I mostly deal with measure and probability theory and quite often, whenever I look up something on wikipedia, I see the mathematical objects defined on a locally compact Hausdorff space.
I have very little background in topology and while I do understand the definition, why do I see this space so often is something that you can't simply see from the definition itself.
My guess is that it is in some sense a generalisation of the spaces we deal with (say $\mathbb R^n$), which is general enough to include a variety of spaces, but restricted enough to keep the nice properties we want. Similar to, say, formulating results in analysis in a metric space (even if we're mostly interested in $\mathbb R^n$ or even $\mathbb R$), or probability results formulated in $\sigma$-finite spaces (even though we really have a finite space).
Therefore: is the guess above correct? If so, what are some of the nice properties? Is there a particular connection to probability theory?
I would consider answering the first question sufficient, but would very much welcome a context along the lines of the second and third question.
Thank you.
I know little topology, but since people aren't answering, I thought I would share at least some thoughts.
I think your guess is correct (though with how it's written, I'm not sure whether a guess like that could be wrong).
Paraphrasing Topology - James R. Munkres, two very well behaved spaces that we can hope to work with would be metrizable spaces, and compact Hausdorff spaces. If a space is not one of those, then what we could hope for, is that it is a subspace of one of those. Since a subspace of a metrizable space is still metrizable, that's not really something we have to consider, but a subspace of a compact Hausdorff space does not have to be a compact Hausdorff space.
It turns out, that a locally compact Hausdorff space which is not itself compact, is a subspace of a compact Hausdorff space that only has one additional point in it, and it is also dense in this space - this compact Hausdorff space is called one point compactification, and it is guaranteed to exist for any locally compact Hausdorff space (and to be exact, existence of one point compactification for some space $X$ is equivalent to the space $X$ being a locally compact Hausdorff space).
There's also the fact, that for any closed or open set $A$ in a locally compact Hausdorff space, $A$ itself is locally compact Hausdorff subspace.
A bit more information about the one point compactification:
https://en.wikipedia.org/wiki/Alexandroff_extension