you say "it's necessary the list of axioms is complete." Do you mean by 'complete' that there is only one model of the axioms (up to isomorphism)? if so, why is that necessary for modelling probability events? You comparison with the axioms of geometry is unclear as well. If you omit the fifth, you do not automatically get hyperbolic geometry, you can also get projective geometry. To claim that any of those is not what we wanted to have is peculiar, particularly from a modern perspective. Geometry encompasses much more than just Euclidean geometry. And again, even with the fifth there is not just one (up to isomorphism) Euclidean geometry, but infinitely many (of various dimensions).

Now I will try to address the question of what is so great about Kolmogorov's axiomatisation. The mathematics of probability is fraught with difficulties, both conceptual and technical. There are endless examples of seemingly simple questions that turn out to be very complicated or have severely counter intuitive answers (The Monty Hall paradox for instance). Problems that appear identical may turn out to be significantly different just because of changes in the protocol. In short, it's not easy.

Having said that, the probability theory of finite probability spaces is quite simple, at least in the sense that it is clear how to model finite probability spaces: Given a finite set of events, the probability of a subset of events is the ratio of that subset to the entire set. Sweet. From it flows quite a lot, but only when the total set of events is finite.

Often, the set of events is infinite. For instance, modelling throwing a dart at a dartboard is often done by imagining the dart board as a disk in $\mathbb R^2$, and then a throw of a dart corresponds to a choice of a point in the disk. Of course the disk has infinitely many points. What is the probability that the dart hits a given point, say the centre of the disk? Well, assuming the dart lands randomly at a uniform distribution over all points, the only possible answer is $0$. A point is just too small. This is already counter intuitive enough and raises the question of how to model all of this. Well, this is all related to the notion of how big a set is. An innocent question with a highly complicated answer. It's not simple at all to develop the theory that answers this question - measure theory. Issues related to the axiom of choice quickly creep up. A famous theorem of Vitali shows that it is impossible (assuming the axiom of choice) to meaningfully assign a measure to each and every subset of $\mathbb R$.

Now, measure theory was not developed to provide some foundations of probability theory. Instead it arose from questions of integrability. Kolmogorov's wonderful insight was that he realised the same formalism can be used to turn the intuition of what probability theory should be (as you say, pretty obvious axioms) into actual axioms. Before measure theory and Kolmogorov's seminal contribution nobody knew how to meaningfully and accurately work with infinite probability spaces. Thanks to Kolmogorov a formalism was born. Now that is truly wonderful.

Lastly, the paragraph you quote is talking about something all together different. Quantum mechanical considerations defy many conceptually obvious properties. Among them Kolmogorov's axiomatisation of probability. In the world of quantum mechanics even probability behaves differently than what we are used to. Such is life.

Related Question