TobyBartels comments on 0 And 1 Are Not Probabilities - Less Wrong
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PS: cumulant-nimbus above gives a brief summary of the usual approach to measure theory. The pointless approach that I advocate can be suggested from that as follows: taboo \Omega. Neel Krishnamurti's comment is implicitly using the pointless approach; his event space is cumulant-nimbus's \mathcal{F}, and he works entirely in terms of events.