欢迎来到天天文库
浏览记录
ID:34494315
大小:713.27 KB
页数:21页
时间:2019-03-06
《随机过程(2013)-第三讲-article》由会员上传分享,免费在线阅读,更多相关内容在教育资源-天天文库。
1、OutlineContents1111nnnùùù²²²•••‘‘‘ÅÅÅLLL§§§11.1‘ÅL§²•5...........................11.2°²•L§ƒ'¼ê†Ì—Ý...................81.3°²•L§õÇÌ—Ý.......................101.4‘ÅL§ˆ{²5........................171.5xD(‘ÅL§............................201.6....................
2、.................211111nnnùùù²²²•••‘‘‘ÅÅÅLLL§§§1.1‘‘‘ÅÅÅLLL§§§²²²•••555îîî²²²•••LLL§§§£££ddd²²²•••LLL§§§¤¤¤X(t)´˜‡‘ÅL§"XJé?¿2R§kž£ØC5FX(x1;:::;xk;t1;:::;tk)=FX(x1;:::;xk;t1+;:::;tk+)d/fX(x1;:::;xk;t1;:::;tk)=fX(x1;:::;xk;t1+;:::;tk+)K¡X(t)´˜‡î²•‘ÅL
3、§"élÑGL§§Œ^éÜVǼê5£ãPfX(t1)=x1;:::;X(tk)=xkg=PfX(t1+)=x1;:::;X(tk+)=xkgélÑžmL§§^VÇŸþ¼ê5£ã§êŠPfX(n1)=x1;:::;X(nk)=xkg=PfX(n1+)=x1;:::;X(nk+)=xkg~~~KKK3:1N(t)~~~3:1Poisson‘Å>&Ò£˜‡lÑGL§¤X(t)=X(0)( 1)§Ù(t)k t¥N(t)´PoissonL§£PfN(t)=kg=e¤"k!1)PfX(0)=1
4、g=1=HXZhou2ž§X(t)´î²•‘ÅL§¶2)PfX(0)=1g6=1=2ž§-t!1§KX(t)ªu˜‡î²•‘ÅL§")))µµµÄky§X(t)´˜‡MarkovL§"PfX(tk+1)=xk+1jX(tk)=xk;X(tk 1)=xk 1;:::;X(t1)=x1g1(1+e 2(tk+1 tk));ifxPfN(tk+1 tk)=eveng=k+1=xk=21(1 e 2(tk+1 tk));ifxPfN(tk+1 tk)=oddg=k+16=xk2=PfX(tk+1)=xk+1jX(
5、tk)=xkg1~~~KKK3:1
6、^MarkovL§5ŸÚþ¡VÇOŽúªÑPfX(t1)=x1;:::;X(tk)=xkg=PfX(t1)=x1gPfX(t2)=x2jX(t1)=x1gPfX(tk)=xkjX(tk 1)=xk 1g±9PfX(t1+)=x1;:::;X(tk+)=xkg=PfX(t1+)=x1gPfX(t2+)=x2jX(t1+)=x1gPfX(tk+)=xkjX(tk 1+)=xk 1g=PfX(t1+)=x1gPfX(t2)=x2jX(t1)=x1g
7、PfX(tk)=xkjX(tk 1)=xk 1g~~~KKK3:1þ¡üª«O3uÏfPfX(t1)=x1gÚPfX(t1+)=x1g"1)PfX(0)=1g=1=2ž§A^~2:11OŽúªŒPfX(t1)=x1g=PfX(t1+)=x1g=1=2“£c¡ü‡úª§ÑPfX(t1)=x1;:::;X(tk)=xkg=PfX(t1+)=x1;:::;X(tk+)=xkg=X(t)´î²•‘ÅL§"~~~KKK3:12)y3b½PfX(0)=1g=p6=1=2;PfX(0)= 1g=1 pu´£ùp
8、^/ªþØÓu~2:11OŽ{§•Œ±E^~2:11OŽ{¤N(t)PfX(t)=1g=PfXHXZhou(0)( 1)=1g=PfX(0)=1;N(t)=Even_Numberg+PfX(0)= 1;N(t)=Odd_Numberg£ŒŒ5¤=PfX(0)=1gPfN(t)=Even_Numberg+PfX(0)= 1gPfN(t)=Odd_Numberg£¯‡Õá5¤p 2t1 p 2t1 2t=1+e+1 e=1+(2p 1)e2222~~~KKK3:1¤±limPfX(t)=1g=
9、1=2t!1limPfX(t)= 1g=1 1=2=1=2t!1000t¿©Œ§¦PfX(t)=1g1=2§KttžPfX(t1)=x1g1=2PfX(t1+)=x1g=1=2u´PfX(t1)=x1;:::;X(tk)=xkgPfX(t1+)=x1;:::;X(tk+)=xkg=X(t)•˜‡Cq‘ÅL§"îîî
此文档下载收益归作者所有