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1、TothememoryofmyteacherProf.YakovZ.Tsypkin(1919–1997):anoutstandingscientistandgreatperson.ElsevierLinacreHouse,JordanHill,OxfordOX28DP,UKRadarweg29,POBox211,1000AEAmsterdam,theNetherlandsFirstedition2009Copyrightc2009ElsevierLtd.AllrightsreservedNopartofthispublicationmayberepro
2、duced,storedinaretrievalsystemortransmittedinanyformorbyanymeanselectronic,mechanical,photocopying,recordingorotherwisewithoutthepriorwrittenpermissionofthepublisherPermissionsmaybesoughtdirectlyfromElsevier’sScience&TechnologyRightsDepartmentinOxford,UK:phone(+44)(0)1865843830;
3、fax(+44)(0)1865853333;email:permissions@elsevier.com.AlternativelyyoucansubmityourrequestonlinebyvisitingtheElsevierwebsiteathttp://www.elsevier.com/locate/permissions,andselectingObtainingpermissionstouseElseviermaterialNoticeNoresponsibilityisassumedbythepublisherforanyinjurya
4、nd/ordamagetopersonsorpropertyasamatterofproductsliability,negligenceorotherwise,orfromanyuseoroperationofanymethods,products,instructionsorideascontainedinthematerialherein.Becauseofrapidadvancesinthemedicalsciences,inparticular,independentverificationofdiagnosesanddrugdosagessh
5、ouldbemadeBritishLibraryCataloguinginPublicationDataAcataloguerecordforthisbookisavailablefromtheBritishLibraryLibraryofCongressCataloging-in-PublicationDataAcatalogrecordforthisbookisavailablefromtheLibraryofCongressISBN:9780080446738ForinformationonallElsevierpublicationsvisit
6、ourwebsiteatbooks.elsevier.comPrintedandboundinGreatBritain091010987654321PrefaceThisbookcontainsfourparts:BasicsofProbabilityDiscreteTimeProcessesContinuousTimeProcessesApplications.ThefirstpartconcernsthebasicsofProbabilityTheorywhich,infact,istheprobabilityspace.Thekeyidea
7、behindprobabilityspaceisthestabilizationoftherelativefrequencieswhenoneperforms‘independent’repetitionofarandomexperimentandrecordswhethereachtime‘event’,sayA,occursornot.DefinethecharacteristicfunctionofeventAduringtrialtD1;2;:::by .At/,namely,1ifAoccurs,i.e.,AtDA .At/VD(1)0ifn
8、otDenotedby1Xnrn.A/VD .At/(2)ntD1therelativefre
