This lesson is the first of many that discuss probability functions.  We begin the discussion of probability functions with the cumulative distribution function (CDF).  The CDF is defined and illustrated through an example.  Properties of the CDF are presented.  These properties are often used as the definition of the CDF.  The same example and another is used to illustrate these properties.  Continuous and discrete random variables are defined, and a continuous CDF is illustrated via a third example.  The lesson ends with the definitions of identically distributed random variables.