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519.

2
22.171
49

..
. ..

49

..
. 2- , . .: . 2011.
312 .
ISBN 978-5-211-05827-9
, (
. .. ) ,
, , , , .
, , , , .
150 .
,
,
.
: ; ; ;
; .
G.P. Klimov, PhD, D.Sc. (Prof. of Appl.Math & Computer Modeling Dept.,
Gubkin Russian State Oil & Gas University) has lectured in mathematical
statistics at Moscow University. His scientific interests lie in the field of random
processes, queue theory, invariant statistical inference, and applied mathematical
statistics. He is the author of more than 150 papers and 20 books published in
Russia, German, English, Polish, French, Bulgarian. Prof. G. P. Klimov has also
held courses of lectures at the Sorbonne, Universities of Liege, Brussels, Berlin,
Madagascar, USA(St.Louis, Chicago), and Stefan Banach international mathematical center in Warsaw.
Key words: Queue; regenerative input; Klimovs model; service time;
time-sharing; priority service system.
519.2
22.171

ISBN 978-5-211-05827-9

, 2011


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1. . . . . . . . . . . . .
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49
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2. . . . . . .
0. ; ,
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1. . . . . . . . . . . . . . . . . . . . . . . . . .
2. , . . . . . .
3. ; , ;
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79

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44
46

79
83
100

103

4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5. ( ) . . . . . . . . . .
6. . . . . . . . . .
7. ,
8. , . .
9. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
10.

118
120
131
134
137
142
155

3. . . .
0. ;
, , . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1. , , . . . . . . . . . . . . . . .
2. ;
, , . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3. , , . . . . . . . . . . . . . . . . . . . . . . . .
4. ; , . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
5. ; , . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6. . . . . . . . . . . .
7. , ( );
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8. , . . .
9. ,
; , . . . . . . . . . . . . . . . . . . . . . . . . .
10. ( , ) . . . . . . . . .
11. ; . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
12.
. . . . . . . . . . . . .

211

4.
0. . . . . . . . . . . . . . . . . . . . . . . . .
1. . . . . . . . . . . . . . . . . . . . . . . . . .
2. . . . . . . . . . . . .
3. . . . . . . . . . . . . . . . . . . .
+

4. N
N
. . . . . . . . . . . . . . . . .
+
5. nN n(t) . . . .

218
218
219
220
222
227
228

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.

160
160
170
172
175
178
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203


6.
7.
8.
9.
10.


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5.
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0. . . . . . . . . . . . . . . . . . . .
1. . . . . . . . . . . . . . . . . . . . . .
2. ; . . . . . . . . . . . . . . . . . . . . . .
3. . . . . . . . . . . . . . . . . . . . .
4. 1 . . . . . . . . . . . . . . . . . .
5. 2 . . . . . . . . . . . . . . . . . .
6. 3 . . . . . . . . . . . . . . . . . .
7. 4 . . . . . . . . . . . . . . . . . .

5
232
233
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243
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256
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257

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3. . . . . . . . . . . . . . . . . . . . . . .
4. . . . . . . . . . . . . . . . . . . . . . . . . .
5.
6. . . . . . . . . . . . . . . .
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265
265
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270
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276

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302

277
281
282
284
286
287



. .
: (1) (2) -.
,
, , .
,
, , (, , )
.

. , ,

.

, , ,
.
.
0
1 ( ,
2)
: , , , . (t), , ,
lim P {(t) B} = P (B), P .
t
2 , . , (
)
. -

.
(
0). ,
, (- ) .
[3] . . ., [14] . . , . . . N. K. Jaiswell, Priority Queues,
Academic Press, NY, 1968.
0
. , ,
, (t)
t. B(x/t),
t . ,
Zt
(t) = B(t u/u) d(u). , (t) 0

t, {(t), t > 0}. ,



n
o
T
P {(t) 6 n, 0 6 t 6 T } = lim P (tk ) 6 n; k = 0, 1, . . . , N ; tk = k
,
N

, [0, T ]
n (..
). .
4 , -
/ . , .. , .
4 , , . G. P. Klimov,
"Timesharing service systems I, "Theory Probability Appl., volume 19,
Issue 2, Pages 558576, 1974 G. P. Klimov, "Timesharing service

systems II,"Theory Probability Appl., volume 23, Issue 2, Pages 331339,


1978. (. Jean Walrand
An introduction to Queueing Networks, Prentice Hall, Englewood Clis,
New Jersey Jose Ni
noMora, Wiley EORMS (Encyclopedia of
Operations Research and Management Science), 2010 John Wiley & Sons,
Inc., Published Online, 2011)
.
5 , .
,
:
;

,
;
;
;
, ;
.
150 .
,
.


.. ;
.. ;
E ;
Zt
A(t) B(t) = A(t x) dB(x) .
0

, , ;

,
Z
Z
st
(s) = e
dA(t); k (s) = est dWk (t);
0


, ( ),
2 =

Z
0

t2 dA(t), k1 =

t dWk (t); k = (1)k (k) (0);

x a : x a, a;
x a : x a, a.

0

0.
,
, .
.
, , , ..
(t) , t.
, t = 0 .
, 1) (0) = 0; 2) (t) t > 0
; 3) (t) .
(t)
() .
() (t) ,
n > 1 1 , . . . , n
{(1 ), . . . , (n )}
(!)
. t1 , t2 , . . . ; tk > tk1 k > 1 t0 = 0.
zk = tk tk1 , k > 1.
, ( , ..), n > 1

(z1 , . . . , zn ).
z1 , z2 , . . . ,

.

Ak (t) = P {zk < t}, k > 1.
, A2 (t) = A3 (t) =
= . . . = A(t), ,
A1 (t) A(t).

0.

11

Ak (t) = A(t), k > 1, ,


A(t).
, A(t) = 1 eat t > 0, a
, ;
a .
(t) , (t) , .. n > 1
0 = 0 < 1 < . . . < n ( )
(k ) (k1 ), k = 1, . . . , n
.
(t) , n > 1 1 , . . . , n
{(c + k ) (c), k = 1, . . . , n}
c > 0.
, ,
n = 1.
(t) , t > 0
P {(t + h) (t) > 2/(t + h) (t) > 1} 0
h 0. , (t + h) (t) ,
[t, t + h) h.

().

P {(h) > 2/(h) > 1} 0 h 0.

.
, .
, , . 1 (t) 2 (t) ,
n > 1
1 , . . . , n
{1 (k ), k = 1, . . . , n} {2 (k ), k = 1, . . . , n}
. , ,
.

12

. 0.
1.

.
, , . 3.
,
1) , , ..
P {(t) < +} = 1 t > 0;
2) t > 0 ,
0 < P {(t) = 0} < 1.
(t) , n > 1, 0 = 0 < 1 < . . . < n
k1 , . . . , kn
P {(i ) (i1 ) = ki , i = 1, . . . , n} =

n
Y

i=1

P {(i i1 ) = ki }.

(t)
Pk (t) = P {(t) = k}
k = 0, 1, 2., . . . t > 0. ,
a > 0 ,
Pk (t) =

(at)k at
e , k > 0; t > 0.
k!


E(t) =

(1)

kPk (t) = at,

k>0

a (
, ).
,
P0 (x + y) = P0 (x) P0 (y)
x > 0, y > 0. P0 (x) x,

P0 (x) = px , p = P0 (1)

1.

13

(!). 2) 0 < p < 1. p = ea ,


a .
P0 (t) = eat .

(2)

.
z , 0 6 z < 1. z 1 z
. Pk (t)z k , X
t k
, a
Pk (t)z k , t k>0

. ,
, 2). , t
, eta(z) .
,
X
Pk (t)z k = eta(z) .
k>0

t > 0 z 0 6 z 6 1, P0 (t) = eat z = 0 1 z = 1 (


a(z) z = 1). , a(z) = a[1 p(z)],

X
Pk (t)z k = eat[1p(z)] ,
(3)
k>0

p(z) z [0, 1], p(0) = 0, p(1) = 1.


.
. k > 1
Pk (t)
= P {(t) = k/(t) > 1},
1 P0 (t)

(3)
P0 (t) + z[1 P0 (t)]P {(t) = 1/(t) > 1} + (t, z),

(t, z) =

k>2

Pk (t)z k 6

k>2

Pk (t) = P {(t) > 2} =


= [1 P0 (t)]P {(t) > 2/(t) > 1} = (t),

, . (2),
1 at + zatP {(t) = 1/(t) > 1} + 0(t) t 0,

(4)

14

. 0.

0 6 z 6 1
0 6 (t, z) 6 (t) = 0(t).
(3) t 0
1 at + atp(z) + o(t).

(5)

(4) (5)
p(z) = zP {(t) = 1/(t) > 1} +

o(t)
t 0,
t

,
lim P {(t) = 1/(t) > 1} = p1
t0

p(z) = zp1 . p(1) = 1, p1 = 1, .. p(z) = z. ,


X
Pk (t)z k = eat(1z) .
(6)
k>0

(6) z 0 6 z 6 1. (6) z
, (1). ,
a
.
2.
. .
1 . a.
2 . T [T, T + h) ah + o(h) h 0, , T (..
(t) T ).
3 . T ,
1 eat , t > 0, ,
T .
4 . a, .. ,
1 eat , t > 0.

2.

15

, ,
1 2 3 4 1 .
1 2 . T ,
[T, T + h) , (T ) T ( )
T ( ). P0 (h) =
= eah . , [T, T + h)
1 P0 (h) = 1 eah = ah + o(h) h 0.
2 3 . , T , . (t) T A(t)
. h
{ < t + h}
{ < t} { > t; t 6 < t + h}. 2

A(t + h) = A(t) + [1 A(t)][ah + o(h)],

A(t + h) A(t)
o(h)
= [1 A(t)]a +
.
h
h

, A (t) ( t
t h, A(t)
t > 0, )
A (t) = [1 A(t)]a.
, A(+0) = P { = 0} = 0,
A(t) = 1 eat t > 0.
3 4 . n
, z1 , . . .
. . . , zn . n- (n + 1)-
zn+1 < t ,
P {zn+1 < t/z1 , . . . , zn }.
, 1 eat ,
3 T =
= z1 + . . . + zn T + t e T , .. z1 , . . . , zn ,

16

. 0.

1 eat . ,

P {zn+1 < t/z1 , . . . , zn } = 1 eat ,

.. zn+1 ,
z1 , . . . , zn , e n .
4 .
4 1 . . , ..
P { < t} = 1 eat , t > 0; a > 0;
> 0
P { < t/ > } = P { < t}.
.
P { < t/ > } = P { > } P { < t/ > }.

(1)

Ho
P { < t, > } = P { 6 < t + } =

= 1 ea(t+ ) (1 ea ) = ea (1 eat ).

, P { > } = ea ; (1)

ea (1 eat ) = ea P { < t/ > },

P { < t/ > } = 1 eat = P { < t}.


, ,
,
, ,
, , , . ,
.

P {(t) > 1} = P {z1 < t} = 1 eat P {(t) > 2} = P {z1 + z2 < t} 6

6 P {z1 < t, z2 < t} = P {z1 < t} P {z2 < t} = (1 eat )2 ,

P {(t) > 2/(t) > 1} = P {(t) > 2}/P {(t) > 1} 6 1 eat 0
t 0.

3.

17

3.
1 ,
Pk (t) = P {(t) = k}, k = 0, 1, 2, . . . ; t > 0.
, , . (2) 1,
X
Pk (t)z k = eat[1p(z)] ,
(1)
k>0

0 6 z 6 1, a > 0 p(z) [0, 1] , p(0) = 0,


p(1) = 1.
. p(z)
X
p(z) =
pk z k ,

(2)

k>1

pk = lim P {(t) = k/(t) > 1}.


t0

(3)

. (1)
z , ( , z , )
X
X
X


Pk (t)z k 6
Pk (t)|z|k <
Pk (t) = 1

k>0

k>0

k>0

|z| < 1 t > 0, p(z)


z , ( (2) k = 1, p(0) = 0).
(1) eat eatp(z) , , k- z
dk at[1p(z)]
e
= Qk (t; z)eat[1p(z)] ,
dz k

(4)

Qk (t; z) t k , p(z) k- . Qk , t
ap(k) (z). z = 0 t 0, (4)
(p(k) (0) = k!pk )
at k!pk + o(t), k > 1.

18

. 0.

k- (1) no z
z = 0 k!Pk (t),
Pk (t) = atpk + o(t) t 0.

lim
t0

Pk (t)
= pk .
at

(5)

1 , (.
(1) 1) P0 (t) = eat . 1 P0 (t) = at + o(t) t 0
Pk (t)
= P {(t) = k/(t) > 1}, k > 1,
1 P0 (t)

(5) (3).
, . , a,
, k pk , k > 1,
.
. .
. Pk (t) t k , k = 0, 1, 2, . . .. , ,
Pk (t), k = 0, 1, 2, . . . ; t > 0.
,
Pk (t) = Pk (t), k = 0, 1, 2, . . . ; t > 0,
(1)

Pk (t)z k = eat[1p(z)]

(6)

k>0

0 6 z 6 1. z 1 z
.
(6) , t
. . , ,
, . ,

4.
19
X

pk z k = p(z).
k>1

Pk (t) , t k . Pk (t)[p(z)]k , t k ,

X
,
Pk (t)[p(z)]k
k>0

, t
( ), ,
t ,
..
X
X
Pk (t)z k =
Pk (t)[p(z)]k .
k>0

k>0

(6), , Pk (t) =
=

(at)k at
e , . (1) 1.
k!

. , (t) = {1 (t), . . . , r (t)} r.


. .
k = (k1 , . . . , kr ),

z = (z1 , . . . , zr ),

z k = z1k1 . . . zrkr , |k| = k1 + . . . + kr .


, (t) > 1, , |(t)| > 1. , k (t)
zk , 0 6 zk 6 1.
4.
[0, +) 0 = x0 < x1 < x2 < . . .
[x0 , x1 ), [x1 , x2 ), . . .

(1)

a(t) np t > 0, an , t [xn1 , xn ),


n > 1. , [xn1 , xn ) an . -,
(t) , t.
(t), t > 0, , , = [x, y), x < y,

20

. 0.

() = (y) (x),

Pk () = P {() = k}, k = 0, 1, . . . ; = [x, y), 0 6 x < y.


,
Pk () =

[(y) (x)]k [(y)(x)]


e
,
k!

(x) =

Zx

a( ) d x > 0.

(2)

(3)

(1), (2) . 1 6 m < n


xm1 6 x < xm < . . . < xn1 < y 6 xn .
xm , xm+1 . . . , xn1 [x, y) m , . . . , n :
m = [x, xm ), m+1 = [xm , xm+1 ), . . . , n = [xn1 , y),
a(t) am , . . . , an .
n
X
() =
(i ).
i=m

(m ), . . . , (n ) ( am |m |, . . . , an |n | ( |i | i )),

am |m | + . . . + an |n | =

Zy
x

a( ) d = (y) (x),

.
a(t) t > 0 , a(t) > 0 [0, T ], T > 0. (t) , (2)(3).
() a(t).

E(x) = (x)

5.

21

. a (x) = ax. , (x) [0, ).


(t) , (2).
(x).
5.
t1 , t2 , . . .
; tn+1 > tn , n > 1.
An (t) = P {tn < t}, Pn (t) = P {(t) = n}, n = 0, 1, . . . ;
t0 = 0 (t) , t. An (t) Pn (t)
(1)

An (t) = Pn (t) + An+1 (t), n > 0.


s > 0 |z| 6 1
n (s) = Ee

stn

st

dAn (t) =

Z
0

EZ

(t)

An (t) d(1 e

st

)=s

est An (t) dt;

Pn (t)z .

n>0

(1)
s

Z
0

est Pn (t) dt = n (s) n+1 (s),


Z
X
(z, s) = s est Ez (t) dt =
z n [n (s) n+1 (s)].
0

(2)

(3)

n>0

1. . zn = tn tn1,n > 1,
, z1 , z2 , . . . .. A(t). ,
. s > 0
Z
szn
(s) = Ee
= est dA(t).
0

22

. 0.

(2)(3),
tn = z1 + . . . + zn , n (s) = Eestn = [(s)]n , n > 1, 0 (s) 1,

s

Z
0

est Pn (t) dt = [(s)]n [1 (s)], n > 0;

(z, s) = s

1 (s)
.
1 z(s)

est Ez (t) dt =


[0, t), .
X
B(z, t) = E(1 + z)(t) =
z k Bk (t),
k>0

Bk (t) =

Cnk Pn (t).

n>k

,
B1 (t) =

nPn (t) = E(t),

n>0

B2 (t) =

X n(n 1)
2!

n>2

1
2

1
2

Pn (t) = E 2 (t) E(t).

(z, s) = s

est B(z, t) dt = (1 + z, s) =

X (s)
1 (s)
=
z
1 (s) z(s)
1 (s)
k>0

ik

z k k (s).

k>0


k (s) = s

Z
0

est Bk (t) dt =

h (s) ik
1 (s)

, k > 0.

2. . z1 , z2 , . . .

6.

23

, . s > 0
1 (s) = Eesz1 , (s) = Eeszn , n > 2.
(2)(3), (tn = z1 + . . . + zn )
n (s) = Eestn = 1 (s)[(s)]n1 , n > 1,

s

est Pn (t) dt = 1 (s)[(s)]n1 [1 (s)], n > 1;

est P0 (t) dt = 1 1 (s);

(z, s) = s

Z
0

est Ez (t) dt = 1 1 (s) + z1 (s)

1 (s)
.
1 z(s)

(4)

(t) ,
.
. ,
A1 (t) A(t), ,
A1 (t) = a

Zt
0

, A(+0) < 1 a

[1 A(u)] du.

t dA(t) < +.

6.
, ;
k ak
; k = 0, 1, 2, . . ..
X
(z) =
ak z k , |z| 6 1; |(1)| = 1.
k>0

24

. 0.

(, ),
.
, , {ak , k > 0} , .
( ),
( ). (t) [0, t), a (t) , [0, t).
Pk (t) = P {(t) = k}, Pk (t) = P { (t) = k}, k > 0.

Pn (t)z n =

Pk (t)[(z)]k

(1)

= E[(z)](t) , |z| 6 1,

(2)

n>0

k>0


Ez

(t)

. z, 0 6 z 6 1,
, ,

z
X
. , , (z) =
ak z k
k>0

,
. [0, t)
,
X
Pn (t)z n ,
n>0

, [0, t) ,
X
Pk (t)[(z)]k .
k>0

, (1) 0 6 z 6 1, (1) ,
|z| 6 1.

(z, s) = s

Z
0

st

Ez

(t)

dt,

(z, s) = s

Z
0

est Ez

(t)

dt,

7.

25

(2)
(z, s) = ((z), s).
(z, s) .
. , . ,
E (t) = E E(t);

var (t) = (E)2 var (t) + var E(t).


7.
, , t1 , t2 , . . .
. , tn n-
wn , n > 1. , w1 , w2 , . . . . w(t)
, t.
w(t).
(t) ( ), t,
w(t) = w1 + . . . + wn , (t) = n > 1.

() = Eew1 , > 0;

Pn (t) = P {(t) = n}, n > 0.

Eew(t) = P0 (t) +

Pn (t)Ee(w1 +...+wn ) =

n>1

Pn (t)[()]n = E[()](t) ,

n>0

(, s) = ((), s),
s > 0 |z| 6 1
(, s) = s

st

Ee

w(t)

dt;

(z, s) 5.

(z, s) = s

Z
0

est Ez (t) dt.

26

. 0.


( ), , .. w(t), ( ).
1. t1 , t2 , . . ., , a.
Ez (t) = eat(1z)
, ,
Eew(t) = eat[1()] .
,
Ew(t) = atEw1 , Ew2 (t) = atEw12 + (atEw1 )2 , var w(t) = atEw12 .
2. wn , ,
, . 6.
8.

,
, 0 6 6 ,
E(t) = t,
, , (t) , t. .
,
X
Pk (t) 1, t > 0,
k>0

Pk (t) = P {(t) = k}.



.
1. ,
(. 6 ),
A1 (t) = a

Zt
0

[1 A(u)] du,

A(t),

(z) = z n .

8.

27

[5] [6]. , .. A(t)


n. .
t1 , t2 , . . .. zk = tk tk1 , k > 1, t0 = 0, .. z1 , z2 , . . .
, .. z2 , z3 , . . . .

P {zk < t} = A(t), k > 2;
Zt
P {z1 < t} = a [1 A(u)] du = A1 (t);
0

Z
Z
a1 = [1 A(u)] du = u dA(u).
0

t1 , t2 , . . . n . , A(+0) = 0,
t1 6 t2 6 t3 6 . . .
. ,
= na.
.
.
2. , , A1 (t) A(t) ,
A1 (t) = a

Zt
0

[1 A(u)] du,

A(+0) = 0.

(1)

. 1 . , 1 , n = 1
A(+0) = 0. n > 1, P1 (t) 0 , , t > 0
P {(t) > 2/(t) > 1} = P {(t) > 2}/P {(t) > 1} =
= P {(t) > 1}/P {(t) > 1} = 1,
. , n = 1. ,

28

. 0.

P {(t) > 2} = P {z1 + z2 < t} > P {z1 < t, z2 = 0} =


= P {z1 < t} P {z2 = 0} = P {(t) > 1} A(+0),
..
P {(t) > 2/(t) > 1} > A(+0) t > 0,
A(+0) = 0.
2 .
, A1 (t) A(t) ,
(1). 1 .
P {(t) > 2/(t) > 1} 6 A(t) t > 0,

P {(t) > 2} = P {z1 + z2 < t} 6 P {z1 < t; z2 < t} =

= P {z1 < t} P {z2 < t} = P {(t) > 1} A(t).

1. t1 , t2 , . . ., , 1 , 2 , . . . . , 1 , 2 , . . .
, t1 , t2 , . . .. , n > 1
p < 1 ,
P {1 = k n} = (1 p)pk1 , k = 1, 2, . . . .
, , ,
.
2.
. .
3.
X
1)
Pk (t) = 1 t > 0;
k>0

2) < +
.
4.
1
t

lim P {(t) > 1} = ,


t0

9.

29

, , (t) , t, .
[24]. ( ) . ,

1) ;
2) =
.
. 2) 1),
X
X
P {(t) > 2} 6
kPk (t)
Pk (t) = t P {(t) > 1},
k>1

k>1

1
t

1
t

0 6 lim P {(t) > 2} 6 lim P {(t) > 1} = = 0.


t0

t0

1) 2) [24].

5. , < +
P {zk > 0} = 1, k = 1, 2, . . . ;
tk = z1 + . . . + zk , k > 1,
.
9.
,
. ,
, ,
, .
. 1 , ; 2 ,
..
. ,
, . 1 , 2 , . . ..
.
,
. ,
1 , 2 , . . . .
ak = P {1 = k}, k = 0, 1, . . . ;

30

. 0.
F (z) = Ez 1 =

k>0

ak z k , |z| 6 1;

F (1) = 1.
, F (z).
1. ,
,
.
. . t1 , t2 , . . . ; 1 , 2 , . . . .
t0 = 0 = 0. n , n = tk k > 0.
n+1 n :
n = tk
;
n+1 .
, n : ,
. .

B(t) = P {n+1 n < t} = P {1 < t}.



P {1 < t} = a0 P {t1 < t} + a1 P {t2 < t} + . . . + ak P {tk+1 < t} + . . .

B(t) =

ak Ak+1 (t),

k>0

Ak (t) = P {tk < t}.



A1 (t) = A(t), Ak+1 (t) =

Zt

Ak (t x) dA(x), k > 1,

Ak (t) = [A(t)]k , k > 1,

(1)

9.

31

k- ,
(1)
X
B(t) =
ak [A(t)]k+1
.
(2)

k>0

(s)
B(t), ..
(s) =

est dB(t) = Ees1 ,

(2)
(s) =

ak [(s)]k+1

k>0

(3)

(s) = (s)F ((s)),

(s) c
A(t).
.
b. b1 = E1 = (0), (3)
b1 = (0)F ((0)) (0)F ((0)) (0) = a1 [1 + F (1)],

..
b=
1+

a
X

.
kak

k>1

X , (0) = 1, F (1) = 1, (0) = a , F (1) =


=
kak .
k>1

A(t) = 1 eat , t > 0, .. a, ,


[A(t)]k+1

Zt

(au)k au
a
e
du =
k!

Zat

xk x
e dx.
k!

(2)
B(t) =

ZatX
0

k>0

ak

xk x
e
dx.
k!

(4)

32

. 0.

1. a.
: p q = 1 p (
).
X
1p
ak = pk q, F (z) =
ak z k =
.
1 zp

k>0

(4)
B(t) =

Zat X

(px)k x
(1 p)
e dx = (1 p)
k!

0 k>0

Zat
0

e(1p)x dx = 1 eqat .

, , qa.
2. a,
F (z) = z k . , k
, (k + 1)- , k
, 2(k + 1) - ..
(4)
Zat k
x x
B(t) =
e dx.
k!

, .., k- .
Ek (t) =

Zat

xk x
e dx, t > 0.
k!

Ek (t) k- .
, ,
1
b1
,
k = (k + 1)a

Dk = (k + 1)a2 .

,
bk = b = const, k > 0,
,
1
Dk =
b2 0
k+1

9.

33

k +, .. k
, ..
,
(
0 t < b1 ,
E (t) =
1 t > b1 .
2. , , , .
. ,
n > 0
P {k+1 = n/1 = n1 , . . . , k = nk }
k > 0, n1 , . . . , nk (, P {1 = n1 , . . . , k = nk } > 0).
, k > 1 k > 1

(n1 , . . . , nk ) (n1 , . . . , nk )
,
an = P {k+1 = n/1 = n1 , . . . , k = nk },

an = P {k +1 = n/1 = n1 , . . . , k = nk }

.
X
X
F (z) =
an z n F (z) =
an z n ,
n>0

n>0

F (z) 6 F (z), |z| 6 1.

(5)

|z| 6 1,
X
X
an > 0, an > 0 n > 0
an =
an = 1.
n>0

n>0

N = n1 + . . . + nk + k. , tN
k- .
< t B(t)
( B(t) ,
). ,
a0 P {tN +1 tN < t} + a1 P {tN +2 tN < t} + . . . + an P {tN +n+1 tN < t}

34

. 0.


a0 A(t) + a1 [A(t)]2 + . . . + an [A(t)]n+1
+ ...,

A(t) = P {t1 < t}.


,
B(t) =

n>0

an [A(t)]n+1
.

, ( N = n1 + . . . + nk + k ..)
X
B(t) =
an [A(t)]n+1
.


X
X
.
an [A(t)]n+1
an [A(t)]n+1
=

n>0

n>0


X
X
an [(s)]n+1 =
an [(s)]n+1
n>0

n>0

(s)F ((s)) = (s)F ((s)).

(6)

s 0 +, (s) 1 0,
(6)
F (z) = F (z) 0 < z 6 1,

F (z) F (z) |z| 6 1,


(5).
1. , 1 , 2 , 3 , . . . ,
2 , 3 , . . . . ,

,
.
2. , . , ,
P {1 = n} = (1 p)pn , n = 0, 1, 2, . . . ; 0 6 p 6 1.

9.

35

3. .
. , ,
P {1 < n} =

n
X
1
P {2 > k}; E2 < +.
1 + E2
k=0

.
. 1 + 1, 2 + 1, . . ..
B1 (t) = P {1 + 1 < t},

B(t) = P {2 + 1 < t}.

Zt
B1 (t) = b [1 B(u)] du, b1 = E(2 + 1),
0

. 5 1 8.
4. ; . ,
, .
5. ,
.
6. , Z
1
.. A(t), A(+0) < 1, a = t dA(t) < +,
0

.
p , q = 1 p ( ).
. ,


. ,

36

. 0.

.. A1 (t). Tp :
A1 (t) = Tp A(t).

An+1 (t) = Tp An (t) = Tpn+1 A(t).
, 0 < p < 1
lim An (t) = 1 eat , t > 0.

n+

.
n+1 (s) = n (qs)F (n (qs)), F (z) =

1
n+1 (s)

1=

1p
,
1 zp

1
1
1 ,
q n (qs)

1
1
1
1= n
1 .
q (q n s)
n (s)

7 (). , q1 . . . qn 0, n
+,
lim Tpn . . . Tp1 A(t) = 1 eat , t > 0;
n

qk = 1 pk .
.

1
n+1 (s)

1=

1
qn+1

1
1
n (qn+1 s)

1
1
1
1=
1 .
q1 . . . qn (q1 . . . qn s)
n (s)

8 (). ,
lim Tp A(t) = 1 eat , t > 0.
p1

9. 6 , Tp A(t),
,
F (z) =

1p
,
1 zp

. Tp TF ,

10.

37

, F (z) =

ak z k . -

k>0


lim TFn A(t),

.. ,
B(t),
(s) = (s)F ((s)), 1 = 1 + F (1).
, , ,
F (z) =

1
, = 1 ,
1 z

, B(t) = 1 eat , t > 0.


10.
, . , (, ) .
. n ,
. , ,
, . , () , .
, . .
, , ,
, .. .
, , .
(. 68 9).
.
(n) (n)
L0 , L1 , L2 , . . . ; t1 , t2 , . . .
(n)
Ln ; zk =
(n)
(n)
(n)
= tk tk1 , k > 1, t0 = 0. Ln , n > 0, ,

38

. 0.

k > 1 1 > 0, . . . , k > 0


(n)

pn (1 , . . . , k ) = P {z1

(n)

< 1 , . . . , zk

< k }

.
, L1 , L2 , . . . L0 , Ln L0 ,
k > 1 1 > 0, . . . k > 0 n
pn (1 , . . . , k ) p0 (1 , . . . , k ).
, L1 , L2 , . . . L0 , Ln L0 ,
> 0, k > 1
1 > 0, . . . , k N ,
|pn (1 , . . . , k ) p0 (1 , . . . , k )| 6
1 , . . . , k ,
0 6 1 6 1 , . . . , 0 6 k 6 k , n > N .
. ,
( 1) . n > 1 , n , k- , k = 1, . . . , n,
(k)
, t1 . (k)
Ak (t) = P {t1 < t}. , A1 (t), . . .
. . . , An (t) n; , .
X

. P (a)
n
a.
1. t n +

max {Ak (t)} 0,


(1)
16k6n

P (a) ,
n
X

k=1

Ak (t) at

(2)

[0, T ], T > 0.
. (1), (2)
n
Y
[1 Ak (t)] eat
(3)
k=1

10.

39

[0, T ], T > 0.
n
n
Y
X
ln
[1 Ak (t)] =
ln[1 Ak (t)] =
k=1

k=1

=
n
X

[Ak (t)]2 6

k=1

n
X

Ak (t) +

k=1

n
X

k=1

n
X
[Ak (t)]2 , 0 6 6 1;
2
k=1

Ak (t) max {Ak (t)}.


16k6n

. n > 1 , n , k-
(k)
(k)
. t1 t2
1- 2- k- . Ak (t) =
(k)
(k)
= P {t1 < t}, Bk (t) = P {t2 < t}, k = 1, . . . , n. ,
Ak (t) Bk (t), ,
n. , X
.

n
.
2.
1) t n +
max {Ak (t)} 0,

16k6n

2)

n
X

n
X

k=1

Bk (t) 0;

Ak (t) at [0, T ], T > 0.

k=1 X

P (a).

1. . t1 ,
t2 , . . . X

; zk = tk tk1 , k > 1, t0 = 0. ,
n

P {z1 > t} eat

(4)

[0, T ], T > 0, > 0,


k > 1 10 > 0, . . . , k0 > 0, t0 > 0
N ,




(5)
P {zk+1 > t/z1 < 1 , . . . , zk < k } eat 6
1 , . . . , k , t,
0 6 1 6 10 , . . . , 0 6 k 6 k0 , 0 6 t 6 t0 ,

40

. 0.

n > N . (4) (3),


P {z1 > t} =

n
Y

k=1

(6)

[1 Ak (t)].

(5) (1), (3)


XZ

P {z1 < 1 , . . . , zk < k , zk+1 > t} =

...

xk1
Z +k

dAi1 (x1 )

k
Cn
0

P {z1 < 1 , . . . , zk < k } =

k
Cn

...

dAi1 (x1 )

xZ
1 +2

i6=i1 ,...,ik

[1 Ai (t)] =

n
Y

dAi2 (x2 ) . . .

i=1

(8)
Y

dAik (xk )

[1 Ai (t)]

i6=i1 ,...,ik
k
Y

(7)

[1 Ai (xk + t)];

x1

xk1
Z +k
xk1

i6=i1 ,...,ik

dAi2 (x2 ) . . .

x1

dAik (xk )

xk1

XZ

xZ
1 +2

[1 Ai (xk )];

[1 Ais (t)]1 ;

s=1

Cnk (i1 , . . . , ik ) k 1, 2, . . . , n , is 6= il s 6= l.
(6) .
2.
, 1. (4)(5). (4)
(3) (6).
P {z1 < 1 , . . . , zk < k , zk+1 > t}, :
A: z1 < 1 , . . . , zk < k , zk+1 > t k ( n > k);
: z1 < 1 , . . . , zk < k , zk+1 > t k
, , ,
.
k = 1 B , .. P (B) = 0.
P {z1 < 1 , . . . , zk < k , zk+1 > t} = P (A) + P (B).

(9)

10.
,
P (B) 6

41
n
X

Bi ( ), = 1 + . . . + k .

(10)

i=1

X
P (A).
n
X

,
n
. t1 , t2 , . . . X

;
n

zk = tk tk1 , k > 1, t0 = 0.

A = {z1 < 1 , . . . , zk < k , zk+1


> t}.

A A


P (A \ A) 6

n
X

Bi ( + t),

(11)

(12)

i=1

A \ A , 1 + . . . + k + t
, , .
(9)(12) 2, , Bk (t) , (7) (8), ( ) 1 > 0 2 > 0;
1 2 10 , . . . , k0 , t0 , N0 .
(5).
X
. n > 1
,
n
n ; k- ,
A1k (t) Ak (t):
A1k (t) = ak

Zt
0

[1 Ak (u)] du.

, n +
1) a1 + . . . + an = a = const;
2) max {ak } 0;
16k6n

3) t
max {Ak (t)} 0.

16k6n

42

. 0.

,
.

n
X

P (a).

A1k (t) =

k=1

n h
X
k=1

ak t ak

Zt
0

i
Ak (u) du at,


n
X

ak

k=1

Zt

Ak (u) du 6 t

n
X

ak Ak (t) 6 t

k=1

n
X

k=1

ak max {Ak (t)} =


16k6n

= at max {Ak (t)};


16k6n

n
X

k=1

Bk (t) 6

n
X

A1k (t)Ak (t) 6

k=1

n
X

k=1

A1k (t) max {Ak (t)} 6


16k6n

6 at max {Ak (t)};


16k6n

max {A1k (t)} 6 t max {ak }.

16k6n

16k6n

11.
, , , .. (t), N > 0 T > 0 ,
P {(T ) > N } > 0.
,
.
1 , . . . , N , [0, T ], T > 0.
(
0, k > t;
k (t) =
(t) = 1 (t) + . . . + N (t).
1, k < t;
(t), t > 0, .
. N
( 1) [0, T ], T > 0,
, , [0, T ] ||
||/T . , , . ,

11.

43

, . ,
( ).
Pk (t) = P {(t) = k}, k = 1, . . . , N .
[0, t) [0, T ] t/T ,
 k 

t
t N k
k
Pk (t) = CN
1
.
T

, 1 , . . . , n [0, T ] =
= 1 + . . . + n , k1 , . . . , kn
, k1 + . . . + kn = N ,
P {(1 ) = k1 , . . . , (n ) = kn } =

N!
pk1 . . . pknn ,
k1 ! . . . kn ! 1

(1)

() , ,
pi =

|i |
, i = 1, . . . , n.
T

(t)
(t) a > 0. 0 6 t 6 T 0 6 k 6 N ,
P { (t) = k/ (T ) = N } =

= P { (t) = k, (T ) (t) = N k}/P { (T ) = N } =


= P { (t) = k} P { (T t) = N k}/P { (T ) = N } =

(at)k at [a(T t)Nk ] a(T t)
(aT )N aT
=
e
e
e
,
k!

..

N!

(N k)!

k
P { (t) = k/ (T ) = N } = CN

 k 

t
t N k
1
.
T

, 1 , . . . , n [0, T ] =
= 1 + . . . + n , k1 , . . . , kn
, k1 + . . . + kn = N ,
P { (1 ) = k1 , . . . , (n ) = kn / (T ) = N } =
= P { (1 ) = k1 , . . . , (n ) = kn }/P { (T ) = N } =

= P { (1 ) = k1 } . . . P { (n ) = kn }/P { (T ) = N } =

(a|1 |)k1 a|1 |
(a|n |)kn a|n |
(aT )N aT
=
e
...
e
e
,
k1 !

kn !

N!

, |1 | + . . . + |n | = T ,
P { (1 ) = k1 , . . . , (n ) = kn /(T ) = N } =

N!
pk1 . . . pknn .
k1 ! . . . kn ! 1

(2)

44

. 0.

(l)(2) , , [0, T ], T > 0,


N ,
.
1. t1 , . . . , tN ; zk = tk tk1 ; k = 1, . . . , N ; t0 = 0. , k = 1, . . . , N 0 6 t 6 T


t N
P {zk > t} = 1
.
T

X 2.
. , N = at, a > 0,
N
X

N
a.


t
. . 1 10; Ak (t) = min
, 1 t > 0.
T

3. (t) (x), . 4. , (b) (a) = N, a < b. ,


[a, b) N ,
[a, b)
[c, d) [a, b) [(d) (c)]/[(b) (a)].
12.

Z

est dA(t)

A(t)
X zk
X
X zk
pk ez .
pk z k
pk = e z
k>0

k>0

k!

k>0

k!

,
.
1. ,
, z , 0 6 z 6 1.
.

12.

45

, ,
z , . pk
k
X
,
pk z k k>0

( ) (
, ).
2. .. A(t). s > 0 , , s.
Z

est dA(t)

,
.
, ( , , ),

. ,
, ,
, .. z, 0 6 z 6 1, s > 0, , z, 0 6 z 6 1, s > 0. ,
, , ,

z s. . , , ..
,
( , , , ..).
. . .. ..
A(t). ,
Z
0

st

dA(t) = s

Z
0

st

A(t) dt =

Z
0

A(t) dt (1 est )

46

. 0.

s > 0.
. , .
,
. ,
.
13.
, . , ,
, . 1, 2, . . . sk , k > 1,
k- . ,
. ,
n > 1 (s1 , . . . , sn ), . , .. s1 , s2 , . . . ..
(
).
B(t) = P {sk < t}, k > 1.
B(t) = 1 ebt , b > 0, t > 0, .
, , > 0.

(
0, t 6 ;
B(t) =
1, t > .
.
s
.. s(1) , . . . , s(m) (s(i) i- )
s = s(1) + . . . + s(m) .

13.

47

P {s(i) < t} = Bi (t),

P {s < t} = B(t) = B1 (t) . . . Bm (t),

. , s(1) , .
p, .. C(t).
s , , ..
t > 0

B(t) = P {s < t} = B1 (t) B2 (t),

B2 (t) = P {s(2) < t} = P {s(2) = 0}+

+ P {s(2) > 0} P {s(2) < t/s(2) > 0} = 1 p + pC(t).

,
, i-
pi , i = 1, . . . , m; p1 + . . . + pm = 1,
.. Bi (t).
..
B(t) = p1 B1 (t) + . . . + pm Bm (t).
Bi (t) = 1 ebi t , bi > 0,

B(t) = 1 p1 eb1 t . . . pm ebm t

.
, . B(t) .. . T > t, C(t) ( , C(t) .. ,
).
..
D(t), ,
, .. ,
, . . H(t) .. . ,

t
XZ
H(t) =
Pn (u)Dn (t u) dB(u);
(1)
n>0 0

48

. 0.

Pn (u) , ,
u, n , n > 0; Dk+1 (t) = Dk (t) D(t),
k > 0; D0 (t) = 1 t > 0.
X
P (z, u) =
z n Pn (u),
n>0

(1)
h(s) =

est P ((s), t) dB(t).

, 5 (. 1)
s

Z
0

est P (z, t) dt =

1 (s)
.
1 z(s)

, C(t) = 1 ect , c > 0,

P (z, t) = e(1z)ct ;

(2)
h(s) = (s + c c(s)),
, ,
h1 = 1 (1 + c1 ),
h2 = 2 (1 + c1 )2 + 1 c2 .

(2)

1

0.
{zk }k>1 .
tn = z1 + . . . + zn , n > 1; t0 = 0;
(t) = max{n : tn < t}, t > 0.
, zk , tn n- , a (t) t .
(t) . , {zk }k>1 (t).
, {zk }k>1 .
,
n > 1
(z1 , . . . , zn ).
, (.
0 0) .
{zk }k>1 , z1 , z2 , z3 , . . . , , .
, z1 , z2 , . . . ( ),
.
.
A1 (t) = P {z1 < t}, A(t) = P {zk < t}, k > 2.

A1 (t) = A(t).
, P {zk = 0} < 1 k > 1.

. 0 > 0 ,
E{exp((t))} < +

50

. 1.

t > 0 6 0 . , t > 0 (t) .


.
. P {zk = 0} < 1,
> 0 , P {zk > } = > 0.
{zk }k>1
(
, zk > ,
zk =
0, zk < .
zk 6 zk , (t) > (t). (t)
- , .

H1 (t) = E(t).
A1 (t) A(t)
H(t) = E(t).

k =

(t) =

k>1

k ,

1, tk < t,
0, tk > t.

Ek = P {tk < t} = Ak (t),

Ak+1 (t) = Ak (t) A(t) = A1 (t) P {z2 + . . . + zk+1 < t},


X
X
E(t) =
Ek =
Ak (t).
k>1

k>1

H1 (t) = A1 (t) +

Zt

H(t) = A(t) +

Zt

H1 (t) = A1 (t) +

H1 (t u) dA(u),

H(t u) dA(u),

Zt

A1 (t u) dH(u).

(1)

(2)

(3)

1.

51

(2) .
1.
: ( ), (. 2) (. 3). .
[18].
( ).
H1 (t)
lim
= a,
t
t+

t dA(t) = a1

t dA(t) = +, -

a = 0).
. 1 . ,

lim

H(t)
H1 (t)
lim
,
t
t
t

(1)

H(t)
H1 (t)
= lim
.
t
t
t

(2)


lim

, (3) 0 0 < < 1


H1 (T ) 6 A1 (T ) + H(T ),
H1 (T ) >

TZT
0

A1 (T u) dH(u) > A1 (T )H(T T )

H( T )
H1 (T )
A1 (T )
6
+
,
T
T
T
H1 (T )
H(T T )
>
(1 )A1 (T ).
T
T T

> 0 ,
(1),
(2).

52

. 1.

2 . a

t dA(t) < + A1 (t) -


A1 (t) = a

Zt
0

A1 (t) .., a

[1 A(u)] du, t > 0.

(3)

Z
= [1 A(u)] du A1 (t) 0

, , A1 (+) = 1 (, A1 (t) = 0 t < 0).


(1) 0 (3)
h1 (s) = 1 (s) + h1 (s)(s),
a
s

1 (s) = [1 (s)],

a
s

h1 (s) = ,
..
H1 (t) = at.
, 1 , , , , lim

lim

H(t)
a , -,
t

H1 (t)
, a, .. A1 (t).
t

3 . a

t dA(t) = +. -

> 0
{zk },
(
zk ,
zk < 1 ,

zk = 1
= min(zk , 1 ).
, zk > 1

A (t) =

a1
=

Z
0

A(t),
1,

t 6 1 ,
t > 1 ;

t dA (t) =

Z
0

t dA(t) + 1 [1 A(1 )];

2.
0 6 lim

53

H1 (t)
H (t)
6 lim 1 = a 0 0,
t
t
t

.
2.
x .. A(t),
a b , a < x < b, A(b) A(a) > 0.
A(t) ( ),
> 0 , .. A(t) , ..
n, n . , A(t) . , .., ( 1) n; > 0, n
.
( ). A(t) , h t +
H(t + h) H(t) ah.

(1)

. [23], 11.
3.

[0, ). Q ,
[0, ). h > 0 mk Mk Q (k 1)h 6 x < kh, k > 1.
,
X
X
s=h
mk S = h
Mk
k>1

k>1

. , Q [0, ), S s 0 h 0.

Z
Q(t) dt = lim s = lim S.
(1)
h0

h0

( ). Q
[0, ).

54

. 1.

A(t) ,
lim

Zt
0

Q(t x) dH(x) = a

Q(t) dt

(2)

( ; , Q ,
H ;
).
. . [18]
, Q (). , Q [0, ),
. , . [23] II. , [0, )
[0, a] a +. Q, , .
Q.
[0, ), (. [23] . 426). , [0, )
.
Za

X


mk ,
Q(t) dt 6 |S s| + |s | + h
kh>a

a > 0, = lim s Q
h0

[0, a].
.
1 . h > 0 wn (t) , 1 (n 1)h 6 t < nh 0 .
X
X
m(t) =
mn wn (t), M (t) =
Mn wn (t).
n>1

n>1

t > 0
m(t) 6 Q(t) 6 M (t)
, ,
Zt
0

m(t u) dH(u) 6

Zt
0

Q(t u) dH(u) 6

Zt
0

M (t u) dH(u).

3.

55


lim

Zt
0

m(t u) dH(u) = as,

a s 6 lim

Zt
0

lim

Zt
0

Q(t u) dH(u) 6 lim

M (t u) dH(u) = a S,
Zt
0

(3)

Q(t u) du 6 a S,

(1) (2).
2 . , (3). , C = C(h) ,
(4)

0 6 H(t + h) H(t) 6 C
t. , (2) 0
H(t) = A(t) +

Zt
0

A(t u) dH(u),

t+h
Z
Zt
H(t + h) 6 1 +
A(t + h u) dH(u) = 1 + A(t + h u) dH(u)+
0

t+h
Z
+
A(t + h u) dH(u) 6 1 + H(t) + A(h)[H(t + h) H(t)]
t

(5)

[H(t + h) H(t)][1 A(h)] 6 1.

1 A(h) > 0, C(h) [1 A(h)]1 .


1 A(h) = 0, , > 0
, 1 A() > 0. m > 1 (5)
H(t + m) H(t) =

m1
X
k=0

[H(t + k + ) H(t + k)] 6

m
1 A()

, , 0 6 h 6 m
0 6 H(t + h) H(t) 6 H(t + m) H(t) 6

m
= C(h).
1 A()

56

. 1.
3 . (3).
Zt
0

Zt
0

wn (t u) dH(u) = H(t nh + h) H(t nh),

m(t u) dH(u) =

Zt
w(t) = m(t u) dH(u),

n>1

mn [H(t nh + h) H(t nh)].

JN (t) =

N
X

n=1

mn [H(t nh + h) H(t nh)],

(4)
JN (t) C

n>N

|mn | 6 w(t) 6 JN (t) + C

|mn |.

N
X

mn + C

n>N

( 2)
lim JN (t) = ah

N
X

n=1

mn C

n>N

mn ,

n=1

ah

N
X

|mn | 6 lim w(t) 6 lim w(t) 6 ah

n=1

n>N

|mn |.

mn N > 1

n>1

, (3).
.
.
1) Q
[0, );
2) A [0, );
3) W
W = Q + A W;

lim W (t) = a

Z
0

Q(x) dx,

(6)

(7)

3.

a1 =

x dA(x) =

57

Z
[1 A(x)] dx.
0


W = Q + Q A + Q A2 + . . . = Q + Q H
(2)
lim Q(t) = 0.

1. Q
[0, ). ,
1
T

lim

ZT nZt
0

Z
o
Q(t u) dH1 (u) dt = a Q(t) dt.
0

. ,
1
T

ZT Zt
0

|T | 6

Q(t u) dH1 (u) dt =

H1 (T )
T

|Q(v)| dv +

H1 (T )
T

H1 (u0 )
T

T u0

ZT

Q(v) dv + T ,

Z
0

|Q(v)| dv, 0 6 u0 6 T.

2. , h > 0
1
lim
T T

ZT
0

[H1 (t + h) H1 (t)] dt = ah.

.
(
1 0 6 t < h,
Q(t) =
0 t > h.
3. Q
[0, ); A ,
lim

Zt
0

Q(t u) dH1 (u) = a

Z
0

Q(t) dt.

58

. 1.
. (1) 0
Q H1 = W = Q A1 + A W.

, ,
Z
ZnZ
o
(Q A1 )(t) dt =
Q(t u) dt dA1 (u) =
0

Z
0

dA1 (u)

Q(t) dt =

Q(t) dt.

4. A ,
H1 (t + h) H1 (t) ah t +.
. . 2.
5. A , t
+
Z
a2 2
H(t) at
1, 2 = x2 dA(x.)
2

. W (t) = H(t) + 1 at t > 0 t 6 0,


(6),
Z
Q(t) = a [1 A(u)] du,
t

(7)
2 =

Z
0

Z
x dA(x) = [1 A(x)] dx2 .
2

4.
z (z, (t)), z () , (t)
, 0 6 t < z (X, B). ,

P {z = 0} < 1, P {z < +} = 1.
{(zk , k (t))}k>1 ,

4.

59

( ),
. , {zk }k>1 ,
A1 (x) = P {z1 < x},

A(x) = P {zk < x}, k > 2.

(t), 0 6 t < +, (X, B),

1 (t)
0 6 t < z1 ,

z1 6 t < z1 + z2 ,
2 (t z1 )
(t) =
.......................

k (t tk1 ) tk1 6 t < tk ,

.......................

t0 = 0,

tk = z1 + . . . + zk , k > 1.

(t) , t1 , t2 , . . . .
B B.

(1)

lim P {(t) B}

B (t) = P {1 (t) B, z1 > t} = P {(t) B, z1 > t},


B (t) = P {k (t) B, zk > t} = P {(tk1 + t) B, zk > t}, k > 2.
(1)
P {(t) B} =

B (t)

k>1 0

P {(t) B} =

XZ

B (t)

Zt
0

B (t x) dAk (x)

B (t x) dH1 (x),

.
X
Ak (x) = P {tk < x}, H1 (x) =
Ak (x)
k>1

{zk }k>1 .

(2)

60

. 1.

, ( : 3 3) (2)
(1).
5.
.
1) A ;
2) n > 0 ,
Q(t) =

Zt
0

B (t x) dF (x), t > 0, F (x) = An (x)

[0, ).

Z
Z
1
lim P {(t) B} = a B (x) dx, a = x dA(x).
t

. n = 0, Q(t) = B (t) (. 3 3)
0 6 B (t) 6 1 A1 (t) 0 t +.
n > 1,
(2) 4
P {(t) B} =

B (t)

n Z
X
k=1 0

B (t x) dAk (x) +

Zt
0

Q(t x) dH1 (x)

, , t +
06

Zt
0

B (t x) dAk (x) 6

Zt
0

[1 A(t x)] dAk (x) =


= Ak (t) Ak+1 (t) 0.

( . ). A
1) B (t) ;
2) B (t) Z
1
a = x dA(x) < +;
0

5.

61

3) n > 1 A(n) ,

(1)

= A,

(k+1)

(t) =

Zt
0

A(k) (t x) dA(x), k > 1,

x dA(x) < +.

lim P {(t) B} = a

B (x) dx.

. 1 . 1 , B
[0, ),
.
2 . 2. ,
Q = B
1) Q ;
2) Q [0, );
3) 0 6 Q(t) 6 G(t) = 1 A(t), G(t) [0, ).

, Q (!).
3 . 3.
Q(t) =

Zt
0

B (t x) dA(n) (x), t > 0.

, Q . ,
0 6 Q(t) 6

Zt
0

[1 A(t x)] dA(n) (x) = A(n) (t) A(n+1) (t) = G(t)

G [0, ),

G(t) = [1 A(n+1) (t)] [1 A(n) (t)],


Z
Z
Z
(k)
(k)
[1 A (t)] dt = t dA (t) = k t dA(t) < +
0

62

. 1.

1 A(k) (t) . 1)3) . , Q [0, ). .


Q
. P ,
A(n) . P ( ),
p [0, ) ,
Z
P (M ) = p(x) dx
M

M [0, ).
Q(t)

Zt
0

B (t x)p(x) dx.

h > 0
t+h
Z
Zt
Q(t + h) =
B (t + h x)p(x) dx = B (t u)p(u + h) du,
0

Q(t + h) Q(t) =

Z0

B (t u)p(u + h) du +

Zt
0

B (t u)[p(u + h) p(u)] du,

0 6 B (t) 6 1
(n)

|Q(t + h) Q(t)| 6 A

(h) +

Zt
0

|p(u + h) p(u)| du

|Q(t h) Q(t)| 6
(n)

Zt
0

|p(u h) p(u)| du.

(h) 0 h 0, ,
Zt
0

|p(u + h) p(u)| du 0 h 0

5.

Zt
0

|pn (u + h) p(u)| du 0 h 0,

63

(1)

pn (u) = min{n, p(u)}.


, t > 0 n +
Zt
0

|p(u) pn (u)| du =

Zt
0

p(u) du

Zt
0

pn (u) du 0.

(1) .
T > 0 > 0 [0, T ] ,
M = {x [0, T ] : pn (x) 6= (x)}
|(x)| 6 n. T > t + h.
Zt
0

|pn (u + h) pn (u)| du 6
+

Zt
0

|(u + h) (u)| du+

|(u) p(u)| du +

Zt
0

Zt

Zt
0

|(u + h) p(u + h)| du 6

|(u + h) (u)| du + 2

|(u) p(u)| du 6

Zt

|(u + h) (u)| du + 4n.

, [0, T ], h 0.
1.
1) A ;
2) n > 0 ,
Q(t) =

Zt
0

B (t x) dAn (x)

[0, ).

64

. 1.

,
lim P {(t) B} = a

B (x) dx.

2.
Z
1
1) a = x dA(x) < +;
0

2) B (t) ;
3) B (t) (, , [0, ), 0 6 B (t) 6 1 A(t),
Z
[1 A(t)] dt = a1 < +)
0

1) P {(t) B} ,
[0, T ];
2)
ZT
1
lim
P {(t) B} dt = PB ;
T +

3) PB = a

B (t) dt.

. . 1 3 (2) 4.
3.
, , .. A(t).
(t) , t. , A ,
,
lim P {(t) < x} = a

a1 =

Zx
0

[1 A(u)] du, x > 0;

u dA(u) 6 +.

1
2

1
2

lim E(t) = a1 + a 2 .

5.

65

Z
= (x a1 )2 dA(x) [ , lim E(t) =
2

1
2

= a1 ].
. (t) ; tk = z1 + . . . + zk , k > 1 . (t) . 1.
B = [0, x);
B ( ) = P {( ) < x, z1 > } = P {z1 < x, z1 > } =
= P { < z1 < x + } = A(x + ) A( + 0);
Z
Z
Zx
a B ( ) d = a [A(x + ) A( + 0)] d = a [1 A(u)] du.
0

(t)

(t)

0
t 1 t2

t3

t1 t2

. 1.

t3

. 2.

4 (). (t)
t , , , , t,
t. ,
lim P {(t) < x} = a

Zx
0

[1 A(u)] du.

. (t) t1 , t2 , . . . (t) . 2.
B ( ) = P {( ) < x, z1 > } = P { < x, z1 > } =
(
1 A( + 0), < x,
=
0,
> x.

66

. 1.

5. 3 4 .
6. . {uk }k>1 . {vk }k>1 . , .. {uk }k>1 , {vk }k>1 , . (t) = 0, t , (t) = 1 .
Eu1 + Ev1 < , A(x) = P {u1 + v1 < x}
, ,
lim P {(t) = 1} =

Eu1
.
Eu1 + Ev1

. (t) t1 , t2 , . . .,
tk = z 1 + . . . + z k ,

zk = uk + vk ;

B (t) = P {(t) = 1, z1 > t} = P {u1 > t, u1 + v1 > t} = P {u1 > t};


Z
Z
B (t) dt = P {u1 > t} dt = Eu1 .
0

6.
I =
= {0, 1, 2, . . .}. ptij i j t T .
T = {1, 2, . . .} T = (0, ).
X = (0 , 1 , . . .) I
(.. 0 , 1 , . . . , i > 0
i = 1)
i>0

j =

X
i>0

i ptij j > 0 t T.

, i1
i2 j t T , pti1 j > 0 pti2 j > 0.

1. . i j I lim ptij ;
t

1 . , lim ptij
t
i j.

6.

67

2 . = (0 , 1 , . . .),
lim ptij = i i i j; i
t
i 0 < i 6 1.
, 2
.
, 2 i = 1. ,
X T = {1, 2, . . .},
p00 = 1, pi,i+1 = 1 pi0 = eui i > 1, ui > 0
ui = u < +,
i>1

pt1j 1 j , 0 < 1 = 1 eu < 1


= (1, 0, 0, . . .) .

2.
= (0 , 1 , . . .).
1 . lim ptij = j i j.
t
2 .
X
ptij xj = xi , i > 0, t T,
j>0

x = (x0 , x1 , . . .) = c(1, 1, . . .).


, i j t T , ptij > 0.

3.
= (0 , 1 , . . .).
1 . lim ptij = j > 0 i j.
t
2 . .
13 .
, :
1 . .
2 . i j = (i, j) T
, ptij > 0 t > .

T = {1, 2, . . .}, :
3 . .
, , i j
{k : pkij > 0} .

. , ,

68

. 1.

T, > 0, i0 x0 , x1 , . . . ,
X
pij xj 6 xi i > i0 ,
j>0

pij xj 6 + i 6 i0 .

j>0

. ,
= 1, pij = pij .
(1)

(n+1)
xi

xi

X
j>0

(n+1)

xi

(2)

pn1
ij xj 6

= xi , i > 0,
X
=
pnij xj , n > 1, i > 0;

(n)
pij xj

j>0

i0
X

(2)

pn1
ij xj +

j=0

j>0

(n)

= xi

j>i0
i0
X
j=0

(2)

6 xi

i0
X
j=0

pn1
ij (xj ) =

(2)

pn1
ij [xj xj + ] 6
(2)

(p1ij + p2ij + . . . + pn1


ij )(xj xj + ) (n 1)
i

06

0
(2)
(n+1)
X
p1ij + . . . + pn1
x
xi
ij
(2)
6 i +
(xj xj + ) ,
n1
n1
n1

j=0

, ,
lim

p1ij + . . . + pn1
ij
= lim pkij = j > 0,
n1
k

06

i0
X
j=0

(2)

j (xj xj + ) .

, j , j = 0, . . . , i0 , .

1 3.
. ; ptij i j t T ;

7.

69

T = {1, 2, . . .} (0, ). ,
:
1 . i j lim ptij = j ,
t
X
i;
j = 1 {j } j

2 . .

. 0.
7.
(t), t > 0, I =
= {0, 1, 2, . . .},

1) i I 1 ei x , x > 0, i > 0, ;
2) i I i + 1
(i 1)+ = max(0, i 1) pi qi = 1 pi .

(t), t > 0, . pi = 1 i,
. , . pi = 0 i, (t)
.

Pk (t) = P {(t) = k}, t > 0, k > 0.


0. p0 = 1 0 < pi < 1 i > 1.
1) P0 (t) = a0 P0 (t) + b1 P1 (t),
Pk (t) = ak1 Pk1 (t) (ak + bk )Pk (t) + bk+1 (t)Pk+1 (t), k > 1,
ai = i pi , bi = i qi i > 0.
2)
lim Pk (t) = k k > 0,


X (t).
3)
k , k > 0

k > 0,

k>0

k>0

k = 1, k = k 0 . 0 = 1, k =

a0 . . . ak1
k > 0.
b1 . . . bk

70

. 1.
4)

k , k = 0

k>0

k > 0.

.
. (t), t > 0, I = {0, 1, . . .}
Pij (t) = P {(t + s) = j/(s) = i}
s > 0 i, j, t. , Pij (t)

X
X
(0)
Pij (t) = 1, Pij (t + s) =
Pik (t)Pkj (s).
j>0

(1)
(2)
(3)
(4)
(5)

k>0

Pi,i+1 (h) = ai h + 0(h) h 0, i > 0.


Pi,i1 (h) = bi h + 0(h) h 0, i > 1.
Pii (h) = 1 (ai + bi )h + 0(h) h 0, i > 0.
b0 = 0, a0 > 0, ai > 0, bi > 0 i > 1.
Pij (0) = ij .

(t) . (0)(5).
, . 2 0. , , (0)(5).
, (0)(5),
X

n>0

n
X

k=0

1
= +.
ak k

0. 1) (0)(3) j > 0
X
Pj (t + h) =
Pk (t)Pkj (h) = Pj1 (t)Pj1,j (h) + Pj (t)Pjj (h)+
k>0

+ Pj+1 (t)Pj+1,j (h) +

Pk (t)Pkj (h),

k 6= j 1, j, j + 1.
Pj1,j (h) = aj1 h + o(h),
Pjj (h) = 1 (aj + bj )h + o(h),
Pj+1,j (h) = bj+1 h + o(h),

7.
X
k

h 0,

71

Pk (t)Pkj (h) = o(h)

Pk (t) = o(h)

Pj (t + h) = aj1 hPj1 (t) + [1 (aj + bj )h]Pj (t) + bj+1 hPj+1 (t) + o(h),

Pj (t + h) Pj (t)
o(h)
= aj1 Pj1 (t) (aj + bj )Pj (t) + bj+1 Pj+1 (t) +
.
h
h

( t t h), Pj (t)
. j = 0 . t = 0 Pj (t)
.
2) (t) , 1 6.
(t) 3 6 ,
:
k > 0
X k > 0;
k > 0,
k = 1 = (0 , 1 , . . .) I k>0

, 4) 3).
3) 1)2) , lim Pk (t) k > 0
t

Pk (t) t. ,
lim P (t) = 0. 1)
t k
t
0 = a0 0 + b1 1 ,
0 = ak1 k1 (ak + bk )k + bk+1 k+1 , k > 0.
zk = ak1 k1 bk k , k > 1, z1 = 0, zk zk+1 = 0
ak1
k > 1, .. zk = 0 k. , k =
k1
X
X bk
k = k 0 k > 0.
k = 1,
k < .
4) ,

k>0

k>0

k <

k>0
X
k = 1. -

k>0

,
. 3) 5. (t) . 0. , ,
.

72

. 1.

, .

: 0 ,
(t) 1 0. ,
. ,
, E < .
E 0 .
wi (, )

X
1
i > 1. , E = w1 = a0
k .

k>1

wi = 1
i + pi wi+1 + qi wi1 , i > 1,

w0 = 0.
1. p0 = 1, 0 < pi < 1 0 < i < n, pn = 0.
1) P0 (t) = a0 P0 (t) + b1 P1 (t);
Pk (t) = ak1 Pk1 (t) (ak + bk )Pk (t) + bk+1 Pk+1 (t), 0 < k < n;
Pn (t) = an1 Pn1 (t) bn Pn (t).

2)
lim Pk (t) = k 0 6 k 6 n,

(t), 0 6 (0) 6 n.
n
X
3) k = k 0 > 0 k = 0, 1, . . . , n
k = 1.
k=0

. , 0. 0 6, . 6.
1 ( ).
ak = ka + c, bk = kb, a > 0, b > 0, c > 0;
1 (t) = E(t), 2 (t) = E[(t)]2 .
, k a k; c
(); kb k. ,
1 (t) = (a b)1 (t) + c,

8.

73

2 (t) = 2(a b)2 (t) + (a + b + 2c)1 (t) + c,


1 (0) = i, 2 (0) = i2 , (0) = i.
8.
(t)
t > 0 (X, B); t1 , t2 , . . . : zk = tk tk1 , k > 1, t0 = 0.
.. {zk , k > 1} . A1 (x) = P {z1 < x},
A(x) = P {zk < x} k > 1. ,
0<a

= Ezk =

Z
0

x dA(x) < , k > 1.

B B
p1 (t) = P {(t) B, z1 > t},

p(t) = P {(tk + t) B, zk+1 > t}, k > 1, t > 0.

, x(t) {(t) B}.

. x(t)
p1 (t) , p(t) ,
P (t) = P {(t) B}
> 0 T
ZT

1

E
x(t) dt p 0;
T

(1)


1
T

ZT
0



P (t) dt p 0,

1
. x
(T ) =
T

ZT

p=a

(2)

p(t) dt.

x(t) dt -

(t) B T . lim P {(t)


t

B} = p, , , , x
(T )
p .
. 1 . (2) .
2 5. (1) = 2,

74

. 1.

06x
(T ) 6 1, 0 6 p 6 1, |
x(T ) p| 6 1
(
E|
x(T ) p|2
> 2;
E|
x(T ) p| 6
/2
2
E |
x(T ) p| 0 < 6 2.
2 . = 2 (1)
E[
x(T ) p]2 = E x
2 (T ) p2 2p[E x
(T ) p].
(2) T
1
Ex
(T ) p =
T

ZT
0

P (t) dt p 0.

,
lim E x
2 (T ) 6 p2 .

(3)

3 . ,
1
Ex
(T ) = 2
T
2

ZT ZT
0

2
Ex(s)x( ) ds d = 2
T

2
= 2
T

ZZ

ZZ

Ex(s)x(s + t) ds dt =

s+t6T

P {(s) B, (s + t) B} ds dt, (4)

s+t6T

s > 0, t > 0. s > 0, t > 0 {(s) B, (s + t) B} :


E1 s s + t ;
E2 s ;
E0 s s + t , , (s) B, (s + t) B.
,

P {(s) B, (s + t) B} 6 P (E1 ) + P (E2 ) + P (E0 ).


4 .
X
X
P (E1 ) =
P {tk < s, tk+1 > s + t} =
P {s + t zk+1 6 tk < s} =
k>0

= 1 A1 (s + t) +

k>0

Zs

k>1 0

[1 A(s + t x)] dAk (x) =

(5)

8.
= 1 A1 (s + t) +
Ak (x) = P {tk < x}, H1 (x) =

Zs
0

[1 A(s + t x)] dH1 (x),

XX

n>1 k>1

(6)

Ak (x);

k>1

P (E2 ) = P {z1 > s} = 1 A1 (s);


P (E0 ) =

75

(7)

P {(s) B, tn < s;

tn+1 > s; (s + t) B, tn+k < s + t, tn+k+1 > s + t} =


s
Zs+t
XXZ
=
p(s u) dAn (u)
p(s + t v) dAn+k (v) =
n>1 k>1 0

Zs
0

H(x) =

Zs+t
p(s u) dH1 (u)
p(s + t v) dv H(v u), (8)
s

A k (x), A k k- .. A. -

k>1

, tn = u
An+k (v) = P {tn+k < v/tn =u} = P {zn+1 + . . . +zn+k < v u} = A k (v u).
5 . ,
1
I1 = 2
T

ZZ

1
[1 A1 (s + t)] ds dt = 2
T

s+t6T

I2 =

1
T2

ZZ

s+t6T

ds dt

Zs
0

ZT
0

ZZ

(9)

[1 A(s+tx)] dH1 (x) 6


H1 (T ) 1
6

T
T

1
I3 = 2
T

u[1 A1 (u)] du;

ZT
0

(10)
u[1 A(u)] du;

[1 A1 (s)] ds dt =

s+t6T

1
=
T

ZT
0

1
[1 A1 (s)] ds 2
T

ZT
0

(11)
s[1 A1 (s)] ds;

76

. 1.

1
I4 = 2
T

ZZ

ds dt

Zs
0

s+t6T

Zs+t
p(s u) dH1 (u)
p(s + t v) dv H(v u) 6
s

hZ
0

ZT
o
i2 n H(T )
1
+ 2 H(T x) dH(x) .
p(x) dx
2
T

(12)

, (9),(11) ; (10) (s, t, x) 7 (u, t, x),


u = s + t x,
{(u, t, x) : 0 6 t 6 u 6 T, 0 6 x 6 T }. (12).
(u, v, s, t) 7 (u, w, x, y) s u = x, s + t v = y, v u = w

0 6 u + w 6 T, u > 0, w > 0; x > 0, y > 0

I4 6

Z
0

p(x) dx

1
p(y) dy 2
T

ZT

dH(w)

TZw

dH1 (u) =

hZ
0

ZT
i2
1
p(x) dx
H1 (T w) dH(w).
2
T

(12) (. (3) 0)
H1 (x) 6 A1 (x) + H(x) 6 1 + H(x).
6 . (4)(8) ,
Ex
2 (T ) 6 2[I1 + I2 + I3 + I4 ].
T
H1 (T )
a,
T

H(T )
a,
T

1
T

ZT
0

[1 A1 (x)] dx 0,

(3) (9)(12) ,

ZT
1
u[1 A(u)] du 0
(13)
T

8.

1
lim
T T 2

ZT
0

H(T x) dH(x) 6

a2
.
2

77

(14)

7 . (13) T [1 A(T )] 0,

T [1 A(T )] =
ZT
0

ZT
0

ZT

[1 A(u)] du

[A(T ) A(u)] du,

Z
Z
[1 A(u)] du [1 A(u)] du = u dA(u) = a1 < ,
0

ZT
0

[A(T ) A(u)] du a1 .

8 . (14). (0, 1).


ZT
0

H(T x) dH(x) = I + I0 ,

ZT

I0 =

H(T x) dH(x).

T T

H(x) ,
I0 6

ZT

(15)

H(T ) dH(x) 6 H(T )H(T ).

T T

T0 ,



H(x)
x a 6 x > T0 .

T > T0

I=

TZT
0

H(T x)
(T x) dH(x) 6 (a + )
T x

6 (a + )

ZT
0

TZT
0

(T x) dH(x) 6

(T x) dH(x) = (a + )

ZT
0

H(x) dx.

(16)

78

. 1.

,
ZT

H(x) dx =

ZT

H(x) dx +

ZT

H(x)
x dx 6 H(T ) T + (a + )
x

ZT

x dx 6

6 H(T )T + (a + )

T2
.
2

(17)

(15)(17) T > T0
1
T2

ZT
0

H(T x) dH(x) 6

H(T ) H(T )
H(T )
a+

+ (a + ) 2
+
,
T
T
T
2

T
1
lim 2
T

ZT
0

H(T x) dH(x) 6 a2 + (a + )2 a +

(a + )2
,
2

(0, 1) (14).
. (t), t > 0, , {ai > 0}i>0 {bi > 0}i>1 . ,
X
a0 . . . ak1
, k > 1.
k < +, k =
k>1

b1 . . . bk

n > 0 xn (T ) (t) n T . , xn (T )
T n = lim {(t) = n}.
t

0.
;
,
, . ,
, .
a, b. , ,
; .
, , , n > 1. ,
n ,
, ..
.
k ,
0 6 k 6 n, , k.
(t) t.
(. 2 0) (t)
,
(
a, 0 6 k < n;
ak =
bk = b 1 6 k 6 n.
0, k > n;
t > 0
Pij (t) = P {(t) = j/(0) = i}.
Pij (t), 0 6 i, j 6 n.
.
Pij (t) = j

n
X
aik ajk ak bt
1
2
1+ ji
2
+

e
,
n+1
ak
1 n+1
k=1

= a/b;

ak = 1 + 2 cos k ;
1

aik = sin(i + 1)k 2 sin ik , 1 6 i 6 n;

(1)

80

. 2.
k = k

, 1 6 k 6 n.
n+1

, t (1)
lim Pij (t) = pj =
.

a() = 1 + 2 cos ,
fij () =

1
j .
1 n+1
1

ai () = sin(i + 1) 2 sin i,

ai ()aj ()
,
a()

h=

,
n+1

(1)
Pij (t) = j

n
1
2X
1+ ji
2
+

fij (kh) h.

1 n+1
k=1

, ,
(n )
Z
2
j
1+ ji
2
Pij (t) = (1 ) +
fij () d

Pij (t) = (1 )j +

Z
0

ji
2

[ sin(i + 1) sin i][ sin(j + 1) sin j] (1+2 cos )bt

e
d,
1 + 2 cos

, > 1. ,
<1
mi (t) = E{(t)/(0) = i},

mi (t) =

2
2
1

sin(i + 1) sin i

sin e(1+2 cos )bt d.

(1 + 2 cos )2

. (t) , (. 7 1)

Pi0
(t) = aPi0 (t) + bPi1 (t),

Pij (t) = aPij1 (t) (a + b)Pij (t) + bPij+1 (t), 0 < j < n,

0.

81

Pin
(t) = aPin1 (t) bPin (t),
Pij (0) = ij .

. u = bt, = a/b

Pi0
(u) = Pi0 (u) + Pi1 (u),

Pij (u) = Pij1 (u) (1 + )Pij (u) + Pij+1 (u), 0 < j < n,

Pin
(u) = Pin1 (u) Pin (u),

Pij (0) = ij .

7.

1
0
...
0
0
(1 + )
1
...
0
0

(1 + ) . . .
0
0

,
A=

............................
0
0
0
. . . (1 + ) 1
0
0
0
...

M0 (s) = 1, M1 (s) = s + ,
Mk+1 (s) = (1 + + s)Mk (s) Mk1 (s), 0 < k < n,
Mn+1 (s) = (1 + s)Mn (s) Mn1 (s).

:
1++s

= x,
2

Mk (s) = 2 Pk (x);

P0 (x) = 1,

P1 (x) = 2x ,

Pk+1 (x) = 2xPk (x) Pk1 (x), 0 < k < n,

Pn+1 (x) = (2x )Pn (x) Pn1 (x).


Uk (x), k > 0, , ..
U0 (x) = 1, U1 (x) = 2x,
Uk+1 (x) = 2xUk (x) Uk1 (x), k > 1;

Pk (x) = Uk (x) Uk1 (x), 0 6 k 6 n,


U1 (x) = 0,
i h
i
h
1
1
Pn+1 (x) = (2x ) Un (x) Un1 (x) Un1 (x) Un2 (x) =

82

. 2.
= 2xUn (x)

1
Un (x) [2xUn1 (x) Un2 (x)] =




1
s
= 2x Un (x) = Un (x).

Mk (s),
k

Mk (s) = 2 Uk (x)

k1
2

Uk1 (x), 0 6 k 6 n,

Mn+1 (s) = s 2 Un (x).

(2)

Un (x)
xj = cos j ; j = j

, j = 1, . . . , n,
n+1

Mn+1 (s)
0 = 0,

j = [1 + 2 cos j ];

j = j

, j = 1, . . . , n.
n+1

,
Ui (xj ) =

sin(i + 1)j
,
sin j

(. (2))
Mi (j ) =

i/2
a , 1 6 j 6 n,
sin j ij

(3)

aij = sin(i + 1)j 2 sin ij .



(i) = 0 1 . . . i = i ,
(i) = 0 1 . . . i = 1, 0 6 i 6 n,

(4)

Ln (j ).

n
X

k=1

sin2 k =

n
1 sin(2n + 1)
1

,
2
2
2
2 sin

sin(2n + 1)j
1
= , sin(n + 1)j = 0, 1 6 j 6 n,
2
2 sin j
n
X

k=1

2 sin(k + 1) sin k = (n + 1) cos

sin 2(n + 1)
;
2 sin

, (3)(4),

1.
Ln (j ) =

n
X
Mk2 (j )
k=0

1
sin2 j

(k) (k)

83

n
X

k=0

[sin(k + 1)j 2 sin kj ]2

1
=
sin2 j

n
n
o
n
X
X
1
sin2 kj 2
2 sin(k + 1)j sin kj =
(1 + 1 )

k=1

k=1

1
1
n+1
n+1
(1 + 1 )
j .
= 2
2 (n + 1) cos j =
2
sin j
2 sin2 j

0 = 0

Mk (0) = k , 0 6 k 6 n,
n
X
1 n+1
Ln (0) =
k =
.
k=0

(5)

(6)

(3)(6) 7 (1).
1.
,
, , ..
A(t). , ..
B(t). ,
, .
,
, ,
. (t).
1. A(t) = 1 eat ,
(s) = (s + a a(s)),

(1)


(s), Re s > 0,
Z
|(s)| < 1, (s) = est d(t), (t) .
(+) =

1,
,

a1 6 1,
a1 > 1;

( a1 > 1)
= (a a),

(2)

84

. 2.

(0, 1). ,
1 =

t d(t) =

1
,
1 a1

+,

a1 < 1,
a1 > 1.

2. B(t) = 1 ebt , b > 0,


(s) =

b[1 (s)]
,
s + b[1 (s)]

(s) = (s + b b(s)),

(3)
(4)

(s)
(s), Re s > 0, |(s) < 1|
|(s)| < 1;
Z
(s) = est d(t),
0

(t) .
(+0) = 0,
(+) = min(1, 1 b).
,
1 =

1
b

+,

(5)

1 b > 1,
1 b 6 1,

( 1 b > 1) = (b b)
(0, 1).
. (+) < 1 , ( ), 1 (+).
1 ,
X Z (au)n
t

(t) =

n>0 0

n!

eau n (t u) dB(u),

(6)

n (t) = [(t)]n ,

. ,
. , ,
. ,

1.

85

. , . ,
u(6 t). (au)n

n
eau .
n!
n ( t u).
(6)
(s) = s

st

dt

=s

Zt X
(au)n

0 n>0

dB(u)

=s

Z X

0 n>0

Z X

0 n>0

n!

eau n (t u) dB(u) =

Z X

u n>0

(au)n au
e
n (t u)est dt =
n!

(au)n au su
e
e
dB(u)
n!

esv n (v) dv =

(au)n (a+s)u
e
[(s)]n dB(u) =
n!

e(s+aa(s))u dB(u),

(1).
s , Re s > 0.

z = (s + a az).
(7)
(7) z , |z| 6 1 (, Re (s + a az) > 0, ..
Re z < 1 + a1 Re s). , |z| = 1
Re (s + a az) = Re s + a(1 Re z) > 0,

|(s + a az)| 6 (Re (s + a az)) < 1 = |z|,


, z
z z (s + a az)
|z| 6 1, .. .
, (7) s , Re s > 0, z = (s) , |(s)| 6 1.
, (s)
Re s > 0.

86

. 2.

(. 1.) , (s)

(t).
lim (t),
t0

(. 2.)
(+0) = (+)
(1), |(s)| 6 1, (+) = B(+0)
(+0) = B(+0).
,
lim (t) = (+),

(+) = (+0)

(8)

(+0) = (a a(+0));

(9)


(+0) (. (8)) , 0 6 (+0) 6 1,
0 6 (+0) = lim (s) (s) 6 1 Re s > 0.
s0

,
x = (a ax)

(10)

a1 6 1 [0, 1], x1 = 1,
a1 > 1 [0, 1], x0 = , x1 = 1, 0 < < 1.

(10) (. 3). (a ax)

,
(a ax) (1, 1)
,
(0, 1)

(a ax) x = 1 0. (a)
a1 .
a1 > 1, (0
x

) (10)
(0, 1); a1 6 1,
(0, 1) (10) . 3.
. , |x| 6 1 ( )
(. 6) , , .

1.

87

, a1 6 1 (+0) = 1. a1 > 1 (+0)


: (+0) = 1 (+0) = < 1.
(+0) = . , > 0 () ( )
() = ( + a a())
, |()| < 1.
,
1 =

Z
0

t d(t) = (+0).

2. k
, , k , , k > 0.
, .. k k > 1 , , . , 0 .
k k, k > 0.
k (t) = P {k < t}, k (t) = 1 k (t), k > 0.

h
i
(bt)k bt
bt
k (t) = [1 A(t)] ebt + ebt + . . . +
e
+
1!

Zt h
0

k!

ebu k+1 (t u) +
...+

bu bu
e k (t u) + . . .
1!

(bu)k bu
e 1 (t u) dA(u), k > 0,
k!

(11)

. k t, ,
t k ,
u < t, i , i = 0, 1 . . . , k,
k + 1 i
t u.

88

. 2.

k>0

k
1

R(z, t) =
z k (t) = (1 z) R(z, t);

k>0

Z
t);

r(z, s) = est dt R(z,

st
1
r(z, s) = e
dt R(z, t)=(1z)
r (z, s);

t) =
R(z,

z k k (t);

(12)

(11) z k+1 k 0
+,
t) = [1 A(t)]
z R(z,

z
ebt(1z) +
1z

Z
0

t u) R(0,
t u)] dA(u),
ebu(1z) [R(z,


z
r(z, s) =

z
s

[1 (s + b bz)]+
1 z s + b bz

+ (s + b bz)[
r(z, s) r(0, s)],

r(z, s)[z (s + b bz)] =


=

z
s

[1 (s + b bz)] (s + b bz)
r(0, s).
1 z s + b bz

(13)

1, ,
(s) = (s + b b(s))
(s),
(s) =

est dC(t),

C(t) ,
C(+0) = (+) = A(+0);

1.

89

C(+) = (+0) =

1,
,

1 b 6 1;
1 b > 1,

( 1 b > 1)
= (b b),
(0, 1).
z = (s) (13),
r(0, s) =

s
,
s + b b(s)

(s) = r(0, s) = 1 r(0, s) =

(14)

b[1 (s)]
.
s + b[1 (s)]

To, (s)
(s) =

est d(t),

(t) , ,
b
[1 (s)]
s
,
(s) =
b
1 + [1 (s)]
s
b

[1 (s)]
s
()
b

Zt
0

[1 C(u)] du.

2 (
1).
,
(13)(14) ,
r(z, s) = [z (s + b bz)]1
n 1 (s + b bz)
s
z

1z

s + b bz

(s + b bz)

s
.
s + b b(s)

(15)

90

. 2.
( ,

<

t dB(t) <

t dA(t) < +).

1. A(t) = 1 eat , a > 0.


(. (1)):
1
,
1 a1
2
2 =
.
(1 a1 )3

1 =

2. A(t) = 1 eat , B(t) = 1 ebt . (1)


(s) =

(s) =

b
,
s + b + a a(s)

p
1
(s + a + b (s + a + b)2 4ab)
2a

( , |(s)| 6 1).

1
(t) = I1 (2t ab)e(a+b)t , = a/b;
t

I1 (t) .

1 = (b a)1 ,

2 = 2b(b a)3 ,

3 = 6b(a + b)(b a)5 ,

4 = 24b(a2 + 3ab + b2 )(b a)7 ;



2 12 = (a + b)(b a)3 .

3. A(t) = 1 eat ,
.
(
0, t 6 b1 ,
B(t) =
1, t > b1 ,
1

(s) = esb .

1.

91

(1),
1 = (b a)1 ,

2 = b(b a)3 ,

3 = b(2a + b)(b a)5 ,

4 = b(6a2 + 8ab + b2 )(b a)7 ,

2 12 = a(b a)3 .

4. B(t) = 1 ebt , b > 0; , a1 .


(
0, t 6 a1 ,
A(t) =
1, t > a1 ,
1

(s) = esa .
(3)(4), (a < b)
1 = b1 (1 )1 ,



b 1
2 = 2b2 (1 )2 1
,
a



b
b 1
1
,
2 12 = b2 (1 )2 1 +
a

= e a (1) ,
b
a

(0, 1). , 1 > 0, .. 0 < <

a
< 1.
b

.
, , r L1 , . . . , Lr . ,
L1 , . . . , Lr ;
Lk ak ;
;
Lk
.. .. Bk (t), k = 1, . . . , r.
,
, , . , .

92

. 2.

. Lk
k , Li
Lj , i < j.
i j, i < j; .
, , .
.
, , .
. r , 1, . . . , r. () k
k .
, ,
, .

, , .
.
1.1. , ;
, , .
1.2. , .
1.3. To , (
).
2. ,
,
( ).

. , :
(t) .. ;
k (t) .. k , .. , k
, ,
k ; ,
i(i = 1, . . . , k), .. ki (t).

1.

93

, (t) = r (t). Hk (t) ..


, k, ,

k.

i = a1 + . . . + ai , i = 1 . . . , r; 0 = 0;
= r ; 0 (t) 0.
3. 1.1 2
r
X
) (s) =
ai i (s + (s)), i=1

(s), Re s > 0, |(s)| 6 1.


)
a1 11 + . . . + ar r1 6 1,
(+0) = 1; 0 < (+0) < 1.
)
a1 11 + . . . + ar r1 < 1,
.. (t)
1
,

2
2 = 3 ,

2
3
3 = 4 + 3 52 ,

1 =

1 = a1 11 + . . . + ar r1 ,
2 = a1 12 + . . . + ar r2 ,
3 = a1 13 + . . . + ar r3 ,
= 1 1 .
4. 1.2
) hk (s) = k (s + k1 ) +

k1
[1 k (s + k1 )]k1 (s),
s + k1

k k (s) = a1 k1 (s) + . . . + ak kk (s),


ki (s) = k1,i (s + ak ak kk (s)), i < k,
kk (s) = hk (s + ak ak kk (s)),

94

. 2.

hk (s), ki (s), k (s); i = 1, . . . , k; k = 1, . . . , r, Re s > 0, |hk (s)| < 1, |ki (s)| < 1,
|k (s)| < 1.
)
a1 11 +

a
a2
[1 2 (1 )] + . . . + k [1 k (k1 )] 6 1,
1
k1

hk+1 (+0) = ki (+0) = k (+0) = 1;


0 < hk+1 (+0) < 1,

0 < ki (+0) < 1,

0 < k (+0) < 1.

)
k1 = a1 11 +

a2
a
[1 2 (1 )] + . . . + k [1 k (k1 )],
1
k1

k = 1 k1 ,
h
a2
a
k2 = a1 12 + 2 C2 1 . . . k Ck k1 +
1

k1
i
k1
1
+ (1 2 ) + . . . +
(k1 k ) ,
1
k1

Ci =

tei1 t dBi (t);

k1 < 1
k1
,
k

k k2 = k2
,
3k
1 k (k1 )
1
hk1 =

,
1 k1
k1
h
i
1 k (k1 )
1 k (k1 )
2
k1,2
=
Ck +
+ 3

.
k1 k1
k1
k1
k1

k k1 =

hk2

5. 1.3
n
o1
k1
) hk (s) = k (s + k1 ) 1
[1k (s + k1 )]k1 (s)
,
s + k1

k k (s) = a1 k1 (s) + . . . + ak kk (s),


ki (s) = k1,i (s + ak ak kk (s)),
kk (s) = hk (s + ak ak kk (s)),

hk (s), ki (s), k (s); i = 1, . . . , k; k = 1, . . . , r; Re s > 0, |hk (s)| < 1, |ki (s)| < 1,
|k (s)| < 1.

1.

95

)
a1 11 +

a2
1
a
1
1 + ...+ k
1 6 1,
1 2 (1 )
k1 k (k1 )

hk+1 (+0) = ki (+0) = k (+0) = 1; 0 < hk+1 (+0) <


< 1, 0 < ki (+0) < 1, 0 < k (+0) < 1.
)
i
i
h
h
a
1
a
1
k1 = a11 + 2
1 + ...+ k
1 ,
1 2 (1 )

k1 k (k1 )

k = 1 k1 ;

k1 < 1
k k1 =
hk1 =

1
(1 k1 )k1

k1
,
k

1
1 .
k (k1 )


, r = 1 (
, )
(. 12 . 0; )
(s) = (s + a a(s)),

a = a1 ,

(s) = 1 (s).

(s) ,
. , . ,
, ,
, (,
).
, , , ,
, .
, , , , ,
. , , , (
(s)), ,

96

. 2.

: , .
s
a[1 (s)] ; s + a[1 (s)],
.
3. ,
1.1, 2 ( )
.
,
, ( a
i i )
: ,
.
s [1 (s)] ;
s + (s). ,

r
X
ai
(s) =
i (s + (s)).
i=1

s Re s > 0. ,

r
X
z
ai i (s + a az) = 0
i=1

z = (s) , |z| < 1.


, z |z| = 1,
Re (s + z) > 0,
r
r
r
X
X
X


ai i (s + a az) 6
ai |i (s + z)| <
ai = = |z|.

i=1

i=1

i=1

(s) =

r
X
i=1

ai i (s + (s))

Re s > 0 z = (s) ,
|(s) < 1|. (s) Re s > 0
.

1.

97

s = 0, (+0) = (+)
z =

r
X
i=1

ai i ( z).

z (1, +1) . 4.
(1, 1)

. 4.
, (1, +1)
r
X
z = 1 0,
ai i1 .

r
X

i=1

ai i1 6 1 (1, +1) ;

i=1

, (+0) = lim (s).


s0

4. ,
k
k ( , ), (
hk (s)), , k :
k ( k (s + k1 ),
s k1 ), k (
1 k (s + k1 )), k (

98

. 2.

k1
),
s + k1

k (
k1 (s)). ,
hk (s) = k (s + k1 ) + [1 k (s + k1 )]

k1

(s).
s + k1 k1


. (. 3).
5. , 4,
: ... k , ,
, () k k, (
hk (s)); ,
hk (s) = k (s + k1 ) + [1 k (s + k1 )]

k1

(s)hk (s).
s + k1 k1

4. .
1. ,
A(t) = 1 eat , b1
.. (t),
(t) =

[bt]
X

en

n=1

(n)n1
, = a/b;
n!

[x] x.
. ,
R(x) = x eR(x)

R(x) =

X nn1

n>1

n!

xn

( . [16], . 152).

1.

99

2. , 4
=

X n

n>1


b n1
b
a
en a .
n!

3. a .
B(t). T
, [0, T ). , . ,
(s) = EesT = exp{aT [(s) 1]}.
, , ..
A(t),
X
(s) =
Pk (T )[(s)]k ,
k>0

Pk (T ) k [0, T ).
X
1 = 1
k Pk (T ),
k>0

(. 4).
4.
a. .. B(t). C(t) ..
, . ,
(s) = (a a(s)); 1 = a12
. ,

XZ
(ax)n
C(t) =
eax
dB(x) Bn (t); Bn (t) = [B(t)]n .
n>0 0

n!

5. 1 ,
, a, X

k ak , k > 0,
ak = 1.
k>0

6. ,

z = (a az)

100

. 2.

a1 > 1 |z| < 1.


. ; {z : |z| 6 1, |z 1| > },
|(a az)| < 1 |z| = 1, z 6= 1;

z = 1 + ei ,

|(a az)|2 = 1 + 2a1 cos + 0()


|z|2 = 1 + 2 cos + 0().

7. ,
z =

r
X

ai i ( z)

i=1

(. 3) a1 11 + . . . + ar r1 > 1
|z| < 1.
8. , (s)
(s) = (s + a a(s))
s, Re s > 0, , :
(s) = lim n (s),
n

n+1 (s) = (s + a an (s)),

0 (s) = 0.

( , 1).
2. ,
pk ,
k , k > 1.
X
p(z) =
pk z k , |z| 6 1.
k>1

. A(t) = 1 eat , a > 0,


p(z) = z(a ap(z)),

(1)


p(z), |z| < 1, |p(z)| < 1.

(
1, a1 6 1,
(2)
p(1) =
, a1 > 1;

2. ,

101

( a1 > 1)
= (a a),
(0, 1).
. 0 6 z 6 1. z
, 1 z , , .
pk z k ,
k X
; p(z) =
pk z k ,
k>1

.
, .
, , .
, , ,
, .
- . ,
. -,
, , . p(z) ,
:
p(z) , .
Z
(au)k au
e
dB(u) ,
k!

k ,
Z
[aup(z)]k au
e
dB(u) ,
k!

k , (, , , -
p(z) ,
X Z [aup(z)]k
eau dB(u) =
). ,
k>0 0

k!

= (a ap(z)) ,
- .

102

. 2.


( p(z)), ,
( )
( z) - (
(a ap(z))).

p(z) = z(a ap(z)).


, z ,
0 6 z 6 1. , (1) z ,
0 6 z 6 1. , z
|z| < 1
w = z(a aw)

(3)

, |w| < 1. , |w| = 1


|z(a aw)| 6 |z| < 1 = |w|.
(. 9.) ,
(3) |z| < 1. (2)
, 1
1.
1. , B(t) = 1 ebt , b > 0, = a/b < 1,
1 k1
pk = C2(k1)
k1 (1 + )2k+1 = Ck k1 (1 + )2k+1 , k > 1;
k

1
k

k1
Ck = C2(k1)
.

. , ,
,
(. 9.).
Zbt n1
x
2. B(t) =
ex dx,
0

(n 1)!

1
k

k1
k1 (1 + )(kn+k1) , n > 1, k > 1.
pk = Ckn+k2

.
(s) =

b
s+b

n

3. , b1 , = a/b < 1,
pk =

(k)k1 k
e
, k > 1.
k!

3.

103

4. , , a,

X
k ak , k > 0; (z) =
ak z k , (1) = 1.
k>0

p(z) = [z(a ap(z))].


5 (). (z) = z N ,

q(z) =

k>1

q(z) = z[(a aq(z))]N ;


qk z k , qk = pkN ; pm = 0, m 6= kN .

6 (). B(t) = 1 ebt ,


1
k

k1
k1
qk = CkN
(1 + )(kN +k1) .
+k2

7 ( 5). b1 ,
qk =

(k)k1 k
a
e
, k > 1; = N.
k!
b

8.
1.11.3, 2 (. 1).
3. ;
, ;

,
.
, .
:

a; A(t) ..
:
A(t) = 1 eat , a > 0; t > 0;
..,
.. B(t);

104

. 2.

T
> t, C(t)
[T, T + t);
,
.. .. D(t);
;
, , T t ,
E(t) [T, T + t);

.. .. F (t).

, ( , ), .
( ):
pkN , N - , ( ), k , k > 0, N > 1;
X
PN (z) =
pkN z k , |z| 6 1;
k>0

WN (t) .. N ;
VN (t) .. N .

, ,
pk0 , k > 0 ; pk0 ,
k , k > 0;
X
P0 (z) =
pk0 z k , |z| 6 1, P (1) = 1.
k>0

. ) PN (z), WN (t), VN (t) N > 1


zPN +1 (z) = [PN (z) PN (0) + PN (0)R(z)]h(a az),
PN (z) = N (a az) h(a az), |z| 6 1;
vN (s) = N (s) h(s), Re s > 0,

R(z) = z

(a az) (a)
1 e(a)
+ e(a)
;
1 e(a) (a)
1 e(a) (a)

3.
h(s) =

105

est P ((s), t) dB(t);

est P (z, t) dt =

1 (s)
;
1 z(s)

) h(s) .. H(t), : H(t) ..


,
;
) N +
lim PN (z) = P (z);
lim WN (t) = W (t);

lim VN (t) = V (t);

) ah1 > 1
P (z) 0,

W (t) 0,

V (t) 0;

) ah1 < 1 1 < +


X
P (z) =
pk z k ; pk > 0; k > 0; P (1) = 1;
k>0

1 R(z)
P (0) h(a az), |z| 6 1;
h(a az) z
(1 ah1 )[1 e(a)(a)]
;
P (0) =
1 e(a)[1 a1 ]

P (z) =

W (t) ..,
P (z) = (a az) h(a az), |z| 6 1;
V (t) ..,
v(s) = (s) h(s), Re s > 0.
. 1. ah1 > 1 ) , . . ah1 < 1 ( )
( ,
),
( ,
.. N +)
X
a2 2 e(a)
a2 h2
1
kpk = P (1) =
+
+ ah1 ;
k>1

2(1 ah1 )

2 1 e(a)[1 a1 ]

106
X

. 2.
k 2 pk = P (1) + P (1) =

k>1

e(a)
a3 [3 + 3h1 2 ]
a3 h3
+ a2 h2 +

+
3
3(1 ah1 )
1 e(a)[1 a1 ]

e(a)
a2 2
a2 h2
a2 h2
+1

+ ah1 1 +
+
2
1 ah1
1 ah1
1 e(a)[1 a1 ]

+
1 = a1 P (1) h1 ;

1 a2 h2
2 1 ah1

i2

1 a2 h2
;
2 (1 ah1 )

2 = a2 P (1) 21 h1 h2 ;
v1 = 1 + h1 ;
v2 = 2 + 21 h1 + h2 .

2. C(t) = 1 ect , c > 0,

h(s) = (s + c c(s)).

3. B(t) = 1 ebt , b > 0,


h(s) =

1 (s + b)
b
.

s + b 1 (s) (s + b)

.
. . ,
, , .
, . H(t) ..
. Pk (t) , t k ,
X
P (z, t) =
z k Pk (t),
k>0

h(s) =

est P ((s), t) dB(t),

.
,
.
? , , t; , , -, t

3.

107

, est , , , X
,

Pk (t)[(s)]k = P ((s), t) (, (s)
k>0

,
). .
P (z, t) 5
. 0. , C(t) = 1 ect , c > 0,
Pk (t) =

(ct)k ct
e , k > 0; P (z, t) = ect(1z) ;
k!

h(s) = (s + c c(s)).

B(t) = 1 ebt , b > 0,


Z

h(s) =

be(s+b)t P ((s), t) dt

h(s) =

1 (s + b)
b
.

s + b 1 (s) (s + b)


, ,
.
. . , , ,
z, 0 6 z 6 1,
, . ,
pkN , N - , ( ), k , :
pkN z k , N - , ,

X k ;
PN (z) =
pkN z k , ,
k>0

Z
0

N - , ;

(at)k at
e
dH(t) , k!

k ;

Z
X Z (at)k
k
at
z
e
dH(t) = ea(1z)t dH(t) =
k>0

k!

108

. 2.

= h(a az) ,
.

N (a az) , N -
.
, h(a az) N (a az) .
a,
z,
az, a(1 z). , ,
Z
, ea(1z)t dH(t) = h(a az).
0

N (a az).
,
N - , , ,
N -

.
PN (z) = N (a az) h(a az).

(1)

, R(z) , ,
, , , .
zPN +1 (z) = [PN (z) PN (0) + PN (0)R(z)] h(a az).

(2)

, (N + 1)- ,
, (
zPN +1 (z)), , N - , , ,
( PN (z) PN (0))
( h(a az)),
( PN (0)),
, , , (
R(z))
.

3.

109

,
R(z) = z

1 e(a)
(a az) (a)
+ e(a)
.
1 e(a)(a)
1 e(a)(a)

(3)

,

, .. ,
vN (s) = N (s) h(s).

(4)

. (3). (
) ,
1 ,
1 ; 2 ,
2 .. {i }i>1
E(t), {i }i>1 F (t).
:
(a) i
;
(b) i ,
, .
,
R(z) = P (a) + P (b).

n =

n
X
i=1

(i + i ), 0 = 0.

x
(a),

{n < x 6 n + n+1 }, n > 0.


,
XZ

P (a) = z

n>0 0

P {n < x 6 n + n+1 } d(1 eax ),

{n < x 6 n + n+1 } = {x n+1 6 n < x},

110

. 2.

,
G(t) = P {n < t} = [E(t) F (t)]n ,

P {n < x 6 n + n+1 } =

Z
[Gn (x) Gn (x u)] dE(u) =
0

= Gn (x)

Zx
0

Gn (x u) dE(u) = Gn (x) [1 E(x)].

P (a),
X
X
P (a) = z
gn (a)[1 e(a)] = z[1 e(a)]
[e(a) (a)]n = z
n>0

n>0

1 e(a)
.
1 e(a)(a)

P (b).
x (b) , n :
{n + n+1 < x 6 n+1 } = {x n+1 6 n + n+1 < x}, n > 0.
n+1 = v n + n+1 = w,
w + v x.
XZ

P (b) = z

n>0 0

d(1 eax )

dF (v)

Zx X
[a(w + v x)]k
k!

xv k>0

ea(w+vx) z k dKn (w),

Kn (t) = P {n + n+1 < t} = Gn (t) E(t).


k v w,
XZ

P (b) = z

=z

n>0 0
Z

n>0 0

d(1 e

ax

d(1 eax )

Zx
0

Zx
0

dKn (w)

ea(w+vx)(1z) dF (v) =

xw

dKn (w)[ea(1z)(xw) (a az)


F (x w) ea(1z)(xw)] =

3.
XZ

=z

n>0 0

111

d(1 eax )Kn (x) ea(1z)x [(a az) F (x)] =

=z

kn (a)

n>0

a
[(a az) (a)] =
a a(1 z)

= [(a az) (a)]

n>0

[e(a) (a)]n e(a) = e(a)

(a az) (a)
.
1 e(a) (a)

(3) .
(3) ;
, (a) , ( , )
; e(a) ; (a az)
, . (3)
n
o
X
R(z) =
[e(a) (a)]n z[1 e(a)] + e(a)[(a az) (a)] .
n>0

. . (. 6 1).

(k)
{aij }i,j>0 . aij i
j k . , :
(k)

i j aij 0 k ,
;
(k)
, .. lim aij = j > 0, k

{j }
.
.
(, , ), > 0, i0
x0 , x1 , x2 , . . . ,
X
aij xj 6 xi i > i0 ,
j>0

X
j>0

aij xj < + i 6 i0 .

112

. 2.
X
,
aij xj .
j>0


0, 1, 2, . . .. {aij }. , , .. x, x0 , x1 , x2 , .X
. . , .
aij xj
j>0

.. x ,
i. .
. . . (.. , )
, . ,
. {aij }i,j>0
.
ah1 < 1. x , , ,
; x = xi = i h1 ,
i. (.
) i > 0
X
aij xj = (i 1 + ah1 ) h1 = i h1 h1 (1 ah1 ) = xi ;
j>0

= h1 (1 ah1 ) > 0; i = 0
X

aij xj < +, 1 =

j>0

t dF (t) < +.

,
xi = ih1 , = h1 (1 ah1 ), i0 = 0,
, .
pkN
k N , N +
X
pkN pk > 0, k > 0,
pk = 1;
k>0

pk , k > 0, .

X
P (z) =
pk z k = lim PN (z);
k>0

3.

113

(2)
zP (z) = [P (z) P (0) + P (0)R(z)] h(a az)

P (z) = P (0)

(5)

1 R(z)
h(a az).
h(a az) z

(, ,
ah1 < 1), h(a az) z |z| < 1 .
P (0) P (1) = 1. (1)(4)

lim N (s) = (s),

lim vN (s) = v(s),

P (z) = (a az) h(a az),


v(s) = (s) h(s).

(6)

(7)
(8)

ah1 > 1. , (. )
lim pkN = pk > 0, k > 0, (6),
N

(5), (7), (8). ,


P (1) = 1. , pk = 0, k > 0, .. P (z) 0.
, (5)
P (z)[h(a az) z] = P (0)[1 R(z)] h(a az).
ah1 > 1, h(a az) z (0, 1),
1 R(z) ( h(a az)) (0, 1), 1 R(z) (0, 1) 1 R(0) = 1,
1 R(1) = 0. , P (0) = 0, , P (z) = 0 |z| 6 1.
ah1 = 1. T > 0
(
H(t), t 6 T,

H(t)
=
1,
t > T.
1 < 1 ( T , ah

, H(t) H(t).

p0 > p0

1)
p0 = (1 ah

1 e(a)(a)
.
1 e(a)[1 a1 ]

1 h1 , , p0 0, p0 = 0,
T + h
.

114

. 2.

1. , (
). N ,
N - ( ); N ,
N - .
N +1 = (N 1)+ + N +1 ;

x+ = max(0, x). (2), R(z) = z.


.
. N N +1 ;
PN (z) = Ez N ,

Ez N = (a az).

2. , .
, , ,
( ).
3 (). , .
4. , .
pk , k > 0,
pk = p0 k , k > 0,
, 0 < < 1, ,
.. B(t)
B(t) = 1 ebt , a < b.
5. ,
, a, k ak , k > 0;
X
(z) =
ak z k , (1) = 1.
k>0

, ,
R(z),

h(a az),

(a az),

N (a az),
v(a az),

vN (a az),

ah1


R((z)),

h(a a(z)),

(a a(z)),

N (a a(z)),

v(a a(z)),

vN (a a(z)),

a (1)h1 .

3.

115

6. ,
( ).
, , ( ), ,
.. K(t) ( ). , ,
Z
R(z) = zk(a az), k(s) = est dK(t).
0

7. ,
1) ah1 < 1;
2) .. H(t) F (t) n + 1 ,
P (k) (1) = lim P (k) (z) < + k = 1, . . . , n.
z1

.
zP (z) = [P (z) P (0) + P (0)R(z)] h(a az).
8. , ,
n- ,
..
Zat n
x x
A(t) = P {zk < t} =
e dx, n > 0.
n!

,
(a az)[(a az) z n+1 ] = Rn+1 (z)
n + 1. , |z| 6 1
z n+1 = (a az)
n + 1 ( Rn+1 (z);
, z = 1).
. , n- a,
: n
, ; n , .. : , (n + 1)
;

116

. 2.

B(t). ,
, (1) (2):
z

n+1

PN (z) = N (a az) (a az),

PN +1 (z) = [PN (z) p0N p1N z . . . pnN z n +

+ (p0N + p1N + . . . + pnN )z n+1 ](a az).

, N ( n + 1
); .
X
PN (z) =
pkN z k ,
k>0

pkN , N -
k .
9.
, , ,
n, ..
A(t) =

Zat

xn x
e dx, n > 0.
n!

,
(a az)[h(a az) z n+1 ] = p0 U0 (z) + p1 U1 (z) + . . . + pn Un (z),
Uk (z)
Ui (z) = z i [1 Ri (z)], i = 0, 1, . . . , n;

(az)k k

Rnk (z) = (1)k
z k R(, z)
, k = 0, 1, . . . , n;

k!

=a
1 e()
(a az) ()

R(, z) =
+ e()

a + az
1 e()()
1 e()()

(, p0 , p1 , . . . , pn (n + 1)

z n+1 = h(a az)


|z| 6 1).
. ,
. (1) (2)
z

n+1

PN (z) = N (a az)h(a az),

PN +1 (z) = [PN (z) p0N p1N z . . . pnN z n +


+ p0N R0 (z) + p1N R1 (z) z + . . . + pnN Rn (z) z n ] h(a az),

3.

117

Rk (z) , ( (. 8), n + 1 ) k , k = 0, 1, . . . , n, ,
, . ,
(3),
Rnk (z) = z

k+1

XZ n
Gm (x) [1 E(x)]+

m>0 0

+ Km (x) e

a(1z)x

o Zax k
u u
[(a az) F (x)] d
e du.
k!

10. , a, . B(t). , .. , , , .
,
a
[1 (s)]
(s) = 1 + s a
,
1 + [1 (s)]
s

(s)
(s) = (s + a a(s)), |(s)| < 1, Re s > 0.
.
(s) = p0 + (1 p0 )1 (s + a a(s));
b
s

1 (s) = [1 (s)].
11. ,
, , . , (s) , ..
; , , n. , pk , k > 0,
pk = c1 k1 + . . . + cn kn , k > 0;
1
1
1 , . . . , n ( )
z = (a az),

|z| > 1.

118

. 2.

4.

,
3, :
n , , n , , ..
, n > 1.
,
, , , . , , , PN (z)
n 1.
:
X
F (z) =
ak z k ,
k>0




F (z) = a0 + a1 z + . . . + an z n .
n

. ) N +
lim PN (z) = P (z)

,
P (z) =

n1
X

pk z k , pk > 0, P (1) = 1;

k=0

) z = 0 h(a az) z ;
1 R(z)
h(a az)
h(a az) z

z

1 R(z)

P (z) = P (0)
h(a az)
,
h(a az) z

n1

P (0) P (1) = 1.

. , (2) 3, , z k
k , n. ,
l
F (z) = a0 + a1 z + . . . + an z n + z n (an+1 + an+2 + . . .),
n

4.

F (z) =

119

ak z k

k>0

(, F (1) =

ak ),

k>0

l
zPN +1 (z) = [PN (z) PN (0) + PN (0) R(z)] h(a az) ,
n

PN (z), PN (1) = 1 .
) ,

. N
l
zP (z) = [P (z) P (0) + P (0)R(z)] h(a az) ,
n



zP (z)

n1



= [P (z) P (0) + P (0)R(z)]h(a az)

n1



P (z)[h(a az) z]

n1



P (z)[h(a az) z]

n1



= P (0)[1 R(z)]h(a az)

n1

= P (0)

1 R(z)

h(a az) [h(a az) z]
,
h(a az) z
n1

() , ,




P (z)R(z) = Q(z)R(z) ,
n

P (z), Q(z), R(z) , z = 0 R(0) 6= 0,





P (z) = Q(z) .
n

.
, a,
k
ak , k > 0, , R(z), h(a az)
R((z)), h(a a(z)),
X
(z) =
ak z k , (1) = 1.
k>0

120

. 2.

5. (
)
. .
r () L1 , . . . , Lr . Li (i = 1, . . . , r)
i. ,
Li
Lj , i < j. ,
. ,
, .
, .
, ,
.

.
1.1. , ;
, , .
1.2. , .
1.3. To , (
).
2. ,
,
( ).
,
L1 , . . . , Lr ;
k ak (k = 1, . . . , r);
( ) ;
k ..
Bk (t), k = 1, . . . , r.
: k;

5. ( )

121

k;
; k . . 1.
WKN (t) VKN (t)
N - (
) , k.
WKN (t) VKN (t)
N +. , , ( )
lim WKN (t) = Wk (t),

lim VKN (t) = Vk (t),

.. , Wk (t)(Vk (t))
.. ( ) k.
. 1.1, B1 (t) = . . . = Br (t) = B(t). Ha k . , , k,
, , k (..
k)
, 3, :
A(t) = 1 eak t ,

C(t) = E(t) = 1 ek1 t , i = a1 + . . . + ai , 0 = 0,


D(t) = F (t) = k1 (t).


(a1 + . . . + ak )1 < 1
(, h(s) = (s)).
D(t) (= F (t) = H(t))
1
,
1 k1 1
2
2 =
,
(1 k1 1 )3

1 =

3 =

322 k1
3
+
.
4
(1 k1 1 )
(1 k1 1 )5

122

. 2.

. 1.1, . k
, 3, :
A(t) = 1 eak t ,

C(t) = E(t) = 1 e

B(t) = Bk (t),
k1 t

D(t) = F (t) = k1 (t);


k1 (t) .. k 1 (. 1). 3 1

k1
X
k1 k1 (s) =
ai i (s + k1 k1 k1 (s)).
i=1


a1 11 + . . . + ak k1 < 1.

(. 3)

k (s) =

k
X
i=1


ai i1 (s + k1 k1 k1 (s))

s ak + ak k (s + k1 k1 k1 (s))


k1 =
k2 =

k3
33k1

k2
,
2k1 k

2k2
2
2k1

2k

k2 k1,2
;
23k1 k

i1 = a1 11 + . . . + ai i1 ,
i2 = a1 12 + . . . + ai i2 ,
i3 = a1 13 + . . . + ai i3 ,
i = 1 i1 ; 0j = 0.

k
vk1 = k1 + h1 ,
vk2 = k2 + 2k1 h1 + h2 ,

h1 =

k1
,
k1

h2 =

k1,2
k2
+ k1 3 .
2k1
k1

5. ( )

123

. 1.2. k 3

A(t) = 1 eak t ,

E(t) = 1 e

k1 t

H(t) = Hk (t),
, F (t) = k1 (t);

Hk (t) k1 (t) , 4 1.

a1 11 +

a2
a
[1 2 (1 )] + . . . + k [1 k (k1 )] < 1.
1
k1

. 1.3. ,
1.2, Hk (t) k1 (t) 5 1.

h
i
h
i
1
1
a
a
a1 11 + 2
1 + ...+ k
1 < 1.
1 2 (1 )

k1 k (k1 )

. 2. [28]. ,
.
E1 . . k = (k1 , . . . , kr ); ki i,
, i = 1, . . . , r; piN (k) , N -
( )
i , (
), k = (k1 , . . . , kr ).
z = (z1 , . . . , zr ), k = (k1 , . . . , kr ) r (
, , ),

z k = z1k1 . . . zrkr .
,
PiN (z) =

piN (k)z k ,

PN (z) =

k>0

r
X

PiN (z);

i=1

k > 0 k1 > 0, . . . , kr > 0;


(ui z) = (u, . . . , u, zi+1 , . . . , zr ),
(z, ui ) = (z1 , . . . , zri , u . . . , u),
(ui zv j ) = (u, . . . , u, zi+1 , . . . , zrj , v, . . . , v).

(1)

124

. 2.

, ,
, :
X
PiN (z) =
k1 > 0, . . . , kr > 0piN (k1 , . . . , kr )z1k1 . . . zrkr .

E2 . .
, ,
zi , i,
, . :
PiN (z) , N - i , ,
;
PN (z) , N - , ,
(..
);
PN (0i1 z) PN (0i z) =
X
=
16j6r; ki >1, ki+1 >0, . . ., kr >0pjN (0, . . ., 0, ki , . . ., kr )ziki . . .zrkr

, N - , ,
i,
i ;
PN (0r ) , N - , ,
;
X

k>0

(ar u)kr ar u
(a1 u)k1 a1 u
e
...
e
dBi (u) =
k1 !
kr !

= i ( az) ,
i ; =
= a1 + . . . + ar , az = a1 z1 + . . . + ar zr ;
iN ( az) , N -
, N - i.
, a
i qi = i , i = 1, . . . , r.


zi Pi,N +1 (z) = [PN (0i1 z) PN (0i z) + qi zi PN (0r )]i ( az)

(2)

.
(N + 1)- i ,
, (
zi Pi,N +1 (z)), , N - ,

5. ( )

125

, i,
i,
( PN (0i1 z) PN (0i z)) (N + 1)- ( i)
( i ( az)), N - ,
, (
PN (0r )), i ( qi ) ( zi )
(
i ( az)).

PiN (1i1 z1ri ) = PiN (1r )iN (ai ai zi )i (ai ai zi ).

(3)

, :
PiN (1r ) , N - i;
X
PiN (1i1 z1ri ) =
k1 > 0, . . . , kr > 0piN (k1 , . . . , kr )ziki , N - i
i, ,
;
Z
X
(ai u)m ai u
m
e
dBi (u) = i (ai ai zi ) ,
zi
m>0

m!

i i;
iN (ai ai zi ) ,
N -
i , N - i.

(3) .
N - i i, ,
( PiN (1i1 z1ri )), ,
N - i ( PiN (1r )),
i ( iN (ai ai zi ))

i ( i (ai ai zi )).
z1 , . . . , zr
0 6 zi 6 1(i = 1, . . . , r), (2) (3)
z1 , . . . , zr . PiN (z) z1 , . . . , zr PN (1r ) = 1, i (s) -

126

. 2.

Re s > 0, , (2) (3)


z1 , . . . , zr , |zi | 6 1, i = 1, . . . , r. , PiN (z) iN (s), i = 1, . . . , r, N > 1,
.
E3 . ,
(4)

a1 11 + . . . + ar r1 < 1

lim piN (k) = pi (k),

,
X
pi (k) > 0,
1 6 i 6 r, k > 0pi (k) = 1.

6 . 1.
, ( ). (i, k), , , ,
i k = (k1 , . . . , kr ).
, M . .
1, 2, . . . , (1, 0), . . . , (r, 0) 1, . . . , r, . (i, k) s,
s = s(i, k). M
{qst }s,t>1 . s = s(i, k)

ys = k1 11 + . . . + kr r1 .
ys , X
k = (k1 , . . . , kr ).
qst yt
t>1

, , ,
s = s(i, k). s = s(i, k) k = (0, . . . , 0, kl , . . . , kr ), kl > 1.
X
t>1

qst yt =

r
X
i=1

(ai l1 )i1 + (kl 1)l1 +


=

r
X
j=l

r
X

kj j1 =

j=l+1

r
h
i
X
kj j1 l1 1
ai i1 6 ys ,
i=1

5. ( )

127

r
h
i
X
= min l1 1
ai i1 .
16l6r

i=1

> 0 (4). s = s(i, 0),

qst yt =

t>1

r
X
l=1

ql

r
X

(ai l1 )i1 < +.

i=1

, piN (k) (
) (i, k) N .
E4 . , (4) .
lim PiN (z) = Pi (z),

lim PN (z) = P (z),

|zi | 6 1 (i = 1, . . . , r);


P (z) =

r
X

Pi (z),

P (1r ) = 1.

(5)

i=1

(2)
zi Pi (z) = [P (0i1 z) P (0i z) + qi zi P (0r )]i ( az).

(6)

(3)
lim iN (ai ai zi ) = i (ai ai zi ), |zi | 6 1,

Pi (1i1 z1ri ) = Pi (1r ) i (ai ai zi ) i (ai ai zi )

(7)

( i (+0) = 1, Wi (t) = lim WiN (t) ..).


N

E5 . , (4)(6)
Pi (z), i = 1, . . . , r, |z1 | < 1, . . . , |zr | < 1
|Pi (z)| 6 1.
, (6)
r
X
zi Pi (z)
i=1

i ( az)

r
X
i=1

r
X
i=1

[P (0i1 z) P (0i z) + qi zi P (0r )]

Pi (z)
[z i ( az)] = (qz 1)P (0r ),
i ( az) i

(8)

128

. 2.

qz = q1 z1 + . . . + qr zr =

az
.

(v (k) z) = (v1 , . . . , vk1 , zk , . . . , zr );


(6)
Pi (z)
Pi (v (k) z)
=
i ( az)
i ( a(v (k) z))

(9)

|zj | 6 1, |vj | 6 1, zi 6= 0. , (9)


zi = 0.
, , uk1 , . . . , uk,k1 zk , . . . , zr
k1
r


X
X
uki = i
aj ukj
aj zj , i = 1, . . . , k 1.
(10)
j=1

j=k


. , : (10)
uki = uki (zk , . . . , zr ), i = 1, . . . , k 1,

r
r
X
X
aj Re zj <
aj
(11)
j=k

j=k

|uki | < 1(i = 1, . . . , k 1). ,


u=

k1
X
i=1

a i i u

r
X

aj z j

j=k

(12)

(zk , . . . , zr ) (11) k1
X
u = uk = uk (zk , . . . , zr ) , |uk | <
ai ,
i=1

|u| =

k1
X

ai

i=1

r


X
Re u
aj zj > 0,
j=k

k1
X

i=1


a i i u

r
X
j=k



aj z j 6

k1
X
i=1

r

 k1
X
X

ai = |u|.
ai i u
aj z j <
j=k

i=1

uk = uk (zk , . . . , zr )
(11).

5. ( )
r


X
uki = i uk
aj z j

129

(13)

j=k

( uk =

k1
X

ai uki ).

i=1

, uk1 , . . . , uk,k1
,
k1
X
uk =
ai uki
i=1

(12) |uk | <

k1
X

ai , uk = uk , (13) uki = uki

i=1

(i = 1, . . . , k 1).
Pi (z) P (0r ) .
z1 = ur1 (zr ), . . . , zr1 = ur,r1 (zr ).
(8), (10)
Pr (ur1 , . . . , ur,r1 , zr )
ur (zr )+ar zr r
[zr r (ur (zr )ar zr )] =
P (0 ),

r ( ur (zr ) ar zr )

(9)
Pr (z)
Pr (ur1 , . . . , ur,r1 , zr )
=
r ( az)
r ( ur (zr ) ar zr )

z, |zj | 6 1(j = 1, . . . , r). ,


z1 = ur1,1 (zr1 , zr ), . . . , zr2 = ur1,r2 (zr1 , zr2 ),
Pr1 (z) ..
P (0r ).

P (1r ) = 1. z2 = . . . = zr = 1
z1 1 ( az)
z1 1 (a1 a1 z1 )
=
;
1 z1
1 z1
1 i ( az)
1 i (a1 a1 z1 )
=
, i = 2, . . . , r;
1 z1
1 z1
qz 1
a
= 1.
1 z1

z1 1, (8),
P1 (1r ) +

r
X
i=1

Pi (1r )a1 i1 =

a1 r
P (0 ).

130

. 2.

Pj (1r ) +

r
X
i=1

Pi (1r )aj i1 =

aj r
P (0 ), j = 1, . . . , r;

P (0r ) = 1 a1 11 . . . ar r1 .

,
Pi (1r ) =

(14)

ai
.

(15)

E6 . i (s), i = 1, . . . , r. (7)

i (s) =

1
Pi (1, . . . , 1, 1 ai s, 1, . . . , 1)
,
ai
i (s)

|1 a1
i s| 6 1.

zj = 1, j = k + 1, . . . , r;
zk = 1

s
;
ak

zi = uki (zk , . . . , zr ), i = 1, . . . , k 1;
(9)
s
Pk (1, . . . , 1, 1
, 1, . . . , 1)
Pk (z)
ak
=
;
k ( az)
k (s)
Pj (z)
Pj (1r )
=
= Pj (1r ), j = k + 1, . . . , r;
j ( az)
j (0)
1
az = s + k1 uk ; qz 1 = (s + k1 uk );

(8) (9), (13)(15)

k (s) =

r
X
j=1

aj j1

r
 k1
 X
h
k1
i
X
X

aj + uk s
aj 1j
aj + s uk
j=1

ak s ak k

j=1

j=k+1

k1
X
j=1

aj + s uk

, ( uk (s) = k1 k1 (s)).
.

a1 11 + . . . + ar r1 < 1
:

6.

131

)
lim WkN (t) = Wk (t), k = 1, . . . , r,

Wk (t) ..;
) Wk (t)
k (s) =

r
r

X
X
1 ai i1 (s+k1 k1 k1 (s))+
ai [1i (s+k1 k1 k1 (s))]
i=1

i=k+1

s ak + ak k (s + k1 k1 k1 (s))

k1 (s)
k1 k1 (s) =

k1
X
i=1

ai i (s + k1 k1 k1 (s)),

k1 (s),
Re s > 0, |k1 (s)| < 1;
)
i1 = a1 11 + . . . + ai i1 ,
i2 = a1 12 + . . . + ai i2 ,
i3 = a1 13 + . . . + ai i3 ,
i = 1 i1 ,

0j = 0,

.. Wk (t)
r2
,
2k1 k
r2 k1,2

k2
= 3 r3
+ r2
+
.
3k1 k
22k1 2k
23k1 k

k1 =

k2

6.
, 3, , . w(t)
, t, :
, t
, , t.
(s, t) = Eesw(t)
P0 (t) , t .

132

. 2.

, w(t) w(0) = 0 a1 6 1,
(s, t) = e

[sa+a(s)t]

Z
0

1s

Zt
0

o
e[sa+a(s)]x P0 (x) dx ,

(1)

esx P0 (x) dx = [s + a a(s)]1 ,

(s) = (s + a a(s)), Re s > 0, |(s)| 6 1.


,
e

a[1(s)]t

=e

st

(s, t) +

Zt
0

P0 (x)ea[1(s)](tx) d(1 esx ),

(2)

. s > 0
, s. , . ,
, 1 (s),
a,
a[1 (s)]. ,
t (
ea[1(s)t] ), ,
t ( est ), , t ,
, t (
(s, t)), t, ,
x, x
( P0 (x)), t x ( exp{a[1 (s)](t x)}).
(2).
s > 0, t > 0 (s, t) ()
s > 0 exp{[s a + a(s)]t} t t + ( a1 6 1 s a + a(s) ,
s > 0 s a + a(s) > 0), (1)

Z
e[sa+a(s)]x P0 (x) dx = s1 ,
0

6.

133

,
(s) = (s + a a(s))
(. 1), ,
Z
esx P0 (x) dx = [s + a a(s)]1 ,
0

.
1. , ,
a,
k X
ak , k > 0; (z) =
ak z k , (1) = 1, ,
k>0

w(t), , (s) ((s)), a :


Zt
n
on
o
(s, t) = exp [s a + a((s))t] 1s P0 (x)e[sa+a((s))]x dx ;
0

Z
0

esx P0 dx = [s + a a(s)]1 ;
(s) = [(s + a a(s))].

2. a1 < 1 W (x) . ,
, .
, , (
). Wc (x), 0 6 x 6 c .
,
() Wc (x) = W (x)/W (c) 0 6 x 6 c.
() Wc (x) N -
N +.
. () wc (t) t. , wc (t) w(t) A = [0, c].
(2) 10 8
1.

134

. 2.

() 1 2 11 3.
7. ,

, .. A(t), A(+0) < 1.


, .. B(t) = 1
ebt , b > 0. .
1 ( ).
.
2 ( ). ,
,
, .
:
pkN , N - ( )
k , k > 0.
WN (t) .. N - ;
Z
1
a = t dA(t) < +.
0

. a/b < 1, :
)
lim pkN = pk > 0, k > 0;

lim WN (t) = W (t),

;
) pk = (1 )k , k > 0,
= (b b),
(0, 1);
)
W (t) = 1 e(1)bt ;
)
(s) = 1 + (s),

b
[1 (s)]
s
(s) =
,
b
1 + [1 (s)]
s

(s) = (s + b b(s)),

7. , 135
(s), Re s > 0, |(s)| <
< 1. , (0) = .
a/b > 1, , ),
pk = 0, k > 0.
. t1 , t2 , . . . ; t0 = 0; (t) ,
t; n = (tn 0). , {n }n>0 ; N -
N .
{aij }i,j>0 ; aij = P {N +1 = j/N = i}, N > 0. i
( )
0, 1, . . . , i + 1, ..
aij > 0 i + 1 > j,
aij = 0 i + 1 < j.
,
aij =

Z
0

(bx)i+1j bx
e
dA(x), i + 1 > j > 0.
(i + 1 j)!

, pkN ( ) k N . ,
a/b < 1

lim pkN = pk , k > 0,

(1)

(2)

pk > 0,

pk = 1.

k>0

, (1) 1
6 . 1. (2),
( 3 6 . 1),
X
pk =
pi aik , k > 0,
i>0

pi = 1

i>0

, (1).

136

. 2.

, pk , k > 0,
1 = p0 + p1 + . . . ,
p0 = p0 a00 + p1 a10 + . . . ,
p1 = p0 a01 + p1 a11 + . . . ,
..................
, , , .
ai+k,j+k = aij k > 0, j > 1,

pk+1 =

pk+i

i>0

(bx)i bx
e
dA(x), k > 0.
i!

pk , k > 0,
pk = p0 k , 0 < < 1;

p0

k+1

= p0

X Z (bx)i

i>0 0

i!

ebx dA(x),

= (b b).
(0, 1) (
, a/b < 1). , ) )
.
) ,
k ,
1 .. Bk (t),
Bk+1 (t) =

Zbt
0

xk x
e dx = [1 ebt ]k+1
,

k!

B0 (t) = 1, t > 0.

) , , ,
, (. 2 1).
WN (t) = p0N + (1 p0N )(t);
(s) 2 1.

8. ,
, a/b > 1.
lim pkN = pk = 0, k > 0.

137

= 1 ebt , t > 0. b > 0 B(t)


B(t) = 1 ebt ,
= 1 ebt ,
B(t)
. ,

B(t) < B(t),


b < b,
b < b
p0N 6 p0N ,

p0 6 p0 .

(3)

b , a/b < 1;
p0 = 1 ,

= (b b ),
(0, 1). b a + 0 1 (3) ,
p0 = 0. 3 6 . 1 , pk = 0
k > 0.
8. ,
, ,
, .. A(t).
, .. B(t). , . Wr (t) .. r-
( ). Wr (t) r +. ,
-, [34].
,
1 =

Z
0

t dA(t) < +,

1 =

t dB(t) < +.

, ,
,
.

138

. 2.

. )
(1)

lim Wr (t) = W (t)

r+

W (t) =

t
Z

W (t x) dC(x)

t > 0,

(2)

t < 0;

C(t) =

B(x + t) dA(x)

(3)

(, A(t) = B(t) = 0 t < 0).


) 1 > 1 (1) .. (W (+) = 1); (2)
. ,
hX + (s) 1 i
k
(s) = exp
, Re s > 0,
k

k>1

k+ (s)

=s

est Ck (t) dt,

Ck+1 (t) =

Ck (t x) dC(x),

C1 (t) = C(t).

) 1 6 1 (1)
W (t) 0.
.
t1 , t2 , . . . ;
zr = tr tr1 , r > 1, t0 = 0;
sr r,
wr r.
, ;
w1 = 0,

8. ,

139

wr+1 = wr + sr zr+1 , wr + sr zr+1 > 0,


wr+1 = 0,
wr + sr zr+1 6 0,
, ur = sr zr+1 ,
(
wr + ur , wr + ur > 0,
wr+1 =
0,
wr + ur 6 0.

(4)

, wr ur .
Wr (t) = P {wr < t},

C(t) = P {ur < t};

W1 (t) = 1 t > 0 W1 (t) = 0 t 6 0,


Wr+1 (t) = P {wr+1 < t} = P {wr+1 = 0} + P {0 < wr+1 < t} =
= P {wr + ur 6 0} + P {0 < wr + ur < t} = P {wr + ur < t} t > 0,
..
Wr+1 (t) =

t
Z

Wr (t x) dC(x)

t > 0,

(5)

t 6 0.

, C(t) W1 (t), Wr (t)


r > 1. (.. ) .
,
W2 (t) = P {u1 < t},

W3 (t) = P {u1 + u2 < t, u2 < t}, t > 0,


Wr+1 (t) = P {u1 + . . . + ur < t, u2 + . . . + ur < t, . . . , ur < t}.
u1 , . . . , ur ,

Wr+1 (t) = P {u1 < t, u1 + u2 < t, . . . , u1 + . . . + ur < t}.
Uk =

k
X

ui ;

i=1

Wr+1 (t) = P {Uk < t k 6 r}.

140

. 2.


Er = P {Uk < t k 6 r},

Er Er+1 . . . E,

E = {Uk < t k 6 1}.


,
lim Wr+1 (t) = lim P (Er ) = P (E),

(1).
, (5)
(2),
W (t) = P (E).
, W (t) ,
t 6 0. W (t) .., , W (+) = 1.
, w1 = 0 (4)
wr+1 = max{0, ur + ur1 , . . . , ur + ur1 + . . . + u1 }.
u1 , . . . , ur ,
,
wr+1 max{0, u1 , u1 + u2 , . . . , u1 + u2 + . . . + ur }
. (.
6, )
w1 = 0.
w1 = x;
wr+1 = max{0, ur , ur + ur1 , . . . , ur + . . . + u2 , ur + . . . + u1 + x},
,
wr+1

max{0, u1, u1 + u2 , . . . , u1 + . . . + ur1 , u1 + . . . + ur + x}

. ,
lim Wr+1 (t/x) = W (t);

Wr+1 (t/x) = P {wr+1 < t/w1 = x}.

8. ,

141

w1 , W1 (t),
Wr (t) =

Wr (t/x) dW1 (x),

lim

Wr (t/x) dW1 (x) =

lim Wr (t/x) dW1 (x) =

W (t) dW1 (x) = W (t).

, 1 > 1 (2)
W (t), t < 0 .. , W (t) , ,
W1 (t) = W (t), (5) , Wr+1 (t) = W (t), .e. W (t) = W (t).
1. ,
, : ,
, , .. D(t) ( ).
.
.
(
wr + ur , wr + ur > 0,
wr+1 =
r ,
wr + ur 6 0,
{r }
.. D(t).
2. n , ,
.. A(t). wr r- ( ). ,
lim P {wr < t} = W (t) =

Zt

W (t x) dC(x), t > 0,

142

. 2.

+
Z
(s) =
est dC(t) = (s)[(s)]n , Re s > 0.

3. w1 = 0. , Eu1 < 0
0 6 Wn (t) W (t) 6

4 var u1
.
n (Eu1 )2

. ,
0 6 Wn+1 (t) W (t) 6 P {sup Uk > t},
k>n

. . .
4. w1 = 0 .. u1 > 2.
, C = C , Eu1 = < 0
0 6 Wn (t) W (t) 6

C
,
n/2

= E|u1 Eu1 | .
.
P = P {sup Uk > t}.
k>n

n + 1 = 0 < 1 < . . . ; N N ;
,
P6

N >0

P{

sup
16k<N +1

Sk = Uk EUk .

|Sk | > N },

, . 11 .
9.

t
Z

W (t x) dC(x), t > 0,
W (t) =

0,
t 6 0,

(1)

9.

143

A(t) B(t). . ,
C(t) = P {s z < t} =

B(t + u) dA(u).

(2)

,
A(+0) < 1,
a1 =

Z
0

t dA(t) < ,

B(+0) < 1,
Z
1
b = t dB(t) < ,
0

a < b.
8 (1) .. W (t). , , (1),
,
0 1 t t + . ,
W (t) C(t) .., t1 t2 , t2 > t1 ,
Zt2

W (t2 x) dC(x)

Zt1

W (t1 x) dC(x) =
=

Zt

W (t x) dC(x) 6

Zt

[W (t2 x) W (t1 x)] dC(x) > 0

dC(x) = C(t) 0 t .

W+ (t) = W (t),
t
Z

W (t x) dC(x),
W (t) =

0,
W (t) + W+ (t) =

Zt

t 6 0,
t > 0;

W+ (t x) dC(x)

(3)

144

. 2.

t.
Z
Z
st
+ (s) =
e
dW+ (t) = est dW+ (t),

(s) =

est dW (t) =

(s) =

Z0

est dW (t),

est dC(t),

(3)
(s) + + (s) = + (s) (s)

(s) + + (s)[1 (s)] = 0.

(4)

, (2)
(s) = (s) (s).

(5)

, + (s), (s), (s), (s), (s) ,


, Re s = 0, + (s) (s)
Re s > 0, (s), (s)
Re s < 0.
, a(t), b(t), c(t) A(t), B(t), C(t) (
).
( [37]). > 0
1) a(t) et a(t) et [1 B(t)] (0, ),
2) b(t) et b(t) et [1 A(t)] (0, ),

) C(t) , .. c(t);
) e|t| c(t) (, +);
) , 0 < < , (s)
+ 6 Re s 6 ;
) (s) = O(1/| |) s = + i, + 6 6 .
He , , . + (s), (s) Re s > , (s), (s)

9.

145

Re s < , (s) < Re s < . (s), (s), (s) ;


+ (s) (s). ,
W+ (t) =

W+ (u)c(t u) du, t > 0,

W (t) =

W+ (u)c(t u) du, t 6 0,

e|t| c(t)
(, +), e|t| W+ (t) e|t| W (t)
(, +); , t < 0
e

|t|

W (t) =

Z
0

e|t| W+ (u)c(t u) du 6
6

Z
0

|t|

c(t u) du 6

Z
0

e|tu| c(t u) du < +.

, W+ (t) W (t) + W+ (t)


(, +) 0 6 W (t) 6 1, , 0 < < , + (s)
(s) Re s > + Re s 6 . = > 0
: (s) < Re s < ;
+ (s) (s) , :
) + (s)
Re s > ; (s) Re s < ;
) < Re s <
(s) + + (s)[1 (s)] = 0;
) + (0) = 1 (= W (+)).
. , (s) 1, ..
K+ (s) K (s), :
1) K+ (s) Re s > ;
2) K (s) Re s <
;
3) (s) 1 =

K+ (s)
, < Re s < .
K (s)

146

. 2.

, ,
4)
|K+ (s)| 6 M1 |s|p |s| + Re s > ,
|K (s)| 6 M2 |s|q |s| + Re s < ;

(s) K (s) = + (s) K+ (s),

(6)

Re s < , Re s > ; F (s), (6) Re s <


(6) Re s > .
|F (s)| 6 M 1 |s|p |s| + Re s > ,
|F (s)| 6 M 2 |s|q |s| + Re s < ,

F (s) min(p, q),


+ (s) K+ (s) = K0 + K1 s + . . . + Kn sn ;

(7)

.
, K+ (s) K (s) .
1. A(t) = 1 eat , B(t) = 1 ebt .
a
,
a+s

b
,
b+s
s(s + b a)
(s)(s) 1 =
.
(a s)(b + s)

(s) =

(s) =

K+ (s) K (s)
K+ (s) =

s(s + b a)
,
b+s

K (s) = a s.

(7)
(s)

s(s + b a)
= K0 + K1 s;
b+s

(0) = 1,
K0 = 0, K1 = 1 ; = a/b;
(s) = (1 )

b+s
ba
=1+
,
s+ba
s+ba

W (t) = 1 e(ba)t , t > 0.

9.

147

2. A(t) = 1 eat ;
(s)(s) 1 =
3a K+ (s) K (s)

a(s) a + s
.
as

K+ (s) = a(s) a + s,

K (s) = a s.

(7)
(s)[s a + a(s)] = K0 + K1 s,
((0) = 1)
K0 = 0, K1 = 1 , = a1 ,
(s) =

1
.
1 (s)
1a
s


n+1
a
3 ( n- ). (s) =
.
a+s

(s)(s) 1 =

an+1 (s) (a s)n+1


.
(a s)n+1

K+ (s) K (s)
K+ (s) = an+1 (s) (a s)n+1 ,

K (s) = (a s)n+1 .

(7)
(s)[an+1 (s) (a s)n+1 ] = K0 + K1 s + . . . + Kn+1 sn+1 .
(0) = (0) = 1, K0 = 0. K1 , . . . , Kn+1
. s = a az;
an+1 (a az)[(a az) z n+1 ] =

= K1 a(1 z) + . . . + Kn+1 an+1 (1 z)n+1 .

,
(a az) z n+1
, , (n + 1) ( )
|z| 6 1. , > 0 |z| = 1
Re ( + a az) > 0,

|( + a az)| < 1 = |z n+1 |,


, ,
z n+1 ( + a az) z n+1

148

. 2.

|z| < 1, .. (n + 1) . 0
. K1 , . . . , Kn+1
(a az) z n+1 |z| 6 1. ,

K1 = an [n + 1 a1 ].
4. (s) = P (s)/Q(s), P (s) Q(s) k n . , Q(0) 6= 0,
P (0) = (0)Q(0) = 0 P (s)/Q(s)
s. , Q(s) Re s < 0, (s)
Re s > 0. ,
(s)(s) 1 =

P (s)(s) Q(s)
.
Q(s)

K+ (s) K (s)
K+ (s) = P (s)(s) Q(s),

K (s) = Q(s).

(7)
(s)[P (s)(s) Q(s)] = K0 + K1 s + . . . + Kn sn ,
K0 , K1 , . . . , Kn . ,
K0 = 0, (0) = (0) = 1, P (0) = Q(0). P (s)(s) Q(s).
,
.
1. , 0 < < ,
s+ (s)
1 (s) =
(s)

, + (s) Re s > , 1
,
(s)
s
Re s < , . + (s) (s) , , , :
1
ln + (s) =
2i

+i
Z

ln

o
z
[1 (z)]
z
dz,
zs

o
z
[1 (z)]
z
dz.
zs

ln (s) =

1
2i

+i
Z

ln

9.

149

. . A(t) B(t) , (s = + i )
|(i)| < 1 i 6= 0 (0) = 1.
(s) 0 | | + + 6 6 ,
1 (s) + 6 6 . , 0 < < ,
, 1 (s)
6 6

d
s = 0. , [1 (s)]
= b1 a1 6= 0,
ds

s=0

s = 0 1 (s) .
s
[1 (s)]
s

(8)

6 6
1 + O(1/| |) (. ) ).
. ,
|(i )| < 1, 6= 0,

s
[1 (s)] = (a1 b1 ) + O(s), |s| 0,
s

|(i )| 0 | | +,

,
n
o
s
arg
[1 (s)]
s

. , 6 6 .
n
o
s
ln
[1 (s)]
s

6 6

n
o


s
[1 (s)] 6 M | |1 .
ln
s

. 2 3 .

.
(s) =

+ (0)
.
+ (s)

,
K+ (s) = s+ (s),

K (s) = (s).

150

. 2.

(7)
+ (s)K+ (s) = K0 + K1 s,
(0) = 1, K0 = 0, K1 = + (0).
, 1 (s) - (s), (s) . , (s) (s). , .
+ (s) (s) .
, s = rei ,

r = ,

3
6 6 ,
2
2

|(s)| < 1.
, |(i )| < 1 6= 0. |s|
(s) = (s)(s) = 1 + s(a1 b1 ) + o(|s|),
, s = rei , 1 = r(a1 b1 ),
(s) = 1 + 1 ei + o(|s|),

. 5.

|(s)|2 = (1 + 1 cos )2 + (1 sin )2 + o(|s|)

|(s)|2 = 1 + 21 cos + o(|s|),


cos < 0, ..

3
<< ,
2
2

|(s)|2 = 1 21 | cos | + o(|s|),


.
R > > 0. ,
,
, R ,
, (. 5).
2. (s)
|(s)| < 1 , 1 (s)
(s) .
. ,
(s) (s). b1 , . . . , bn

9.

151

(s) ( , ) P (s) = (s b1 ) . . . (s bn ). P (s) P (s)(s)


, , ; ,

|P (s)| > |P (s) (s)|.
P (s) P (s)[1 (s)]
(, bi P (s) P (s) (s)),
.
3. :
1) R |(s)| < 1 |s| > R
Re s < 0;
2) (s) , + (s)
.
. b1 , . . . , bn (s);
2 1 (s) n Re s < 0
( ), a1 , . . . , an .
(s) + (s) , + (s)
n b1 , . . . , bn n a1 , . . . , an .
R(s) =

(s a1 ) . . . (s an )
,
(s b1 ) . . . (s bn )

+ (s) = (s) R(s);

(s) ( ). 0 > 0
R(s) Re s < 0 ,
+ (s) R1 (s) Re s > 0 (s) = + (s) R1 (s)
Re s > 0 . , :
1) 1 (s) =

s+ (s)
,
(s)

2) 1 (s) |s| > R, Re s < 0,


3)

(s)
Re s 6 ,
s

4) R1 (s) |s| > R , R ,


(s) =

(s) 1
s
[1 (s)]
R (s)
s
s

|s| > max(R, R ), Re s < 0. , (s) = K = const, .


,
+ (s) = K

(s a1 ) . . . (s an )
.
(s b1 ) . . . (s bn )

(9)

152

. 2.

3,


s
... 1
b1


(s) = 
s
1
... 1
a1



s
bn

s .
an

(10)

1.
3 ,
. Sn
.., , n
( n).
4. B(t) Sn , ..
(s) =

P (s)
,
Q(s)

(11)

Q(s) n, P (s) < n ( > 0, et [1 A(t)]


(0, )), (10), ..
(s) =

Q(s)



s
s ,
Q(0) 1
... 1
a1
an


(12)

a1 , . . . , an 1 (s)(s)
Re s < 0.
, , Q(0) 6= 0, P (0) = (0) Q(0) = 0 P (s)/Q(s)
s. , [37] P (s) 1.

3.
|s|, Re s < 0, (s) , (s)
, R > 0,
|(s)(s)| < 1
|s| > R, Re s < 0.

5. B(t) = 1 ebt , t > 0, b > 0. (s) =


s+b
, 4, n = 1, a1
(s)

b
1 = 0,
b+s

Re s < 0. a1 = b b,
(b b) = .

9.

153

,
(0, 1) ( a < b). (12)
(s) =

(b + s)a1
b b
b+s
= (1 )
=1+
,
s + b b
s + b b
b(a1 s)

W (t) = 1 eb(1)t .

n
1
b
6. (s) = esa , (s) =
, .. b+s

a1 , (n 1)- .
4
(s) =

bn

(b + s)n



s
s ,
1
... 1
a1
an

a1 , . . . , an

n
1
b
esa
1 = 0,
b+s

Re s < 0. z =

b+s
;
b

e a (1z) = z n .
, n
|z| < 1.
1.
s
ln (s) =
2i

+i
Z

1
z
ln
[1 (z)] dz.
z
z(z s)

. (s) = + (0)/+ (s), ln (s) = ln + (0) ln + (s);


1
1
1
=
=

s
.
z(z s)

zs

2. , (
)
1
1 =
2i

+i
Z

1
z
ln
[1 (z)] dz.
z
z2

. 1 = (0) = [ln (s)]s=0 ; 1.

154

. 2.

3. :
1) (s) ,
2) R |(s)| < 1 |s| > R
Re s < 0;
( )
1
1
1
1 = b1
1 + . . . + bn (a1 + . . . + an ),

b1 , . . . , bn (s); a1 , . . ., an 1 (s)
Re s < 0 ( ,
(s)). ,

a1 . . . an
.
b1 . . . bn

. . (10).
4. R > > 0
{s : |s| 6 R, Re s > 0} {s : |s| 6 , Re s 6 0}.
|(s)| < 1,
1 (s) (s) .
. , 2.
5. (s) (s) ; ,

1 =

2 21 1 + 2
1
1
1
+ a1
1 + . . . + aN 1 (b1 + . . . + bN ),
2(1 1 )

a1 , . . . , aN 1 1 (s) Re s > 0;
b1 , . . . , bN (s) Re s > 0.
. 2.
6. ,
1
=
i
2

+i
Z

1
z
ln
[1 (z)] dz.
z
z3

. 2 = [ln (s)]s=0 .
7. , 1 . (s), (s), (s)
+
+

-. a
1 , . . . , an , 0, a1 , . . . , am1 b1 , . . . , bn ,
+
+
b1 , . . . , bm 1 (s). + , ()

10. 155

. d
1 , . . . , dk -

1 (s)
.
s

+
(s b+
1 (s)
1 ) . . . (s bm )

+
s
(s a+
1 ) . . . (s am1 )


P (s)
(s

d
1 ) . . . (s

d
k)

Q(s)
(s

a+
1 ) . . . (s

a+
m1 )

+ const,

P (s) Q(s) ,
. ,
o
n
(s b
P (s)
1 ) . . . (s bn )
(s) =
+ ,

(s a1 ) . . . (s an )

(s d1 ) . . . (s dk )

a
P (0)
1 . . . an
+ (1)k+1
.

b1 . . . bn
d1 . . . d
k

. 0 5 .
10.

, 3, ,
, , .. , ,
, .
. , 5,
,
.
w(t) , , t. u(t)
,
t. , B(+0) = E(+0) = F (+0) = 0.
1.
lim Eesw(t) = (s),

t+

lim Eesu(t) = v(s),

t+


(s) = p1 + p2

1 (s)
1 (s + a a(s))
+ p3
,
h1 [s + a a(s)]
1 [s + a a(s)]

156

. 2.
(s) = h(s + a a(s)),
Z
h(s) = est P (t, (s)) dB(t),
0

est P (t, z) dt =

p1 = p0 a1

1 1 (s)

,
s 1 z(s)

1
1 ,
e(a)

p2 = 1 p1 p3 ,

p3 = p0 1 ,

i1
h
e h1
p0 = (1 ah1 ) h1 + 1
+ 1
,
e(a)

v(s) = (s) h(s).

, ah1 < 1.

n
o
2
1
h
1 =
p2 2 + p3
,
1
h1
2(1 ah1 )
n h
io
i
h
2
3
1
h
h
2 =
p2 3 + 2 ah2 + p3
+
ah2 ,
2
(1 ah1 )

3h1

31

2h1

21

v1 = 1 + h1 ,
v2 = 2 + 21 h1 + h2 .

, 5, , .
.
1.11.3 wk (t) ,
k ,
t. uk (t) k, t.
1, 5,
2.
lim Eeswk (t) = k (s),

t+

lim Eesuk (t) = vk (s),

t+

k (s) = (s), vk (s) = v(s), a (s) v(s) 1,



a = ak ,

e(s) =

k1
,
s + k1

10. 157
h(s) = hk (s),

(s) = k1 (s).

hk (s) k1 (s) .
1.1
k k (s) =

k
X
i=1

ai i (s + k k k (s)), k = 1, . . . , r;

0 (s) = 1,
hk (s) = k (s + k1 k1 k1 (s)), 0 = 0.
1.2 1.3 hk (s) k1 (s) 4 5
1 .
1, .
. 3, ,
. ..
H(t),
h(s) =

est P (t, (s)) dB(t),

Z
0

est P (t, z) dt =

1 1 (s)
.
s 1 z(s)

. .
(t) , t;
(t) .., 0 1 ,
( )
t:
(t) = 0, , t ; (t) = 1,
, t ; (t) (t) (t);
(t) > 0 (t) = 0, (t) ,
t, , ,
t; , (t)
;
(t) = 0 (t) = 0, (t) , , , -

158

. 2.
t ,
( );
(t) = 1, (t) , , , t, , .

, ,
(t) = {(t), (t), (t)}.
(t) .
Fki (x, t) = P {(t) = k, (t) = i, (t) < x}.
. ,
( lim Fki (x, t) , . 1, 3 5 . 1)
t+

Fki (x) = lim Fki (x, t),


t+

i (z, s) =

k>0

esx dFki (x),

, ,
(s a + az)1 (z, s) = M (0) [(a az) (s)],
e(s)

(s a + az)0 (z, s) = M (z) M (0)

e(a)
n
o
1
h(s) M (0) [(a az) (a)] + [M (z) M (0) zM (0)] ,
2

h
i1
e h1
M (0) = (1 ah1 ) h1 + 1
+ 1
,
e(a)

M (z) =M (0)[z h(a az)]


n
o
z

[e(a az) h(a az)] + h(a az)[z(a az) 1] .


e(a)

. :
(a) ;
(b) ;
(c) .

P (a) = 0 (0, 0) = p1 ;
P (b) = 0 (1, 0) 0 (0, 0) = p2 ;

10. 159
P (c) = 1 (1, 0) = p3 .
(a),
;
.
(b), , , .. H1 (t),
h1 (s) =

0 (1, s) 0 (0, s)
1
=
[1 h(s)].
sh1
P (b)

, (t) ..
, ..,

1
h1 (s + a a(s)) = h1
[1 (s)],
1 [s + a a(s)]

(. 1)
(s) = h(s + a a(s)).
(c), .. F1 (t),

1 (s) =

1 (1, s)
1
=
[1 (s)],
s1
P (c)

..,
1
1 (s + a a(s)) = 1
[1 (s + a a(s))].
1 [s + a a(s)]

(s) , ,
(s) = P (a) + P (b) h1 (s + a a(s))+
+ P (c) 1 (s + a a(s)).

0. ;
, ,

, (). , , a.
. (, )
.. (
) .. B(t).
(t) , t.
, (0) = 0.
1
(t) , t.
1.
P {(t) = k} =
(t) = a

[(t)]k (t)
e
, k > 0,
k!

Zt
0

[1 B(u)] du.

. 1 . , , ..
(
0, x 6 ,
B(x) =
1, x > .
t 6 , (t) , t,
, t. t > ,
(t), t,
, t t.
, (t) ,
t, ,
min(, t) = T .

0.

161

,
P {(t) = k} =

(aT )k aT
e
.
k!


(t) = aT = a min(, t) = a

Zt
0

[1 B(u)] du.

2 . , ..,
1 , . . . , n p1 , . . . , pn . 1 , . . . , n ,
. , = {1, 2, . . .},
i = {kn + i, k = 0, 1, 2, . . .} i = 1, . . . , n.
, ,
i , i .
api (. 9 0).
, n , 1 .
i
(
0, x 6 i ,
Bi (x) =
1, x > i .
, B(x) = p1 B1 (x) + . . . + pn Bn (x).
i (t) , i t. ,
(t) = 1 (t) + . . . + n (t).

P {i (t) = k} =

[i (t)]k i (t)
e
,
k!

i (t) = api

Zt
0

[1 Bi (u)] du.

, (t) n .. 1 (t), . . . , n (t),


162

. 3.

1 (t), . . . , n (t) . , (t)


(t) =

n
X

i (t) = a

i=1

Zt X
n
0

i=1

i [1 Bi (u)] du = a

Zt
0

[1 B(u)] du.

3 . , .. B(t)

p1 B1 (t) + . . . + pn Bn (t),
.. B1 (t), . . . , Bn (t) .
. [0, t) n , , . ,
, , n ,
( 1) [0, t),
, [0, t) ,
/t.
An , n [0, t). , ,
n (. ), t,
Zt
0

du
1
[1 B(t u)]
=
t
t

Zt
0

[1 B(u)] du =

b(t)
=p
t

( [u, u + du) c du/t


t u 1 B(t u) ).
P {(t) = k/An } = Cnk pk (1 p)nk , 0 6 k 6 n,

E[z (t) /An ] =

n
X

k=0

z k P {(t) = k/An } = [pz + (1 p)]n ,

, ,
X
Ez (t) =
E[z (t) /An ] P (An ) =
n>0

[pz + 1 p]n

n>0

X
(at)n at
[(t)]k k
e
= e(t)[1z] =
e(t)
z ,
n!
k!

0.

163

.
2 , ..
Pij (T, t) = P {(T + t) = j/(T ) = i, (0) = 0}, i, j > 0, T > 0,

lim Pij (T, t).

2.
E[x(T ) y (T +t) ] =
n
o
= exp (x 1)(T ) + x(y 1)[(T + t) (t)] + (y 1)(t) ,

(t) = a

Zt
0

[1 B(u)] du.

.
(T, t) , [0, T )
T + t;
(t) = (T, t) , [T, T + t)
T + t ( (T, t) T ).

(T + t) = (T, t) + (t),
(T ) = (T, 0).
(T, t) (T, t) ,
E = E[x(T ) y (T +t) ] = Ey (t) E[x(T,0) y (T,t) ].

(1)

.
1 . , , [0, T ),
T ,
p=

ZT
0

du
1
[1 B(T u)]
=
T
T

ZT
0

[1 B(u)] du =

b(T )
.
T

2 . An , n [0, T ),
P {(T, 0) = i/An } = Cni pi (1 p)ni , i 6 n.

164

. 3.

3 . , , [0, T ), T + t,
q =

ZT
0

du
1
[1 B(T + t u)]
=
T
T

ZT
0

[1 B(t + u)] du.

4 . , pq, q
, , [0, T ), T + t
, T . ,
1

q = (pT )

ZT
0

[1 B(t + u)] du =

b(T + t) b(t)
.
b(T )

5 . P {(T, t) = j/(T, 0) = i, An } = Cij q j (1 q)ij , j 6 i 6 n.

6 . E[y (T,t) /(T, 0)=i, An ] =

i
X
j=0

y j P {(T, t)=j/(T, 0)=i, An } =

i
X
j=0

y j Cij q j (1 q)ij = [1 + (y 1)q]i .

7 . E[x(T,0) y (T,t) /An ] =


n
X
=
xi P {(T, 0) = i/An } E[y (T,t) /(T, 0) = i, An ] =
i=0

n
X
i=0

xi Cni pi (1 p)ni [1 + (y 1)q]i = {1 + p[x 1 + x(y 1)q]}n = n .

8 . E[x(T,0) y (T,t) ] =

n>0

E[x(T,0) y (T,t) /An ] P (An ) =


=

n>0

n eaT

(aT )n
= eaT (1) .
n!

9 . 1
Ey (T,t) = Ey (0,t) = Ey (t) = e(t)(y1) .
2 (1), 8 , 9 .

0.

165

1. t = 0 (0) ,
1
Ez (t) = {B(t) + z[1 B(t)]}(0) e(t)[z1] .
2.
lim P {(t) = k} = e

t+

k
, =a
k!

t dB(t) < +,

(0).
3. , T +

E[x(T ) y (T +t) ] exp{(x 1) + x(y 1)[ (t)] + (y 1)(t)},

(t) = a

Zt
0

[1 B(u)] du, = (+) < +.

4.
, n T (. 11 . 0). n . .. B(t).
(t) t. ,
t 6 T
Zt
i
h
(z 1)b(t) n
(t)
1) Ez
= 1+
, b(t) = [1 B(u)] du;
T

2) T =

n
+, a > 0,
a

Ez (t) e(z1)(t) , (t) = a b(t),


(. 10 0) a.
5. (t), . 4 0. , t, .. B(x/t). ,
1 , (t)
(t) =

Zt
0

[1 B(t x/x)] d(x).

. 1 3 11 0.

166

. 3.

6 ().
(x, y) =

Zx
0

[1 B(x + y u/u)] d(u); x, y > 0.

,
(T ) (T +t)
z2

Ez1

= exp{(z1 1)(T )+(z2 1)(T + t)+(z1 1)(z2 1)(T, t)}.

7 (). ,
cov {(T ), (T + t)} = (T, t);
(t) = (t, 0) = var (t).
8 ().
0 6 0 < 1 < . . . < m1 < m = +;
[0 , m ) = 1 + . . . + m ; k = [k1 , k ), k = 1, . . . , m.
k , 1 k . ,
m
nX
o
m
= exp
rk (zk 1) , |zk | 6 1,
Ez11 . . . zm
k=1

Z1
rk = [B(k u/u) B(k1 u/u)] d(u).
0

. pk , ,
1 , k . 3 11 0
Z1
pk = [B(k u/u)B(k1 u/u)] d(u)/[(1 )(0 )] =

rk
.
(1 )(0 )

Pn (1 ) , 1 n ,
X
X
n!
m
nm
Ez11 . . . zm
=
Pn (1 )
pn1 1 . . . pnmm z1n1 . . . zm
,
n>0

Pn (1 ) =

n1 +...+nm =n

n1 ! . . . nm !

[(1 )]n (1 )
e
, (1 ) = (1 ) (0 ).
n!

9 (). n ,
0 < t1 < . . . < tn ; |z1 | 6 1, . . . , |zn | 6 1.

0.

167

,
(t1 )

Ez1

n
. . . zn(tn ) = exp

16i6j6n

rij =

Zti

ti1

o
rij (1 zi . . . zj ) ,

[B(tj+1 u/u) B(tj u/u)] d(u), 1 6 i 6 j < n;


16i6j6n
Zti

rin =

ti1

tn+1 = +;

[1 B(tn u/u)] d(u), 1 6 i 6 n.

. [0, ) t1 , . . . , tn n + 1

k = [tk1 , tk ), k = 1, . . . , n + 1; t0 = 0, tn+1 = .
ij , i
tj ;
(t1 ) = 11
(t2 ) = 12 + 22
................
(tn ) = 1n + 2n + . . . + nn .
ij , i j+1 ,

ij = ij + . . . + in .

(11 , . . . , 1n ), (22 , . . . , 2n ), . . . , (nn )
,
(t1 )

Ez1

. . . zn(tn ) = E(z111 . . . zn1n )(z222 . . . zn2n ) . . . (znnn ) =

n
Y

Eziii . . . znin .

i=1

,
Eziii . . . znin = E

n
Y
(zi . . . zj )ij .
j=i

168

. 3.

10 ().

r11 r12 . . . r1n


z1
0
... 0
0 r22 . . . r2n
z1 z2
z2
... 0

R=
. . . . . . . . . . , Z = . . . . . . . . . . . . . . . . ,
0 0 . . . rnn
z1 . . . zn z2 . . . zn . . . zn

1 0 ... 0 0
v11 v12 . . . v1n
1 1 . . . 0 0

0 v22 . . . v2n

. . . . . . . . . . ,
,
C
=
V =

..........
0 0 ... 1 0
0 0 . . . vnn
0 0 . . . 1 1
vij = cov {(ti ), (tj )}, i 6 j.

,
(t1 )

Ez1

. . . zn(tn ) = e tr {R(I Z)} = e tr {V CZC},

1 0 0
I = 1 1 0 ,
1 1 1

e tr A = exp{tr A}, tr A A.
11 (). (t) , t. , 0 < t1 < . . . < tn < ,

n
n X
o
(t )
(t )(t1 )
E = Ez1 1 z2 2
. . . zn(tn )(tn1 ) = exp
k (1 zk ) ,
k=1

k = (tk ) (tk1 ), t0 = 0,
Zt
(t) = B(t u/u) d(u).
0

. uij , i =
= [ti1 , ti ) j ; 1 6 i 6 j 6 n.
(tk ) (tk1 ) = u1k + . . . + ukk , k = 1, . . . , n.

(u11 , . . . , u1n ), (u22 , . . . , u2n ), . . . , (unn )
,
E = E(z1u11 . . . znu1n )(z2u22 . . . znu2n ) . . . (znunn ) =

n
Y

k=1

Ezkukk . . . znukn .

0.

169

8.
12 (). (t). , (t) = at B(x|t) =
= B(x), t
aB(t).
. , 0 <
< t1 < . . . < tn
(t1 ), (t2 ) (t1 ), . . . , (tn ) (tn1 )

. , (t), t > 0, .
13. n + 1 , 1, . . . , n + 1.
.
k- .. Bk (t).
(t).
. (t) t
. , t .. (t)

(t) = B1 . . . Bn (1 Bn+1 )(t),
.
. ,
n- n (t),
k = Bk k1 , k > 1, 0 = .
. 5.
14. ,
. i-
i (t); i = 1, 2. , i- t,
.. Bi (x/t). i (t)- ,
t i- . , {1 (t), t > 0} {2 (t), t > 0}
,
1 (x, y) = 2 (x, y)
x > 0, y > 0,
Zx
i (x, y) = [1 Bi (x + y u/u)] di (u).
0

170

. 3.

. . 9.
15 ().
1 (t) = at, B1 (x/t) = B(x), B2 (x/t) = 1 e
2 (t) =

Zt
0

bx

, b

x dB(x),

o
n Zt
a( ) d, a(t) = a b [1 B(u)] du + [1 B(t)] .
0

, t > 0 . 1 (t) 2 (t)


.
. . 5; , 1 (x, 0) = 2 (x, 0).
1. ,
,
,
, , ,
a,
k ak
, k > 0.
X
(z) =
ak z k , (1) = 1.
k>0

, (t) ,
t. (0) = 0.
.
Ez

(t)

n Zt
o
= exp a [((u)) 1] du ,
0

(u) = B(u) + z[1 B(u)].


. , ,
k > 0 , aak .
L0 , L1 , . . . , Lk k ,
aak , k > 0. ,

1.

171

, 0 , 1 , . . . ,
, Lk k , k > 0. k (t)
, t k ,
X
(t) =
k (t)
k>0

Ez (t) =

Ez k (t) .

(1)

k>0

Ez k (t) . An , n ( k ) Lk
[0, t). An ,
.
[u, u + du), u < t
( du/t), t 1 B(t u), , , t,
{B(t u) + z[1 B(t u)]}k .
, [0, t),
,
t,
Z1
0

{B(t u) + z[1 B(t u)]}k

du
=
t
1
=
t

Zt
0

{B(u) + z[1 B(u)]}k du = p. (2)

,
E[z k (t) /An ] = pn ,

Ez k (t) =

n>0

P (An ) E[z k (t) /An ]=

eak at

n>0

(1)(3).

(ak at)n
pn =eaak t(p1) . (3)
n!

172

. 3.

. , , t, ,
,

a (1)

Zt
0

a (1)

Zt
0

[1 B(u)] du,

[1 B(u)] du + a (1)

Zt
0

[1 B(u)] du.

2. ;
, ,

, , , .. A(t), A(+0) < 1. .


. 1 ( ). ,
a

t dA(t) < +.

, . t = 0 i, Pij (t) , t
j. Pij (t).

X
Pi (z, t) =
z j Pij (t),
j>0

B(z, t) = P0 (1 + z, t) =

z k Bk (t).

k>0

,
Bk (t) =

n>k

Cnk P0n (t);

(1)

2.
,
B1 (t) =

173

nP0n (t),

n>1

.. B1 (t) ,
t, .

Z
k (s) = est Bk (t) dt, k > 0.
0

. a)
Pi (z, t) = (1 et + zet )i P0 (z, t);
Zt
P0 (z, t) = 1 A(t) + P0 (z, t u)[1 e(tu) + ze(tu) ] dA(u);

(2)
(3)

B(z, t) = 1 A(t) +

Zt
0

B(z, t u)[1 + ze(tu) ] dA(u);

(4)

1
s

0 (s) = ,
(s)
k1 (s + 1) =
1 (s)
(s)
(s + 1)
(s + k 1)
1
;
=

...

1 (s) 1 (s + 1)
1 (s + k 1) s + k

k (s) =

(5)

) ( A(t) )
lim Bk (t),

lim Pij (t),


lim Bk (t) =

a
c
, k > 1;
k k1

lim Pi (z, t) = 1 +

B0 (t) 1;
a
k

(z 1)k ck1 ;

k>1

(k)
(1)
c0 = 1, ck =
...
.
1 (1)
1 (k)

. 1, 2, . . .. t = 0 i , , i > 1
1, 2, . . . , i,

174

. 3.

, i.
() ,
.
0, , 1, .

i = i (t) t ,
t = 0 i;
n = n (t) n t.
,
i = 1 + . . . + i + 0

,
Ez i = Ez 1 . . . Ez i Ez 0 ,
(2).
(3). , t = 0 . t ( 1 A(t)),
0 = 0 (t) = 0. u 6 t,
,
, 1,

0 (t) = 1 (t u) + 0 (t u).
,
Ez

0 (t)

= 1 A(t) +

Zt
0

Ez 1 (tu) Ez 0 (tu) dA(u),

(3).
(4) (1) (3).

Z
(z, s) = est B(z, t) dt,
0

(s) =

est dA(t),

(4)
(z, s) = s1 [1 (s)] + (s)[(z, s) + z(z, s + 1)]

(z, s) =

(s)
1
+
z(z, s + 1),
s
1 (s)

3. ,

175

(5).
) . ,
lim sk (s) = lim Bk (t).
t

s0

1. , (.. t )

a
a2 .
a
1 (1)

2. , .. A1 (t) A(t),
Zt
A1 (t) = a [1 A(u)] du,
0

, , b ,
Pbi (z, t) = (1 et + zet )Pb0 (z, t),
Zt
b
P0 (z, t) = 1 A1 (t) + P0 (z, t u)[1 e(tu) + ze(tu) ] dA1 (u),
0

b t) = 1 A1 (t) +
B(z,

Zt
0

B(z, t u)[1 + ze(tu) ] dA1 (u).

3 (). , t, ,
,
b1 (t) = a(1 et ).
B

4. , A(t) = 1 eat
Bk (t) =

[a(1 et )]k
.
k!

3. , ,

, , ,

176

. 3.

,
, .. B(t).
.
, (2)(4) 2, , , :

Pi (z, t) = {B(t) + z[1 B(t)]}i P0 (z, t),

Zt

P0 (z, t) = 1A(t)+ P0 (z, tu){B(tu)+z[1B(tu)]} dA(u),

(1)
0

Zt

B(z, t) = 1 A(t) + B(z, t u){1 + z[1 B(t u)]} dA(t),

Bn (t) =

Zt
0

Bn (t u) dA(u) +

Zt
0

Bn1 (t u)[1 B(t u)] dA(u).

(2)

,
Bn (t) =

Ckn P0k (t),

n (s) =

k>n

, B1 (t) =

est Bn (t) dt, n > 0.

kP0k (t). (2) -

k>1

Bn (t), n > 1. .
1 . (2) n = 1
s1 (s) = s1 (s)(s) + [1 (s)](s),

s1 (s) =

1 (s)
(s),
1 (s)

, , ( (1)),
( t )
X
a
lim
kP0k (t) = lim B1 (t) = lim s1 (s) = ,
(3)
t

Z
0

t dA(t),

s0

Z
0

t dB(t).

3. ,

177

, (3) , , . (3) ,
lim B1 (t). t

(. 2)
ZT

1
lim
T T

B1 (t) dt = a/b.

2 .
B(t) =

N
X
i=1

qi (1 ebi t ), qi > 0, bi > 0,

N
X

qi = 1.

i=1

(2)
sn (s) = sn (s) (s) + (s)

n (s)[1 (s)] = (s)

N
X

N
X
i=1

qi

s
(s + bi )n1 (s + bi )
s + bi

qi n1 (s + bi ),

0 (s) = 1/s.

i=1

,
lim Bn (t) = lim sn (s) = a

s0

N
X

qi n1 (bi ),

i=1

.
1. , P (t) = P00 (t)
P (t) = 1 A(t) +

Zt
0

P (t u)B(t u) dA(u).

2. X
, A(t) (z) =
ak z k
k>0

(. 6 . 0),

P0 (z, t) = 1 A(t) +

Zt
0

n
o
P0 (z, t u) B(t u) + z[1 B(t u)] dA(u).

178

. 3.

, (t) t,
(0)
1
lim
T T

ZT

a
b

E(t) dt = (1) .

.
M (t) = E[(t)/(0) = 0] =
m(s) =

est dM (t) =

P (z, t) ,
z 0
z=1

1 (s)
(1)(s).
1 (s)

4. ; ,

n . ,
a;
1 ( ).
, .
.
t1 , t2 , . . .
(.. , ) zk = tk tk1 , k > 1, t0 = 0, .. z1 , z2 , . . .
, .. z2 , z3 , . . .
.
F (t) = P {z1 < t},

G(t) = P {zk < t}, k > 2.

G(t). i ( ), ,
i, i = 0, 1, . . . , n. Pij (t) i j
t; i, j = 0, 1, . . . , n. , ,
n + 1. ,
n,
n + 1, 0, 1, . . . , n. ,
G(t) = Pn n+1 (t).

4. ;

179

Pk (t) = Pnk (t), k = 0, 1, . . . , n + 1;


P0 (t) = aP0 (t) + P1 (t),

Pk (t) = aPk1 (t) (a + k)Pk (t) + (k + 1)Pk+1 (t), 0 < k < n,


Pn (t) = aPn1 (t) (a + n)Pn (t),

(1)

Pn+1
(t) = aPn (t)

Pk (0) = 0, k 6= n;
1,
k = n.


k = k (s) =

est Pk (t) dt


(s + a)0 + 1 = 0,

ak1 (a + s + k)k + (k + 1)k+1 = 0, 0 < k < n,


an1 (a + s + n)n = 1,

(2)

an sn+1 = 0,

, (5) 8 (. ),
n (s) =

qn (s)
,
qn+1 (s)

(2)
n+1 (s) =

a qn (s)
.
s qn+1 (s)

, (1) 8
g(s) =

Z
0

est [1 G(t)] dt =

qn+1 (s) aqn (s)


qn (s + 1)
1
n+1 (s) =
=
.
s
sqn+1 (s)
qn+1 (s)


(. (4) 8 )

1
an
g(0) = a(n+1) qn (1) = a

1+

n!

a
an
+ ... +
1!
n!

180

. 3.

F (t) .
F (t),

( ).
,
.
. , G(t)
G(t) =

n
X
i=0

pi > 0,

n
X

pi (1 ei t ),

pi = 1, a (i ) ( ) -

i=0

qn+1 (s).
5. ; ,

, , , .. A(t), A(+0) < 1.


.
t1 , t2 , . . . , , zk =
= tk tk1 , k > 1, t0 = 0, .. z1 , z2 , . . . ,
.. z2 , z3 , . . . .
F (t) = P {z1 < t},

G(t) = P {zk < t}, k > 2.

, . n + 1, , n,
n + 1,
0, 1, . . . , n.
ij , i j > i , t = 0, (,
).
P {ij < t} = Bij (t), Bi i+1 (t) = Bi (t), i = 0, 1, . . . , n.

5. ;

181


ij = i i+1 + i+1,i+2 + . . . + j1,j
.. i i+1 , . . . , j1,j ,
Bij (t) = Bi (t) Bi+1 (t) . . . Bj1 (t)

ij (s) = i (s)i+1 (s) . . . j1 (s).

(1)

, G(t) = Bn (t) F (t) = Bi,n+1 (t),


i.
Bi (t), i = 0, 1, . . . , n.
=
( B
= 1 B):
i (t) = B
i1 (t) +
B

Zt
0

i (t x) dBi1 (x), i = 1, . . . , n,
(1 ex )B

(2)

B0 (t) = A(t)

1 i (s) = 1 i1 (s) + [1 i (s)][i1 (s) i1 (s + 1)],
0 (s) = (s),

i (s) =

i1 (s + 1)
, i = 1, . . . , n;
1 i1 (s) + i1 (s + 1)

0 (s) = (s).

i (s)
i (s) =

Mi (s)
, i = 0, 1, . . . , n; M0 (s) = 1,
Mi+1 (s)

(3)

Mi+1 (s) Mi (s)


Mi (s) Mi1 (s)
1
=
, M1 (s) =
,
Mi (s + 1)
Mi1 (s + 1)
(s)

Mi+1 (s) Mi (s)


M1 (s) M0 (s)
1
=
=
1 = 0 (s)
Mi (s + 1)
M0 (s + 1)
(s)

Mi+1 (s) = Mi (s) + 0 (s)Mi (s + 1), i = 0, 1, . . . , n.

(4)

182

. 3.


Mi (s) =

i
X
j=0

Cij 0 (s)1 (s) . . . j1 (s), M0 (s) 1;

i (s) = 0 (s + i) =

(5)

1
1; i = 0, 1, . . . , n.
(s + i)

(1), (3)
ij (s) =

Mi (s)
, i < j.
Mj (s)

(6)

,
q0 , q1 , . . . , qn , qi ,
i, q0 + q1 + . . . + qn = 1,
(s) =

g(s) =

0
Z

est dF (t) =

n
X

qi i n+1 (s) =

i=0

1
Mn+1 (s)

n
X

qi Mi (s);

i=0

(7)

Mn (s)
.
est dG(t) = n (s) =
Mn+1 (s)

(7) .
. (7), (4)
1 g(s)
0 (s) Mn (s + 1)
1 (s)
Mn (s + 1)
=
=

,
s
s
s
Mn+1 (s)
(s)Mn+1 (s)

, Mn+1 (0) = (0) = 1,


g1 = 1 Mn (1)
(. (5))
g1 = 1

n
X

Cni 0 (1)1 (1) . . . i1 (1)

i=0

n
o
n
X
g1 = 1 1 +
Cni 0 (1)0 (2) . . . 0 (i) ,
i=1

0 (i) =

1
1.
(i)

g11 .

5. ;

183
a

, A(t) = 1 eat , a > 0, .. (s) =


,
a+s
( (5))
i (s) = (s + i)a1 ,
Mi (s) =

i
X
j=0

Cij s(s + 1) . . . (s + j 1)aj ,

.. (. (4) 8 )
Mi (s) = ai qi (s).
1. , ,
, , . ( q0 , q1 , . . . , qn ) ,
.
.
, G(+0) = 0 (. 8 . 0),
F (t) =

Zt
0

[1 G(u)] du,

(s) =

Z
= [1 G(u)] du
0

[1 g(s)],
s

n = 1
h

M0 (s)
M1 (s)

= (s) 6= 1
.
s
M2 (s)
M2 (s)

2. , ,
.. A(t), A(+0) < 1,
Z

t dA(t) = a1 = const,


(
0, t 6 a1 ;
A(t) =
1, t > a1 .
.

184

. 3.

. {A(t)} .., . c > 0 (c) =


Z
1
= ect dA(t) (c) = eca .
0

3. , ,
.. A(t), A(+0) < 1,
Z

t dA(t) = a1 = const,

, .
. > 0
(
1 , t 6 (a)1 ,
A(t) =
1,
t > (a)1 ;

t dA(t) = a1

(c) =

Z
0

ect dA(t) = 1 + ec(a)

1 c > 0 0.

g11 a 0.

4. , .. A(t),
n . . , , . b = 1.
, . , , A(t) = 1 eat
ij (s) =

Mi (s)
, i < j,
Mj (s)

Mk (s) = ak qk (s),
qk+1 (s) = (a + kn + s)qk (s) akn qk1 (s),
kn = min(k, n).

6.

185

. , , , N > n,
N + 1, (1) 4. Z
, , 4, N +1 (s) = est PN,N +1 (t) dt.
0

6.
. n , :

.. .. A(t); A(+0) < 1;
,
.., B(t) = 1 ebt ;
;
,
, .
, .
, ,
, , t = 0
i = 0, 1, . . . , n.
.
b = 1 ( ,
).
t1 , t2 , . . . , zk = tk tk1 ,
k > 1, t0 = 0.
, k > 1
P {zk+1 < t/z1 , . . . , zk } = P {zk+1 < t}
k, ..
.
(, i )
Fi (t) = P {t1 < t},
G(t) = P {zk < t}, k > 2,

186

. 3.

i (s), g(s) , ..
i (s) =

st

dFi (t), g(s) =

est dG(t).

.
.
i (s) =

Mi (s)
i = 0, 1, . . . , n 1;
Mn (s)

(1)
(2)

n (s) = g(s);
n Mn1 (s)
g(s) =
,
s + n Mn (s)

(3)

M0 (s) = 1;

Mn (s) = 1 +

n
X

Cnk 0 (s)1 (s) . . . k1 (s), n > 1;

k=1

k (s) =

1
1 = 0 (s + k);
(s + k)

(s) A(t).

. 1 . .. A(t) , A(+0) < 1. .. A(t) k
, .. Fi (t) G(t) ,
(1)(3) s.
2 . A(t) = 1 eat , Mn (s), n > 0,
. Fi (t) G(t)
.
3 . Pk (t) , t k , , 0 6 k 6 n.
A = 1 eat
P0 (t) = nbP0 (t) + aP1 (t),

Pk (t) = (n k + 1)bPk1 (t) [(n k)b + a]Pk (t) + aPk+1 (t), 0 < k < n,
Pn (t) = bPn1 (t) aPn (t).
pk = lim Pk (t), ,
t

pk =

n
n!
b X
k p 0 , = ,
pk = 1.
a
(n k)!
k=0

6.

187

. (t) t; (0) = i. , 5 ( ,
, n , ),
(t) , t; , (0) = i. (t)
(t) 0, 1, . . . , n.
n ( , n) ,
, (t) (t) (
). , , (, (t) = n)
, (t) = n, ..
Fi (t) = Bin (t), i < n,
(1).
(2) . (3).
,
= 1 + 2 , 1 ,
; n 1, a 2
n 1 ( ) n. , .. 1 2
P {1 < t} = 1 ent , P {2 < t} = Fn1 (t) = Bn1,n (t),
(3).
. n .
, :
1) , ;
2) , , 1;
3) ; , ,
;
;
4) .. A(t).
1 (t) t.
, , (t)
. , (0) = 1 (0)

188

. 3.

(t) 1 (t) ( ).
, , (,
,
; c 3
,
3

)
c + 3

3
, c = 1/n, 3 = a1 Mn1 (1); a1 =
c + 3

t dA(t).

7. ,
( );

, n , . , :
, ..
A(t), A(+0) < 1;

..;
1, 2, . . . , n; i
bi ;
, ,
; , , ;
, , , ;
,
, .
1 ( ).
, .
2 ( ). , , , .
.
() .
, .

7. ,

189


.
pkN , N - (
)
k ; WN (t) ..
N .
,
a

t dA(t) < +,

b = b1 + . . . + bn .
. a/b < 1, :
)
lim pkN = pk ,

lim WN (t) = W (t),

,
X
pk > 0,
pk = 1;
k>0

) pk+n1 = C k , k > 0; C = pn1 ;

= (b b),
(0, 1);
)
W (t) = 1 C

eb(1)t ;
1

)
w(s) = 1 p>n + p>n (s), p>n = C(1 )1 ,
b
[1 (s)]
s
(s) =
, (s) = (s + b b(s)),
b
1 + [1 (s)]
s

(s), Re s > 0, |(s)| <


< 1; , (0) = .
a/b > 1, , ),
.

190

. 3.

. C.
, , , . , C(1 )1
, . C , ,
.
, n = 1, 7 2.
([21]). , b1 = . . . = bn
n

(C)1 =

X
n(1 i ) i
Cni
1
+

,
1
Ci (1 i ) n(1 ) i
i=1

i = (ib1 ),
Ci =
,
pk =

n1
X
i=k

1
i
...
.
1 1
1 i

(1)ik Cik Ui , k = 0, 1, . . . , n 1,

Ui = CCi

n
X

j=i+1

n(1 j ) j
Cnj

.
Cj (1 j ) n(1 ) j

8. ,
n . , 1. , , .. A(t), A(+0) < 1.
.
, ;
. , .
(
), , , .,

9. ,

191


.
: 1, . . . , n; n
1, . . . , n ; ,
,
( ),
.
1, 2, . . . , 1, n + 1, 2n + 1, . . .
. . . , kn + 1, . . ., i- i, n + i, 2n + i, . . . , kn + i, . . . (i = 1, . . . , n).
(. 9 . 0), ,
i(i = 1, . . . , n), , , .. B(t),

(s) = [(s)]n .
, n = 1.
9. ,
; ,


n , 1, . . . , n.
, , , .
,
:

, .. A(t);
1, 2, . . .
k , k, k > 1; ,
1 , 2 , . . .;
, 1 , 2 , . . . (, n) , -

192

. 3.
P = {pij },
P {k+1 = j/k = i} = pij , k > 1, 1 6 k 6 n. P {1 = i};
P {1 = i} = pi , p1 + . . . + pn = 1;

, , , , ( ); ,
..;
,
i,
.. Bi (t).
.. , , ..
,
i, 1 6 i 6 n.
,
(i) (i)
i, i = 1, . . . , n. t1 , t2 , . . . (i)
, i; zk =
(i)
(i)
(i)
= tk tk1 , k > 1, t0 = 0.
(i)

(i)

. ) z1 , z2 , . . .
(i) (i)
, .. z2 , z3 , . . . ;
) , || < 1, I P ;
P () = P (I P )1 = {pij ()},
pij ()
1;
(i)

Ai (t) = P {zk < t}, k > 2,

i (s) =

pii ((s))
.
1 + pii ((s))

(1)

. ) . ). P = {pij } , pm
ij i j m ,
m
{pm
ij } = P .

9. ,

193

m
qij
i j m ( j m- );
m1 1
m
1 m1
pm
pjj + . . . + qij
pjj
ij = qij + qij


P m = Q(m) H0 + Q(m1) H1 + . . . + Q(1) Hm1 ;

(2)

k
Q(k) = {qij
}, Hk = {ij pkij }, k > 1;

P () =

k>1

Q() =

P k k = {pij ()} =
Q

(k) k

k>1

H() =

H0 = {ij } = I.

nX

k>1

= {qij ()},

o
pkij k ,
(3)

Hk k ;

k>0

(2)
(4)

P () = Q()H().

, (3) , , || < 1.

H() = {ij [1 + pij ()]}


1 + pij () 6= 0 || < ,
H 1 () =
(4)

ij
;
1 + pii ()

Q() = P ()H 1 (),

qij () =

pij ()
.
1 + pjj ()

(5)

qii () =

pii ()
1 + pii ()

(6)

|| < , qii () pii () || < 1,


, 1 + pii () 6= 0 || < 1, ..
(6) , , || < 1.

194

. 3.

,
P () = P (I P )1
|| < 1, det(I P ) = 0
|| < 1 (, P ).
) , (1)
(2)

9 . 0, a0 = qii , a1 = qii ,
X
(3)
a2 = qii , . . .; F () =
ak k+1 = qii () (3) 9 . 0.
k>0

. .. Wi (t)
, i, ..
, , .. Ai (t),
(1),
, Bi (t). 79 . 2.
W (k) (t) ..
k- (
(k)
), Wi (t) , , k- i.
, , . (k)
lim Wi (t) = Wi (t)
k

W (k) (t) =

n
X

(k)

(k)

pi Wi (t),

i=1

(k)

pi , k-
i;
(1)

pi

(k+1)

= pi , pi

n
X

pj pkji , k > 1.

j=1

,
lim W (k) (t),

(k)

lim Wi (t) = Wi (t), k

(k)

lim pi
k

(, -

), . ,

9. ,

195

N
, t,
N
X
1
k=1

W (k) (t),

W (t) = lim

N
X
1
k=1

W (k) (t)

(7)

( ) .. (
). ,
N
n 
N

X
1 X (k) (k)
1 X (k)
W (t) =
pi Wi (t) .
N
N
i=1

k=1

(8)

k=1

,
N
N
1 X (k)
1 X k
lim
pi = lim
pji = i
(9)
N

k=1

i > 0

n
X

k=1

i = 1.

i=1

, , :
x1 , x2 , . . .; a1 , a2 , . . .
x = lim

lim

x1 + . . . + xN
,
N

lim aN = a,

x 1 a1 + . . . + x N aN
= xa.
N

(8) (9) (7)


W (t) =

n
X

i Wi (t).

(10)

i=1

Wi (t), i = 1, . . . , n, W (t) ,
.
, .. Wi (t)
bi > ai ,

(11)

196

. 3.

Z
0

t dA(t) < ,

b1
i

Z
0

t dBi (t) < ,

.. W (t)
a1 > max {i b1
i }.
16i6n

(12)

,
a1
i

Z
0

t dAi (t) = i (0).

i (s) = qii ((s)) (0) = 1, (0) = 1 ,

1
a1
,
i = qii (1)a

qii
(1) =

k
= 1/i .
kqii

k>1

,
a1
i =

1 1
a .
i

8 . 2
.. Wi (t) ai /bi < 1 , , (11).
(12), Wi (t) .., , W (t), (10), ..
1. , ;

0 1 0 ... 0
0 0 1 ... 0

P =
. . . . . . . ,
0 0 0 ... 1
1 0 0 ... 0
.
. i (s) = [(s)]n .

10. ( )

197

2. , ,

p1 p2 . . . pn
p1 p2 . . . pn

P =
. . . . . . . . ,
p1 p2 . . . pn

( 3 . 2).

. , i, , i =
= 1, . . . , n; 3 . 2.
3 (). , .
. . 4 . 2.
10. (
, )
. , , , n .
, :
, .. A(t),
A(+0) < 1;

..;
1, . . . , n; i
bi ;
r ,
1, . . . , r; k, k = 1, . . . , r, k; k ak
, ;
, ,
; , , ;

198

. 3.

i j, i < j; , i
j;
: ;
:
)
, ,
( ,
,
)
;
) , , ,
,
( );
;
,
, :
1.
;
2. ,
, ,
.
.. i, i = 1, . . . , r. .. Wi (t).

R(z, s, (s) = [z (s + b bz)]1


n 1 (s + b bz)
s
z

1z

s + b bz

(s + b bz)

s
,
s + b b(s)

b = b1 + . . . + bn ;

(s) = (s + b b(s)),
(s), Re s > 0, |(s)| < 1.

10. ( )

199

(
), , , (s) .. ..
. ) 1 a(a1 + . . . + ai ) < b
i (s) = 1 Ci i R(i , s, i1 (s)),

k (s) = (s)

(1)

1 k
, 1 k = a1 + . . . + k , r = 0;
1 k (s)

i = i (b bi ),
(0, 1).
) 2 a(a1 + . . . + ai1 ) < b
i (s) = 1 Ci1 i1 R(i1 , s, i (s)), i = 2, . . . , r.
i = 1
1 (s) = 1 1 + 1 (s),

b
[1 1 (s)]
s
(s) =
,
b
1 + [1 1 (s)]
s

1 (s)
1 (s) = 1 (s + b b1 (s)),

1 (s), Re s > 0,
|1 (s)| < 1.
) Ci , , , . ,
Ci i (1 i )1 ,
i .
) Wi (t) . 1
Wi (+) = 0 a(a1 + . . . + ai ) > b,
Wi (+) = 1 a(a1 + . . . + ai ) < b;
2
Wi (+) = 0 a(a1 + . . . + ai1 ) > b,

200

. 3.
0 < Wi (+) < 1 a(a1 + . . . + ai1 ) < b < a(a1 + . . . + ai ),
Wi (+) = 1 a(a1 + . . . + ai ) 6 b.

.
. , a1 + . . . + ai i , i (. 9 . 0), .. Ai (t),
(. 1 9 . 0)
i (s) = (s)

1 i
, 1 i = a1 + . . . + ai ; r = 0.
1 i (s)
(i)

, , pkN , N - ( )
k i (,
, , i). i
, 7

(i)
lim p
N kN
(i)

(i)

= pk , k > 0,
(i)

pk+n1 = Ci ki , pn1 = Ci ,
i
i = i (b bi ),
(0, 1). ,
i1 b = [i (0)]b > 1, .. a(a1 + . . . + ai ) < b.
. 1. N -
k i (, ,
(i)
, i). pkN
( , N - ). , N - i. ,
. k < n
(n ), .
k > n. k = n + . i .
(i)
w (N - i) : , .. Ai1 (t);

10. ( )

201

(i1)

b;
, , ,
. ,
P {w(i) < t} = P {(i1) < t}.
, WiN (t) .. N - ,
i,
X (i)
(i)
(i)
WiN (t) = p0N + . . . + pn1,N +
pn+,N P {w(i) < t} =
>0

(i)
p0N

(i)

+ . . . + pn1,N +

>0

(i)

pn+,N P {(i1) < t};

N
(i)

(i)

(i)

p0N + . . . +pn1,N

(i)

pn+,N pn+ = Ci +1
;
i
X (i)
(i)
(i)
p0 + . . . +pn1 = 1
pn+ = 1Ci i (1 i )1 ;
>0

WiN (t) Wi (t) = 1 Ci i (1 i )

+ Ci i

>0

i P {(i1) < t}.

(1) (15) 1 2.
. 2. ,

X (i1)
(i1)
(i1)
WiN (t) = p0N + . . . + pn1,N +
pn+,N P {w(i) < t},
>0

P {w(i)

< t} = P {(i) < t}.

, ,
N (15) 1 2.
1.
, 7 ( , , n ), , , ..
b1 = . . . = bn . i + 1 ; i + 1 6 n, . ,
, i + 1 , ( ) .
, ,

202

. 3.

, .
,
.
i , i = 0, 1, . . . , n 1; vi (s) = Eesi . ,
i = 0, 1 . . . , n 1
i
h
Mi (s + b1 )
Mi (s + b1 )
b1
(s)vn1 (s);
(2)
vi (s) = 1
+
Mn (s + b1 ) s + b1

Mn (s + b1 )

(s) = Ee
, ,
, , , ,
, , .
,
b
[1 (s)]
s
(s) =
, (s) = (s + b b(s)), b = b1 + . . . + bn ,
b
1 + [1 (s)]
s

(3)

(s), Re s > 0,
|(s)| < 1.
. (2) (),
s > 0
, 5.
(3) 1 2.
2. ,
, , b1 = . . . = bn ; 1:
. vN ,
N - , ,
. ,
lim P {vN < t} = V (t),


v(s) = p0 v0 (s) + . . . + pn1 vn1 (s) + C[(1 )1 R(s)]vn1 (s),
Z
v(s) = est dV (t),
0

11.

203

v0 (s), . . . , vn1 (s) (2), (s) = r1 (s); p0 , . . . , pn1 , C, ,


7; R(s) = R(, s, r1 (s)).
11. ;

0 . (t) t;
;
. ,
+
t+
1 , t2 , . . .

t1 , t2 , . . .

+
p+
n = lim P {(tN 0) = n},
N

p
n = lim P {(tN + 0) = n},
N

pn = lim P {(t) = n}, n = 0, 1, 2, . . . .


t

p+
n = pn n > 0.



1. , , , {p+
n } {pn }.
2 ,

p+
n = pn n > 0.
1 . (t), t>0, . I={0, 1, 2, . . .},

1) , 1;
2) 0 I
.

;
;

+
t+
1 , t2 , . . .

t
1 , t2 , . . .

n+ = (t+
n 0),
.. n .

n = (t
n + 0);

1. I.
n
n

X
c
1
1X
k+ ()
k () 6 n ,
n
n
n
k=1

k=1

204

. 3.

cn 6 E|1 | + min{E|n |, E|n+ |}.


,
() lim n () = ();
n

1
n

() E|1 | < ; E|n | 0

1
E|n+ | 0,
n

+ () = ().
1. (t)
t, (t) , . 1 , +
,
,
.
2. 1) ,
2) :
0
;
{t
n }
, ;
{n } ,

t
n+1 = tn , n+1 = n 1.

1. x
n ()

{n } Xn () = x
()
+
.
.
.
+
x
(),


n
1

|Xn+ () Xn ()| 6 |1 | + min{|n+ |, |n |}.


,
EXn () =

n
X

k ();

k=1

|E| 6 E||, E min(, ) 6 min(E, E)


.
1. ,
() (t) ;
() (t) .

11.

205

+ (T ) T ; (T ) , 1
(T )
+ (T )
lim
= lim
.
(1)
T

, . , , (t) t, (1) ,
. (1) .
2. , n+ (T )
n n + 1 (t) T , n (T )
n + 1 n, ( 1)
lim

n+ (T )
(T )
= lim n
.
T
T
T

(2)

(1), (t)

(
1, (t) > n;
(t) =
0, (t) 6 n.
1. (t)
. , , t1 , t2 , . . . . ,
(0, t1 ), (t1 , t2 ), . . . , (tn , tn+1 ), . . .
(t) , ak k; bk
k; k = 0, 1, . . .; b0 = 0.
P {(tn + 0) = j/(tn 0) = i} = qij
qij n (t) tn .
,
qi,i+1 = qi+ , qi,i1 = qi , q0 = 0, qii = qi , qi + qi + qi+ = 1.
, a .

pn = lim P {(t) = n},


t

p+
n = lim P {(tN 0) = n}.
N

206

. 3.

, , (,
.. tk tk1 ).
, pn p+
n
.

+

p+
n qn a + pn an = pn+1 qn+1 a + pn+1 bn+1 , n > 0.

(3)

. (2).
+
n+ (T ) = +
n (T ) + n (T ),

+
n (T ) n n + 1
(t) T , ;
+
n (T ) , ,
.

(T ) T ;
n (T ) n n 1 T ,
;

+
(T ) (T )
n (T ) +
n (T )
n

=
,
T
T
(T ) n (T )

plim

n (T )
= p+
n,
(T )

plim

+
n (T )
= qn+ ,
n (T )

plim

(4)
(T )
=a
T

(plim ) T
plim

+
n (T )
+
= p+
n qn a.
T

(5)

, , T ( ).
(4) .
(4) 8 1
N = (tN 0).
, T
plim

+
n (T )
= pn an .
T

(6)

xn (T ) (t) n
T ;
+
xn (T ) +
(T )
n (T )
=
n
,
T
T
xn (T )
xn (T )
plim
= pn ,
T

+ (T )
plim n
= an
xn (T )

(7)

11.

207

(6). . (7) 8 1.
, (2) (3) . ,
. ,

n (T ) =
n (T ) + n (T ),

n+1 (T )
(T )
(T )

n (T )
=
n

,
T
T
(T )
n+1 (T )

n (T )
T

(8)

n (T )

xn+1 (T )
,

T
xn+1 (T )

n (T ) n + 1 n (t)
T , ;

(T
)
, , n
.
2. (t) , 1,
, , (t) = 0, t1 , t2 , . . .

a. 1
+

p+
n qn a(1 p0 ) + pn an = pn+1 qn+1 a(1 p0 ) + pn+1 bn+1 , n > 0;

p0 a0 = p+
1 q1 a(1 p0 ) + p1 b1 .

(9)

, ,
lim

(T )
= a(1 p0 ).
T

(10)

(T )/T (4) (8) 1


a. , (10) 8 1
(T )
(T x0 (T )) T x0 (T )
=

.
T
T
T x0 (T )

2 . (t), t > 0, (X, B(X)),


t1 = z1 , . . . , tk = z1 + . . . + zk , . . . ,
1) .. {zk }k>1 .. A(x) = 1 eax , a > 0;
2) 0 = t0 , t1 , . . . (t) P t , ..

208

. 3.

x X, B(X)

P {(s + t) /(s) = x} = P t (x, );

3) t1 , t2 , . . . (t)
Q, ..
P {(tk + 0) /(tk 0) = x} = Q(x, ).
(X, B(X))
7 P t , 7 Q,

(pt )() =

P t (x, )( dx),

(Q)() =

Q(x, )( dx).

+
t .. (t). N
= tN 0
N > 1.

2. ,
+
lim N
= + ,

..

lim t = ,

+
lim N
() = + (), lim t () = () B(X).
t

Z
= a eau P u Q du.
(10)
0

, ,
+ = .

(11)

. ,
+
N
+1

+
P u QN
dA(u),

(12)

t = e

at

P 0 +

Zt
0

P u Qtu dA(u).

(13)

11.

209

(12) . (13).
t = [1 A(t)]P t 0 +
Z
X
+
dA(z1 ) . . . dA(zn )[1 A(t z1 . . . zn )]
n>1z +...z 6t
1
n

P tz1 ...zn QP zn . . . QP z2 QP z1 0 =

=eat P t 0 +
Z
X
+

an eat P tz1 ...zn QP zn . . . QP z2 QP z1 0 dz1 . . . dzn .

n>1z +...+z 6t
1
n


(z1 , z2 , . . ., zn1 , zn )7(u1 , u2 , . . ., un1 , un )=(tz1 . . .zn , zn , . . ., z3 , z2 )
, 1,
t = eat P t 0 +
Z
X
+

an eat P u1 QP u2 . . . QP un QP tu1 ...un 0 du1 . . . dun =

n>1 u +...+u 6t
1
n
ui >0

=e

at

P 0 +

n>2 u +...+u 6t
2
n

06u1 6t

h
aeau1 P u1 Q du1 ea(tu1 ) P tu1 0 +

an1 ea(tu1 )
i
P u2 Q . . . QP un QP (tu1 )u2 ...un 0 du2 . . . dun =
Z
at t
= e P 0 +
aeau1 P u1 Qtu1 du1 ,
06u1 6t

(13).
3. 2
(11). , P t Q , . 12 , ()
(10), . , (10)
.
1. a.

210

. 3.

bn ,
n . (t)
t; pn = lim P {(t) = n}; p+
n
t
n . ,

p+
n a = pn+1 bn+1 , n > 0.
. . 1 qn+ = 1, an = 0.
2 (). , ,
,
plim
T

(T )
= a,
T

(14)

(T ) , T .
. , (3) , , 1,
, (14).
3. , an , n , n > 0. b1 . pn
, 1; p
n
n . ,

pn an = p
n b(1 p0 ), n > 0.

. . 2 a = b, qn = 1 n > 1, bn = 0; ,

p+
n+1 , , pn .
4. .
. ,

p+
n = pn = pn , n > 0.

p+
n

. p+
n = pn 1.

= pn (11).

5.
, 5 2. i (t)
i, t; pin = lim P {i (t) = n};
t

p+
in n i
i; p
in -

12.

211

n i i. ,

p+
in = pin = pin .
+

. p+
in = pin 1; pin = pin
(11).

6.
. , .
, p+
k = pk .
. . (11).
12.

1. . , n
1, 2, . . . , n, . . , .
.
t1 , t2 , . . .
(k)
; zN = tN +1 tN , N > 1; sN N -
k- ( ,
). ,
. [??]
..
2. [36] R.M. Loynes, .
. n = 2, , , . (1)
(2)
{zN }, {sN }, {sN } . [36] ,
, ,
,

212

. 3.

. , , , ,

,
-, .
3. R.M. Loynes. [35] , , 1. ,
(1)
(n)
{zN , sN , . . . , sN }N >1 (k)
sN zN . , , (1)
(n)
{zN }, {sN }, . . . , {sN }
,
(k)
: Ez1 > Es1 k = 1, . . . , n, (i)
1 zN = c = const k s1 6 c
(k)
(j)
i < k, s1 = c, Es1 < c j > k.
4. .. [26] H.D. Friedman [27]. [26]
. , ,
. [27] ,
. 1, : , ,
; ,
.
,
.
. R.M. Loynes,

.
5. (k)
. N N -
(k)
(k)
(n)
k- ; vN = N tN ; , vN
(k)
N - n . vN -

12.

213

(N > 1):
(1)

(1)

(1)

vN +1 = max(0, vN zN ) + sN +1 ,
(2)

(1)

(2)

(2)

(3)

(2)

(3)

(3)

vN +1 = max(vN +1 , vN zN ) + sN +1 ,

(1)

vN +1 = max(vN +1 , vN zN ) + sN +1 ,
............................
(n)
(n1) (n)
(n)
vN +1 = max(vN +1 , vN zN ) + sN +1 .
(1)

(2)

(n)

, vN 6 vN 6 . . . 6 vN . , , (k)
, vN (1) N > 0,
(1)
(n)
v0 = . . . = v0 = 0 z0 = 0. (1) n = 2
(2)

vN =

(2)

(2)

(1)

max {sN + . . . + si

+ si

16k6i6N

(1)

+ . . . + sk zN 1 . . . zk }. (2)
(1)

(2)

{zN }, {sN }, {sN }


( ), ,
(2)
, , vN
(2)

wN =

(2)

(2)

max {s1 + . . . + si

16i6j6N

(1)

+ si

(1)

+ . . . + sj z 2 . . . z j }

(3)

. n > 1 (3)
(n)

wN =

max

16i1 6...6in 6N

(n)

(n)

(n1)

{s1 + . . . + si1 + si1


(1)

(n1)

+ . . . + si2

+ ...

(1)

+ sin1 + . . . + sin z2 . . . zin }. (4)


(n)

(n)

, 1 0 6 w1 6 w2 6 . . ..
(n)
wN .
, , , .
. () s,
,
z, .
. . (n)
(n)
(n1)
(1)
(1)
s1 + s2 + s2
+ . . . + s2 + s3 (z2 + z3 ).

214

. 3.
.
+
+

(n)
s1 r
(n1)

s1

(n)
s2

(n)

(n)

s3

(n1)

sN

(n1)

s2

(n1)

s3

sN

+
(1)

s1

(1)

s2

- s(1)
3

z2

(1)

sN

z3

zN

(n)

wN ,
N - . ,
(n)
(n)
vN wN .
, (1)
(n)
sN = c1 , . . . , sN = cn (N > 1)
n
c1 + . . . + cn + w, w
,
c = max(c1 , . . . , cn ).
(1)
. sN = . . .
(n)
. . . = sN = sN , {zN } {sN }
. ,

max(0, U1 , U2 , . . .), UN =u1 +. . .+uN +(n1) max(u1 , . . ., uN ), u1 , u2 , . . .
, sN zN . n = 1
.
6. .
(k)

(k)

xN = sN zN , N > 1, k = 1, . . . , n;

(k)

(k)

(k)

aN = P {x1 + . . . + xN > 0}.

.
1.
(n)

(n)

sup wN = max wN < +.

N >1

N >1

2. :

12.
(k)

a) P {x1 = 0} < 1

X a(k)
N

N >1

215

< + k = 1, . . . , n;

) zN = c = const k X a(j)
(i)
(k)
N
< + j > k.
s1 6 c i < k, s1 = c,
N >1

1. 1 2 .

, . [20, 4.1]. X a(k)


(k)
(k)
N
E|x1 |,
< + P {x1 = 0} < 1
N >1

(k)

Ex1 < 0 [20].


(1)
(n)
z1 , s1 , . . . , s1 , 2 (k)
X a
(k)
N

< + Ez1 > Es1 .
N

N >1

, R.M. Loynes [35].


(n)
(n)
HN (t) = P {vN < t} = P {wN < t}.

2. lim HN (t) = H(t). N

2 , H(t) 0. 2 ,
H(t) ,
2.
(1)
(n)
(v1 , . . . , v1 ).
7. .
(n)
wN = wN
(k)

uN =

(n)

max

16i1 6...6ink 6ink+1 =N

(n)

(n1)

{s1 + . . . + si1 + si1

+ ...

(k)

. . . + sink+1 z2 . . . zN }, k = 1, . . . , n.
(k)

, uN , N - k- (. ). :
(1)

wN +1 = max(wN , uN +1 ),
(1)

(1)

(1)

(2)

(1)

uN +1 = max(uN + sN +1 zN +1 , uN +1 + sN +1 ),
.......................................
(n1)
(n1)
(n1)
(n)
(n1)
uN +1 = max(uN
+ sN +1 zN +1 , un+1 + sN +1 ),
(n)

(n)

(n)

uN +1 = uN + sN +1 zN +1 .

216

. 3.

:
(1)

(n)

gN = gN (x) = gN (x0 , x1 , . . . , xn ) = P {wN < x0 , uN < x1 , . . . , uN < xn };


(i)

A(t) = P {z1 <t}; Bi (t) = P {s1 <t}; a = e(x0 )P {z1 < min(x1 , . . ., xn )};
bi = bi (x0 , x1 , . . . , xn ) = e(x0 , x1 , . . . , xn )Bi (xi );
(
1, xi > 0 i = 0, 1, . . . , n;
e(x) =
0, .

, Qi , Bi , A
Qi g=(Qi g)(x0 , x1 , . . . , xn )=g(x0 , x1 , . . . , xi1 , min(xi1 , xi ), xi+1 , . . . , xn ),
Bi g = bi g, Ag = ag; i = 1, . . . , n;
, g

, g R, R En+1
, .
,
gN +1 = Q1 B1 Q2 B2 . . . Qn Bn AgN .

(5)

, lim gN = g R, N

(5),
.
Qi , Bi , A:
Qi Bj = Bj Qi , j 6= i, i 1

Qi A = AQi , i 6= 1

Q i Bi = Q i Bi Q i
Qi Bi1 Qi = Bi1 Qi

Q1 AQ1 = AQ1
Bi Bj = Bj Bi

Qi Qj = Qj Qi , |i j| > 1
Qi1 Qi = Qi1 Qi Qi1 = Qi Qi1 Qi

Bi A = ABi

Q = Qn . . . Q2 Q1 , f = ab1 . . . bn , (5)
:

gN
+1 = Qf gN , N > 0,

(6)

gN
gN ( )
Qi , Bi , A. , n = 2 gN
= Q 2 B2 g N

12.
217
X

gN +1 = Q1 B1 AgN
. g =
gN
z N , g0 = e. N >0

z (6)
g zQf g = e.

(7)

n = 1, , , [??] [??],
g = exp{Q ln(e zf )},
o
nX
Qf k e

.
g
= lim gN
= lim(1 z)g = exp
N

z1

k>1

(8)
(9)

n > 1, , . ,
n = 1, 3.
3. 1 2
X Qf k e
k>1

( R).
n
.

g g
.
(7). (8) n > 1, (9). , (9).

.

4


0.
= {} . .
( ). .

X p ,
p = 1. , ,

p ;

p 6 1 ;

p .

a.
.. B (t).

.
,
.. , ,
.

l = {l , },
l (
, ). L
, l. l = {l , }, l = 0, O.
l L, . ,
l L, l 6= 0, u(l) .
0 6= l 7 u(l)
, u(l) = l 6= 0.

1.

219

, , l L
l 6= 0, = u(l). ,
,
, . ,
,
. u = u(l),
, ( ).
,
; p = {p , }; P = {p ; , }; a; {B (t), }; u.
1.
c ( ) .

l(t) = {l (t), },
l (t) t ( , t, ). xl (t)
{l(t) = l}, l L,
Xl (T ) =

ZT

xl (t) dt,

T
X
(c, l)Xl (T ),
lL

c = {c , }, l = {l , }; (c, l) =

c l .

T
JT = E

ZT X
1
1 X
(c, l)Xl (T ) =
(c, l)Exl (t) dt =
T
T
lL

1
=
T

lL

ZT X
ZT
1
(c, l)P {l(t) = l} dt =
(c, El(t)) dt,
0

lL

220

. 4.

El(t) = {El (t), }.



J = (c, l),
(1)
l = {l , }, l
. ,
l .
U u. ,
J , .. u U . ,
J = J(u).

. 1) , u U , ,
J(u ) = min J(u)

(2)

uU

( u U , (2), );
2) .
2.
.
1. . .
n-
P = {pij }i,j

(n)

P n = {pij }i,j .
i n > 1 ,
X (n)
1
pij > 0.
j

2.
, ..
i1 =

Z
0

t dBi (t) < ,

i2 =

Z
0

t2 dBi (t) <

2.

221

i .
3.
X
=
i i1 < 1,
i

= {i , i }
X
i =
pij i + apj , j ,
i

(I P ) = ap,

(1)

I , P , P , p =
= {pi , i }. 1 , (1) . .
M . i (M ) ( ), i M ,
M . , i = i ().
,

X 
X
X
i = 1
pij i1 +
pij (i1 + j ) =
pij j + i1
j

(2)

(I P ) = ,

= {i , i }, = {i1 , i }.
1 , (2) .
.
M i (M ), i M , .
I P , \ M , , .
1 , . . . , s ,
o
n
c (i )
c (i )
= min
, i > 1,
(3)
Qi = i :
(i )

(i )

1 = ; c (1 ) = c ; i+1 = i \ (1 + . . . + i );
h c ( )
i
c (i )

i
c (i+1 ) = (i )
min
, i+1 .
(i )

(i )

s > 1

= 1 + . . . + s , s 6= .

(4)
(5)

222

. 4.

( ) , (
) ,
.
.
. u U
, 1 6 i < j 6 s j
i .
3.

(t) = {n(t), i(t), (t)}, t > 0,
n(t) = {ni (t), i }, ni (t) , t i; i(t) = 0 n(t) = 0; n(t) 6= 0, i(t)
, t; (t) = 0
n(t) = 0; n(t) 6= 0, (t) i(t), t.
, n(0) = 0 ( 1).
, (t) . .. (t) ,
. 5 .. (t) .
niN , i N .
.
nN = {niN , i }.
iN , N - . N = {nN , iN }, N = 1, 2, . . ., ( ) (t), t > 0,
.
n = {ni , i } L z = {zi , i } zi
Y
zn =
zini .
i

|z| 6 1, |zi | 6 1 i . z = 1 ,
zi = 1.

3.

223

|z| 6 1 i
PiN (z) = Ez nN i,iN ;

PN (z) = Ez nN =

PiN (z),

i,j . ,
RiN (z) = Ez nN i,u(nN ) , i .
, i,u(nN ) = 1, .. u(nN ) = i, N nN 6= 0 i.
1. z = {zi , i } |zi | 6 1

zi Pi,N +1 (z) = [RiN (z) + PN (0)pi zi ]i (a a(p, z))Qi (z),

Qi (z) =

pij zj + 1

pij ,

(1)
(2)

a i () .. Bi (t).
. z = {zi , i } zi ,
0 6 zi 6 1. , ,
. , i ( ), zi 1 zi , . , , ,
. ,
(1), .
Pi,N +1 (z) , (N + 1)- i ;
RiN (z) , N ,
i;
PN (0) , N ;
i (a[1 (p, z)]) , i ;
Qi (z) , , i,
( , ).

224

. 4.

(1) .
(N + 1)- i,
, , (
zi Pi,N +1 (z)), ,
1) N

i ( RiN (z) + PN (0)pi zi );
2) (N + 1)- i
( i (a a(p, z));
3) , (N + 1)- i, , -
( Qi (z)).
2. z = {zi , i } |zi | 6 1, N

X
lim PiN (z) = Pi (z), lim PN (z) = P (z) =
Pi (z),
i

lim RiN (z) = Ri (z).


zi Pi (z) = [Ri (z) + P (0)pi zi ]i (a a(p, z))Qi (z);

a
lim P {iN = i} = Pi (1) = i ; P (0) = (1 );

X
api

Ri (1) = i
(1 ); =
i .

(3)
(4)

. , N , N = 1, 2, . . ., .
(3) (1).
(4).
(. 3 2),
(. 6 1). .
E N .
= (x) E A = (A)(x)
(A)(x) = E{(N +1 )/N = x}.
N , > 0, (x) E

3.

225

E0 E ,
(A)(x) 6 (x) x E \ E0 ,
(A)(x) < x E0 .

(5)

E = L . x = (n, i) E (x)
, , n = {nj , j },
. ,
X
(x) =
n j j .
j

x = (n, i) E n 6= 0, (A)(x) :
1) , n = {nj , j },
= u(n);
2) , .
,
X
X
(A)(x) =
nj j 1 +
(apk 1 )k =
j



X
= (x) 1 1
apk k = (x) 1 (1 ),
k

(1), (2) 2
X
apk k = a(p, ) = a(p, (IP )1 ) = a((IP )1 p, ) = (, ) = . (6)
k

E0 (n, i) E, n = 0.
x = (0, i) E0 ,
X X
X
(A)(x) =
pj
(apk j1 )k =
pj j1 < .
j


= (1 ) min j1 > 0
j

= (x) E0 (5). , N , N > 1,


. , P (1) = 1.
Pi (1), Ri (1), P (0). (3) zi 6= 0:
i
X
Xh Ri (z)
P (z) =
Pi (z) =
+ P (0)pi bi (z),
(7)
i

zi

226

. 4.

bi (z) = i (a a(p, z)) Qi (z).



xj =
P (z) ,
zj

z=1

xij =

R (z) .
zj i
z=1

(8)

P (z) Ri (z) ,
X
xj =
xij .

(9)

(7),

bi (z)
= apj i1 + pij = dij ,
zj
z=1

Ri (z)
= xij Ri (1)ij ,

zi

zj

z=1

Rj (1) =

[Ri (1) + P (0)pi ]dij .

(10)

(3)

Pi (1) = Ri (1) + P (0)pi ,

(11)

(10)
X
Pj (1)
dij Pi (1) = P (0)pj , j .

(12)

P (z) =

Pi (z) P (1) = 1 :

(13)

Pi (1) = 1.

,
Pi (1) =

i
,

a
P (0) = (1 )

(12), (13). , (13)


, (12)

 ap
X
j
apj X
apj
apj
j
1X
1

i i1
pij i =
j
pij i
=

(12).
3 2.
, I P I D ;
D = {dij }i,j .

4. N
N

227

3. 1 2 , I P
. ,
|I D| = (1 )|I P |.

(14)

. , (. , [15]).

X (n+1) X (n)
pij
6
pij , i ,
j

, n0 ,

(n)

pij > 0

i n > n0 . wI P n
w , |w| > 1. , P n , , P n
1. , |I P | 6= 0.
(14). D

D = P + ap ,
- {i1 , i }, p -
{pi , i }.
I D = [I ap (I P )1 ](I P ) = (I )(I P ),

(1) 2. (14)
|I | = 1 (, ) = 1 .
+

4. N
N
.

(t) = {n(t), i(t), (t)} 0 < 1 < 2 < . . . ( 1)


,
(N 0) = 0, n(N 0) 6= 0; N = 1, 2, . . . .

i
N = i(N 0),

n
N = n(N 0).


N
= {n+
N , iN }, N = {nN , iN }, N = 1, 2, . . . ,

228

. 4.

PiN
(z) = Ez nN i,i ,
N

+
RiN
(z) = Ez nN i,i+ ,
N

z = {zi , i }, |zi | 6 1, , Bi (+0) = 0 i .


1 N N -
; ,
+
+
+
i
N = iN , nN = nN , iN = u(nN ) = u(nN )

n 6= 0 1.

4. Bi (+0) = 0 i .
+

zi PiN
(z) = PiN
(z)Qi (z),

+
PiN
(z)

= PiN (z),

+
RiN
(z)

(1)

= RiN (z)

, , N

lim PiN
(z) = Pi (z),

+
lim RiN
(z) = Ri+ (z)

,
Pi+ (z) = Pi (z), Ri+ (z) = Ri (z), zi Pi+ (z) = Pi (z)Qi (z).

(2)

(1).
(1) : N - i;
, , , . (1)
: N - i;
; , , ,
- . .
5. n+
N n(t)
5. Bi (+0) = 0 i , z = {zi , i },
|zi | < 1, t
h
i
X
1
zi

Pi (z) 1
;
(1)
lim Ez n(t) = P (z) =
a

1 (p, z)

lim P {i(t) = i} = i i1 , i ;

lim E[e

s(t)

Qi (z)

1
/i(t) = i] =
[1 i (s)], s > 0, i .
si1

, P (0) = lim P {n(t) = 0} = 1 .

(2)
(3)

5. n+
N n(t)

229

.
1 . , .
(t) .
.
,
1) ;
2) .
1) ,
: ;
.. .
2) , . .
, ,
.
,
(. 1 2)
1 =

E
,
1 aE

aE < 1. = aE.
X
E =
p i i
i

(6) 3.
2 .
Pi (z, s, t) = Ez n(t) es(t) i,i(t) , i .

lim Pi (z, s, t) = Pi (z, s),

.. (t) = {n(t), i(t), (t)}


t = 0.
,
(s + a a(p, z))Pi (z, s) = [Ri (z) + P (0)pi zi ]i (s) Pi (z).

(4)

(t) ;
, , .. (0) -

230

. 4.

.. (t) t . , t > 0
Pi (z, s, t) = Pi (z, s).
(5)
(t) t
t + h, h 0
Pi (z, s, t + h) = E{z n(t+h) es(t+h) i,i(t+h) } = P {(t) = 0}ah pi zi i (s)+
+ P {0 < (t) < h} E{z n(t+h) es(t+h) i,i(t+h) /0 < (t) < h}+

+ P {(t) > h}E{z n(t+h)es(t+h) i,i(t+h) /(t) > h} + o(h).

(6)

h 0

E{z n(t+h) i,i(t+h) /0 < (t) < h} Ri (z),

E{es(t+h) /0 < (t) < h, i(t + h) = i} i (s),



P {0 < (t) < h} Ri (z)i (s) + o(h).
. (t) > h
i(t + h) = i(t), (t + h) = (t) h.
t t + h,


 n
o
X
P {(t) > h} 1ah+ah
pj zi E z n(t) es[(t)h] i,i(t) /(t) > h + o(h).
j

Pi (z, s, t) = P {(t) > h} E{z n(t)es(t) i,i(t) /(t) > h}+

+ P {0 < (t) < h} E{z n(t)es(t) i,i(t) /0 < (t) < h},

h 0

E{z n(t) i,i(t) /0 < (t) < h} Pi (z),

(6)
[1 ah + ah(p, z) + sh][Pi (z, s, t) P {0 < (t) < h}Pi (z)] + o(h).
(6) (5)
[s + a a(p, z)]Pi (z, s) = P {(t) = 0} a pi zi i (s)+
1
h

+ P {0 < (t) < h}[Ri (z)i (s) Pi (z)] +

o(h)
.
h

(7)

5. n+
N n(t)

231

1
h

lim P {0 < (t) < h} = 0


h0

, P {(t) = 0} = P (0), (7):


h
i
a
[s + a a(p, z)]Pi (z, s) = 0 Ri (z) + P (0) pi zi i (s) 0 Pi (z). (8)
0

s = a a(p, z) (. 4):
h
i
a
zi Pi (z) = Ri (z) + P (0) pi zi i (a a(p, z))Qi (z).
0

a
a
P (0) = P (0) = (1 ).
0

(9)

(8) 2 4 z = 1 :
sPi (1, s) = 0 Pi (1)[1 i (s)]

Pi (1, s) =

0 i
[1 i (s)],
s

(10)

:
1 P (0) =

Pi (1, 0) =

0 X
i i1 = 0 ,

(9) 0 = . (8) (4).


3 . 0 = , (9) P (0) = 1 . ,
, P {i(t) = i} = Pi (1, 0), (10) (2).
Pi (1, s) = P {i(t) = i} E{es(t) /i(t) = i}

(10) (3).
(1). (4) s = 0 i .
nX
o
X
X
a[1 (p, z)]
Pi (z, 0) =
Ri (z) + P (0)(p, z)
Pi (z) .
i

(1) ,
X
a
Pi (z, 0) = P (z) P (0); P (0) = P (0);

X
i

Ri (z) = P (z) P (0) =

(2) 4.

X
i

Pi (z) P (0)

232

. 4.

.
pik = lim P {ni (t) = k},
t

p+
ik = lim P {niN = k/iN = i}.
N

pij = 0 i j , pik = p+
ik i
k > 0. , z = {zj , j }
, zj = 1 j , j = i , |zi | 6 1 (1) :
P (z) = Pi (z)/Pi (1).
6.

N = {nN , iN }, N > 1, nN =
= {njN , j },
xj = lim EnjN , xij = lim EnjN i,u(nN ) .
N

, xj xij (8), (9) 3


xij /Ri (1) j i ( ).
6. i j
X
xij + xji =
(xi dj + xj di ) + cij ,

(1)

cij =

dij = apj i1 + pij ,


2

(a pi pj 2 +api 1 pj +apj 1 pi )+2i ij i dij j dji .

(7) 3

b (z)
= api 1 + pi = di ,
zi
z=1


2
b (z)
= a2 pi pj 2 + api 1 pj + apj 1 pi ,
zi zj
z=1

R (z)
= xi R (1)i ,

zi z z=1



2 R (z)
2
=
R (z)
xi j xj i + 2R (1)i j ,

z
zi zj
zi zj

z=1
z=1


X 2


2
P (z)
=
R (z) .
zi zj

z=1

zi zj

z=1

7.

233

7.

li (t) = ni (t) i,i(t) , i ,

Eli (t) = Eni (t) P {i(t) = i}.

n
i = lim Eni (t),
t

li = lim Eli (t),


t

(2) 5 :
li = n
i i i1 ;
(1) 1
X
J = (c, l) = (c, n
)
ci i i1 .

(1)

n
= {
ni , i }. n
J {xij }.
, Bi (+0) = 0 i ,
(3) 3 (1) 5,
i
h
X
z
[1 (p, z)]P (z) =
=
Pi (z) Pi (z) i
a

Qi (z)

n
o
X

=
P (z)
[R (z) + P (0)p z ] (a a(p, z)) . (2)
a




P (z)
=n
i , zi
zi
z=1
(2) z = 1 2pi n
i . (2)
, ,

n
h
i
o

X

[R (1)+P (0)p ]a2 p2i 2 +2


R (z) +P (0)p i api 1 =

zi

n
X
a

n
o
X
X
= ap2i
2 + 2pi
xi 1 + 2(1 )ap2i i1 ,

z=1

h
i
o
a
a2 p2i 2 + 2 xi + (1 )p i api 1 =

n
i =

xi 1 +

api X
2 + (1 )api i1 .
2

234

. 4.

7.
J =

ci xi 1 + const,

i,

const u = u(n);
-
J = (c, X ) + const,

(3)

c = {ci , i },

= {i1 , i },

X = {xij ; i, j }.

8.
1 U = {u} ( ) u ,
J(u ) = min J(u).
uU

J = J(u) (3) 7, xij ,


X,
u U . ,
(1) 6. : (3)
7 X = {xij }, xij
(1) 6. J
u U , J(u ) = J , , ,
u (
J(u) u U ). ,
, .
, (3) 7
J = (c, X ).
, :

J = (c, X ),

(1)

X = {xij ; i, j }
xij > 0 i, j

(2)


xij + xji

(xi dj + xj di ) = cij .

(3)

9.

235

i j
i j ( , ), i
j .
: {xij }, (2), (3), xij = 0 i j.
, {xij } ,
cij , . , ( ), i j,
i j. {xij }
(2), (3) xji = 0 i j.
9.
r .
1, 2, . . ., r. , ={1, . . ., r}.
(3) 8
X + X = X D + D X + C,
D = {dij }, C = {cij },
(I D )X + X (I D) = C.
(. 3) D = P + ap ,
(I P )X + X (I P ) = ap X + aX p + C.

(1)

k = 1, . . . , r Rk , P
r k . 3
, P
. , Rk . ,
X
(I Rk )1 =
Rkn .
n>0

wk = (I Rk )1 =

n>0

Rkn ;

(2)

236

. 4.

, wk > 0 ( w > 0 w ,
). wk
wk = uk + vk ; uk > 0, vk > 0;
wk = (wk1 , . . . , wkr ) ; uk = (wk1 , . . . , wkk , 0, . . . , 0) .

(3)

Rk uk = P uk , Rk vk = 0, (2) :
(4)

= (I P )uk + vk .

(1) -
uk - uk .
uk (I P )Xuk = [(I P )uk ] Xuk = ( vk )Xuk =

= (X , uk ) (vk , Xuk ) = uk X (I P )uk ;

auk p Xuk = a(p, uk )(X , uk ) = auk Xp uk ;


uk Cuk = (Cuk , uk ),

1
2

[1 a(p, uk )](X , uk ) = (vk , Xuk ) + (Cuk , uk ).

(5)

, 1 a(p, uk ) > 0, (4) :


X
X
uk = (I P )1 ( vk ) =
P n ( vk ) 6
P n =
n>0

n>0

= (I P )1 = = (1 , . . . , r ) ,

.. a(p, uk ) 6 a(p, ) = < 1.

hk =

(vk , Xuk )
,
1 a(p, uk )

bk =

1 (Cuk , uk )
,
2 1 a(p, uk )

(6)

X =y = (y1 , . . . , yr ) ;

(5)
(uk , y) = hk + bk ; k = 1, . . . , r;

w11 y1
= h1 + b 1 ,
w21 y1 + w22 y2
= h2 + b 2 ,
............................
wr1 y1 + wr2 y2 + . . . + wrr yr = hr + br ,


W y = h + b.

(7)

(1) 8 J = (c, y).

10.

237

, W . , (2) :
wk > 0, ..
wki > i1 > 0.
(8)
8.

W 1 c > 0,

(9)

J = (c, y)>J = (z, b), W 1 c = z = (z1 , . . ., zr ) . , J=J


, zk > 0 xji = 0 i 6 k < j.
. (7) (9) :
J = (c, y) = (c, W 1 h) + (c, W 1 b) = (z, h) + (z, b) > J = (z, b),
, zk > 0
hk = 0. (3) (6)
X
[1 a(p, uk )]hk = (vk , Xuk ) =
wki wkj xji .
i6k<j

, (8) hk = 0
xji = 0 i j , i 6 k < j.
, 8,
{xij }, (2), (3) 8, xji = 0
i < j. hk = 0; J = J . , , (9)
X = {xij } (1)(3) 8.
, , (9) .
10.
r , r1 , . . . , 1 :
Mr = ; c (Mr ) = c , Mr ;

c (Mi )
ci (Mi )
= min
= mi , i Mi ;
i (Mi ) Mi (Mi )

Mi1 = \ {r , . . . , i } = Mi \ {i };
h c (M )
i

i
c (Mi1 ) = (Mi )
mi , Mi1 .
(Mi )

(1)
(2)
(3)

, r , r1 , . . . , 1 ( (1) Mi ).

238

. 4.

, i = i (i = 1, . . . , r).
9.
W 1 c = z,

z=
, W 1 c > 0.

n c (M )
1
1

1 (M1 )

,...,

cr (Mr )
r (Mr )

(4)
o

.
1 . , wki = i (Mk ), k > i. (3), (4) 9
,
k = (Ik Pk )wk ;
Ik k k; Pk k k, P r k
;
k = (11 , . . . , k1 ) ;

w
k = (wk1 , . . . , wkk ) .

, i = (1 , . . . , r ) , = (I P ),
, i Mr
Mr , wki w
k
, Mr Mk ; .. wki = i (Mk ), i Mk .
2 . z = (z1 , . . . , zr ) , (4) c = W z
c1 (Mr ) = w11 z1 + w21 z2 + . . . + wr1 zr ,
c2 (Mr ) =
w22 z2 + . . . + wr2 zr ,
............................
cr (Mr ) =
wrr zr .

(5)

:
zr =

cr (Mr )
cr
=
,
wrr
r (Mr )

wri = i (Mr ), (5), ,


(2) (3) (1)
c1 (Mr1 ) = w11 z1 + w21 z2 + . . . + wr1 1 zr1 ,
c2 (Mr1 ) =
w22 z2 + . . . + wr1 2 zr1 ,
..................................
cr (Mr1 ) =
wr1 r1 zr1 .

(6)

10.

239

, (1) ci (Mr1 ) > 0 i 6 r 1.


(6) (5), (5) r
r 1. .

L(i) = zi + . . . + zr , i = 1, . . . , r.
L1 , . . . , Ls
L() ; s 6 r. , L1 > L2 > . . . > Ls .
Mi = { : L() = Li }.

(7)

10. u U
, , Mi
Mj , i < j.
. 9 W 1 c > 0. 8
u U , X = {x },
, zk > 0 x = 0 6 k < .
, (7)
1) 1 6 i < j 6 s Mi
Mj ;
2) Mi z > 0, z = 0 Mi ;
< ; i = , Mi z > 0;
3) Mi i 6= s Mi , z > 0.
. 1 6 i < j 6 s, k = i Mi . zk > 0 ,
, x = 0 6 k < . , x = 0 Mi
Mj . , Mi
Mj .
. Mi , Mj i < j.
, x = 0. 6 k = i < .
zk > 0, , k
{i }, x = 0 6 k < .

2 10, ,
1 , . . . , s Ms , . . . , M1 .
1. P = 0. , ( ). ,

i- ,
c
Ri = i .
i1

,
.

240

. 4.

2. r . i- i- .
; , . ci
i- ; ij
(i, j)- , .. j- i- . ,
(i, j)- ,
.X
Rij = ci
ik .
k>j

3 (). , qij i-
X j
i- ;
qij = 1. , j>1

(i, j)-

Rij = ci max
s>j

s
X

qik

k=j

s
X
k=j

ik

.
qim

m>k

4. r . i- , Bi (t).
. h
(, ,
). ci
i- . ,
( 1)
h. (
).
. ,
ij = h,

qij = Bi (jh) Bi (jh h).

5 (). h 0 jh t, ,
i- , -

10.

241

t ,
Bi (x) Bi (t)

Ri (t) = ci sup Zx
x>t

[1 Bi (u)] du

.
s
X
k=j
s
X
k=j

ik

qik = Bi (sh) Bi (jh h);

m>k

qim =

s
X
k=j

[1 Bi (kh h)] h;

Rij Ri (t).

6 ().
n Zx
o
Bi (x) = 1 exp i ( ) d .
0

i (x) i-
x . , i (x) . ,
Ri (t) = ci i (t).
7 (). i (t) i- t . , i (t)
t. , (i, t)- (.. i- , t )
Ri (t) =

ci
.
i (t)

8 (). Bi (t), i =
= 1, . . . , r, ,
(i1 , t1 ) (i2 , t2 ) , Ri1 (t1 )=Ri2 (t2 )
Ri1 (t) Ri2 (t) t1 t2 . . , ,
6 / 7.

242

. 4.

9. , ,
,
p ,
X
X
p 6 1. 1
p

. , ,
()
l() = {l , }. , ()
() . pb = El ,
Pb = {b
p }. = { , }
(I Pb )X = .

M , (M ) = { (M ), M }
, I Pb , , M , x . , 2
.
10. , 2 ,
(..
).

5


0.
0 . . ,
a.
b. ()
= (a, b).
, . ,

(
b1 , = a/b < 1,
() = 1
+,
> 1.
a / b , x = (x1 , . . . , xn ) y = (y1 , . . . , ym ),
x n , y
m . () (x, y). .
x b
a a, y bb b.
b b = (b
() (),
a, bb).

(). ()
, .
1 . .

x,
P , .
x .
. x = (x1 , . . . , xn ), x1 , . . . , xn
N (, 2 ).
/ 2 . , , -

244

. 5.

2 , = (, 2 )
= R1 R1+ .

, . :
= {} ,
X = {x} .

,
x P :


/ P (x)

/x

x P
.
D
.
1. , D = .
2. = 1 + . . . + s , di
i . D = {d1 , . . . , ds }.

, x (x) D.
(x), X
D , , .

, .
,
, , 1 = 1 (x) 2 = 2 (x) , .
2 . . ,
, .
L(d|) d D,
.
= (x),
R(|) = E L((x)|).

0.

245

R(|) , ,
= (x),
.
, .
3 . .
, . , , 1 = 1 (x)
2 = 2 (x)
R(1 |) 6 R(2 |)
( ),
1 ( ) 2 .

R( |) 6 R(|)

(1)

, , .
.
. (),
= () D. (). (x)
, E (x) = () . ,
D = R1 L(d|) = [d ()]2 . (x)
R(|) = E [(x) ()]2 = var (x).
.
. (1)
,
.
, .
, , . 6,
1 2 .
,
. .
4 . . . . , , .
R() = sup R(|).

246

. 5.

R
R(1 |)

R(1 |)

R(2 |)
R(2 |)

. 6.

. 7.

1 2 , R(1 ) 6
6 R(2 ). R( ) 6 R()
, .
. 7 :
1 2 , max R(1 |) < max R(2 |),

2 1 .
. . ,
, .

Z
R() = R(|) d();


1) ;
2) (, ), .
,
R( ) = min R().

. ,
, ( )
(

0.

247

), ,
,
R( |) 6 R(|)
.
, ,
, . , ,
,
.
5 . . T = T (x) x .
, , x . T = T (x) X
Y .
T = T (x)
P = {P , }
X ( , , ),
x T (x) = t .
,
x x T (). , T (x) = x
, , T = T (x) ( , ).

: T = T (x) , , p(x|) P ( X )
p(x|) = g(T (x)|) h(x),

(2)

, x
T (x); .
x = (x1 , . . . , xn ), x1 , . . . , xn (0, ) , T (x) = max(x1 , . . . , xn ) .

248

. 5.

x = (x1 , . . . , xn ), x1 , . . . , xn N (, 2 ),
T = (T1 , T2 )
T1 (x) = x
=

n
1X
xi ,
n
1

T2 (x) = s2 =

n
1 X
(xi x)2
n1
1

= (, 2 ).
T = T (x) , p() , x T (x). ,
(2)
p()p(x|)

p(|x) = X

p()p(x|)

p()g(T (x)|)

= X

p()g(T (x)|)

, . , x T (x) ,
T (x) .
. T (x) ,
P (E) ()
E X T (E) = {T (x) : x E}, ..

P {x E} = P {T (x) T (E)}.

6 . . D L(d|) () d D. = (x) .
, (x) = h(T (x)),

h(T ) = E {(x)/T (x) = T } = ET (x).


(3)
T (x) . ,
, T (x) .
R(|) > R( |) .

. , (x)
x . ,
E (x) = E (x).

0.

249

(x) (),
E (x) = () . .
. , P =
= {P } , E f (x) = 0 ,
P f (x) = 0 (.. x, f (x) = 0,
P P). T = T (x)
P T = {PT }, PT T (x), x P . T = T (x)
, P T . T (x) , f (x)
.
.
) T = T (x);
) L(d|) ()
d D, D ;
) () ;
(P )
,
R( |) 6 R(|)
.

) = (x) x T (x);
) .
. . (x) = h(T (x)), h(T )
(3). , .
T (x) ,
x T (x) ( 1 = 1 (x) = (T (x)) , E ( 1 )(x) = 0 , ,
1 (x) = (x) P ). ,
L(d|).
7 . . , T (x) ( ).

k
nX
o
dP (x) = c() exp
j Tj (x) d(x)
j=1

Rk Rk . T (x) = {T1 (x), . . . , Tk (x)}

250

. 5.

( ). . [13], . 183. , j
cj (), - {c1 (), . . . , ck ()}
Rk , Rk .
8 . ([13]). T ,
U . :
() T U ;
() U ( U , . [19]).
1.
x1 , . . . , xn .. F (t). , t
t (x) = Fx (t), x = (x1 , . . . , xn ), t () = F (t). , x
T (x). , , ,
( ).
()
() =

F (t) dA(t)

(1)

R1+

= { : > 0}, ()

(x) =

Fx (t) dA(t).

, (x) x T (x) > 0

E (x) =

Z
0

E Fx (t) dA(t)

F (t) dA(t) = ().

, x Fx (t) ..
(
1, x1 < t;
t (x) =
0, x1 > t.

(2)

1.

251

t = t (x) t (). 6
t (x) = ht (T (x)),
ht (T ) = E {t (x)/T (x) = T } = P {x1 < t/T (x) = T },
ht (T ) T .. t.
, t Fx (t). Fx (t) ..
, xi ,
F (t) .. .
1. F (t) = 1 et , t > 0; > 0.
, Fx (t) x - B(1, n 1)
t/(x1 + . . . + xn ) = t/n
x.
() =

A(t) dF (t) =

, () =

(x) =

et A(t) dt.

1
, A(t) = 1 et n > 2
1+

A(t) dFx (t)

= (n 1)

Z1
0

(1 enxu )(1 u)n2 du.

2. x1 , . . . , xn Fa (t) = 1 eat , a > 0; y1 , . . .


. . . , ym Gb (t) = 1 ebt , b > 0; x = (x1 , . . . , xn ), y = (y1 , . . . , ym ), =
= (a, b). Fx (t) Gy (t) .

() =

a
=
, = a/b.
1+
a+b

,
() =

Fa (t) dGb (t).

()

(x, y) =

Z
0

Fx (t) dGy (t).

252

. 5.

,
(x, y):

E (x, y) =

E Fx (t) dE Gy (t)

Fa (t) dGb (t) = ().

, () -
, ,
k
k!

1+

n
+ ... +
1!
n!

, 0 6 k 6 n,

, ,
(x, y) ().
.. Fx (t)
F (t) = 1 et , > 0,
. .. F (t). , , F (t)
t, R (t) = 1 F (t). Rx (t)
R (t), Fx (t) = 1 Rx (t).
2.
;
, 1 ex , x > 0, > 0, N .
.
1 . r- .
2 . r- .
3 . T .
4 . T .
( b ) R(t)
R(t) = et , t .
3.

3.

253

S
;
s , ();
r .
b R(t) = et (t ).
R(t)
1 2

r1
b = 1 t
R(t)
, r > 1;
S

max(0, z); (z)0+

(z)+ =
z > 0.
3

= 0 1 z 6 0

r

b = 1 t
R(t)
NT

t > 0, z = 1 z.
b , . t > N T R(t)
[0, 1].
4 0 6 t < N T


t
t
vr s r , T
N
N 1 6 r 6 N, 0 < s < rT ;
b =
R(t)
vr (s, T )

b = 0; r = 0, R(t)
b = 1.
r > 0 s = 0, R(t)
r>1
r
X
(s kT )r1
+
vr (s, T ) =
(1)k Crk
.
k=0

(r 1)!

. t > N T R(t) = et .
. vr (s, T ) (r 1)- ,
r > 1
0 < xk < T, 1 6 k 6 r 1,

s T < x1 + . . . + xr1 < s.


b 6 1.
. , 0 6 R(t)
b
. , R(t)
R(t)
.

254

. 5.
4. 1

.
. z1 , . . . , zr , 1 ez , z > 0, > 0. R(t) = et (t )

r1
t
b = 1
R(t)
, r > 1.
z1 + . . . + zr

. S = z1 + . . . + zr .
(
0, z1 < t,
= (z1 , . . . , zr ) =
1, z1 > t.

R(t) = et ,
E = P {z1 > t} = et .
R(t)
(S) = E {/z1 + . . . + zr = S}.
. ,
(S) = P {z1 > t/z1 + . . . + zr = S} =
n
= P

z1
t
>
z1 + . . . + zr
S

o
z1 + . . . + zr = S .

r = 1, z1 = S (S) = 0 1
, t > S t 6 S, . r > 1. .
z1
z1 + . . . + zr
z1 + . . . + zr

(
),
n
o
z1
t
(S) = P
>
,
z1 + . . . + zr

, ,
= 1.

4. 1

255

, .. 1 2 G(1 ) G(2 ) , ..
=

1
1 + 2

- Be(1 , 2 ). ..
1 = z1 ,

2 = z2 + . . . + zr

- G(1) G(r 1) (r > 1). ..


z1
z1 + . . . + zr

-pa Be(1, r 1),


1 (1 x)r1 0 6 x 6 1.
,



t r1
1

S
(S) =
0

0 6

t
6 1;
S

t/S > 1,

. x1 , . . . , xr

( 1 ). .. x1 , . . . , xr 1 eN x, x > 0.
r-
S = N (x1 + . . . + xr ).
zk = N xk ; k = 1, . . . , r. .. z1 , . . . , zr
1 ez , z > 0.
S = z1 + . . . + zr .
A .. z1 , . . . , zr , ,

r1
b = 1 t
R(t)
S


R(t) = et (t ).

256

. 5.
5. 2

x1 , x1 + x2 , . . . , x1 + x2 + . . . + xr
( 2 ). .. x1 , . . . , xr .. xk
1 exp{(N k + 1)x}, x > 0.

r-
S = N x1 + (N 1)x2 + . . . + (N r + 1)xr ; r 6 N.
zk = (N k + 1)xk , 1 6 k 6 r. .. z1 , . . . , zr
1 ez , z > 0.
S = z1 + . . . + zr .
4 .. z1 , . . . , zr . ,


r1
b = 1 t
R(t)
S

6. 3
(T ) T 3 . (T ) = r x1 , . . . , xr
T ,
(x1 , . . . , xr ) e , . 11 0. , (T )
.
,
P {(T ) = r} =

r
e ; r = 0, 1, . . . ; = N T.
r!

, (T ) ( c..
(T ) )
,

(T )
b = 1 t
R(t)
(1)
NT

b = et .
E R(t)

(2)

7. 4

257

,

X
t
t
t r r
b =
E R(t)
1

e = e e N T = e N T = et .
NT

r>0

r!

. (1) .
= (T ), ,
X r! r
e = k .
E( 1) . . . ( k + 1) =
r>k

(r k)! r!

R(t)
X
b =
R(t)
ak (k) ,
k>0

(k) k- , ..
(0) = 1, (k) = ( 1) . . . ( k + 1) k > 1.
a0 , a1 , . . ., (2)
> 0.
X
X
k
t
b =
E R(t)
ak k = et = e =
(1)k k ; =
;
k!

k>0

NT

> 0.

ak = (1)k

k
.
k!


b =
R(t)

k=0

ak (k) =

k=0

!
k
(1)k
=
k!
( k)!

k=0



t (T )
.
Ck (1)k k = (1 ) = 1
NT

7. 4
. a. 1, . . . , N , Xk k- , k =
= 1, . . . , N . X1 , . . . , XN ,
min(X1 , T ), . . . , min(XN , T ).
xk = min(Xk , T ). x1 , . . . , xN ,
, 4 .

258

. 5.

r T . .. r
r
p (r) = CN
(1 eT )r e(N r)T , r = 0, . . . , N.

(1)

r r > 1, a y1 , . . . , yr T
, . y1 , . . . , yr
1 ey
0 6 y 6 T.
1 eT

, .. y1 , . . . , yr
pr (y1 , . . . , yr ) = (1 eT )r r e(y1 +...+yr )

(2)

0 6 yk 6 T, k = 1, . . . , r, .
(r, y1 , . . . , yr ) , , (r, s) . s = y1 + . . . + yr
,
T .
(r, s).
(r, s) (0, 0) N {(r, s) :
0 6 s 6 rT }, r = 1, . . . , N ; . . 8.
r
r=N
r = N 1
..
.
r=2
r=1
r=0

2T

. . . (N 1)T N T

. 8.
, (r, s) = (0, 0) eN T .
.. (r, s) .
, r r > 1.
r = 1, y1 = s (2) .. .. s
pr (s) = (1 eT )1 es ; 0 6 s 6 T, r = 1.

(3)

7. 4

259

r > 1.
(y1 , . . . , yr ) 7 (y1 , . . . , yr1 , s)
, . (y1 , . . .
. . . , yr1 , s) (2)
qr (y1 , . . . , yr1 , s) = (1 eT )r r es ,

(4)

0 6 yk 6 T, k = 1, . . . , r 1,
0 6 s y1 . . . yr1 6 T ;

(5)

qr (y1 , . . . , yr1 , s) = 0. , s r > 1


Z
pr (s) = qr (y1 , . . . , yr1 , s) dy1 . . . dyr1 =
= vr (s, T ) (1 eT )r r es , 0 6 s 6 rT ;

(r 1)- ,
(5) , ,
0 6 yk 6 T, 1 6 k 6 r 1,
s T 6 y1 + . . . + yr1 6 s,

(6)

a vr (s, T ) . ,
vr (s, T ) = 0 s 6 (0, rT ),
s (
r)
pr (s) = vr (s, T )(1 eT )r r es ,

(7)

s.
, ( )
vr (s, T ) =

r
X

(1)k Crk

k=0

(s kT )r1
+
.
(r 1)!

(8)

pr (s) ds = 1,

Z
0

vr (s, T )es ds = (r1) (1 eT )r .

(9)

260

. 5.

v(s) = vr (s, T ). w(s), s > 0,


(1 eT )r =

w(s) =

r
X

k=0

r
X

(1)k Crk ekT .

k=0

(1)k Crk e(s kT ),

(10)

e(s)
(
1 s > 0,
e(s) =
0 s 6 0.

v(s) =

Zs
0

(s x)r2
w(x) dx
(r 2)!

(11)

Zs
0

(s kT )r1
(s kT )r1
(s x)r2
+
e(x kT ) dx = e(s kT )
=
,
(r 2)!
(r 1)!
(r 1)!

(12)

(10)(12) (8) r > 1. r = 1


(8) (s)0+ = e(s)
v1 (s, T ) = e(s) e(s T ),
1 0 < s 6 T 0 . (3)
, (7) r > 1,
r = 1.
, , (r, s) , .
. (r, s). , (r, s) .
r s , . (1), (7),
r r [s+(N r)T ]
p (r, s) = p (r) pr (s) = vr (s, T )CN
e

0 6 s 6 rT, r = 1, . . . , N ; (r, s) = (0, 0),


p (0, 0) = eN T .
S = s + (N r)T T . (r, S), (r, s),

7. 4

261

, (r, s) (r, S).


f (r, S)
E f (r, S) = 0 > 0,
..
h(0, T )e

N T

N
X
r=1

ZN T

h(r, S)r eS dS = 0, > 0;

(13)

(N r)T

r
h(r, S) f (r, S)vr (s, T )CN
(r, S).
,

(14)

h(0, T ) = 0
ZN T

h(r, S)S m dS = 0 m = 0, 1, . . . ; r = 1, . . . , N.

(15)

(N r)T

, (14) (13) 0. ,
(13) 0,
(15) m = 0. , (15)
m 6 n. (13) (14)

0=

N
X
r=1

r+n+1

ZN T

(N r)T

n
h
i
X
(S)k (n+1)

dS, >0. (16)


h(r, S) eS
(1)
k=0

k!

0
n
h
i
X
(S)k (n+1)
S n+1
eS
(1)k

(1)n+1
,
k=0

k!

(n + 1)!

(16) r = 1, . . . , N 0
(15) m = n + 1.
, (15) , r = 1, . . . , N
h(r, S) = 0 .
. . (r, s).

262

. 5.

0 6 t = N < N T .
(
1, min(x1 , . . . , xN ) > ,
= (x1 , . . . , xN ) =
0, min(x1 , . . . , xN ) < ,
,
E = P {min(x1 , . . ., xN )> } = P {x1 > }. . .P {xN > } = eN = et .
(r, s) = E {/r, s} .
.
(r, s) = P {min(x1 , . . . , xN ) > /r, s} = P {min(y1 , . . . , yr ) >

> /y1 + . . . + yr = s, 0 6 yk < T, k = 1, . . . , r}.

(17)

, r = 0, min(x1 , . . . , xN ) = T > , (r, s) = 1; s = 0 r > 1, min(y1 , . . . , yr ) = 0


(r, s) = 0. 1 6 r 6 N 0 < s < rT .
Z
.

(r, s) = qr (y1 , . . . , yr1 , s) dy1 . . . dyr1


.Z
qr (y1 , . . ., yr1 , s) dy1 . . . dyr1 , (18)
qr (4);
(r 1)- ,

6 yk 6 T, 1 6 k 6 r 1,

6 s y1 . . . yr1 6 T

6 yk 6 T, 1 6 k 6 r 1,

s T 6 y1 + . . . + yr1 6 s ;

(19)

(6).
(19) r > 1 vr (s, , T ). vr (s, 0, T ) =
= vr (s, T ) (4) (18)
(r, s) =

vr (s, , T )
r > 1.
vr (s, T )

(20)

vr (s, , T ). (19) -
(y1 , . . . , yr1 ) 7 (u1 , . . . , ur1 ) = (y1 , . . . , yr1 ) (, . . . , ),
,
0 6 uk 6 T , 1 6 k 6 r 1,

s r (T ) 6 u1 + . . . + ur1 6 s r,

7. 4

263

vr (s r, T ), . vr (s, T ) (6). , vr (s, , T ) = vr (s r, T ) , , r > 1


(r, s) =

vr (s r, T )
.
vr (s, T )

(21)

r = 1. (17) y1 = s
(r = 1)
(r, s) = P {s > /r, s} = 1 0
, 6 s < T . , (21) ( ) r = 1.
. ( ). 0 6 t = N < N T . ,

(r, s) =

vr (s r, T )
, 0 < s < rT, r = 1, . . . , N,
vr (s, T )

(0, 0) = 1

R(t) = et ( ).
, (9) , vr (s, T ) = 0 s 6 (0, rT ),
T 7 T , s 7 s r

ZrT

vr (s r, T )e(sr ) ds = (r1) [1 e(T )]r

ZrT

vr (s r, T )es r ds = (e eT )r ,

Er (r, s) =

ZrT

vr (s r, T )(1 eT )r r es ds =
=


E (r, s) =

N
X
r=0

e eT
1 eT

r

, r > 1.

r
CN
(1 eT )r e(N r)T Er (r, s) =

N
X
r=0

r
CN
(e eT )r e(N r)T = e N = et ,

264

. 5.

.
1. 2 1 .. , , ,
Fa , Gb , Fx , Gy . ,

(x, y) = P { 6 }

() = P { 6 } =

a
.
a+b

2 (). B ,
(x, y) = P {( , ) B}

() = P {(, ) B}.
3. 27 , - .


0.

(. [4], [25]). .
. g(x) , (, +). ,
g(x) B- , c {x : g(x) < c} .
g(x) B- (, ),
A(x) (, ),
Z

g(x) dA(x).

. A(x) x0 ,
A(x0 0)
1
2

A(x0 ) = [A(x0 0) + A(x0 + 0)].


A(x) B(x) [a, b] [a, b],
,
Zb
a

A(x) dB(x) +

Zb

B(x) dA(x) = [A(x)B(x)]b+0


a0 =

= A(b + 0)B(b + 0) A(a 0)B(a 0).


( , A(x) B(x) B ); , A(x) B(x) a
b ,
a b (. [4], . 237).
. A(x) [a, b] , B(x)
( ),
Zb
a

A(x) dB(x) =

Zb

A(x)B (x) dx.

266

1.

S () A(t) t, :
1) A(t) = 0 t < 0 [0, T ]
;
2) A(t)
s0 A ,
|A(t)| 6 Aes0 t .

Z

est A(t) dt = (s)

s , Re s > s0 . (s) A(t).


. (s) Re s > s0 .
. 1 (s) 2 (s) A1 (t)
A2 (t) S 1 (s) = 2 (s) Re s > s0 . A1 (t) A2 (t)
A1 (t) = A2 (t).
. A(t) S.
T (s) =

ZT

est dA(t).

0
T (s) = e

st

ZT
T +0

A(t)
+ s est A(t) dt.
00

Re s > s0
(s) = lim T (s) =
T

Z
0

st

dA(t) = s

est A(t) dt

. (s)
A(t) S.

1.

267

.
Z
(s) = s est A(t) dt
0

, (s)
A1 (t) A2 (t) S Re s > s0 , A1 (t)
A2 (t)
A1 (t) = A2 (t).
. . . ; , , A(t) ;
; (s), , , , , .
A(t) ; (s) B(t) ; (s); :
Z

1 . (s) = s est A(t) dt.


0

2 . A (t) ; s(s) sA(0) , A (t) , a A(t) [0, T ], T > 0.


Zt
3 .
eax dA(x) ; (s + a).
0

4 .

Zt

A(x) dx ;

(s)
.
s

5 . A(t) B(t) ; (s) (s).


. A(t), E ,
Ees =

est dA(t) = (s).


..
= 1 + . . . + n , P {k < t} = Ak (t), k = 1, . . . , n,

k (s) = Eesk ,

(s) = 1 (s) . . . n (s)

268

A(t) = A1 (t) . . . An (t),


, ..
A(t) B(t) =

Zt
0

A(t x) dB(x) =

Zt
0

B(t x) dA(x).

. A(t), A1 (t), A2 (t), . . . .., (s), 1 (s), 2 (s), . . . . , A(t) (s)


( ):
1) A1 (t) = A2 (t) 1 (s) = 2 (s);
2) An (t) A(t) ( A(t))
n (s) (s);
3) , .. {An (t)} .. A(t), ,
s = i {n (s)} (s) = (i ), = 0. , (i )
.. A(t) s = i .
. (s), Re s > 0,
.., ( . .. ):
1) ( ) = (i ), < < , = 0
(0) = 1;
2) ( ) - , ..
a1 , . . . , an
1 , . . . , n
X
ai a
j (i j ) > 0.
2.
. lim A(t),
t0

lim A(t) = lim (s), (s) = s


t0

Z
0

est A(t) dt;

2.

269

lim A(t),
t

lim A(t) = lim (s).

s0

.
.
. A(t)
(s) =

est A(t) dt

Re s > 0, s

lim s (s) = A
s

lim s (s) = A;
s0


lim T
T 0

ZT

A(t) dt = A

ZT

A(t) dt = A.

lim T

.
lim an = a,


lim(1 z)
z1

an z n = a.

an z n = a

n>0

.
.
lim(1 z)
z1

n>0

lim n(an an1 ) = 0,


lim an = a.

. . [2].

270

3.

. + (s) (s),

(s)+ (s) + (s) (s) = 0

(1)

< Re s < + s, + (s) Re s > , (s)


Re s < + . , , + (s) (s) (,
+ (s) (s) ). (s) (s)
,
.

.
, .. K+ (s),
Re s > , K (s), Re s < + , ,
K+ (s)
(s)
=
(s)
K (s)

< Re s < + . (1)


+ (s)K+ (s) = (s)K (s).

(2)

() . , (2)
F (s), Re s >
(2), Re s < +
(2). , , ,
|+ (s)K+ (s)| 6 M1 |s|n Re s > ,
| (s)K (s)| 6 M2 |s|m Re s < + ,
F (s)
min(n, m). + (s) (s).
.

. , K+ (s) K (s)
.

3.

271

1. f (s) s =
= + i < < + , |f (s)| 6 M |s| , > 0,
+ 6 6 + , > 0. < < < < +
f (s) = f+ (s) + f (s),
1
f+ (s) =
2i

+i
Z

f (z)
dz,
zs

+i
Z

f (z)
dz,
zs

1
f (s) =
2i

f+ (s) Re s > , f (s)


Re s < .
, iA iA A +.

2. ln K(s) 1
( , K(s) < < + ,
K(s) 1 |s| + 6 6 + ), K(s) = K+ (s) K (s), K+ (s) K (s) , > +
6 + .
, 1 f (s) = ln K(s)

1
ln K(s) =
2i

+i
Z

ln K(z)
1
dz +
zs
2i

+i
Z

ln K(z)
dz = f+ (s) + f (s),
zs

f+ (s) f (s) > +


6 + ( ,
+ ).
K+ (s) = exp{f+ (s)},

K (s) = exp{f (s)};

ln K(s) = ln K+ (s) + ln K (s)

K(s) = K+ (s) K (s).


3 (). f (s)

|f (s)| 6 M |s| , > 0,

272

f (s) .

|an | 6

M (R)
Rn


f (s) =

an sn ;

n>0

M (R) = max {|f (s)|}.


|s|=R

. s
K1 , . . . , Kn , ,
f (s),
|f (s)| 6 Mi |s|i , i > 0, s Ki , i = 1, . . . , n,
min(1 , . . . , n ).
4.

n
X

k .

k=1

1) 1 , 2 , . . . ;
2) Ei = m, E|i | < c < ;
3) n ,
.. i i 6 n;
4) En < .


n
X

E
k = m En.
k=1

, .. .. [11].
pk = P {n = k}
(
0, n < k,
k =
1, n > k;

5.
n =

n
X

k =

k=1

273

k k ,

k>1

k .., k , P {k = 1} = P {n > k}.


,
X
|Ek k | = |Ek Ek | 6 cP {n > k} = c
pi ,
i>k

..

k>1

En =

|Ek k | 6 c

Ek k = m

k>1

k>1

k>1

kpk = c En < ,

Ek = m

k>1

P {n > k} = m En,

.
5.

R e;
P : R R P e = e.
P
P 1. 2P (aP a) = P a2 + P a P a a R.
P 2. P (aP b) + P (bP a) = P ab + P a P b a, b R.
P 3. P R (I P )R R; P 2 = P .
I .
P 1 P 2. P 1 a a + b.
P 2 P 3. b = e P 2, P 2 a = P a a R,
.. P . a, b P R; P a = a,
P b = b P 2
P (ab) = P (aP b) = P ab + P a P b P (bP a) = P a P b = ab,

.. ab = P (ab) P R , , P R . a , b
(I P )R. , a b = (I P )(a b ) (I P )R, .. (I P )R
. a b R a = a P a, b = b P b;
P (a b ) = P {(aP a)(bP b)} = P abP (aP b)P (bP a)+P (P a P b) = 0

P 2, P (P a P b) = P a P b. a b = (I P )(a b ).
P 3 P 1 P 2 = P P (a P a)2 = 0.
f R g
g = P (f g ).

(1)

274

. , kf k = 1.
(1)
gn+1 = P (f gn ), n > 0, g0 = e,
X
, g = g(z) =
gn z n , |z| < 1, g = lim(1 z)g. z1

n>0

g R

(2)

g zP (f g) = e,

(3)

g zP (f g) = h, P h = h,

. P h = h ,
= zP (f h), , g = g h, h

g zP (f g) = h.
, , exp g
ln(e + g) (e g)1 ,
;
.
0. P 1. (3) ,
g = g P {[(e zf )g ]1 h},

(4)

g (2).
1. P 1P 3
P 4. (2) , ( f R, kf k = 1)
X

P fn n
g = exp{P ln(e zf )} = exp
z .
(5)
n>1

0. 1 . (3), (2),
(I zP F )g = h g = (I zP F )1 h; |z| < 1;
F , : F g = f g g R.
, kP k = 1, kF k = kf k = 1.
2 . ,
P [(e zf )g ]1 = e.

5.

275

P (ezf )g =e P 2P 3.

a = [(e zf )g ]1 , b = (e zf )g , c = g P a

P (e zf )c = P (bP a) = P ab + P a P b P (aP b) = e,

, P c = c ( g P R, P a P R P R , P 2 = P ), c zP (f c) = e, .. c
(2). c = g , .. P a = e.
3 . , g, (4),
(3). P 3 P g = g,
, P (e zf )g = h.
P 2,
P (e zf )g = P (bP ah) = P (abh) + P b P ah P (ahP b) =

= P (abh) = P h = h.

1. P 1 P 4. , P 1P 3 . g = g (z) z g = g(z), (2)


(4) P 2

g zP (f g ) = P (f g),

g = gP {[(e zf )g]1 P f g} = gP (e zf )1 f
(ln g) = P [ln(e zf )] , g(0) = e,

(5).
.
P 3
g = exp{P ln(e zf )} P R,
P g = g , P (e zf )g = e.
(e zf )g = exp{(I P ) ln(e zf )} = e + (I P )a

a R. P 2 = P , P (e zf )g = e.
P 4 P 1.
(I zP F )1 e = g = exp{P ln(e zf )},

z,
z=0
2P (f P f ) = P f 2 + P f P f.
f R P 1.

276

6.

. u1 , u2 , . . .
; Uk = u1 + . . . + uk
. |z| < 1 , .. max(0, U1 , . . . , Un ) .. max(0, Uk ):
hX
i
X
zn
n (t)z n = exp
n (t)
;
(1)
n>0

n>1

n (t) n (t) .. max(0, U1 , . . .


. . . , Un ) max(0, Un ) , ..
n (t) = E exp(it max Uk+ ), n > 1; 0 (t) = 1;
16k6n

n (t) = E exp(itUn+ ), n > 1;


1
2

x+ = max(0, x) = (x + |x|),

E max Uk+ =
16k6n

n
X
1
k=1

EUk+ .

(2)

(1)
1+

znP

n>1

o
hX k
i
z
P {Uk 6 0} .
max Uk 6 0 = exp

16k6n

k>1

(3)

. max(0, U1 , . . . , Un ).
ak X
= P {Uk > 0}.
ak
1)
< +, ( P {ui = 0} = 1)
k>1

max Uk+ sup Uk+ = max Uk+ < +;

(4)

lim Un = .

(5)

16k6n

k>1

k>1




hX (t) 1 i
k
(t) = E exp it max Uk+ = exp
.
k>1

k>1

7. .
Xa
k
2)
= +,
k>1

277

max Uk+ sup Uk+ = lim Un = +.

16k6n

k>1

(6)

3) E|ui | < + P {ui = 0} < 1, 1)


Eui < 0, 2) Eui > 0.
.
:
Eui = m ,

o
X 1 n u + . . . + u

k
P 1
m > < +
k

> 0.

7.

.

0
1

0
A=
...

0
0

1
0 ...
0
0
1 2 . . .
0
0

2 2 . . .
0
0
,
...................

0
0 . . . n1 n
0
0 . . . n n

i , i , i , i >0, i >0. x(t) =


= {x0 (t), x1 (t), . . . , xn (t)}
x (t) = Ax(t)
xk (0) = ik , ik ,
(
1, i = k,
ik =
0, i 6= k,
i 0, 1, . . . , n,
xk (t) = xik (t) =

X Mi ()Mk ()

(i) (k) Ln ()

et , 0 6 k 6 n,

(1)

278

(i) = 0 1 . . . i , 0 = 1,
(k) = 0 1 . . . k , 0 = 1,
M0 (x) = 1, M1 (x) = x + 0 ,
Mk+1 (x) = (x + k )Mk (x) k k Mk1 (x), 0 < k 6 n,
n
X
Mk2 (x)
Ln (x) =
(k)
(k)
0

(2)

(
) Mn+1 (x).
. x(t) x (t) =
= Ax(t) x(0) = {x00 , x01 , . . . , x0n }
n
X
xk (t) =
x0i xik (t).
i=0

. (2), ,
Mk (x), k = 1, . . . , n + 1,
Mk (x) Mk+1 (x) .
uk (s) xk (t),
uk (s) =

est xk (t) dt, k = 0, . . . , n.

Z
0

est xk (t) dt = suk (s) ik ,

x (t) = Ax(t)
(sI A)u(s) = i ,

(3)

u(s) = {u0 (s), u1 (s), . . . , un (s)} , i = {i0 , i1 , . . . , in } , I


(n + 1) (n + 1).

m0 (x) = 1,

m1 (x) = x + n ,

mk+1 (x) = (x + nk )mk (x) n+1k n+1k mk1 (x),


0 < k 6 n.

mk (x) , xI A n + 1 k n + 1 k .

7. .

279

, Mk (x) , xI A
n + 1 k n + 1 k . (3),

i+1 . . . k Mi (s) mnk (s), i < k,


|sI A|uk (s) = Mi (s) mni (s),
i = k,

k+1 . . . i Mk (z) mni (s), i > k;

|sI A| = det(sI A) = Mn+1 (s) = mn+1 (s).


Mik (s); uk (s)

uk (s) =

Mik (s)
,
Mn+1 (s)

Mik (s)
Mn+1 (s). uk (s) , ,
Mn+1 (s) :
uk (s) =

(s )1

Mik ()
,

Mn+1
()

Mn+1 (s).
,
xk (t) =

X Mik ()

Mn+1
()

et .

(4)

xI A i-
,
Mn+1 (x) = (x + i )Mi mni i i Mi1 mni i+1 i+1 Mi mni1 =
= [(x + i )Mi i i Mi1 ]mni i+1 i+1 Mi mni1 =

= Mi+1 mni i+1 i+1 Mi mni1

Mn+1 (x) = Mi (x)mn+1i (x) i i Mi1 (x)mni (x), 1 6 i 6 n.

(5)

Mn+1 (x). ,
mi () 6= 0 i = 0, 1, . . . , n. Mi () 6= 0 i.
, i = 0 M0 () = 1. 0 < i 6 n Mi () = 0. (5)

0 = i i Mi1 ()mni ().

280

Mi1 () 6= 0, Mi (x) Mi1 (x) (, , ), mni () = 0 mni () 6= 0. , ,


mi () 6= 0, Mi () 6= 0, i = 0, . . . , n.

(6)

x = (5)
Mn ()m1 ()

= n n Mn1 ()m0 (),

Mn1 ()m2 () = n1 n1 Mn2 ()m1 (),


.................................
Mi+1 ()mni () = i+1 i+1 Mi ()mni1 ().
(6),
Mn ()mni () = n . . . i+1 n . . . i+1 Mi ()

mni () =

(n) (n) Mi ()
.
(i) (i) Mn ()

(7)

Mik (s), (7)


Mik () =

(n) (n) Mi ()Mk ()


.
Mn ()
(i) (k)

(8)

Mn+1
() =

n
(n) (n) X Mi2 ()
,
Mn ()
(i) (i)

(9)

i=0

(4), (8) (9) (1), .


Mn+1 (x) = |xI A|,

Mn+1
() =

n
X

Mi ()mni ().

(10)

i=0

. A(x) n n,
x. Ai (x), 1 6 i 6 n, ,
A(x) i- () .

n
X
[det A(x)] =
det Ai (x).
i=1

(9) (10) (7).

8.

281

, (1) ,
mi () 6= 0, i = 0, . . . , n, Mn+1 () = mn+1 () = 0.

(11)

,
, A. , mi (x), i = 0, . . . , n,
0 , 1 , 1 . , (11). , M0 (x) = 1,
Ln () > 0.
8.
pk (x, a), k > 0,
X
(az)k
(1 z)x eaz =
pk (x, a)
, a > 0,
k>0

k!

. ,
, {pk (x, a)}k>0 , d(x)
, (x)

ak a
e
k!

k = 0, 1, . . .; . [17].

qk (x) = qk (x, a) = ak pk (x, a), k > 0.


,
qk (x), k > 0.
)
q0 (x) = 1,
(1)
qk+1 (x) = aqk (x) + xqk (x + 1), k > 0;
)
q0 (x) = 1, q1 (x) = x + a,
(2)
qk+1 (x) = (a + k + x)qk (x) akqk1 (x).

qk+1 (x) = qk (x) + kqk1 (x + 1), k > 1,
k
n
o
X
qk (x) = ak 1 +
Cks x(x + 1) . . . (x + s 1)as .
s=1

(3)
(4)

282

a
1
0
...
0
0
a (a + 1)

2
...
0
0

a
(a + 2) . . .
0
0

Ak =
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ,

0
0
. . . (a + k 1)
k
0
0
0
...
a
(a + k)

(2)

qk+1 (x) = det(xI Ak ),

(5)

I (k + 1) (k + 1).
(2) , qk (x), k > 0,
, qk (x) qk1 (x) .
9.
. . f (z) z = (z1 , . . . , zn ), , a = (a1 , . . . , an ),
, a f (z) =
= f (z1 , . . . , zn ) z1 , . . .
. . . , zn . f (z) = f (z1 , . . . , zn ) ,
.
A1 . F (z, w)

F (a, b) 6= 0.
(a, b)
w
w = w(z) ,
1) w(a) = b;
2) w(z) a;
3) (a, b)
F (z, w(z)) 0.
A2 . , A1 , ,
1) F (z, w) -
F (z, w) = {F1 (z, w), . . . , Fn (z, w)};
2) z, w, a, b,
z = (z1 , . . . , zp ),

a = (a1 , . . . , ap ),

w = (w1 , . . . , wn ),

b = (b1 , . . . , bn );

9.
3)

283

F (a, b) 6= 0
w

o
n

Fj (a, b) 6= 0.
det
wi

. . , ,
F (w, z) = z wf (z) = 0.
, f (z) z = 0 f (0) 6= 0.

F (0, 0) = 1 wf (z)
= 1,
z
(0,0)

w = 0
z wf (z) = 0

z=

ak w k .

k>1

ak
ak =


1 dk1
[f (z)]k , k > 1.
k! dz k1
z=0

g(z) z = 0,
w = 0
g(z) = g(0) +

k>1
k1

bk =

bk w k ,


1 d
[g (z)f (z)]k , k > 1.
k! dz k1
z=0

. . ,
, .
f (z) g(z) ,
, |g(z)| < |f (z)| .
f (z) f (z) g(z)
, .

284

10.

(t), t > 0, . (X, A). A A


xA (t) = {(t) A};
Zt
(t) = xA (u) du;

(0)

s( ) = inf{t : (t) = }.
. (t), t > 0, A A
A ( ) = (s( )), 0 6 < (+).
,
1) xA (t), t > 0,
( ).
2) A ( ) .. .
,
1
plim
T T

ZT

xA (t) dt = P (A) P (A) > 0;

(1)

plim . ,
P { (+) = +} = 1.
B A
yB ( ) = {A ( ) B}.
. B A, T
1
plim
T

ZT

xB (t) dt = P (B),

1
plim
T

ZT

yB (t) dt = PA (B)


PA (B) =

P (B)
.
P (A)

(2)

10.

285

. 1 . , T > 0
ZT

xB (v) dv =

Z(T )

(3)

yB (u) du.

.
(X, B(X)), (Y, B(Y )) f ()
(X, B(X)) f : X Y (
(X, B(X)) - B(X), + ,
() = 0). , +, Y
Z
Z
(f (x)) d(x) = (y) d(f ())(y).
, yB (u) = xB (s(u)), s1 = (0)
d (v)/ dv = xA (v), xB (v)xA (v) = xB (v),
Z(T )

yB (u) du =

Z(T )

xB (s(u)) du =

(s
Z )(T )

xB (v) d (v) =

ZT

xB (v)xA (v) dv =

ZT

xB (v) dv,

T = (s )(T ) 6 T . (3) ,

ZT
xB (v) dv = 0.
(4)
T

s > 0 T > 0
,
T 6 T 6 T + , (T ) = (T )
(t) t, (T ) = (T ), .. (4):
ZT

xB (v) dv 6

ZT

, s = id.

xA (v) dv = (T ) (T ) = 0.

286

2 . (0), (3) T > 0


1
T

ZT

1
xB (v) dv =
T

ZT
0

1
xA (v) dv
(T )

Z(T )

yB (u) du.

P (A) = p. (1) 0 < < p 0 < < 1


T (, ) , 1

ZT

1
xA (t) dt p 6 T > T (, ).
T
0

, 1

1
(T )

T (p ) 6 (T ) 6 T (p + );

Z(T )

1
yB (u) du 6
(p )T

(p+T
Z )

yB (u) du 6

2(p + )
1
6
+
p(p )
(pT )
1
(T )

Z(T )

yB (u) du >

1
(p + )T

(pT
Z )

yB (u) du;

(p)T
Z

yB (u) du >

2(p )
1
>
+
p(p + )
(pT )

(pT
Z )

yB (u) du

T > T (, ).
ZT
ZpT

ZT

1
1
1
4
xB (v) dv
xA (v) dv
yB (u) du 6
T
T
pT
p
0

T > T (, ) 1 , (2).

11.
1 , . . . , n .. .
a > 0 > 1
n
o E| + . . . + |
1
n
P max |1 + . . . + k | > a 6
.

16k6n

12.

287

A=

s0 = 0, sk = 1 + . . . + k , k = 1, . . . , n;
o
n
o
max |sk | > a ; Ak = max |si | < a, |sk | > a ;

16k6n

06i<k

A=

n
X

Ak .

k=1

E|sn | > E|sn | IA =

n
X

k=1

E|sn | IAk =

n
X

k=1

E{|sk + (sn sk )| IAk }.

. 1 , . . . , k
|sk + x| IAk
() x.
E (1 ,...,k ) |sk + (sn sk )| IAk > |sk + E (sk ) (sn sk )| IAk = |sk | IAk .
,
E|sn | >

n
X

k=1

E|sk | IAk > a

n
X

EIAk = a EIA = a P (A).

k=1

12.

( ) ( ) lim P t (x, ),
t

P t (x, ) x t, .

1 . F ; F +

0 F.
F M = F . M , (f ) = (, f ) > 0

288

f F + . M + . M > 6 , M + .
> 6= , > < .
F (
M + F + ). n ,
{n } M M .
M .
M 1. > 0, > 0 | + | = || + ||.
M 2. M + > 0 > 0 M
, = + || = |+ | + | |.
M 3. n , |n | c, M |n + | c || + ||.

2 . P : M M , M + P M + |P | = ||. P = {P t , t T } P t+s = P t P s t, s T . T = {1, 2, . . .}


T = (0, ). , M 2 , |P t | 6 || t T
M . P = {P t , t T } , M || = |P t | t T ,
> 0 6 0.
3 . M ( P),
t
P = t T . = 0
.
M ,
, > 0, || = 1 P t M , ( ). ,
, .
1. P = {P t , t T }
.
C1. ,
P t 0 M .
C2. , ; P t , 0 < 6 ||,
> 0.
1. C2. P = {P t , t T }
. ,
M || = |P t | t T . , > 0 6 0. + M 2. P t , P t + + , P t ,
, + , = + . M 3 ,
|P t | || ||,

|P t | | | | |.

12.

289


|P t | = |(P t + + )(P t )| 6 |P t + + | + |P t |

|| || 6 |+ | + | | |+ | | |
.. |+ | > |+ | + | |, , + = 0 / = 0.
C2 + = 0 / = 0.
2. 1 M 2, , |P t | 6 || t T M .

4 . M , , > 0, || = 1 P t ||

> 0.
M 3 , P t || 0 > 0. , , . ,
, P t (|+ | | |)
M , + M 2.
M W = M . w W , w() = [w, ] > 0
M + . W + W .
w1 w2 W w1 > w2 w2 6 w1 ,
w1 w2 W + . w1 > w2 , w1 > w2 w1 6= w2 .
F F = W ,
, F W . F + W + . wn w
W , wn W
w W .
(P t ) : W W , P t : M M . P t = (P t ) .
P = {P t , t T } . w W ( P ), P t w = w t T .

2.
M . :
1. .
2. 1) P ;
2) W
.
3. 1) P ;
2) w W , w > 0 [w, ] = 0, w = 0;
M , > 0, || = 1.
4. 1) P ;
2) PF .

290

W ,
() = [ , ] = |+ | | |, +
M M 2. PF W : w PF , u F {tk } T , P tk u w tk +.
1. F . :
1 . P .
2 . .
3 . u F P t u c ,
c , u.
5 . P = {P t , t T }
, w M W > 0
w > 0 t T , [w, P t ] > 0.
P , u
M F > 0 u > 0
t T , (P t , u) > 0.

3.
M . :
1 . M , [w, ] > 0
w > 0, w W .
2 . P .
3 . P [w, ] > 0 w > 0, w W .
M , > 0 || = 1.

4.
M . .
1 . M , (, u) > 0
u > 0, u F .
2 . 1) P ;
2) [w, ] > 0 w > 0, w W ;
M, > 0, || = 1.
3 . 1) P (, u) > 0 u > 0, u F ;
2) , 2) 2 .
6 . M 1 ,
M 1. > 0, > 0 | + | > ||.

14 , ,
M + p =
= p(, ) > 0 , | + |p > ||p + ||p .
M 3,

12.

291

M 3. P tn 0 , |P tn | c, M |P tn 0 + | c |0 | +
+ ||.

7 . W . W ,
. W0 W , PF .
, W W0 .
P W
W0 . .
8 . 13 , M
F .
1) M + F , M ;
2) W = M F M .
13
.
9 . F , M
. . M
, M + 0 M . ,
M ,
M , , ,
, . ,
1) ( ) M M ;
2) ;
3) M 1M 3.
13 , 2 4,
F . 1 ,
3 .
10 . , ( )
M M , 12 ,
P. ,
5. (E, ) P = {P t , t T } , E, -

292

P t+s = P t P s

(P t x, P t y) 6 (x, y) x y E t T.
T = {1, 2, . . .} T = (0, ).
.
1 . ( P)
E; (P t x, ) 0 t x E.

2 . x, y E (x, y) = (P t x, P t y) t T , x = y.
11 . .
{0, 1, 2, . . .}. ptij i j t T . T = {1, 2, . . .} T = (0, ).
, i1 i2 j t T , pti1 j > 0 pti2 j > 0.
1. .
1 . , lim ptij =
t
= 0 i j.
2 . = (0 , 1 , . . .),
lim ptij = i j i j, i
t
i 0 < i 6 1.
, 2
.
, 2 i = 1. , X
T = {1, 2, . . .},
ui
i > 1, ui > 0
ui = u < ,
p00 = 1, pi i+1 = 1 pi0 = e
i>1

pt1j 1 j , 0 < 1 = 1 eu < 1 =


= (1, 0, 0, . . .) .
2.
= (0 , 1 , . . .). .
1 . lim ptij = j i j.
t
2 .
X
ptij xj = xi , i > 0, t T,
j>0

x = (x0 , x1 , . . .) = c(1, 1, . . .).


3.
= (0 , 1 , . . .). .
1 . lim ptij = j > 0 i j.
t

12.

293

2 . .
, c, l1 , m (. .. , .. , . ,
1972 .). F = c F + = {x = (x0 , x1 , . . .) c : xk > 0 k >
> 0}. M = F = l1 , W = M = m, M + W + M W , . t T
P t : M M ,
X
(P t )(j) =
i ptij , = (0 , 1 , . . .) M.
i>0

P = {P , t T } . 13 13, ,
(1) M 1M 3.
(2)
( ), 5 .
(3) :
() P ,
() (i1 , i2 ) t T j , pti1 j > 0 pti2 j > 0.
(1)(2) .
(3).
() (). (i1 , i2 ) .
, i1 6= i2 . i = (0, . . . , 0, 1, 0, . . .), i- . = i1 i2 . t T ,
|| > |P t | ( > 0 6 0, ), ..
i
X
Xh
|| |P t | = 2
|pti1 j pti2 j | =
(pti1 j + pti2 j ) |pti1 j pti2 j | > 0.
j>0

j>0

, j, pti1 j + pti2 j |pti1 j pti2 j | > 0, pti1 j > 0 pti2 j > 0.


() (). , l1 + l1 = + , + > 0, > 0, || = |+ | + | |;

t
+
j > 0 j = 0. || = |P | t T .
+

, = 0 = 0.
P t = P t + P t , P t + > 0, P t > 0,

|P t | = || = |+ | + | | = |P t + | + |P t |,

294

(P t + )(j) > 0 (P t )(j) = 0. + > 0 > 0,

(i1 , i2 ) , +
i1 > 0 i2 > 0.
,
pti1 j > 0 (P t + )(j) > 0 (P t )(j) = 0 pti2 j = 0
t T j.
(), .. + = 0 = 0.

15.
1 . , P
.
1. M P tk ( tk ), > 0 6 0.

. |P t | c. M 3 |P tk |
c ||. T ,
|P tk | > |P tk + P | > |P tk + | |P | > c |P |,

c || > c |P | || 6 |P |. ,
|| = |P | T . , > 0 6 0.

2. P tk 1 1 , P tk 2 2 2 6= 0, 1 = 2 ,
.

. 1 i > 0 i 6 0 i = 1, 2.
1 > 0 2 > 0. P tk (1 2 ) 1 2 ,
1 1 2 > 0 6 0. = sup{ : 1
2 > 0}. , 1 = 2 . 1
2 > 0 M 1 , |1 | > | | |2 |, , . > 0 1 ( + )2 6 0, 1
( )2 > 0, .. 0 6 1 2 + 2 6 22 . ,
|1 2 | |2 | 6 |1 2 + 2 | 6 2|2 |. , |1 2 | 6
6 3|2 | , , 1 = 2 .
3. T M P = ,
.

. m > 1 P m = ,
|| > |P t | > |P m | = ||, t 6 m , .. || = |P t |
t T . , > 0 6 0. > 0. s T P (P s ) = P s (P ) = P s , = P s P = .
, > 0 6 0. P s > 0, M 1 P s = + (P s ) |P s | = || + |P s |.

12.

295

> 0 |P s | = ||, |P s | = 0, .. P s = . P s 6 0. , P s =
s T .

4. M
M , P t 0.

. ( ) M ,
P tk 0 0 = 0. T .
, {tk } {tk }
, P tk +m m

m > 0. , {tk } = {tk }.


, 0 6= 0. 1 0 > 0 0 6 0; 0 > 0 (
). 2 m = m 0 , m
. ,
|m | 6 ||, |m+1 P m | = |m+1 | |m |, m = 0, 1, 2, . . . .

tk +m

(1)

tk +(m+1)

|P | c |P
| c |P
| c, M 3 c |m | |P tk +m m | > |P (P tk +m m )| =
= |P tk +(m+1) m+1 + (m+1 P m )| c |m+1 | + |m+1 P m |,
, || |m | > c |m | > 0 c |m | > c |m+1 | +
+ |m+1 P m |, |m+1 P m | > |m+1 | |m | (1).
(1) , 0 < |0 | 6 |1 | 6 . . . 1 = 0 6 |1 | 6 |2 | 6 . . ..
, m > 0 m = 0, 1, . . .. m > 0 m m+1 < 0, m+1 > 0, P m 6 0
m+1 6 0, P m > 0, M 1 |m+1 P m | = |m+1 | +
+ |P m | = |m+1 | + |m |, (1) m = 0, .. m = 0.
, 1 = 0 6 1 6 2 6 . . . 0 < 0 6 1 6 2 6 . . ..
|m | = m |0 | 6 || |0 | > 0,
{m } . m . = 0 . m 6
| m | = ( m )|0 | 0.
, , P = . , | P | 6 |
m+1 | + |m+1 P m | + |P (m )| 6 | m+1 | + (|m+1 | |m |) +
+ |m | 0, .. | P | = 0.
3 , ,
, = 0. , > 0 > 0.
5. ,
, > 0 || = 1;
, .

296

. , || = |P t |
t T , > 0 6 0. ,
, , > 0, || = 1.
, , = , .
, > 0, || = 1. , > 0 6 0. > 0. M 1
|| = | + ( )| = || + | |, | | = 0, .. = . 6 0. ( 5
12).
6. . M P t ,
.
. M , P tk

P tk , = .
= P tk 6= 0, 2 , = . , = . . |P t | c |P tk | c.

|P t | = |P t ( )| c1 |P tk | c1 |P tk | c1 .
M 3 , P tk ,
c || |P tk | = |(P tk ) ( )| c1 | |,
c || = c1 | |. ,

c | | |P tk | c1 ,
c1 = c | |. , |
| = || | | | | = || | |. ,
| | = | | ||. , = , .. = .
7. , M > 0, P t ,
|| 6 ||.
. 6 .
|P t | = || t T , M 3 |P t | || ||;
, || > ||. , 6= 0.
, > 0 || = 1, = ,
. , || = 1. M 3
,
|P t ( )| = |P t (1 )| 1 || + |1 |.

12.

297

= 0, .. = 0, 2 = |P t | + || > |P t ( )| 2, ..
|P t ( )| = 2 t T . P = {P t , t T } , P t ( ) = P t > 0 P t 6 0
t T . |P t | = ||, P t > 0 > 0, M 1
P t = , , P t = 6= 0.
1
47.
2 . 2. 1 2.
t
+

P
1)

M
2.



| | 0 ,




|P t | = (P t + |+ |) (P t | |) + (|+ | | |)



(|+ | | |) = |+ | | | .


|| = |P t | t T , |+ | + | | = || = |+ | | | ,
|+ | = 0 | | = 0, .. > 0 6 0. , P .
2) M () = |+ | | |.
, ,
.. W . , M . + = (+ +
+ + ) ( + ) = ( + )+ ( + ) (+ + + ) + ( + ) =
= ( + ) + ( + )+ , M 1
|+ | + | + | + |( + ) | = | | + | | + |( + )+ |.
,
( + ) = |( + )+ | |( + ) | = (|+ | | |) + (| + | | |) =
= () + (),
.. . , | | = 1.
, ( P )
W . M t T
[P t , ] = [ , P t ] = [ , P t + ] [ , P t ] = |P t + | |P t | =

= |+ | | | = [ , ],

.. P t = t T .
w W . , , w = . M 2 ,
[w, ] = [ , ] = ||, = [w, ] M + .
[w, P t ||] = [w, P t ] || = [P t w, ] || = [w, ] ||

298





[w, P t ||] 6 |w| P t || 0,

[w, ] = ||.
2 3. M, > 0, || = 1.
w W, w > 0 [w, ] = 0, w
W [ , ] = 1 , w = 0.
3 4. 1 M P t (),
() . () ,
|()| = |(+ ) ( )| 6 |(+ )| + |( )| 6 |+ | + | | = ||,
. . |[ , ]| 6 ||
[ , ] = 1 = ||, | | = 1. , W . M s T P t (), P t (P s ) = P t+s (), P t (P s ) (P s ),
() = (P s ), .. [P s , ] = [ , P s ] = (P s ) = () = [ , ].
, P s = s T .
w = . M + , [w, ] = [ , ] [ , ] =
= || [ , ] > 0, .. w > 0. , w W
[w, ] = 0. w = 0, .. = . 8
, PF , PF .
4 1. 1 M P t
[ , ]. PF [ , ] = 1 = [ , ], 8
= . > 0 P t [ , ] = ||, ..
.
3 4 1

8. P M . u F ,
P t u t PF W ;
, PF PF .
. u0 = u ut = P t u0 W . ,
ut c , c = (, u0 ), M ,
> 0, || = 1. 1, M
[ut , ] = [P t u0 , ] = [u0 , P t ] = (P t , u0 ) ()(, u0 ) = c [ , ]. , PF . u0 F ,
c = (, u0 ) = 1. , 6= 0.

3 . 9 , 3 1
F . ,
W = M | | = 1. ,
3 4. w = W , w > 0,

12.

299

[w, ] = 0, 3 , w = 0, .. = . , M P t [ , ] = [ , ] = ||.
, .
4 . 1. 1 2 .
M > 0, (P t , ) = [ , P t ] = |P t | = || > 0. ,
P t 6 0. 1 . PF , 1 2 4 1.
2 3 . . M
, P t (|+ | | |) = [ , ]. , [P t u, ] = [u, P t ] = (P t , u) (, u)[ , ], .. P t u (, u) .
3 1 . c F P t u c(u)
u F . c, , . , M > 0,
|c(u)||| = |c(u)[ , ]| |[P t u, ]| = |(P t , u)| 6 |u| ||,
.. |c(u)| 6 |u|. , c M . [ , ] = [P t , ]
c( )[ , ], c( ) = 1 = | |, |c| = 1.

> 0 u F , (P t , u) = [P t u, ] c(u)[
t , ] = ||(c, u);
t


P ||c. M 3 P ||c ||
||c = 0, .. P t ||c .
M || = |P t | t T . P t =
= P t + P t (|+ | | |)c = , M 3 |P t

t
| || || = || |+
= (P t +
| |t |+.
,
t|P |
+
t

+




| |c) (P | |c) 6
P | |c + P | |c 0, 0 = || |+ | | | . ,
|| = |+ | + | |, |+ | = 0 | | = 0, .. > 0 6 0. , P .
5 . 9 (
F ), 1 2 1 . , M . P t (|+ | | |).
t
+

|| = |P

|| = |P t | = (|+ |
|
t T , | | + | | =

+

+


| |) = | | | | , , | | = 0 | | = 0, ..
> 0 6 0. , P .
6 . 3. 1 2 . 2 P.
, P . W w > 0
M > 0.




[w, P t ||] 6 |w| P t || 0,

300

[w, P t ] ||[w, ]. || > 0 [w, ] > 0, t T


, [w, P t ] > 0.
2 3 . P
> 0 , [w, ] > 0 w > 0.
3 1 . 1 M P t
[ , ], W | | = 1 (. 3 4 2). , = .
> 0 [ , ] = || [ , ] > 0, w = > 0.
w > 0, [w, ] > 0. [w, ] = [ , ] [ , ] = 1 1 = 0.
, w = 0, .. = . ,
> 0 P t [ , ] = [ , ] = ||, ..
.
7 . 4. 1 2 . P 2.
. , M, u F . > 0,
(P t , u) ||(, u). > 0 u > 0 ||(, u) > 0,
t T , (P t , u) > 0.
w W, w > 0 [w, ] = 0. t
t

t > 0 [w, ] = [w, P ] = [w, P ||] 0,


P || 0, [w, ] = 0. M 2 , [w, ] = 0
M , .. w = 0.
2 3 . , (, u) > 0 u > 0.
P.
3 1 . 1 M P t
[ , ]. w = W, w > 0
[w, ] = 0, w = 0, .. = . > 0 P t ||,
.. .
8 . 5. 1 2 . (x, y)=(P t x, P t y)
t T , (x, y) 6 (P t x, ) + (P t y, ) 0 t , ..
(x, y) = 0 x = y.
2 1 . x E. {P t x, t T } {P tk x}, E.
,
(P t x, ) = (P t x, P t ) 6 (P tk x, P tk ) = (P tk x, ) 0
tk > t + P t x . , , ,
(, ) = (P t , P t ) t T = . ,
x.
, . k = tk+1 tk . , k + (

12.

301

). , P k .
,
(P k , ) 6 (P k , P k +tk x) + (P k +tk x, ) 6
6 (, P tk x) + (P tk+1 x, ) 0

k . T k = (P k + , P k ).
(P , ) = > 1 > 2 > . . .. ,
= 1 = 2 = . . ., (P , ) = (P t P , P t ) t T , ..
P = , .. .
, , k . P k
(P k + , P ) 6 (P k , ) P k + P .
> k > (P k , P ) (P k + , P ) >

> (P , ) (P k , ) (P k + , P ) (P , ) = .

[1] . . // . 1964. . 8, 4.
[2] . . .: ,
1963.
[3] . ., . ., . ., . ., . . . .: - , 1973.
[4] . . .: , 1959.
[5] . . . .: , 1966.
[6] . ., . . // . 1967.
. XII. . 1. . 134141.
[7] . . // . . 1970. . 6. . 8892.
[8] . . . .: - , 1973.
[9] . . //
. 1974. . XIX. . 3. . 558576.
[10] . .
// . . 1968.
. 1. . 9197.
[11] . ., . . // . 1949. 4. . 168172.
[12] . ., . . . .: , 1972.
[13] . . .: , 1964.
[14] . ., . . . .: , 1984.
[15] . . .: - , 1960.
[16] . . .: - , 1963.
[17] . . .: , 1962.
[18] . . // . 1961. 5:3.
[19] .-. . .: ,
1972.
[20] . // . 1964. . 8, 4.
[21] . // .
1960. 4:6.
[22] . . 1. .:
, 1964.
[23] . . 2, .:
, 1967.
[24] . . . .: , 1963.

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Warszawa: 1975.

Contents
Contents

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Prefaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

List of Symbols . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Chapter 0. Incoming ow theory . . . . . . . . . . . . .


0. Incoming ow denition . . . . . . . . . . . . . . . . .
1. Simple ow construction . . . . . . . . . . . . . . . .
2. Equivalent denitions of the simple ow . . . . . . . .
3. Construction of stationary ow without feedback . . .
4. Poisson ow with variable intensity . . . . . . . . . .
5. Recurrent ow . . . . . . . . . . . . . . . . . . . . . .
6. Quasi-recurrent ow . . . . . . . . . . . . . . . . . . .
7. Recurrent ow . . . . . . . . . . . . . . . . . . . . . .
8. Construction of stationary ow with feedback . . . .
9. Flow sifting . . . . . . . . . . . . . . . . . . . . . . . .
10. Superposition of ows . . . . . . . . . . . . . . . . . .
11. Bernoulli ow . . . . . . . . . . . . . . . . . . . . . .
12. Catastrophe method (extra events insertion method)
13. Service time . . . . . . . . . . . . . . . . . . . . . . .

.
.
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.

10
10
12
14
17
19
21
23
25
26
29
37
42
44
46

Chapter 1. Regenerative processes . . . . . . . . .


0. Renewal process . . . . . . . . . . . . . . . . . .
1. Elementary renewal theorem . . . . . . . . . . .
2. Blackwell theorem . . . . . . . . . . . . . . . . .
3. Key renewal theorem . . . . . . . . . . . . . . .
4. Regenerative process denition . . . . . . . . . .
5. Limit theorem for regenerative processes . . . .
6. Markov chains with continues and discrete time
7. Birth and death process . . . . . . . . . . . . . .
8. Ergodic theorem . . . . . . . . . . . . . . . . . .

.
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.
.

49
49
51
53
53
58
60
66
69
73

Chapter 2. Single server systems . . . . . . . . . . . . . . . . . .


0. Transition probabilities for server system with limited queue
length; Poisson input, exponential service . . . . . . . . . . . .
1. Busy period . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2. Number of served calls in the busy period . . . . . . . . . . . .
3. Unreliable service system with waiting . . . . . . . . . . . . .
4. Unreliable service system with limited queue length . . . . . .
5. Priority service systems (general service time) . . . . . . . . .

79

305

.
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.

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.

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.
.

79
83
100
103
118
120

306
6.
7.
8.
9.
10.

Contents
Waiting time distribution . . . . . . . . . . . . . . . . . . .
Recurrent ow, exponential service . . . . . . . . . . . . .
Recurrent ow, general service time . . . . . . . . . . . . .
Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Unreliable service system with inversion service procedure

.
.
.
.
.

.
.
.
.
.

131
134
137
142
155

Chapter 3. Multiple servers systems . . . . . . . . . . . . . . . .


0. Transition probabilities; innite number of servers, Poisson
input, general service time . . . . . . . . . . . . . . . . . . . . .
1. Nonordinary Poisson ow, innite number of servers, general
service time . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2. Transition probabilities; innite number of servers, recurrent
ow, exponential service time . . . . . . . . . . . . . . . . . . .
3. Recurrent ow, general service time, innite number of servers
4. Palms problem; Poisson input, exponential service time . . . .
5. Palms problem; recurrent input, exponential service time . . .
6. Reserved servers service . . . . . . . . . . . . . . . . . . . . . .
7. Recurrent ow, exponential service time (dierent for dierent
servers); direct and inversion service procedure . . . . . . . . .
8. Recurrent ow, constant service time . . . . . . . . . . . . . .
9. Recurrent ow, general service time (dierent for dierent
servers); allocation of calls is independent on server . . . . . . .
10. Priority service systems (recurrent input, exponential service
time) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11. Service systems properties; law of conservation of intensities .
12. Decided and open problems in service by succession of servers

160

197
203
211

Chapter 4. Time-sharing service systems . . . . . . . . . . . . .


0. System description . . . . . . . . . . . . . . . . . . . . . . . .
1. Loss function . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2. Optimal procedure of service . . . . . . . . . . . . . . . . . . .
3. Imbedded Markov chain . . . . . . . . . . . . . . . . . . . . . .
+

4. Random processes N
and N
. . . . . . . . . . . . . . . . . .
+
5. Relationship of processes nN and n(t) in stationary conditions
6. Relation between rst moments of the imbedded Markov chain
7. Form of the loss function . . . . . . . . . . . . . . . . . . . . .
8. Extremum problem . . . . . . . . . . . . . . . . . . . . . . . .
9. Lower estimate of the loss functional . . . . . . . . . . . . . .
10. Structure of optimal service procedure . . . . . . . . . . . . .

218
218
219
220
222
227
228
232
233
234
235
237

160
170
172
175
178
180
185
188
190
191

Chapter 5. Statistical method of estimation of service system


characteristics . . . . . . . . . . . . . . . . . . . . . . . . . . . 243
0. Preliminaries . . . . . . . . . . . . . . . . . . . . . . . . . . . . 243

Contents
1.
2.
3.
4.
5.
6.
7.

Method getting of estimates . . . . . . . . . . . . . . .


Reliability appraisal for exponential case; target setting
Result formulation . . . . . . . . . . . . . . . . . . . . .
Proof for the plan 1 . . . . . . . . . . . . . . . . . . .
Proof for the plan 2 . . . . . . . . . . . . . . . . . . .
Proof for the plan 3 . . . . . . . . . . . . . . . . . . .
Proof for the plan 4 . . . . . . . . . . . . . . . . . . .

307
.
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.

250
252
252
254
256
256
257

Kaleidoscope . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
0. Integral of LebesgueStieltjes . . . . . . . . . . . . . . . . . .
1. Laplace and LaplaceStieltjes transformations . . . . . . . . .
2. Tauberian theorems . . . . . . . . . . . . . . . . . . . . . . . .
3. WienerHopfs method . . . . . . . . . . . . . . . . . . . . . .
4. Walds identity . . . . . . . . . . . . . . . . . . . . . . . . . . .
5. Solution of WienerHopfs equation in normed ring . . . . . .
6. Combinatorial formula of Spitzer . . . . . . . . . . . . . . . . .
7. Solution of linear system of ordinary dierential equations with
Jacobi matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8. PoissonCharliers polynomials . . . . . . . . . . . . . . . . .
9. Lagranges formula of inversion . . . . . . . . . . . . . . . . . .
10. Restriction of a process . . . . . . . . . . . . . . . . . . . . . .
11. Generalization of Kolmogorovs inequality . . . . . . . . . . .
12. Limit theorems for special class of homogeneous Markov processes

265
265
266
268
270
272
273
276
277
281
282
284
286
287

Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

302


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125009, , . . , 5/7. .: 629-50-91. : 697-66-71.
939-34-93 ( ). E-mail: secretary-msu-press@yandex.ru
: www.msu.ru/depts/MSUPubl2005
-: www.msupublishing.ru

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