From coin tossing to stochastic differential equations
Tossing a coin many times naturally leads to an interest in certain types of paths on a line, in a plane, in space… The random nature of these experiments means that their study goes beyond the classical framework of ordinary differential equations.
At the heart of probability lie random experiments and random variables. An experiment is called random when it is impossible to predict the outcome—that is, what will happen—in advance and with certainty. It is also required that, when the experiment is repeated several times (always under the same conditions), different results are obtained. For example, drawing colored balls from a bag is a random experiment only if the bag contains balls of different colors.
The coin toss
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Another well-known example of a random experiment is the coin toss. For a single toss, the possible outcomes are "Tails" and "Heads" (and possibly "Edge," but who has actually ever gotten "Edge," seriously?). This set of possible outcomes is called the sample space. If we are interested in several tosses, the sample space consists of all the possible combinations of "Tails" and "Heads." From these basic building blocks, we can construct events. Here are a few, in the case of two tosses: "Getting Heads then Tails," "Getting Tails at least once."
It is possible to represent the chance of an event occurring by a number between 0 and 1, called the probability of the event.