Development of Mathematical Theory of Probability: Historical Review
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Development of Mathematical Theory of Probability: Historical Review In the history of probability theory, we can distinguish the following periods of its development (cf. [34, 46]∗): 1. Prehistory, 2. First period (the seventeenth century–early eighteenth century), 3. Second period (the eighteenth century–early nineteenth century), 4. Third period (second half of the nineteenth century), 5. Fourth period (the twentieth century). Prehistory. Intuitive notions of randomness and the beginning of reflection about chances (in ritual practice, deciding controversies, fortune telling, and so on) ap- peared far back in the past. In the prescientific ages, these phenomena were regarded as incomprehensible for human intelligence and rational investigation. It was only several centuries ago that their understanding and logically formalized study began. Archeological findings tell us about ancient “randomization instruments”, which were used for gambling games. They were made from the ankle bone (latin: astra- galus) of hoofed animals and had four faces on which they could fall. Such dice were definitely used for gambling during the First Dynasty in Egypt (around 3500 BC), and then in ancient Greece and ancient Rome. It is known ([14]) that the Roman Emperors August (63 BC–14 AC) and Claudius (10 BC–54 AC) were passionate dicers. In addition to gambling, which even at that time raised issues of favorable and unfavorable outcomes, similar questions appeared in insurance and commerce. The oldest forms of insurance were contracts for maritime transportation, which were found in Babylonian records of the 4th to 3rd Millennium BC. Afterwards the prac- tice of similar contracts was taken over by the Phoenicians and then came to Greece, Rome, and India. Its traces can be found in early Roman legal codes and in legis- lation of the Byzantine Empire. In connection with life insurance, the Roman jurist Ulpian compiled (220 BC) the first mortality tables. ∗ The citations here refer to the list of References following this section. © Springer Science+Business Media, LLC, part of Springer Nature 2019 313 A. N. Shiryaev, Probability-2, Graduate Texts in Mathematics 95, https://doi.org/10.1007/978-0-387-72208-5 314 Development of Mathematical Theory of Probability: Historical Review In the time of flourishing Italian city-states (Rome, Venice, Genoa, Pisa, Flo- rence), the practice of insurance caused the necessity of statistics and actuarial cal- culations. It is known that the first dated life insurance contract was concluded in Genoa in 1347. The city-states gave rise to the Renaissance (fourteenth to early seventeenth cen- turies), the period of social and cultural upheaval in Western Europe. In the Italian Renaissance, there appeared the first discussions, mostly of a philosophical nature, regarding the “probabilistic” arguments, attributed to Luca Pacioli (1447–1517), Celio Calcagnini (1479–1541), and Niccolo` Fontana Tartaglia (1500–1557) (see [46, 14]). Apparently, one of the first people to mathematically analyse gambling chances was Gerolamo Cardano (1501–1576), who was widely known for inventing the Car- dan gear and solving the cubic equation (although this was apparently solved by Tartaglia, whose solution Cardano published). His manuscript (written around 1525 but not published until 1663) “Liber de ludo aleae” (“Book on Games of Chance”) was more than a kind of practical manual for gamblers. Cardano was first to state the idea of combinations by which one could describe the set of all possible outcomes (in throwing dice of various kinds and numbers). He observed also that for true dice “the ratio of the number of favorable outcomes to the total number of possible outcomes is in good agreement with gambling practice” ([14]). 1. First period (the seventeenth century–early eighteenth century). Many math- ematicians and historians, such as Laplace [44](seealso[64]), related the beginning of the “calculus of probabilities” with correspondence between Blaise Pascal (1623– 1662) and Pierre de Fermat (1601–1665). This correspondence arose from certain questions that Antoine Gombaud (alias Chevalier de Mer´ e,´ a writer and moralist, 1607–1684) asked Fermat. One of the questions was how to divide the stake in an interrupted game. Namely, suppose two gamblers, A and B, agreed to play a certain number of games, say a best-of-five series, but were interrupted by an external cause when A has won 4 games and B has won 3 games. A seemingly natural answer is to divide it in the proportion 2 : 1. Indeed, the game certainly finishes in two steps, of which A may win 1 time, while B has to win both. This apparently implies the proportion 2 : 1. However, A has won 4 games against 3 won by B, so that the proportion 4 : 3 also looks natural. In fact, the correct answer found by Pascal and Fermat was 3 : 1. Another question was: what is more likely, to have at least one 6 in 4 throwings of a dice or to have at least one pair (6, 6) in 24 simultaneous throwings of two dice? In this problem, Pascal and Fermat also gave a correct answer: the former combination is slightly more probable than the latter (1 − (5/6)2 =0.516 against 1 − (35/36)2 =0.491). In solving these problems, Pascal and Fermat (as well as Cardano) applied com- binatorial arguments that became one of the basic tools in “calculus of probabil- ities” for the calculation of various chances. Among these tools, Pascal’s triangle also found its place (although it was known before). In 1657, the book by Christianus Huygens (1629–1695) “De Ratiociniis in Ludo Aleæ” (“On Reasoning in Games of Chance”) appeared, which is regarded as the Development of Mathematical Theory of Probability: Historical Review 315 first systematic presentation of the “calculus of probabilities”. In this book, Huy- gens formulates many basic notions and principles, states the rules of addition and multiplication of probabilities, and discusses the concept of expectation. This book became for long the main textbook in elementary probability theory. A prominent figure of this formative stage of probability theory was Jacob (James, Jacques) Bernoulli (1654–1705), who is credited with introducing the clas- sical concept of the “probability of an event” as the ratio of the number of outcomes favorable for this event to the total number of possible outcomes. The main result of J. Bernoulli, with which his name is associated, is, of course, the law of large numbers, which is fundamental for all applications of probability theory. This law, stated as a limit theorem, is dated from 1713 when Bernoulli’s trea- tise “Ars Conjectandi” (“The Art of Guessing”) was published (posthumously) with involvement of his nephew Nikolaus Bernoulli (see [3]). As was indicated by A. A. Markov in his speech on the occasion of the 200th anniversary of the law of large numbers (see [56]), J. Bernoulli wrote in his letters (of October 3, 1703, and April 20, 1704) that this theorem was known to him “already twelve years ago”. (The very term “law of large numbers” was proposed by Poisson in 1835.) Another member of the Bernoulli family, Daniel Bernoulli (1667–1748), is known for probability theory in connection with discussion regarding the so-called “St. Petersburg paradox”, where he proposed to use the notion of “moral expecta- tion”. The first period of development of probability theory coincided in time with the formation of mathematical natural science. This was the time when the concepts of continuity, infinity, and infinitesimally small quantities prevailed. This was when Is- saac Newton (1642–1727) and Gottfried Wilhelm Leibniz (1646–1716) developed differential and integral calculus. As A. N. Kolmogorov [34] wrote, the problem of that epoch was to “comprehend the extraordinary breadth and flexibility (and om- nipotence, as appeared then) of the mathematical method of study of causality. The idea of a differential equation as a law which determines uniquely the evolution of a system from its present state on took then even more prominent position in the mathematical natural science then now. The probability theory is needed in the mathematical natural science when this deterministic approach based on differen- tial equations fails. But at that time there was no concrete numerical material for application of probability theory.” Nevertheless, it became clear that the description of real data by deterministic models like differential equations was inevitably only a rough approximation. It was also understood that, in the chaos of large masses of unrelated events, there may appear in average certain regularities. This envisaged the fundamental natural- philosophic role of the probability theory, which was revealed by J. Bernoulli’s law of large numbers. It should be noted that J. Bernoulli realized the importance of dealing with in- finite sequences of repeated trials, which was a radically new idea in probabilistic considerations restricted at that time to elementary arithmetic and combinatorial tools. The statement of the question that led to the law of large numbers revealed 316 Development of Mathematical Theory of Probability: Historical Review the difference between the notions of the probability of an event and the frequency of its appearance in a finite number of trials, as well as the possibility of determina- tion of this probability (with certain accuracy) from its frequency in large numbers of trials. 2. Second period (the eighteenth century–early nineteenth century). This period is associated, essentially, with the names of Pierre-Remond´ de Montmort (1678– 1719), Abraham de Moivre (1667–1754), Thomas Bayes (1702–1761), Pierre Si- mon de Laplace (1749–1827), Carl Friedrich Gauss (1777–1855), and Simeon´ De- nis Poisson (1781–1840). While the first period was largely of a philosophical nature, in the second one the analytic methods were developed and perfected, computations became necessary in various applications, and probabilistic and statistical approaches were introduced in the theory of observation errors and shooting theory.