TITLE: Different notations of probability
QUESTION [0 upvotes]: I have seen probability density functions defined as $p(x)$ or $p_X(x)$ or $f(x)$  or $F'(x)$. What does each of these notations mean in context and when should I use one over another?
Do they all mean the same and exist as functions to begin with?

REPLY [2 votes]: $f_X(x)$ is the conventional notation for probability density function of the continuous random variable $X$.   Though it can also be so used, $p_X(x)$ is more often used for a probability mass function of a discrete random variable, $X$.
$F_X(x)$ is usual notation for a cumulative distribution function.   If the random variable is continuous and real valued, then $F'_X(x)$ is the density function.
When the identity of the random variable is implicitly understood, then it is permissible to omit the identifying subscript.   Many engineering or physics texts feel that lowercase token, $x$, is sufficient to do this.   This may save typesetting but really should not be done when discussing multiple random variables.
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