The laboratory was founded in 1960 by late Academician Andrej N. Kolmogorov under the name "Interfaculty Laboratory of statistical methods". Yuri Belyaev, Yakov Sinai, Vladimir Tikhomirov, Tamara Toporishcheva and Aleksandra Artemeva were the first research staff members. Later on Vasili Nalimov, Nikolaj Krylov, Igor Girsanov, Lev Meshalkin, Yuri Tuyrin and other famous scientists joined in. The laboratory has been successfully growing ever since, and by 1975 it consisted of four research divisions, Queuing Theory and Reliability Theory (Yu. Belyaev), Mathematical Statistics (I. Zhurbenko), Mathematical Biology (V. Nalimov) and Mathematical Geology (A. Shurygin).

The Faculty of Mechanics and Mathematics absorbed the "most mathematical part" of the laboratory in 1976, and three separate laboratories inside the Faculty were formed on its basis, Laboratory of Mathematical Statistics, Laboratory of Probability and Laboratory of Computer Tools in Statistics.Yuri Belyaev served as the first Head of Laboratory of Probability during 1975 -- 1997. Two research seminars have been running for a long time,

The seminars were well known outside the University, as mathematicians from all over Moscow and other cities converged to the seminars to discuss the research. The seminars were also used as a "proving ground" for young aspiring mathematicians who frequently presented their dissertations to the participants.

The Laboratory of Probability Theory was (and still is!) active in promoting other forms of communications between mathematicians. It helped organize a number of national conferences on topics like Queuing Theory, Gaussian Processes and such (in Pushino, Petrodvorets, Baku, Erevan).

The laboratory participates in the educational process at the Department. A number of mandatory and extra-credit courses in Mathematical Statistics, Gaussian Processes, Survival Analysis are annually taught by the members of the staff. The laboratory members serve as supervisors for students doing their master theses. Senior members (Yu. Belyaev, V. Piterbarg, A. Komech) supervise Ph.D. students specializing in Probability Theory.

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