The title of this section may be a little bit pretentious as we are not going to learn probability theory in just a few pages, but that is not my intention. I just want to introduce a few general and important concepts that are necessary to better understand Bayesian methods, and that should be enough for understanding the rest of the book. If necessary, we will expand or introduce new probability-related concepts as we need them. For a detailed study of probability theory, I highly recommend the book, Introduction to Probability by Joseph K Blitzstein and Jessica Hwang. Another useful book could be Mathematical Theory of Bayesian Statistics by Sumio Watanabe, as the title says, the book is more Bayesian-oriented than the first, and also heavier on the mathematical side.