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This lecture serves as an introduction to advanced probability in applications, assuming prior knowledge of basic probability concepts. The instructor explains key notations and conventions used throughout the course, focusing on discrete sets, random variables, and functions. Emphasis is placed on clarifying the meanings of symbols such as capital and small letters, as well as the distinctions between non-negative, positive, and strictly positive values. Additionally, conventions for denoting open and closed intervals in real numbers are discussed. The lecture highlights the foundational role of measure theory in probability, while aiming to provide a theoretical framework without overwhelming students with unnecessary details. It is tailored for individuals in communication and computer science at the master's level.