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. .

2011

519.21
22.171
30
. . . - .: , 2011. - 232 . - ISBN 978-5-9221-1345-8.
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,
.
- .
.

, 2011

ISBN 978-5-9221-1345-8

. . , 2011


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10.

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9.

1. ........................................

2.

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123
123
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143
155
161
168
174
189
200
207
214

.
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2006;
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W (
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, .. , , : ...
,
.

1.
k (x\,x<i, . .. ,x*.)- , \ , , . .
\ \ .
, 2 ( ) \
, .. ,
\,2 , . . . , - \ . : N
{[,2 , . . . ,Xk) ? {\,2 , . . . ,Xk)
(xi,X 2 , . . . ,) ,
, i 1,2, .. . ,k, ,- ,-. ,
N = \ . . . rtfe.
, k = 2, : . k = 3. ()
. 2 . ( ^ . )
, ( ) . , .
k
.

.
1. ?
,
, .
.
, 1- , -

1- , 2- ,
2- , . . . , r - ,
- .
, , ,
. . . = .
4------ v------ '

1.

.
, = \, ! , , 1 : ! = 1 2 3 . . . ;
, , 0! = 1. , ,
,
, ,
, . . ,
,
.
;
( 1) . .
,

( 1) ( - 2) . . . 2 1 = /!,
.
2. k k .
, , *.
|. , = 3, :
, . (k = 2) : , , , . . , 3. , Cf = 3.
, k, k < ,


r*k

k\(n-k)V

k
. k\ . k ,
, k\C. , : , ( 1) ,
k - (ti (k 1)) .
,
k\ Ckn = ( - 1)( - 2 ) . . . ( - ( - 1)),

_ ( ~ !)( - 2) . . . ( - (; - 1))
Ln~
ki~
~
, ( k)\,
pk_
~ k\(n-k)V

.
2. .
,
1, 2, . . . , ?
, ( , )
, . . %. ,
+ . ,
= 6 | + 6 =

+ 6 = 21.

3. k
k
.
*.
\ . , , , = 3, :
, . (k = 2) :
, , ,
, , , . .
, 6 . , | = 6.

k, k < ,

A* = n ( n - l ) . . . ( n - ( k - 1)) =
. ,
A kn = CknPk.
3. 5 . ,
,
?
I II . I
, II 5!
. | = ^ = 20
j!
.

1. .
?
. 2 , k
2k . , ,
,
2 + 22 + 23 + 24 + 25 = 2 + 4 + 8 + 16 + 32 = 62.

2 .
k ?
, ) , . ,
, () . C+k (C*+ft) .
, C+k = C^+k.
) , ;
, , .
C+k.
\ , -

k\ . ,
C+km\k\ = {m + k)\.
, ), ,
( + k ) , ( + k)\
.
3.
(, ) ?
. , 0 1, .
0 , ,
, 0 , , , 0, ..
, ,
, + 1. ,
011001011100
6 5
: , ,
, , . ,
, . , , . + 1, , +_ .

4. 3,
? ,
> .
. . ,
, , . ( 1) , ( 1)
. ,
*~ .
.
. , ( ) .

, 3, Cr^ n^ n_ v
C^Z\

5.

\ 2
.
. - \

2 . , 3, Crr*+n_ v
1^ _ {. ,

1
2--1 ' 4 ,+ -
6 .
?
.
: 1- \ ,
1, 2- r<z , 2, . . . ,
6- , 6.
r\ + f 2 + + = . , 6 , . . (. ) ^+6_! = ;+5.

7.
?
.
: , ,
, .
,
, . . (. 3) Crr+2_i = +1 = + 1.
8 . , 1000 9999,
3?
. . 1000 9999 . 9000
. ,
, , . .

( ) 9 10 10 10 = 9000,
1 9,
, 0 9,
9 , ,
10 .
, , 3:
8 9 9 9 = 5832. , , 3, N = 9000 5832 = 3168.
. N\ , 3,
N 2 3, / 3, N 4
3. N = N\ + N 2 4- /3 + N 4 , , ,
N 4 = 1.
N\.
3-----, ()
3. , ,
9 9 9 = 729. , Ni
- 3 , 3 - , ----- 3, -
, 3,
, 0. - 3
8 9 9 = 648 , 3 -
3. , N\ = 729 + 3 648 = 2673.
N 2 . 33 , 3 -3 -, 3 3, -3 3 -, -3 -3 , 33,
3, , 0. 33 , 3 - 3 - 3 3 9 9 = 81 ,
- 3 3 -, - 3 - 3 33 8 9 = 72 . ,
N 2 = 3 81 + 3 72 = 459.
/3. 333-, 33-3,
3-33 -333. 9 ,
-333 8 . , /3 = 3 9 + 8 = 35.
,
N = + N 2. + / + N 4 = 2673 + 459 + 35 + 1 = 3168.

9.

. .
, . ,
, ,
.
.
,
.
. !, = \, = ( 1)!.

10. Pj' p^2

Pi,p 2 , ,Pk ?
.

\, 2 ........ /* , ,
< , m 2 < 2 , .. , rrik < . ( \, 2 ,
.
mi 0,1,2,
. . \ (\ + 1) . \ m 2 ( + 1) , . . . , m i, m 2 , ...,/re*_i
( + 1 ) . ,
, ,
( + 1)(2 + 1) . . . (n* + 1).

, , . . , ,
. , , , .
. {} , .
1.
,
[, 2 , .. , . ,
, . . ,
. ,
, ,
Aix,Ai2, . . . , A i m.
{0 , 1, 2, . . . , }
' 2, . . . , im {1, 2, . . . , } .
{} = - .

.
.
. = {} = 1.
. . = 0 { } = 0.
, 0. ,
. , ,
.
.

I. , . 1
6, ( ): \ 1, 2
2 , $ 6.
, , . .
- A 2 , A 4 ,Aq. , = 3 (ii = 2,
h = 4, = 6) { } = / = 3/6 = 1/2.

2.

,
. , - G ( , , ).
, , g G.
G
, -
G (, , )
.
, ,
{} = = 1 .
mes
.
2. , 12 13 .
20 .,
. ,
,
?
,
; 12 .
\ - \ < 20,
( )
60 (. 1):
, . ,

. 1
,
.
, . .
602 - 402
5
602
9'
3. , ,
. , .. .
, . . , . . 1
.
( 2),
:
1) , 0 \
2) , \
3) G f f , A \J vl \
:
4) , = 1 ,2 ,..., ,
\JAn ,

^ 3">

-.

=+

= = 0

1. { }, .
2 . { = 1.
3. \ , 2 , . > ,
{ + 2 + . . . + + . . . } = P{Ai} + P{A 2} + . . . + { } + . . . .
(1, ,), 1
, - 1 ( ), { } , - , .

1.
N ; {N ) . ( ).
, ?

. ,


N -M

2. 24
?
. ,
24 . , . , { } = n /N , N , (. . ) . 36 ,
,
N = 3624, = (36 I)24 = 3524.

{} = 1 - {) = 1 - = 1 -

= 0,4914 . . . .

3. 10 ,
2 . k ,
0,9 ?
. , k .
, k (. .
).
{} = n /N , N = , k
10 , 2, \ (. .
{}) ,
k 10 2 = 8 . ,
{} = \ - { } ^ \ - ^ .

{} > 0,9, . .

k 2 - + 81 < .
k, k < 10, 7, 8, 9, 10. , k = 7.

4.

, 50 , , .
. , 365 . N

:
N = 36550.
, .

= 365 364

(365 - 49) = ^ 5.

JVtn
N~

365 364
~ 365 ' 365

5.

. , .
. \. ,
- .
( 1)! 2,
2 , , , .

{ } _ 2 ( 1)! _ 2
\

{ }

6.
. , k .

. \. ,
(k + 1 ) .
Nk+i.
1

'

k+ l

k+ 2

'

k+ 3

(-1)

X Y , ,

N k+1 = 2 ( - 2)! ( - (k + 3) +1) = 2 ( - 2)! ( - k - 2).


'------ V------ '

2 ( (k + 3) + 1)
,
(k + 1) ; ( 2)! ( 2) ( 2) .
2 N^+\ ,
X Y ,
.
,
N k+2 = 2 ( - 2)! ( - (k + 4) + 1) = 2 ( - 2)! ( - k - 3),
= 2 ( - 2)! ( - ( - 3 + 2) + 1) = 2 { - 2)! 2,
JV_2 = 2 ( - 2)! ( - ( - 2 + 2) + 1) = 2 ( - 2)! 1.
, , k ,
= /&+1 + Nk +2 + + Afn_2 =

2 (n 2 ) \ - i =
i=i

= 2 (n - 2)!

2 = 2 (n - 2)! l
i=

? ~ k ~ 2

,(n - k -

2)

= (n 2)! (n k 1)(n k 2).


( - 2)! ( n - k - 1)( - k - 2 ) _ ( n ~ k - 1){ - k - 2)

7.

, 52 , 6 .
,
?
. |2 . : I, , III, IV.
10 :
1 I II, III, IV, I, I;
2 1 II, III, IV, I, II;
3 1 II, III, IV, I, III;
4 1 II, III, IV, I, IV;
5 I II, III, IV, II, II;
6 I II, III, IV, II, III;
7 1 II, III, IV, II, IV;
8 1 II, III, IV, III, III;
9 1 II, III, IV, III, IV;
10 - I, II, III, IV, IV, IV.
Ni - , i =
= 1,2, . . . , 10.
N l = N 5 = N s = = ? \3 \ }3,
= N 3 = V4 = N 6 = 7 = N 9 = Cf 3 Cf 3 C\ 3 C\3,

Ni + N2 + ... + N10 4?|{} + ^^''


133 38___ _
|2
"
562
- 4 7 .49 . 5 -1 7 = 0,426 . . . .
8.

, ( ,
) . , 2,
, .
, : ) , ; )
.
.
2 ,
.

2

_ (2 -

2 2 -2 ' 2 -4 ' ' 2

2"

(. .
,
)
(2 )\/ 2 _ (2)!
!
~ \ 2 '
) ( ), , ,
1
_ !2"
(2)!/(!2") ~ (2)!'
)
(1 \) (_, ) . (\ _ 2 _2) . . . (} \)= (!)2.
(*
( + ) , (Cln_j \_ j)

, (1 _ 2 _2)
, ..

-.
.
, , . , ,
, . . \.
,
)
\
(!)22"
2 - 4 - 6 ... 2
(2 )\/{\ 2 ) ~ (2)! _ ( + 1)( + 2) . . . 2'

9.

/
. , .
. ,
. I ( + ). ,

: > 0 , > 0 , + < /,



,
. 2: , (
, ,
) , (
) , (. . ) / ( + ).
,
, . .
< + (I )
< + (1 )
I < + ,

( <
< <
>

1/2
1/2
1/2

. 2
,
. 3.

,
1/2 - //2 - //2
1/2 / / :

i l l

= 2 ' 2 ' 2 _ I
2

10.

N . . ,
?
.
.
. {\ + . . . + } ..
{\ + . .. + } = ^ 2 P{Ai\} ~
/i= l

P{AhAi2} +
\ < i \ < i 2< n

P{AixAi2Ai3} -

1 < i 1 < /2 < i 3 < n

P{AiiAi2Ai3Ai4} + . . .

1 < i 1 < i2 < is < /4 < n

. . . + ( - l )"+1

Y,

P { A kA h . . . A in}.

\ < i X< i 2 < . . . < i n < n

1 < i\ < /2 < h < - - - < n , ; ,

P { A hAi2 . . . A i m},
1<<*2< <*<

< ,

% ,

P { A hA h . . . A in}

\ < i \ < i 2< ...< in < n


{ \ 2 . },

.


= 2,3,4. 2:
{ + 2} = {\} + { 2} - { 2}.
= 3:
{ ! + 2 + 3} = { !} + { 2} + { 3} - {{ 2} + { 3] + {23}) + { \ 2 3}.
= 4:
{ ! + 2 + 3 + 4} = { !} + {2} + {3} + {4} - ({ 2} + { 3} + { } + {2 3} + { 2 } +
+ { 3 }) + { 2 3} + { 2 } + { 3 } +
+ {2 34} - { 1 2 3 4}.
. = 2 .
= k. ,
= k + 1. = + 2 + . .. + *,;
, = A tA k+1, = 1,2, . . . , k.
{1 + 2 + . . . + Ak + A h +1} =
= { + *+1} = {} + {*+1} - {*+1.} =
{ : , , D ( + C)D =
= BD + CD}
= { + 2 + . . . + Ak} + P{Ak+1}
P { A xA k+x + 2^+1+ ... + AkAk+1} =
/

= (E pW.}- E
i\=1

p (a M

\<i\<i2<k

... +(-D+'

1 + ...

\<i\<i2<iz<k

P { A i + A 2 + ... + Ak} =
,*+i

= (E eMAH \<i\<i2<h<k
E
/i=l
\<i\<i2<k
. . . + (-!) '

P{A,,Ah - - - A k } ) ~
\<ii<i2<.-.<ik<k

(S ^ W - '
=1

/>{.-,>+'

1<< *2 <*<&

\< i\< i2 < k

... + (_,)*+!

{,,(, . - } ) =

1 </2^ ^ ik
,k + \

= (E ptM- E
=1

1<<2^

{ +

...+(-i)*+'

^^^^^

W H /J +-

{,, . . . , , } ) -

- ( 1=1
E W t t 1}- E mAyVi} +
\< i\< i2 < k

^>{-^/H2^*3-^*+l} +

1<1<*2</<*
+ ( - 1)+1

...

Y.
{ A A + l } ) =
1<<2<<*<&

{ }
k+ \

= E m ,} -( E {, }+ /,{'*+.}) +
+f E

{,,/2/}+

1 < < * 2 < <&

P{Ai\Ai2Ak+\}\ +. . .
l< i< 2 < ^

. . . + ( ( - 1)+1/>{12 . . . , } -(-!)*

P{Ai\Ai2 Ak-iAk+i}') -

E
l < i i < i 2< - < i k - i < b

- ( - 1 ) * +1
k+ \

= E P{Ai\}~
=1

P { A hA h . . . A ikA k+l}

{(1,2}+

1^<2^^_1

+ ... + ( - l ) +l
+ (_l)*+2

^>{-^12/3}+

1^ <2<^^3^^1
P { A hA i l . . . A k } +

l<ii<2<...<^+i<^+l

P{A,,Ah . . . A , w }.

, = k + 1. ,
.
. - , , i- , / = 1, 2, . . . , .

pr/|.i _ ( N - 1 ) ! _ 1

^ ^ 1 _ (N - 2)! _

.)
1
, ,
1 -- tN ~ ~3)!;V(,V
1 -

1 12 "

1 2) ..................
- !)f;V

) = ^ ~ ^ = __________ -__________
(m-r

N
{
N
(1}

P{j4('jy42


(=1

+ +
+ =1>
'-----------v---------- '
C'n = N

J2

P{AiAj} =

_
^

+ . .. + 1 ) = 2!
v
^
^>9t = ----------iV!
CN~
(N
2)!2!

\<i<j< k<N

v*

?,=
^-(_3)!3!

- (w- >' I
4

\<il<i2<...<im <N

! I $

I <w~ m>! - 1

1111 v

CN
Z = i(N
m)\m\

p {AhAi2 -AiN_{}

1<4<02<-..<(/ v

+
s

+ + jjj (jv_ n r
v----------- /

C ^ ~ l = N

Y
\<i\<i2<---<iN<N

p {AiiA i2 A l = P {A \A 2 .. . A n } =

, ,
,
{\ + 2 + .. . + Av} = 1 ^ +
, 1 {\ + 2 + .. . + - }
(N-+ 1) * = 1:

N
P { A x + A 2 + . . . + A N} & 1 - -1 = 0,63212 . . . .
,
N 2/3.
. 30 8 , .
, 3 ,
2 , 2 1
.
. N 30
8 . .
30 , , 1- ,
, 2- ,
, 30-
. N .
8- ,
8 , 8 . . ,

N =

-8 -

...-8

'------V------'

= 830.

30

N . . 4 ,
, ,



.
| ; ,
| | 0 | ( | 2
; 0 6
;

);
| 24 Cf 2 ( | 2 ;

12 ; 2
12
),
\ \I , . . .
,
\

/3 /^*2/^*6 /^3
8
5301>6 \U3Lr24L42,

= % = 1(8 4,0269 . . . .
N

3. ,

, {} > 0. { } / { } ,
, { \ }:

.

, , , .
N
, / N
A, N b , N ^ B .
, , ,
,
Nab
Nb


Na

/N

N g /N

{ }
{}

'

, { \ } = { ) .
{} { } { }, {} > 0 { | } = {}, . . .

{} = { | } { } { \ } { } ,
. .

, .
.
{} = { } { } .

\,2,
, , , \ + #2 + . .. + (
, # # 2, . . . , # ).

= \ + AH<i + . .. + .
,
,
P { A }

j^ P { A H i

},

(1)

i= i

, ,
P{A} = ' P { A \ H i}P{Hi}.
i=\


,
} = { | Hi}P{Hi} = P{Hi | } { } ,

\ } . ! *

>,

, ,

{, 1}=

w m w )
.
Y ; p {a ]Hi ) p {Hi )
i= 1

.
. , \, 2 , ,. , , ^ , > . {, |},
/ = 1, 2, . . . , , , ,-, {( 1}.
) (1).

Hi, i = 1, 2, . . . , , , ,
.
1. , , 1-, 2-
3- 25, 35 40 % . 5, 4 2%.
.
, 1- ?
2- ? 3- ?
. :
i- , i = 1,2,3;
.

{} = 0,25;
{ \Hi} = 0,05;

/>{2} = 0,35;
{ | 2} = 0,04;

{3} = 0,4;
{ | 3} = 0,02.

2,
, :

J2P{A\H,}P{H,)
i= 1

0,05 0,25
25
0,05 0,25 + 0,04 0,35 + 0,02 0,4 ~ 69

, | ) =

,{\,}{,}

p |A} = ^ M L = | .
52{\,}{,}
1=1

2. ,
, .
., b . ,
q; + q = 1 ( ).
( , ) 1 .
,
.
, .

. , .
', + = 0 ( + ,
0 , ,
), P q 1 ( 0,
).
- ; .

{} = { | } { } + { | } {).

{} = ,

{}=,

{} = q,

P { A \ H } = Pn+h

{ \ } = _

+ \ I" \ '

1,2, . . . , + b 1 :
( + q ) = +\ + Pn-\q,

q{Pn - - 1) = (+1 - ),

Pn+l - P n = ^ P n - P n-l).
,

(/>+. - = E ( f ) V i - k= 0

k= 0

, q , :

+ 1 -

= (Pi - 1 ) ^

(2>
2)
<


+1

(-1
+i - 1 = ( - 1)- /------* - 1

= + b 1, :
-\-
( i y _ 1
1 = (\ 1) ---------, - 1

I-'

1_

l - -q

' ( - 1'

J . m "
' '

11 =

( l \ a+b_ ( S }
11 =

\ /

>

" ( - ' I - ( -1 " ( -


) -
( - ~ -


+ / \
/ \ ^
,

/
= q = 1/2 , (2),

Pn+i - 1 = ( + 1)( - 1).


= + 6 1
1 = ( + b)(P\ 1),

,-1 = - - ,
+0

= ( - 1) + 1 = 1 -

,
. = 1-

6
+ + '
,
b ,
( = q = 1/ 2),

,
: =
~ 0
.
a+ b

(3). Qt,
,

(4)

, , , . .
> q. , , ( ~ ), (3) (4):

. .
, ,
.

1.
, . , .
, ,
.
. ,- , ,
- .

{\ 2 3 + 1 2 3 4 + ... + \ 2 . AfcA/i-t-i + ... |^4i}

_ P{A{A 2Az + 1 2 3 4 + ... + \ AkAk+i + } _


{)
{\ 2 3} + {{ 24\ + ... + {\ .. AkAk+\} + ...
{)

2. , ,

> 1, = 1 -

, k=\
. ,
k > 1 .
. : , ( 1) , . . . , ( 1) , , . . ( + 1) .
k = 1,2, . . . ,
{ k | } =

fi

,
{ k } =

{ (k + ) , k } =

= ^ 2 (^ k | ( + ) }

{ (k - ) }) =

= V
1
aDk+m =
2s k + m + 1
^
= 0

= 0

-0

-4-\

-
= - V [+ dx =
k+m+ l
- J
= 0

Jk
0

( ~ { + ~ 2 + . . . + X + 1 +

^ dx =

( xk

~ 1

= ~ J \ T + r r -l + . . . + j +

x + \n \x-l\j

= 0

= Q/ i i
\

'
1-

3.
,
k , \ ke~x/k\ > 0.
. ,
5 .
. :
,
0 , 1 , 2 , . . . ;
,
0 , 1 , 2 , . . . .

P{HsBo + HS+\B\ + . . . + Hs+mB m + . . . } ^ 2 P{Hs+mBm}


m=0
oo

oo

\s+ m

^ 2 P{Bm | Hs+m}P{Hs+m} = ^
m= 0

p)mps

m= 0

o-A __ ps\ se~x ^


(s + m)\n _ )m s \'vs+me~x
(A(l - p)Y
KS^my.,
' e
= P* e
m\s\ K P> P (s + m)\
s!
^
m\
m=0
m=0
=0

x2

^ ==1 + v + 2_ + _ +
= ^ P _
+ + 2! + 3 ! + " ^ ml
m=0

,
v

2^

= 0

((1~ )) = ^-)
ml


ps\ se - x _) _ ps\ se~xP
s!
s!
'
. { | Hs+m}
(. , 4).

4.

. , 4- ,
; 2- 3-
, 1- ; 1-
1- . Si = 33,7 % 1-, S2 = 37,5 %
2-, S3 = 20,9% 3- S4 = 7,9% 4- .

, .
. ,, i = 1 ,2 ,3 ,4 , ,
- ; .
{ ) = ^ { \ 1}{,}.
1=1

P{Hi} = Si, i = 1,2,3,4, s, = Si/. , { \ } = si.


, 1- , ,
1- , sj. ,
P { A \ H 2} = s 2 + s x,

P { A \ H z} = s 3 + s h

{ \ 4} = 1.

,
{ } = sisi + (s 2 + si)s2 + (s3 + si)s3 + s4 =
= sf + s| + S3 + Sl( 52 + S3) + S4 = sf + s| + Sg + 5 i (1

Sj S4) +54 =

= s | + S3 + Sj + S4O Si)
- 0,140625 + 0,043681 + 0,337 + 0,052377 = 0,573683.
5. 4 , ,
.
. \ , ,
, 2 . ,
{\} = { 2} = 0,573683 (. 4). ,
\ 2 ,
, . ,

{ + 2} = { } + { 2} - { 2 } =
{ } + { 2 } - { } { 2} =
= 1,147366 - 0,3291121 . . . = 0,8182539

6 . 70% 30% . 10% , 5 % . . ,


.

. N .
0,7N 0,3,/V .
, 0,1 0,7N,
0,05 0,3/V. ,
0,1 0,7N + 0,05 0,3,/V , 0,1 0 ,7N . ,
0,1 0,7N
_
0,07
_ 14
0,1 0 J N + 0,05 0,3N ~ 0,07 + 0,015 - 17'

7. ()
, .
.
, /? .
qo ,
, q\ ,
.
. ,
, , .
qo = { \ },
__{}_

{\}{}

(1 - )

~ {} ~ { \ } { } + { \ } { } ~ ( 1 - ) + ( 1 - / ? ) ( 1 - ) '

, q\ = { \ },
_{} _
qi ~

( }

(\}{}

~ ( | } { } + ( | } { } ~ + ( \ - ) '

8 . 1,5 .
() 2 , .
. , ?
. ; \
, #2 .

[ 1
1 11

{ \ 1}
{ \ 1} { 1} + { \ 2} { 2}'

, N
.

/>{//,} = ^ ,

{2} = !L = .

= 1,5(), {{\ = 1,5(1 {\}),


{\} = 0,6, {2} = 0,4. ,
{ \ 1} __
{ | 2}

^ ' >=

= 0-75-

9.
1 /?.
.
,
7 . ,
.
. \ ,
#2 , ,
.
1_
{ \ 1} { 1}
_
-( 1- 7)
1 11 } P{A\H i}P{Hl} + P{A\H 2 }P{H2} (1 7) + (1 /3) 7

10. 1- 10 , 8 ; 2- 20 , 4 .
,
. , .
. ,
{} . Hi 1- 2-
, 2 1- 2-
, ,
.
-
/ - 1 2 -
* 4
10 20
100
{ 2*
10 20
100
>{} = 1 - { 1} - { 2} = 1 - = ^ .

{} = { | Hi }P {H x} + { | 2 }{2} + { | 3}{3} =
16
16
1 68

4 .
. , .
{}=,

P{A} = l - p = q.

Pn(k) , k , k . ,

. , k ,
( k ) , pkqn~k. ,
Pn(k)
pkqn~k
k ( k) .
Ckn,
Pn(k) = Cknpkqn- k.
, .

() = - = ~ 2/ 2.
/27

"

k-np
= = . .

1 ( -). >,
k -> \k \ 0 ,
, , \ / 2 > ,
\k \
Pn(k)
lim
ti ()/ y/npq

= 1,

. . > 0
1 - < 4>(x)/^npq
w(% = < 1 + .
Pn{k\ < & < &2) ,
- [6&2].

k=k2
Pn(k 1 < k < k2) = Pn(k).
k=kl
1, . , ( 1 -).
2 ( -). Z \ Z 2
^ lim ( + zx^/npq < k < n p + Z2 yjnpq) = (2) - (21),

X
X
() = [ (t) dt = - = [ e ~ f2/ 2 dt.
J
00

27T

j
00

, , .
3 ( ). >0 > ,
p n(k) - ^ ~ - ,
= .

/><*,
.


1. 10 .
1/ 2, , :
) 5 5 ; ) 3
8.
. ,
= 10, = 1/2. (
, )
,
{ 5 5 } = (5) =

- J 2!_ J _ - 63
5!5! ' 210 ~ 256
k=8

{ 3 8} = ^ P\o(k) =
k= 3

= v r * n V ' V 0- * . ^
^
10 \ 2/ \ 2 /
1024
k= 3

2. .
. k

Pn(k) = Cknpkqn- k
= 1 q, Pn(k) .
'
pk+iqn-k-i
Pn(k + 1) _ (k + !)!( fe 1)!
____
Pn(k)
n!
k k
k\(n-k)\p q
_
k\(n k)\
p_ n -k p
~ (k + \ ) \ ( n - k - \ ) \ ' q ~ k + l ' q'
,
Pn(k + 1) > Pn(k) <*=>( n k)p > (k + l ) q
Pn(k + 1) = Pn(k) -- k = np - q\
Pn(k -I-1) < Pn{k) & k > n p - q.

k < np q;

, Pn(k) k ,
. q , Pn(k) k\ q q + 1 = + . - q , Pn{k)
k, ,
q. ,
- q < &.. < + ,

(1)

&.. k, Pn(k)
; q , (1) ..>
Pn(k), . .
k : kH_B, = q kH,B. = + .
3.
730 . ,
, 1/365 365 .
, 1 .
. ,
1 ,
.
&.. = 730 = 1/365 . ,
2:
- q < kH.B. < + ,

.. = 2.

4.

3 ,
, 1 .
.
7(3 < k < 730) = 1 - 7(0 < k < 2 ) =
= 1 - -7(0) ~ ') - -7 (2).

,
'() = ~2,

730 )

= 2-2 ,

73(2) = 2~2,


1 - 5-2 0,32.
5.
3 ,
, (
)?
.
.
k A i , A 2 , . .. , *,
*
,
\ \, m2 2, . . . ,
Ak,
Pn(mh m 2 , . . . , m k) = ^ ----- -, - \ + m 2 +'.. . + mk = . , ,
mi , ..., /*, Ak, p f p2 -**- ^ *
\ 1 ,
( \) m 2 C%im ,
( \ m 2 ) m3

, . . , p f ^ 2 >0
/^\/^2
WW3
> -\
^ \ ^ \ 2 ' * * ^ rri\^

^ -2


\ m 2

mk - \

( \)\

( \ m2)!

m i ! ( n m i) !

m 2 ! ( m i m 2)!

m 3 ! ( m \ m 2 m 3 )!

( - mi - ... - mk- 2)\

(n - mi - ... - mk~2 - mk- 1)!


mkl0!

n\
mi!m2! .. m^!

5. , . , 365
. *, k = 1,2, . . . , 365, ,
k-Pi . pk = P{Ak} = 1/365 k = 1, 2 , . . . , 365.
{} , = 730
( )
Ak, = 1 , 2 , . . . , 365, . ,


\ , V 2 irnnne ,
{5} :
-, _ /2 ^ 7 3 0 730730 - 730
' 1~
2365 65730
, . ,
{} = 1 {} .

6.

, , .
.
( ),
, ,
:

. . 16 5 ,
.
7.
, 13 , 52 ,
. (. .
) = 1/ 2.

. (..
)

26!
26!
_ Cl6 &_ 21241 11! 15! _ 5 ' 13 13 19 _ n
~

~
52!
41-43-47-49
13! 39!
,
, = 1/2
( 2) =

= 2! ' !>TJ = ^ i r = 0 .0 952 "

8.
,
, ?
.
.
-.2 _ 12!
66 .
' 12

2! 10!

,
,
. , , 66.
. Pi ,
1- ; ,
2- ; \2 ,
.
\2 + \ + ,

P = Pl2 - P l - P 2.

^ 66())6
'-(' --!-)


66

31-66
31-11
= ^ = ^
= 0,00137....
32 6'

9.
250 500 . , .
. , .
, i- , = 1/250, / = 1 , 2 , . . . , 500.
,
. = 500
(3 < k < 500) = 1 - 5(0) - PsooO) - >(2),

(0) = 500(1 - ) 500,

5(1) = >1(1 - ) 4">

50(2) = |002( 1 - ) 498.


, ( = = 2)
5(0) ^ ~ = ~ 2 = 0,135 . . . ,
5(1)

= 2 ~' = 0,270 . .. ,

o o ( 2 ) f e - A = 2- 2 = 0 , 2 7 0 . . . ,

00(3 < k < 500) 1 - 0,135 - 0,270 - 0,270 = 0,325.

10.

. , ,
. ,
, ( = 0,1,2, . .. ,N\ N
).
. 1 2. , 1- , 2-
; 2-

, 1- .
{ + } = {} + {}.
, {} = {}. , , {}.
,
, (
1/ 2) 1- .

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

( + 1)- 1

(
\ n = N -f (N )
N

' :0
1

/ 1 \ N / 1 \ N

,
nN
( \ \ 2N~r _ (2 N - r ) l ( \ \ 2N~r
2N~r \ 2 j
N\(N-r)\\2J

/ 1 \ 2^-1

5.

(Q, , ) ,
(. 2). X = () , >, = {;}. , X , ,
,
{>) < , - .

, ,
(. . )
.
, { < }.
F(x) = { < } , (..)
X. , F(x)
, lim F(x) = 0, lim F(x) = 1.
>
-
\ , 2 , \ < 2.
{ 1 < < 2} =

F { x 2)

- F(x i),

(1)

. .
(, ) .
,
{ < 2} = {X < \} + {\ < X < 2},
{X < \} {xi < X < 2} ,

{ < 2} = { < xi} + { 1 < X < 2},
(1). ,

.
X , : \, 2 , . . . .

*2

pi = { = *},
. , ,
P{(X =

X l)

+ (X =

X 2 ) + . . . } = ' i P i = I-

.
.
1.
. X , .

0

(1 - ) ! - )"-' ( 1 - ~ 2
------------------ \ =
(. 4):

Cknpk(l - p)n~k

P{X = k} = C p * ( \ - p )\ n k
2.
. X , .

1

0 -)

3
~?

k
(1 - p f - ' p

, , .

3.
.
,

1
-

k\

> 0 , { = k},
k = 0 ,1 ,2, . . . , (. 4)
{ = k} = - :
,

(, , ), : . ()
( , ), : .
,
f(x),

F(x) =

f{t) dt.

, , , f(x) . ) Fix)
,
+00
fix) dx = 1;
(2 )
\ 2 (X i < 2 )

2
X,

(2) . , F(x) ,
F'{x)=f(x).
/() , (3) , { = } 0, . . ,
. ,
,
. ,
/() ,

{ 0 < X < + } /() ,
.. /() , + . /().
.
1. ,
/(*) = {
(,

x i a bi
[,\.

, , < . [,] . , [x\,x<z\ [, \ ^ . .

2 \ [\,2 ] [, \.
, [,], .

2. ,

I0'

< ,

1[
_*,

> 0;

, > 0. ,
.

X

: : 0;
3. ,

/(*) = _L_e-(*-*)2/(22)>

2
, , > 0. , .
F(x)=

X
J f(i)dt=

at =
{xa)/(T

-.e -<2/ 2 dt
/2

, 4.

1. X
\

*2

*3

F{x)
.

. F(x),

X < {,

\ < X < %

<1 < X < ,

) = < \ + 2
\ + 2 +

.1+ 2 + + 4

< X < 4,

> 4.

! + 2 + + 4 = 1, F(x) = 1
> 4. . 4.
kF(x)

Pi + /7 2 +

\ +2
\ -<>

X
2

*3

4
. 4

, ,

(), , , . F(x) 1.
, ; .

2. X
:

X.

+00
f{t) dt 1,

Ct~V 2 d t = 1,

= 2 ,
=
/ < l.
X
,

< 1,
.
> 1.

F{x)

3.
Y = \/ , X , 2. fy{t) Y {0,1 < < 0,2}.
. Fy(y)
Y.
() = { < } = { < } .
2 , (, 1) X . , l / (, 0) U (1, +).
{ ^ < /} = 0

< 0,

{ ^ < / } = 1

0 < < 1
>

\>

> 1.

FY(y)

0,

< ,

/,

< < 1,

1,

> 1-

<

1
< < 1,
2^
10,
> 1.

0,2

{0,1 < Y < 0,2} = |

dy = F y {0,2) - F y(0,l)

0,1

4.


X, ,
1/4, 1 1
(1/ 2, 1/ 2).
. 1 1 1/4 , (1/2,1/2) X 1 - (1/4 + 1/4) = 1/2. /
(1/ 2, 1/ 2),

1/2

/ dx
-

1
2

1/2

/ = 1/2. F(x)
X. < 1
F(x) = { < } = 0;

1/2 < < 1/2


F(x) = { < } =

{ ( = -1 ) + ( ( - 5 . * ) ) } =
1

*j

J fd x- 4

" 4+
-

1/

\ X + 2 j 2 + 2;

1 /2

1/2 < < 1


FW = P { X < x } = p { ( X = - l ) + ( ^ e ( - i , I ) ) } = I + I = |;
X > 1
F(x) = { < } = 1.
F(x) . 5.

. 5
5.
, X Fx (x), Y = Fx(X) [0 , 1].
. Fy{y)
Y. , Y [0,1]. ,
,
[ 1,

> 1-

(0,1].
Fy(y) = P { Y < } = P{Fx (X) < }.

Fx(x) ,
F% 1 Fx(X) < X < F% 1(). ,
P{Fx (X) < } = { < F x \ y ) } = Fx (F-'(y)) =
,

<

0;

0 <

() = \>

> 1.

, [0 , 1].

6.

, . ,
, ; ,
; - ,
; . . K(t) , (0, f]. ,
,
K(t) / > 0 /, . .
P{K(t) = } = (Xt)2

= 0,1,2,....

. .
Z
(. . t = 1).
. F(Z) .
Z
,

( [] ), . . F(k), k = 1,2,
F(k) = P { Z < k } = P{(Z = 0) + (Z = 1) + . . . + (Z = k - 1)} =
k -\

= J 2 p i z = m}.
m=0
,
OO

P \Z m\
P ! 030 (m + 0 I _____
^
~ Z-s ]^
m J

1 f
1 _
(^ ( + /) J
| ( + 1)J

/=0

=
' ( 1 p)l Xm+le~x - V
2 ^ L m+lP I 1 P)
+
iL
/=0

/=0

m\n

p)l Xm+e~x -

p *

(/ + /)!

_ Y ' P*(l - p)lXm+le~x _ Xme~x m A


~

m ill

m\

1=0

A'(l - p )1
l\

1=0

,
(-1~\
P {Z = } = * - ! _ *-> =
L
J
m!
!
,
k-\

Fik) = P {Z = m i = ^
/=0
m=0

\m nm -A p

=
= e~Xp( l +

Ap + (A p)2

1!

2!

(Ap),* -l

(* 1)!

7.
X f{x). g(y) Y = + /3, ,(3 , 0.
. F(x)
X, G(y) Y. > 0
G(y) P { Y < } = { + (3 < } = { < - ^ - } =

^ - ^ dy- dy ) - ( ) < 0,
G(y) = P { Y < y } = { + ( 3 < } =
= | >

= 1 - | < - ^

\ = 1

,
() = ^\\ \ ^ ~a ) J8. X
, . .
F(x) = { < } =

10,

~ ^
< 0.

Y = 2.
. G(y)
Y. >
G{y) = P { Y < } = { 2 < } = { - ^ < < ^ } =
= F { j y ) - F i - y / ) = F i ^ y ) = 1 - -'
d

~^

< 0, , G(y) = 0 g{y) = 0, Y .

9. ,
.
.
1- , . .
. , :

, 1/2 ( ,
), , 1/3 ( ),
1/4 ( ), .. ,
, .

10.

F(x)
X, Ve > 0 3 5 > 0, , \F(x\) F(x 2 )\ < ,
\\ | < 5 \, 2 X. F(x) . ,
< X < +.
. > 0. F(x) lim F(x) = 1, lim F(x) =
X + + Q O

X OO

, > 0, , F(x) (, ] [, +)
/2:
', " (, - ]
'," [, +)

|F{x') - F(x")| < ~,


2
\F(x')- F{x")\ <

(4)

F(x) [ , \ . (
),

- , .

38 > 0

', " G [-A f,]

|F(x') - F{x")\ < | |' - "\ < 8 .

(5)
\ 2 (, +).
, \ \ | < 5, \F(X\) F(x 2 )\ < .
\, 2 (, ] \, 2 [,] \, 2 [, +),
. :
1) \ (, - \ ,
2) \ (,),

2 (- , );
2 G [1,+).

1)
|F(Xl) - F( x 2)I = |F( x 2) - F(M) + F ( - M ) - F(xy)| =
= 2) - F ( - M ) ) + ( F( -M ) - F(Xl)).

( X l , X 2 ) , \ 2

()\ < S (5)

F ( x 2) - F ( - M ) < -.

(4)
F ( - M ) - F ( Xl) < e-.
,
\F{ x x ) - F { x 2) \ < - + - = 8 .


2). .

6.

1.

. -

X ,

XI

*2

xk

Pk

, \
\, 2, . . . , *
&, \ + 2 + . . . + = . X
(1)
,
> .

, 2
^

2 ,

Pk,

(1)
\\ + 2 2 + . . . x kpk.

(2)

(2)
X M X {}. X
,

J 2 XiPi
i= 1

. ,
X .

X f{x). , X [, \. [, ]
\, 2 , . .. , -\:
= xq < \ < 2 < . .. < - \ < = .
*k
pk = P{xk-1 < X < Xk} = [ f(x) dx, k = 1,2, . . . , . ~

3xk G {xk_\,Xk), , pk =/(&)&,


A x k = X k ~ X k - \ .
X ,
X k ~ x

XI

*2

1 2

X
X ,
, .
X
MX = f^Xif(xi)Axi.
i= i

>

| xf{x) d x ,


X.
, X
MX =

J xf{x) dx,

X. ,
, ,
. ,
.

, .
1) :
{} = .
2) :
{ - } = -{}.
3) :
{ { + 2 + .. . + } = { i} + { 2} + . .. + { }.
4)
:
{ 2 . . . } = { } { 2} . . . { }.
, \ , 2, . .. ,
, Xil 9Xi2, - . - , X ik k {^ #i}, {Xi 2 2} , . ..
. . . , {Xik g Bk}, B \ 9 2, . . . , Bk .
5) X
Xi

pi

() , X (). Y = ()
M Y = ' p i (Kxi).
i

6) X
/(), Y = ()


.
X , . MX. \ , 2 , . . . , ,
. Xi,
i=
0 1,
:
J ,
= III,1

- ;
- .

Xi, i = 1,2, . . . ,, :
0

1-

, i 1,2, . . . , M X 0- (1 ) + 1- = .
, ,
X = \ + 2 + . .. + .
,
M X = MXi + 2 + .. . + = .
X ,
.

M X = Y 2 kqk- lp = p ^ k q k- 1,
k=\

(3)

k=\

q = 1 - . (3),

?*-

k=l

q < 1
b\ = q. ,
00

q,

k= \

k= l

k= \

(4)
1

^ -1

k=\
(3)
MX

= ----------5- = - S = - .

(1 ~ q f

X, . :
00

\k

\k

M X = ^ 2 k J \ e A= Y
k= 0

( k - l ) \ e X = Xe

k= l

\k -i

(k - 1)!'

k= \

,
x

x}

x^

ex = \ + - + + +

1!
2! 3!
x ( ).
\*-1
\
\ 2
V ___ = 1 + - + + +
2 L f (k
( k -- 1)!
!
1! 1! 2!2! ^ 3!3! ^
*

1 ......=

{ +

k-

MX = \~ V
^

k= \

\-\

-
= \ ~ = .
(k - 1)!

, 5. X \,],
h

#
+ b
= .

X ,
-

xf(x) dx =

Xxdx =

, X ,
+00
f xf(x) dx = [ x _ ^ e-(x-a) 2/V2) d x .
J
J y fb ta

+00
=

a t,
+

l J L-e- t2/ {22)dt =


v 2 i
+

_ L ^ e-t>/) dt + a
_ _ -^/(2<2) dt.
V2
/2

(5)

t2H2o*)dt
V 2

tto


.
+

f - J ^ e - t2/ ^ 2U t = \ ,

27



. (5)
M X = .
2.
. X

. .
X MX. X

\

*2

5)
DX =

- M X f Pl.
i

X
f(x), 6)
DX = ( - MX) f(x) dx,
X.
(6):
{ ( M X ) 2} = { 2 2 M X + {MX)2} =
= { 2} - 2M X M X + (MX ) 2 = { 2} - (MX)2.
, X
DX = { 2} - (MX ) 2

(7)

.
, (6) DX > 0, (7)

{ 2} > ()2,
. .
.
.
1)
:
D { Y + } DY.
2) -
:

3)

:
D {X j + 2 + . . . + } = DX 1 + DX2 + . .. + DXr(.
, , 3).
. :
D{X 1 + 2} = { { + 2) - ( 1 + 2) } 2 =
= {{ - ) + ( 2 - 2) } 2 =
=

{ { - ) 2 + ( 2 - 2) 2 + 2 ( - M X i ) ( * 2 - M X i ) } =
= M { ( X x - M X x ) 2 } + { ( 2 - 2) 2 } +

+ 2{{ - ){2 - 2)} =


= DXx + DX2 + 2{( - M X i)(X 2 - 2)}.
\ 2
{ ( 1 - 1){2 - 2)} =
= { 2 - 2 - 2 + 2} =
= 2 - 2 - 2 + 2 = ,
D{X 1 + ^ 2} = D Xx 4- DX2, . . .
, 5. X
,
. (. )
= + 2 + . . . + ,
, 2, .. . , , :
1 1 . 3)
DX = DX x + D X 2 + . . . + DXn.

DX x = D X 2 = . . . ^ DXn = (0 - ) 2 (1 - ) + (1 - ) 2 - = ( 1 - ) ,

D = tipq,
q = 1 .
X ,
. DX

(7). , M X = 1/.
,

M X 2 = k 2 qk~lp = < k 2 qk~K


k= \

k= l

k=\
q
:

1
J k y k q k~l = ------- , ,
h
- -?)2
1

q:

q :
k 2 qk~x = (

^ -

1+

,
MX2 =
= \

k 2 qk~l =

X ,
. , (7).
> a V a
_ , ^ k 2Xk
* 2 = 2 ^
= * - ^ '
k= 0

k= 0

()


'

k\

k=0

k=0

kX\ k - \
k\

k=0

k=0

k X
k\

+ ,

, ,
00 2\*
S T ~ = \ e x + X2 e \
k\
k=0
, (8),
2 = _( + 2) = + 2

DX = 2 - { ) 2 = + 2 - 2 = .
, DX = .
, 5. X , [, \,
(
a + b\ 2 1 ,
i b - a )2
x
dx =
12
V
2 ) b-a

X, ,
+00
DX

= J(jc M X ) 2f{x) d x =

( * _ I ) A e~Xxdx = ^ .
0

, X ,
,
+

DX =

J( x

- M X ) 2f{x) dx

i x - a ) 2 ^ =_ e-(^-a)2/(2<T2) d x .

t,

= at + a,

dx cr dt\

DX =

-* 2/ 2 d t = ^ =
V27T

V 2 tt

+
+

i - t e - * ! 2)

^ t2l 2 dt.

+ *
\[ .

4-

-/2

e~^dt=l


= 0 = 1,
DX = a 2.
,

fix) =

-()2/(22)

(9)

/*
: , 2 X.

, \ [ . ,
(9)
X.
(. 2).
2

MX

DX

npq

- )2
12

{ = } = Cknpmqn~m,
= 0,1,2, . . . , \ q = 1 \ , :
N, [0, 1]
:

{ = } = qm~lp,
= 1,2, . . . , ; q = 1 \ , (0,1]
:

~
=
/! '
0,1,2, ...; > 0
:
[
/(*) = { ~
[ 0,

[ , 6],

[ , ].

, : b >
:
0,

< 0,

/(*) = {

\ ~ , > 0;

3?

> 0

:
/(* )=

J_
/27

, > 0


1.
,
.
.
. X
. , X :
* = * 1 + * 2 + 3 + * 4 + 5 + * 6 ,
:

\ = 1 ; r
<! , . ,
2 , t% () - , ,
;
,
^ to, () 4 ,
;
,
t$ ^ () 6 , .
, 2 , , 4 , Xs,Xq , ,
: 2 = 5/6, ^ = 4/6 , 4 = 3/6, $
= 2/6, Xq = 1/6.
M X = \ + M X 2 + M X 3 + M X 4 + 5 + 6 =
-


1 _
+ 5/6 + 476 + 3/6 + 2/6 + 1/6 ~


DX = DX\ + DX 2 + DX 3 + DX 4 + DX5 + DX 6 =
= 0 4- _ J /6_ + J / ! . + J Z L 4 J Z L 4 J / 6_ =
(5/6)2 (4/6)2 (3/6)2 (2/6)2 (1/6)2

2.

, , ,
, . ,
.
.
. X . , , X \ j . ,
= - = ,

DX = 2~ = ( - 1).

3.
2 ,
.
. - X
. X 1,2, . . . , .
. ,
{ = 1} = - .

, /, / 1,2, . . . , , , i-
,
, i-
.
{ = 2} = />{,2} = { 2 ,} { ,} = - J - j . 4-1 =

1,

{ = 3} = { { 2 3} = { 3 1 2 ,} { 2 1,}/>{,} =
1
2 1
1
2 1

,
{ = } = { = } = . .. = { = } =
-.
,

2 _

( +

1 )(2

1)

, :
p iy

(az +

1)(2az +

1)

( -f-1 )2

6~

? I
~

12~*

4.

.
, ,
.
.
.
. X

X
, ,
M { X \ A } = Y t x iP{ X = x i \A},
i
(
).
# # 2 , - - .
{ = Xi} = / > { * = Xi | Hj} P{Hj).

M X = ' x i P { X = xi}.
i
{ = xf} ,
M X = > { * = Xi I Hj}P{Hj} =
i
j=1
=

= * I } = I > m
/=i ;

i /=i
=

p E * p{x

= *i\Hj ) = Y / M { x \ H l } p(Hj}.

, \,2, ... ,
= ^ { } }
/=1

.
4. \ , , X 2 . , .
{ + 2} = M { X i + 2 \ } { } + { + 2 | } { } .
{\ + 2 \ }. ,

= (1 + 2 + 3 + 4 + 5 + 6) i = 7~,
M X 2 - MXi = 7~,

M{Xi + X 2} = 7.

,
M{Xi + X 2 | A} = 2 i + 4 i + 6 i + 8 i + 10 i + 12 i = 7.
,
7 = M { X x + X 2 \ A } - ^ + 7 - -1,

M { X x + X 2 \A } = 7.
5.
X , , {0 < X < 1} = 1.
DX < MX.
. DX = M X 2 (MX)2,
DX < M X
M X 2 - (MX ) 2 < M X

M X 2 < M X + (MX)2.
X ,
M X 2 = J 2 X1 = X i } < J 2 x i { = x i } = MX,
i

0 < Xi < 1. X /( ), {0 < X < 1} = 1


f(x) (0,1),
0 1:
MX2

2f(x) dx < | xf{x) dx = MX.

, M X 2 < MX, , M X 2 < M X +


+ (MX)2.
6.
X \ , X 2 , .. .
2. Y
\ , 2 , . . . , M Y = b, DY = d.
z -'tx i.
i 1

M Z DZ.
. . W
f w ( t ) = M { e itw},

(10)

i : i2 = 1. , M { \W \k} <
k,

(10) .
. fz(t | k) Z Y = k:
fz(t | k) = M { e itz | Y = k } = M { e it(x+x*++**)} =
= M { e itx' } M { e itXi) .. . M { e itXk} = (fx (t))k,

fx(t) Xj
/ = 1 , 2 , __
fz(t)

) = / z ( * | k ) P { Y = k} = J2(fx(t))kPk,
k=\
k=\
pk = P { Y = k}.
.
iMZ =

dfz(t)
dt

t= 0

t= 0

k= \

= J 2 kpk dfxit)
dt t=
k= \

dfxit)
dt

J 2 kPk = iMX M Y >


*= k=\

J
M Z = M X M Y = mb.
DZ
= M Z 2 - {MZ)2. 7WZ2:
?

dt 2

t=

= f ; kPh [( - \)ifxit ) ) k - 2 ( ^
k=\

) 2 + ifxit))k- 1^ ^ t= 0

2
k= \

d 2fx it)
dt
/=oJ

= Y , kPb((k - 1W M X ) 2 + i2M X 2) =
k=\
= i2M x 2 ^ 2 k p k + iiMX)2 ^ 2 i k - i ) k p k.
k=i
k=i
M X = m, M X 2 = DX 4- iMX ) 2 = a 2 + m2,
OO

M Z 2 - (a 2 + m2)

OO

kpk + m2 ]T ( ~ V kPk-

k=\
,
OO

k=\

kpk = M Y = 6. ^ { k 1)kpk'=1
k=\
OO
OO

J2ik~ l)kpk = 52k2pk-J2kpk=


6=1

6=1
k=\
= M Y 2 - M Y .= DY + i M Y ) 2 - M Y = d + b2 - b.

,
M Z 2 = ( 2 + m2)b + m2{d + 2 - b) = a 2b + m2d + 2 2,

DZ = M Z 2 - MZ)2 == a 2b + m 2 d.

7. N
, ,
, . , [0, ].
, .
. ,
,
Z = \ +

+ . + /V>

N ,
, - ,
/- , / = 1,2, ...,
[0, ],

Af* = ,

Det = f 2 .

N ,
M N = D N = .
, , N , e \ , 2 , . .. , 6
:
M Z = { M N =
- \ ,
DZ = Dst M N + (Me*)2 DN = ^ + ^ =

8 . . \ , 2 , . , , , X * 1 0 -

pk
DXk QkPk-

= 1-

, , MXk = pk,

S n = Xi + X 2 + . .. + X n.
S n
pk k -
, k = 1,2, . . . , .
MSn =

pk,
k=\

DSn = Y QkPkk=\

p = (pi + p 2 + .. . + pn)/n
. DSn ,
?
. DSn
DSn = Y ( l ~Pk)pk = Y p k - Y , p I = - 1 k=\
k=l
k=l
k=\

1)

pk, k = 1,2, . . . , n, , Y P k = np.

k=l

, pk .
k=i
, :

Y p I -* *
k=\

Y P k = k=\

= > 1 + ( > * ~ )
\
k=\


2\ + ,
2Pk + = ,

Y , p k - n p = o,
k=\

\ + 2 + +

\ = 2 = = Pk =

, , ( A p k = p k - p )

+ *)2 - f > 2 > ,


k=\

k=\


2p A p k + Y , ( A Pk) 2 = 2p J 2 A Pk + 1 2(A P k f = 52 ( A Pk)2k=l
k=l
k=\
k=l
k=\
n

Apk = 0, Y^Pk = const.


k=\
k=\
(11). , ,
S n \ = 2 = = - , : pk, ,
, . , ;
,
.

9.

, (
), ,
S , ( \ S ) me~xs/ \,
= 1 , 2 , . . . . .
R . MR DR.

. F(r)
R.
. R , ,
. ,
. .
F(r) = P{R < r } = {} = 1 - {} = 1 - - 2.
, /() R
.

dF(r)

2~\

> 0;

= ~ d T = | 0,

<0.

MR =

/() dr = | 2-7rAr2e 72dr

+00

rdfe-***) = (-re -"* * ) | + j e~*Xr2 d r = | e~r>j3 dr.


t = 2.
-

MR =

-
1

e ~

t2! 2 d

/2
0
:

DR = M R 2 - ( M R ) 2 =

Jt 2 f ( r ) d r - \ ^ - \

e~t2/ 2 d t =
y/bc
2VA'

| 2 \3 ~ * 2 d r - - ^ .

= 2,
-
-

DR

= J ue-* Xad u -

^ = | u d { - e ~ nXu) - -^ =

= ( - ~ )

|+ J e~*Xud u - - ^

- | +0 -

47

10.

1 N.
X , ,
. MX.
.
- , = 1,2, . . . , .
X = { ^2, ,}
N

M X = Y , k P { X = k}.
k=\

{ = k}.
{ < k} = { { 2, . . . , } < k } =
= { < k , X 2 < k , . . . , < 6 } (1).
\ , 2, . . ,
{ < k } P { X 2 < k } . . . P { X n < k } = ( ) ,

{ < k

- 1} = ( * ^ 1 ) " .

, X ,
{ < k } = P { X < k - 1} + { = k},

^ .

MX = j r k P { x = k} = ' k" * ' - * < * - ' r =


k= \

k= \

= ^ ' t { k n + l - ( ( k - l ) + l ) ( k - l ) n) =
k \

= ^ f : ( k n+i- ( k - i ) n+i- ( k - i r ) =
k=\
= i

( x > + ' - <* - 1)+1) - ( * - D) =


\= l

k= \

N
, =
= 0 = N, . .
N
dx = ^
/2+1

N
^ - ( V + 1= N.
N \
/2 + 1/
/2 + 1
N 1000 = 10,
910.
N.

11.

Y M Y = DY = 2.
X = eY, Y = InX.
, X () .
, , X.

. , F x ( x )
X
Fx () = { < } = { < }.
< 0 . > 0, :
In*
P { e Y < x } = P { Y < \ } =

z = (t )/,
( I n * )/<

z2/ 2dz

/27

( l n x )/

1 .-*2
~ * '2 dz +

V2n

^ d z = ' - + ( 17 ) .

() =

=e~z2?2 dz
\/ 2 ^

. ,
,
Fx (x) = < 1 , , / In* - \
+ ( - J ,
.2
\

< ,
.
> 0;

fx(x) X

f (v\
dFx(x)

< 0;

<
1 -(1*-)2/(2<2)) > 0.
' Vbrax
:

= (1 )/,
+00
+
=

1 ~2/ 2 + du

_ } _ - ( 2-

2 1+ 2) / 2 +<2/ 2 +

= 2/ 2 +

[ _ L= J \/27

( ^ )

DX =

( MX) fx(x) dx

:
DX = 2+\ - 1).

2 (1

= (2/2+.

( \, 2, . . . , ), , . F(x\ , 2, . .. , )
\ < \ , 2 < 2 , . . . , < , . .
F(x!,2, ...,) = { 1 < ! , 2 < 2, . . . , < }.
= 2,
( \ , 2) (X, ). (X, Y)
F(x, ) = { < , Y < }.
:
1) lim F(x,y) = 0;
>

-*-

,
lim F(x, ) = 0;
>


lim F(x, ) = 0;

2) Fx(x) X, a Fy(y) ,

lim F(x,y) = F Y(y),

x >-(-oo

lim F ( x, ) = Fx (x);

y >+oo

lim F{x,y) 1;

X-^+OO
y -^+ o o

3) F(x, ) ,
4) X
F { x , y ) = F x { x ) - F Y{y).

fix, ), , F(x, )

F i x , )

= J J

f{x,) dudv,

f{x, ) ) (X, 7). :

1) fix, )

>

0;

2) (X, 7) G

/{, ) dx dy,
G

3) fix, ) ix,y), iX, 7)


< < + ,

< < +


fix, ) ;
4) fxix) X, a fyiy) 7,

+
+00
f i x , y ) d y = fxix),
f i x , y ) d x = f Yiy);

5) X, 7
f i x , ) = fxix) -fyiy)',

6) fix, )
f(X ) = 2 ()
,>
'
,
,
, . , cov(2f, 7)
X 7
cov(*, 7) = - M X ) i Y - MY)}.


M { X Y } M { X } M { Y } . ,

cov(Z, ) = 0,
. , ,
. ,
: ,
, .
,
D { X Y } = DX + D Y 2 c o v ( X , Y ) .

(1)

, D{X } =
= D X + DY.
(1) . \,
2 , , ,
,
D { X x + * 2 + . .. + } = DXi + 2 v(Xi, Yj).

i<j

i= l

, DX cov{Xi, Yj)
: DXi = d i = 1,2, . . . , ; v(Xi,Xj) =
i /,
D { X i + X 2 + . . . + X n} = nd + n ( n - \ ) K .

(2)

.
X Y

_ v(X,Y)

' XU

((

>

= VDX, = \f~DY.
V x y \ < 1- X, Y Y = + [3, ^ , (3 , 1 > 0 1
< 0. X, Y
? 0 , :
1) cov(aX, ) = cov(X, a Y ) = acov(X, Y), a = const;
2) cov(X + Y , Z ) = v(X, Z) + cov(7,Z);
3) cov(Z, Y + Z) = cov{X, ) + cov(X,Z).

.
1. (X , )
G, :
fix, )

( , ) G;

I/Sq ,

(x,y)eG .

S q G.
2. (X , Y) , :
fix, ) =

1
2 \/[

X
- 2
( - )2

2(1 - 2)2 (

( - ) (
.

b) + (jr )

, , , , , > 0, > 0, |r| < 1.


,, , ,
: , X, Y :
= MX, b = MY; <, X, Y: = VDX, = VDY;
X Y: = cov(X, Y)/(ax cry).

1.
15 5 1, 5
2, 5 3.
. .
. \
,
.
cov{Xx, X 2) = { 2} - { } { 2}.
\ , 2 Y X \ X 2.
[ :
Xi

1/3

1/3

1/3

2 .
2 - 1,2,3. :
{ 2 = 1} = { 2

= 1 1* i =

1} { = 1} +

+ { 2 = l \ X x= 2 } P { X l = 2 } + { 2 = l \ X x = 3}P {*i = 3} =

- + -
~ 14 3 + 14 3

14 ' 3 ~ 3

/ = 1,
\ = 2, = 3. ,
{ 2 = 2} = ,

= 3} =

. . 2 \:
2

1/3

1/3

1/3

. , , , ,
Ai 2 , ,
.

Y = X 1X 2 . : 1, 2, 3, 4, 6, 9. . :

P { Y = l } = P { X l = l,X2 = i} =
= { 2 = 1 |Jf, = 1}{, = 1} = 1 . 1 = 1 .
,

^0' = 4 } = | .

P{Y = 9} = .

,
P { Y = 2} = { 1 = 1, 2 = 2} + {\ = 2, 2 = 1} =
= { 2 = 2 \ X i = l}P{Ai = 1} + { 2 = 1 1*1 = 2 } { = 2} =
5 1 5
1
5

/> = } = , { = 6} =
, Y \
:
Y

2/21

5/21

5/21

2/21

5/21

2/21

:
= 2 = 1 I + 2 1 + 3 = 2,
{ } = 1 . | + 2 . | + 3 . | + 4 . | + 6 . + 9 .

2__83
21

21'

cov(Xh X 2) = { 2} - { } { 2] = - 2 2 =

2.
1
5 . .
. , 2 , , 4 ,^
. , 2 , , 4 ,$
(. ),

1/3

1/3

1/3

i = 1,2,3,4,5, v{Xi,Xj) = ^

i /.

DXi = MX? - ( ) 2 = | ,
(2)
D { X x + X 2 + X 3 + X 4 + X 5} = 5 - 1 + 5 - 4 - ( ~ ) = ^ .

3.
X , /( ) g (x ) . ( 2), \ = min{A, },
2 = { , }. (A i,A 2).
. F(x) = { < }, G(x) = P { Y < }.
f(x) = F'(x), g(x) G'(x). F(x i,x 2) (, 2) :
F (xh 2) = P{Ai < 2 < 2} =
= P{min{A, } < \ , { , } < 2}
= {( ( < ) + ( < < x 2)(Y < 2)} =
= { ( < \)( < 2)( < 2) + ( < )( < x 2) ( Y < 2)} =
= { ( < { 2})( < 2) + ( < min{xi,X2})(A < 2)} =
= / 7(min{xi,X2})G(x2) + G{mvci{x\,x 2 })F{x2) { < min{xi,X2}, < min{xi,X2}, < 2, X < x 2J =
= F(min{x\,x 2 })G(x2) + G(min{xi,X2})F(x2) P{A < min{xi,X2}, < min{xi,X2}} =
x x < x2;
\ F { x 2) G{ x 2) + G ( x 2) F { x 2) - F { x 2) G { x 2) = F { x 2) G ( x 2) x\ > x 2.

_ F ( x i) G ( x 2) + G ( x i) P ( x 2)

- F(xi)G(xi)

f ( x \ , x 2) ()
~ \ - d 2F(*i,x2) _ \f { x \) g { x 2) + g ( x x)f ( x2)
1, 2 )
[2

xi < 2;
1>2

V
4./ X , - . , Z X + Y . X X + .
.
{ = k} =

P { Y = k} = ^ ~ ,

k = 0 , 1,2, . .. .
{ + Y = } = { = , Y = } + { = 1, = - 1} + . ..
. . . + { = - 1, Y = 1} + { = , Y = 0} =
/ \k
\ m~k
\
\k\m-k
= V ' f ~ ^ l

-^\k\

(m k)\

6=0 4

p-^y 1 = -(*+ \) V

-^k\(m k)\

6=0

1 w
I
= -(*+)_1 '
rn.
yk m_k =
ml
kl(m - k ) l
y
= e- ^ + A ,) 1 ( + A )m = (At + Xy)me~(\x+\y)
ml
y
ml
. e. X + Y
+ .

{ = I + = ) -

= >f + r - - ) =
yk

ym -k

_ { = k, Y = - k} _ t \ e~Xx ' (m - k )\e~


=
I

(, + ,) \_ ( ,+ ,)
ml
\k \m -k

!(/ fe)! (; + Ay)m

\ ^ /
\ [

\
Ay

\ m k
^

m; + Xy J \; +

. . X X + Y = m = /{ + ^).
(j^. X (. . ) . X
Y , .
.
=

cov(X, Y)
X

^
cav(*, Y) = M { X Y } - M { X } M { Y } .
{ } = 0,


fix) = - 7=L _ < r* 2/(2^2>
v 2 tt
X ,

{ +} =

[
J

dx.
V 27;

= 2&, { +1} = 0.
= 2k I.

[ L - x 2ke - x2/ (2a^ dx,


J v 2

{ +} =

, t = / 1

{ +} =

- = < j f t 2ke - t<ll 2 dt =


J lk

t 2k-xd{_ e^ ! ^ dt =

V 2 tt

k
= ^ L \ - t 2k- le- t 2/ 2
V 2n

+oo

+oo

{2 k - \ ) t 2k- 2 e - ? / 2 dt } =

2k

+?

| ( 2 - 1 )t 2k~ 2 e~t2/ 2 dt.



4-00
/ 2* =

y/2 n

-fo o

I2k = (2 k - I )

1 t 2k

2e

t2/ 2 dt _ (2 k _ l)/2_2,

. .
I2k = (2k - 1)/2*_2 = (2 - l)(2k - 3)/2fc-4 =
.. . = ( 2 k - l)(2k - 3) . . . (2 k - (2 k - l))/0 =
+oo

1 -*
_ I 2 d t = (2 k - 1)!!.

= (2 k - 1)!!
, n = 2k \

M { X n+x} = M { X 2k} = a f ( 2 k - 1)!!.

(3)

,
a 2 = D { Y } = D{Xn} = M { X 2n} - (M{Xn})2.
n = 2k 1 a 2 = M { X 4k~2}, (3)
a 2 = a 4k 2(Ak 3)!!,

ay = a 2k l y/(4k 3)!!.

, n = 2k 1 (. e. ti)
a f ( 2 k - 1)!!
rxy =

<TxO?~W - 3)!!

= 1,

(2 k - 1)!!
>/(4* - 3)!!'

= 1; = 3, =

3
Vl5

VT5
= 5, *,, = - ^ = . = 2k (.. / ),
/7
= 0 .
6 . , .
.
X Y.
D{X + Y} = DX + DY + 2rVDX\fDY,
TO

t =

D{X+Y}
VM Vd y
Vd

.
y

Vd x
Vd y

Vd ?
\[d x

1/

1\

~2 \

7/ w > 0 -

, > 1, mi n f i + l') = 2.
/> \
/
,
D {X Y} = DX + DY 2 r V M V D Y ,
D { X - Y } _ s/
s/ b x

Vby

| s /B Y

s/ b y

2r

s/ d x

t = y = , TO
s /B Y

W> 0

t + - 2 r >

r < - 2 (t +

-t )

voo.

, < 1. , \r\ < 1.


(j(. X Y , [\,\\ [02,^ 2] .
Z = X+Y.
. :
fz(z) Z = X + Y,
X Y fx(x) f Y{y) . X ^
X , 6

. Z
Fz { z ) = P { X + Y < z} P { X + Y < z } = J 2 P { X = x h Y < z - x t} =
i
= J2 p {X =

Xi}P{Y

< z - Xi} = J

f x ( x i ) A x i F Y ( z - Xi).

\ f x { x ) F Y{ z - x)d x,

(, ) X. X +,

+00
F z ( z ) = [ fx (x)FY( z - x ) d x ,
^
^
!
&
, z,
+

fz{z)=

J f x ( x ) f y ( z - x)dx.

,
X Y :

<4>

^
fy (z ) = { b2 - a
0

0,2

z $ [2, &]-

< z X < 2 ,

(4). .2 < z < &2

Z b2 < < Z 0,2-

z (
(4) )
(4) .

1------------------1---- 1-----------------------1----------------------------X'
- 2
Z - <22

. . z ,2 < z < \ + 2, fz(z) = 0.

------------------- ,------ 1------ 1------------- I--------------------------- ^


Z-b<i
Z - 2
. .
< z 2 < b\,

z 2 < \,


a i + c i 2 < z < a 2 + bi,

z < a \ + b2

( \ \ > &2 0,2 , z


\ + 02 < z < \ + 62).
- 2
1

Z \ 0,2

2 2

(bi -ci)(&2 - e 2)'

ai
Z-

62

z - 2

. .
z - 2 < b\,

z - 2 > \,

\ + ?2 < z < 2 + \, fz(z)


-
fz(z)
2-2

1
\ \

1
dx
2 2

1
\ \

\
z-b

z - 2

. .
z-a

> b \,

z-b

< b i,

02 + b\ < z < \ + &2 ( z b2 > a \ ), fz(z)


1
bi - \

fz(z) =

1 dx=
' + 2~
2 2
(bi a\){b2 - 2)"

Zb2
,
1
z b2

z 2

. . z 2 > \, z > b\ + 62. fz{z) = 0 .

,
'0
z \ ,2
{\ - )(2 - 2)
1
\ \
bi + b2 - z
(\ - \)(2 - 2)
0

z < \ + 2,

CL\ +0,2

a\ + b2 < z < 2 + &

CL2 +

> \

< Z

< \ + 2.

b \ < < \ + 2 ,

2 .

(. 6).

. 6

8.^ (X , Y)
fix, ) =

\( + )

0 < < 1, 0 < < 1;

{ + Y > 1}, MX, DX . 7


. :
+ -f-OO

1=

J |

f(x ,y )d x d y = ^ dy^(x + y ) d x =

=
.

((+yx)Vyy=A\ih+y)iy=Ai$

= ,

. . = 1. (. . 7),
l
l
{ + > 1} = | | f(x, ) dx dy = | dx | (x + y) dy =

ix
+

dx =

x + 1 - x(l - x) - ^ ^

) dx =

y = l-x

C
M |CO

y=i

M X DX, /() X:
+00
fx(x)= | f(x,y)dy =

(x + y ) d y = x + ^

[0,1];

^ [0,1].

,
+00
=

xfx(x) dx =

x(x+i)dx=h

DX = M X 2 - (MX ) 2 = I x 2f x ( x ) d x - ( M X ) 2 =
oo
2

2(*+0 ~ 2=

jn_
144'

, M Y = MX, DY DX.

cov(X,Y)
= ------------ .
^ X
cov(X, Y) = M { X Y } - M { X } M { Y },

-)- -j-oo

M{XY} = |

xyf(x,y)dxdy =

dx xy(x + y )d y =

y= 1

+4

y=0

,
_1_
IT'

9.

X, Y
1{ ) = { ~
- i y2 - ~ * ~ 1%- f )
,, <jXl(jy .
.
/ (

2 /\

:: f
1

- :

1
2(1 2) V

m **2

\ ^ ~

^]
)

1
2(1- r V 2

2(1 - r 2)<rf

(1 - 2)<

1 2.
7 2
10
^25
- * - - - X - \ - =
2
2
2
2
d /
_ \2 + ( - )( - ),
-( - -
( -

(..
) :
= 1,

=1

1.

' 2 = 1,
2 13,
25

A m-i Bmi
" ' +
' =

1 = 2.

,
,
.2

= - a1t = 7 I

/?

= v 7cTy


1
2(1- 2),2

( 1- )<7

2
= -1 ,

<7* = V%V,

:
/7
* - \ /

1
/7'

:
1

_ \/ _

V3

10.
Y=

Xi
1+ 2

\ 2
[0,1] .

. F(y)
Y. , {0 < Y < 1} = 1

F{y) =

> 1;

< 0.

(0,1).
F{y) = P { Y < } = p { j ^ Y

< } =

< &1 + 2 )} =

= 1 - ) < 2} = { 2 > ^ * i } .
f{ x \, x2)
\ , 2. , ,
1,
0,

f( x h x 2) =

\ [0,1],
.

[0,1];

(0,1/2]. (1 - ) / +
1 (. . 8)
[2

>

^ f ( x b x 2) d x xd x 2 =
G

/( 1-)
=

dxi

y/Q-v)

( l - -

f ( x u x 2) d x 2 =

Xl(l-y)/y

-x^j dxi

2\\X\=y/(\-y)

. 8

)L
i=
=0

= 2J T T Y

[1/2,1). (1 ) / 1 0 (. . 9)
1

|^ 2 >

- \ ^ = ^ f ( X \ , X 2)dX\dX2 = ^ d X \

f ( x i , x 2) d x 2 =

= V i - l z x ^ iXi = ( X l - ^ A Y ' - ' =

J
\

2 / 1=0

=
2

F(y) = <

< 0;

2(1 )

\ < < 1;

/ >1.

( -1 )
2
<1

< < ,

II

'
1
2 (1 - ?
= <
1
2 2

/ < 0;

0 < < 1;

1 < / < 1;

> 1.

8.

Y , , !*}, k > 0.
> 0
:

{ | | > } < ^ 1 .
(1)
, Y f(y).

{ | |* } = J

\y\kf ( y ) d y >

\y\kK y ) d y + \ \ y \ kf ( y ) d y >

> |

kf{y) d y

OO

+ J

kf(y) d y =

= k

( J f(y) dy +
OO

OO

| f{y) dy) = ekP {| Y\ > e},

.
_
(1), : Y = X , X
, = M X
, k = 2. :
P { \ X - m x\ > e } < ,

{| \ < } > 1 --,


DX \ = *,"
= /DX X.
{\ - \ < 3,} > 1 - ^ 5


{ - < X < + ] > - ,
. . , , , 8/9.
,
, 8/9.
, 0,997__
X ( , + ),
.
S- 1 ( ).
\ , 2 , . . . , ,
/
MXi = 2 = .. . = ;

DX\ < , DX 2 < , / . . . ,

> 0 . > 0
+2 + ...
<
lim {
-+
. (1)

\ + 2 + . . .
k 2

M{S} = ,

D{5} = -L Y ,D { X i } < = ~,
i=1


<
>
.

,
: ,
.
*
2 ( ). k
, . >
{ | - < e l = 1.
- too 11
J
, ,
k = X 1 + X 2 + . . . X n,
X,- -
. , X,-, / = 1,2, . . . , ,
,

Xi

1-

MXi = , DXi = ( 1 ),
\ , 2, . . .
,
(. 2) ,
{}

, k(n) , .
3 ( ). \, 2, . . .

dt = D{Xi}, hi = { \Xt - ^ } .
0

lim { < < /3} = [


J V 2^

- 1 -

dx,

_ ' - { \ '}

_ v , v. ,

v,

,
\ + ^ + . . . + .
3, , , , ,
Xu i = 1, 2, . . . ,
. hi = h, d{ = d i = 1, 2 , . . . ,

J 2 hi
\

,\/2
( z ^ 7

,
I

(nd) /

= ~ ' ~7=
d ^ Vn

i= 1

, 3,
,
(. 4) -.
k
, .

= + 2 + . . . + * ,
\ , 2 , . . . , ,

Xi

1 0

q = 1 . M { k} = , D{k} = npq, 3

,
a < k- Z M

< 0

k \ < k < k 2,

k\ = + a^/npq,

&2 = + (/npq.

(2)
(k2- n p ) / y / n p q

- j = e x / 2 d x,

p { k 1 < k < k^\

V2n

(k i-n p )/y /n p q

() =

\=e~ t2 dt .

J v2n

1.
.
, , X
k\ k 2, (&i + k2)/2 = MX.
.

{\ - \ <} > 1 - = .

M X = , DX = . k 2 M X =
= M X k \ .
P { h < X < k 2} = P { M X - e < X < M X + e} =
= { \ - \ < } > \ - ^ = \ --------- ^
11
'
2
- ) / 2
. .
/>{*, < X < *2} > 1 -

- \)

,.

.
) = 1/2, = 100, k\ = 40, k<i 60:
{40 < X < 60} > 1 -

4 100 i i
(60 - 40)2

.
4

) 1/4, = 800, &i = 150, &2 = 250:


/>{150 < X < 250} > 1

4 ' 8 0 0 - I | _ 47
(250 150)2

50*

2.

, X , { }
( > 0 ), > 0

. , f{x).

+ 00
+00
+
{ } =
eaxf(x) dx >
eaxf(x) dx >
easf{x) dx =
+00
f{x) dx = eaeP{ X > e.},
. e.
M { e aX} > eaeP{ X > },
.
3.
{) > 0 . ,
{(\ \)},
{\- \ > }<

{{\-\)}
{)

. , /().
+

{ ( \ - \ ) } = | (\ - MX\)f{x) dx =

{ t = MX}

+00

> [ <t>(\t\)f(t + M X ) d t + f <f>(\t\)f(t + M X ) d t >


{ () > 0}
+00

> | <j>(e)f(t + M X ) d t + | <f>(e)f(t + M X ) d t =


{ = t + MX}
-(-

M X

<f>(e)f(x)dx+

4>{e)f{x)dx

= () ^

f{x) dx +
OO

f(x) d x j =
A4X-\-

= ()(P{X < M X - e } + P { X > M X + e } ) = {){\-\ > },


. . ,
{(\ - M X |)} > (){\ - M X | > },
.

4.

\,
2 , . . . , , . . . :


1/2"

1 - 1/2"-1 1/2"

> 0 . ,
.
. , = 0 =
= 1 , 2 , . . . . , , , DXn < = 1,2,. .. .

DXn = MX* - ( ) 2 = MX* = ^ 2.

2/2 " -1 , = 1 ,2 ,
f(x) = 2 / 2 ~, > 1.
[1, -|-) +:
lim f{x) = 0.
X ++

, [1,+), . . , , [1,+) /() < .

2
DXn =
2 ) = 1, 2, . . . ,
? .
, .
/ 5. , ,
, 3 /4
780.
. X t , - , i 1,2, . . . , .
Xi
Xi
p

1/6

1/6

1/6

1/6

1/6

1/6

MXi = 7-, DXi =


{ + 2 + . . . + } = 1 + 2 + . . . + = - ^ ,
X i , X 2, .. . ,
D { X x + X 2 + . . . + X n} = D X l + D X 2 + . . . + D X n = n - ^ .

+00

1 _,V2

J X l + . . . + X . - M {X l + . . . + X , } ^

y/D{X, + . . . + X }

-J b :


+oo

P \ X\ + . . + X n > A \ j n +

e tZ/ 2 d t


= 780,
<

= e-^dt
~ 4'
V2*


- f

0,675, ,

( ): 228.

6.

, , 0,99,
1000 .
. .
. , i- , i = 1,2, ... ,.
(. 5)
MXi =
7
{ + 2 + . . . + } = ' - ,

DXi = g ,

D { X x + 2 + . . . + } = ^ .

S n = \ + 2 + . . . + .
{|5 - 5 | < } > 1 1 - ^

DS,*
'

= 0,99.

VDS,

1000 = 5 4 0 ,0 6 ... .

M S n = 2 00 = 3500,
/>{3500 - 540 < S n < 3500 + 540} > 0,99,
. , .

MSn

flli -

< el

L=e~t2/ 2dt = 2(),

27

() =

= e ~ t2/ 2dt . 2() = 0,99


J 27

: 2,58,
^D Sn . =

. 00 2,58 = 139,33


{3500 - 140 < S n < 3500 + 140} > 0,99.
, S n, . .
.
7.
500 50 . , . :
) , ) ,
) .
.
. ,
. . = 50
, . , = 1/500. X
.
{ > 3} = 1 - { = 0} - { = 1} - { = 2}.


{ > 3} = 1 - -0,1

= 0 ,0 0 0 1 5 5 ....

, . . . -, :
{ > 3} = {3 <

< 50} = (

f 0 ~ nP

\ \ / ( 1 - p)J

~ =

\ / ( \ - p)J

,
P{ X = k} = Cknpk{ \ - p ) n- \
:
{ > 3} = 1 - { = 0} - { = 1} - { = 2} =

= 0 ,0 0 0 1 4 6 ....
8.
.
k .
,
.
. ,
, .
X ,
, ( ) \ / k ( ):

= 1,2, . . . , .
.^ .

/ 1 \ /

{<< } = - j ( i )

( \ -

(l-I)

M X = 7 , DX = ^
<7* =
^ , k
k
k
-
:
{ < X < }

9.
N ,
, . .
, , /??
. , 30 .
, ,
, / 30. X
, , N (
) / 30 ( ):

/* = } = * ( | . - ) - .
= 1,2, . . . ,N. N*

{ > N*} < (3,

1 - {0 < X < N*} < (3,


{0 < < N*} > 1 - 13.
N*, ,

N ,
-.
(30 - n)N
at V
nN
\ V" nN (,
\
= ' = { ~ ) =
2
_ V

~ n)N
30

/ V / A r * !
>1* ~ \
/0 - MX
{ < X < N } (
-
/

()

)= t2!2dt
/

<?

nN

( 30 N* - nN

V / (30 -

/ (30 - n ) N j

n)N

_/
nN
\
1
1, ( ,
= I= -
/(30 - )iV

\y/n(30-n)N j 2

nN

/ -

\^n(30-n)N /

/^ -3 0 ^ _ \ = 1_
\^/n(30-n)N j
2
, N (3 7V*.

10. , . , , , 0,95
.
. Xi - .

= 1+ 2 + . . . + ,
= 106. Xi

[5 10_6, 5 10_6],
MXi = 0,

DXi = ^ - ~ ,

ALY = 0,

10~4

DX - ,

-2

<Jx =

<

1 -;2
/ 2

Pi - S <

() =

V 2n

X
<s
10 2/2%/3

2(6),

/2//2 dt . 2(<5) = 0,95,

S = 1,96.
,
Pi
I

-2

-2
. 1,96 < < ^ - 1,96 } = 0,95,
2^3
~
~ 2V3

{ - 0,0057 < X < 0,0057} = 0,95.

9. ,

1.
,
. , ,
, , . ,
, ; ,
,
0. Q 0 . ,
. :
1) ,
, ;
2) , , +
U ,
;
3) , ,
, .
, , + , , . , ,
, . . , Q
(, , ,
, , , , + , ).
, , , :
+==,

+ = + ,

( + ) + = + ( + ),

= , ( ) - ( ), ( + ) = + , + = ,
= 0, -}- 2 = , 2 , 0 , 0 0.


/
/

^ -

<<

Ox

J V2tt

< (3> ~ \ F=e

^212 j .
1 1* dt,

() -

1 -t*
e 1 ^ dt . 2(<5) = 0,95,
y/bi

S = 1,96.
,
10~2

10-2
1,96 < X <
1-96 } = 0,95,
2^3
~
~ 2V3

{ 0,0057 < X < 0,0057} = 0,95.

9. ,

1.
,
. , ,
, , . ,
, Q; ,
,
0. 0 . ,
. :
1) ,
, ;
2) , , +
U ,
;
3) , ,
, .
, , + , , . , ,
F q , . . , Q
(, , ,
, T q , , , + , F q ) .
, , , :
+==,

+ = + ,

( + ) + = + ( + ),

, () = (), ( + ) = + , + = ,
= 0, + = , = , + 0 = , 0 = 0.

', ' VI'. ', ', ' + ' , ' ' . ( ) ,


, , , . . . . ' ,
VI' 7, ' + ', ''.
, :
, , VI'
Tq -,
' T'Q , ' , ',
', +
' + ' , ''.
,
(. . , ),
Vt' , ,
,
0.

.
, -
, , , . . . . , , VI ,
, . .
, , , {},
. , {}
, ,

< {} < 1,

{0} = 0,

P 0 {Vl} = 1

: = \ + . ..
. . . + , At , i = 1 , . . . , ( , G ), A/Ak = 0
/ k,
{} = 0 { 1} + . .. + 0 { }: {}
, . . ,
.
At, ^ , . . .
- 1 + 2 + . . .
\ - . . , .. , (
), ,
, . .
. -
a -, ( ) ;
- . ,

-, - -
\ , ,
.
,
{},
, {}, - , '-
, {} = Pq{A}\ {} {}, . ., , 0 < {} < 1
= \ + 2 + - - -, ; (/ = 0
i /, {} {\} + { 2 } + . . . . {} , ,
.
, , , ,
. ,
,
.
, - {}, , -

,
(, , ). .
2.
X = () , > . ,
X , ,
,
(>) < , - .
X Y ,
( ) , , () = Y(u), 1.
X = () , F{x) =
= { < } ,
> 1 +. F() (. .) X.
f(x), ,
F(x) =

/(/) dt,

f{x) X. Xi, . . . ,

F{x\, . . . , ) = { 1 <

\,

. . . , < },

( ) f{x\, . .. , ), ,
^1
%
F( xi , . . . , x ) = | . . . | f( tu . . . , t n)dti . . . , d t n.

.
- , X{t)
t , , , t. X(t)
, (, , ).
t -

X(t), t. , t :
t (,
), .
. {l,T,P) .
X(t ,u), t e
, . . .
, ,
: X(t) Xt X{t,u).
X(t) .
t = t\ X{t\) X{t\,ui) , F(x\,
= { (^) < \}.
ti, .. . , t n t.
X{t{), ... ,X (tn)

F(xuti-,X 2 , t 2-, . . . ; x n, t n) =P {X (t i) < \, . . . , X ( t n) < }.
= 1, 2,. ..
tj X(t). , .
X(t) Y(t) , t
t X(t) Y(t)
, . . t P{X(t) = Y(t)} = 1.
.
, X(t,w)

t t . , uj t. x(t), ,
, ;
.
x(t) , , X(t).

,
. , it ,
.

1.
, .
. it , . . P{it = nt} 1 t.

Fz(xh ti;x 2 , h ) = P{i tx <


< x2}>
Fv(xi,ti-,X2 , t 2) = { < \ , < X 2}.
, F^(x\,t\\X 2 , t 2 ) Ff)(x\,t\\X 2 , t 2 ) .

F ^ ( x i, h ; x 2 , t 2 ) =

p { i h ^Xl) =
I

<

2J

6, < * (
1 + f ( & < x i \ (& 1 V ] ^ +
&2 < 2 / \ 6 2 = / I
I \&2 < 2 / \ 6 2 = /
, (

< (

I \&2 <~*2/

= 1 I ( &i
V&2 7^ / j
\ \&2

< ( &i ^
*2/ \<2

. ,
P{it rjt} = 0 t, . ,
/ 6 ,
I V6 2

< f 6 , = \ 1= / < * / 6 , = \ 1
<
V62 = %/
V% <
2/ \ 6 8 = %/

-^2/

JI


.
1. , , {} =
= {} = 1, { + } = {} = 1.

2. {} = 1,
{} = {}.
1, 2 ,

/ Vh < * / 6 , = \ 1 = Vh < xi 1
1

\ < 2 / \ & 2 =

)1

1 % < *2 )

PfjiXX>h > 2 >^2)


& . n-
= 3 , 4 , . . . .
2.
X(t)
F(xu ti;x 2 ,t 2 ', \xn, t n)

V = l,2, . . .

W i,*2. -


p * = P { ( ai < X { h ) < a 2 )r\[{bx < X ( t 2) < b 2 )U(b[ < X { t 2 ) < b ' 2 )}r\

F\\\{u, v, z) U, V,Z.
. \ < &2 < \ < '2, \ < %

*=

{[(

\ < U < -2
\ < V < %

=
{ (

\ < U <
\ < V <


),

(. .

< U < ')


< U < 2'
\ < V < &2 >+< \ < V < % +
Z <\
Z > 2

* =

'\< U < 2
' \ < U < .2 '
b [ < V < '2 + - b [ < V < b2'
Z <\
Z>c2
1- 3- :
( \ < U < 2
,

\ < U < 2
-
< \ < V < 2 =
\ < V < 2
Z>c2
' \ < U < 2
G i < < 2
< [ < V < '2 } =
\ [ < < 2 /
Z>c2

\ < U < 2'


\ < V < 2
Z < 2
a \ < U < a 2'
b [ < V < b'2
Z <2


F\i{u,v)

lim F\w(u,v,z)
Z>"-1-00
U V.
| ai < U < a 2

:
\ < V < 2

[ < 2\ = { <
{ U < \ \
+
\ \ 1 \ b xi <
\ V < b 2]
\ VV << b x]
< V << b 22]
+
j u < ai\
1 v < b 2)

< U < a 2)
( < U < 2
V < ) + \ b i < V < b 2 }

/ < a i ) ( (
\

U <\
V < 2 )

a \ < U < 2
U < a 2| _ | U <
V <bi
V < bi
< } + {


F\\{abb2) = Fu{a\,b\) + \{\,2) F\\{a\,b\)\ +
+ [Fnfa, bx) - Fu (ah bx)} + P

, ,

a \ < U < 2
b\ < V < % > = F\\\{a2 , b2 , 2 ) + Fm(ai, b\,C2 ) Z< c2

- F\u(a\,b 2 , C2 ) - ^ 111(^2>h , C2 ).
:
* = [^11(^2. 62) - F\w{a2 ,b 2 ,C2 )\ + [F\\{a\,b\) - F\\\{a\,b\,C2 )] - [F\\(a\, 62) - FnKai, 62. ^2)] - [^, b\) - F\\\{a2 , &i, 2)] +
+ F\n{a 2 , b 2 , c \) + F\ \ \{ a\ , bi ,c\ ) - F m (a i, 62, o ) F\i\(a, 2 , b \ , c \ ) +

J , \ &2I
\
\ '2
/

3.
[0,1]. [0 , 1], . = {}
[0,1]. ,
,
[0,1].
{0,,,) j(w), t G [0,1], :

= 1

t > .

: ) <(;); )
) /(w).
. / . 10.
( 1 ) .
, :
F(x, t) = {& < } = P{ uj : &(u>) < x } =

x > 1:
1 t,
< 0:
0 t,
G (0,1]: { < t} t.

>

. 10


F(xu t\;x 2 , t 2) = {&! < \,&2 < 2} =
= P W '6 i M < 6 2 < *2} =
"

\
\
\
2

>
<
>
>

1, 2
> 1:
0 2 < 0:
1, 2 (0; 1]:
1, \ (0; 1]:

^ 2 (0; 1], \ (0; 1]:

1 t\, t2;
0 t\, t2;
{> < t2} = t 2 t\,
{ < h} = t\ t2\
{> < m in (fi, ^2)} = m in (^ , t2).

4.
rj
F(x). & = ] + t.
. :
F^(x, t) =

< } = P{q + t < } = {] < t} = F(x t).

:
F^(xh ti;x 2 , t 2) = {&1 < * 6 2 < * 2} =
= { + h < x i , T ] + t2 < 2} = { <

- t \ , 7) < 2

t2} =

= {) < min(Xi - ti)\ = F f m i n ^ - /,)).


=1,2
i=l,2
, - :
Ft(xh ti;x 2 , t 2; .. .-,xn, t n) = P{tl < * & 2 < 2,
= F( min

} =

(Xi-U)).

1 = 1,2, ...,

5.
& , ($1, , ) .

.
,
{: ^(;) } J-.
= const.
= {6:

sup ^ < },
te[0,1]
. . *, sup & < . , .
.
:
{ ^ }
, ,
, , , .
(, , ) , = =
= [0,1], [0,1]. &(w), t [0,1], ), t [0,1], :
&() 0,

t ,

t = .

{) . 11.
k Vt

. 11
& , . ,

, .

10. ,

X = (>) (, , ) , , . . .
- ,
(>) = (. ^ , { /} ,
i


X {}:
M {X } = J 2 xiP{At}.
i

X ,
/(),

{}=

| xf{x)dx

, .
( , X ) ,
.
X(t)
m(t) = M{X{t)}.

X(t),
, t. m(t) ,
.
, ,

t x(t) m(t). t D(t)


X(t) ,
t.
\, . . . , ,

F(x . . . , ) = Fi ( xi ) . . . F n(xn)
( f(x 1, . .. , ) )
f ( x h . . . , x n ) = f i ( x i ) . . . f n(xn);
Fi{xi) , /;(/)
Xi, i = l , . . . , n .
-
, . . X(^i) X(t 2 ),

K(tu t2) = M{(X(t\) - m ( h ) ) ( m ) - m(t2))},


X(t).

X ( t ) = X( t ) - m( t ) ,
K(t\, t2)

m , t 2 ) = M { X ( h ) X ( t 2)}.
, K(t, t) = D(t), . .
, , .
D(t) 0, K(t\ ,t 2 )
k(th t2) =

m , t 2)

a(h)a(t2V

a(t\) = ^ D ( h ) , cr(t2) = y/D(t2) . k(t\,t2) , k(ti, t2) . ,


, |k(t\, t2)\ < 1 t\ n t 2.
, Y h Z M { Y Z ) = M { Y } M { Z } , ,

k{t\, t<i) = 0, X{t\) 2 ) . :


k{t\,t 2 ) = 0. ,
X(t\) 2 ).

1. X(t)
X(t) U cos 9t + V sin Ot,
> 0 , a U V D. m(t) K{t\,t 2 ) .
. t
m(t) = cos9tM{U} + s m 9 t M { V } 0,

K{t\, ti) = M { ( U cos9t\ + V sin0i)(7cos0^2 + sin # ^ )} =
= cos 9t\ cos 9 t 2M{ U 2 } + sin 9t\ sin 9 t2M { V'2} +
+ (cos 9t\ sin 0^2 + sin 9t\ cos 9 t 2 )M{UV}.
U V
M { U V } = M {U } M { V } = 0,
,
K(t\, t2 ) = Dcos9t\ cos0^2 + Dsin9t\ sin 0^2 = Dcos9(t\ ^)2. 1, U V, 9, :

X(t) = U cos &t + V sin 0^,


U, V, 0 , M {U } =
= = {} = 0, D = M { U 2} M { V 2}, 0
f(9). , m(t)
K(ty, ^2) .
.
m(t) = M { U cos^} + M { y s in 0 ^ } .

U , V 0 ,
m(t) = Af{I/}Af{cos0*} + M { y } M { sin @ 0 = 0.
K{t\,t2), , 1 X( t)
0
K(tu t2) = M {X (h )X (t2) | = } = D cosflfa - t2).
K(t\, t2) f( 6 )

h) D

f{ 6 ) cos 6 {t\ t2) d 0 .

,
2

=<

7 2 + 2
0

> 0,
*
< 0,

| f(O)d0 = 1 ).

m , t 2) =
0

COS.2(V 2) d 0 = D e M - M h - t2 1}(2).
-f-

,
K(t\,t 2 ) \t\

, .
. /(0)
W K(t\, ^) , . , ,
2) 3)
.
(2) (., : .., .., .. . .:
, 1982).

2/ ( 7) = 0.
. ,
, X ( t) ( ).
.
3.
, a t\, t2 , . . .
t, , :
1) () , , = 0 , 1 , 2 , . . . ,
= ^

{ - 7 }

;
2) , , .
, t\, t 2 ,
. X(t), :

XI
*2

< t < t\,

t \ < t < t2,

t 2 < t < *3.


h < t < t4,

X1.X2.X3, . . . \ , 2 , , . .. , , D. X(t).
. , m(t) = 0, { \ } = { 2 } =
= { } = . . . = 0. K(t, t'):
K{t,t') = M{X{t)X(t')} =
= M{X(t)X(t') IA } P { A } + } ,

(1)

, (t, t')
t\, /2, h ,
, (t, t')
t\, t 2 , h , . . . . -

, 2, $, .. . M {X i X j} = M {X i} M {X j} = 0
i /,
M {X {t )X {t ') \A } = 0.
X(t) X (t') , ,
M{X(t)X(t') | } = 1{2(0} = D.
{} () \t t'\,

K(t, t') = D exp{\ \ t t'\}.
,
.
:
2 , 3 .
,
, .
4.
X(t) .
. X(t)
, V . V Dy.
, X(t).
. X(t)
V.
)} = M { V ) = m v ,

D{X(t)} = D { V } = Dy.

t' > t, = t' t. ,


t u t '
, = , . :
K ( t , t ' ) = M{X(t)X{t') IA } P { A } + M{X{t)X{t') | B }P {B } =
= 0 P{A} + M { i ( / ) i ( 0 } ~ = D y e - W - ^ .
t t'
K(t,t') = - ^ - ('\.

5.
X(t)
Y{t)
1

X(t) > 0,

X(t) = 0,

X(t) < 0.

-1

X(t), .
.
X(t) ,
V . V /().
Y(t),
, Dy Ky(t\, t%).
. t Y(t) : 1
+

J f{v)dv 1
_
=

| f( v) dv = 1 . ,

m Y = M{Y(t)} = \ - p + ( - \ ) - p = p - p ,

Dy = D{Y(t)} = (1 - ( - p ) f p + (-1 - ( - ))2 = 4pp.
, t\ ^ , =
, . :
Y(t, t') = M { Y ( h )

\ A } P { A } + M{Y(t\) Y{t 2 ) I

, Y(t\) (^) ( )

, M{Y{t\) (^) | ^4} = 0. , Y(t\) (^)

, M {Y {t \) F (^) \} = Dy 4pp.

Ky(tu t2) = 0 {} + Dy {} = Dy ~l'1-fel = 4~^ - ^ .

6.

X(t) .
. X(t) 1 1. K(t\,t 2 ).
. , t M{X{t)} = (1)
1/2 + 1-1/ 2 = 0

X(t\)X{t 2 ) : 1
P{X{tx)X{t 2 ) = -1 } =
t\ t2
1

1 - ~2
2
= |Ti ^|> 1

=0
,

(2)!

K{t), , [0, t).


,
.
1. : Ptj+T(k) [t, t + ) t:
V t, ^ G [0, + 00)

Pt't+T(k) = PT{k),

= 0,1,2,...,

. . Pt,t+T(k)
[t, t + ) , t.
2. : Pt,t+T(k) [t, t + )
, . , [t, t + )
t
. , ,
[^, t\ + t i ) , . . . , [tn, tn + ) \, . . . , .
3. : t
t t > 0:
lim PW > > ' > = < )
0
t
K(t),
, , , , K(t), .
, 1, 2, 3
P{K(t) = } =

= 0,1,2,...,


, 10 3. , K ( t ) t ,
At.
. M { K ( t ) } = At,
.

1.
K ( t ) . ty < t 2 < < t n k y < k 2 < . . . < k n

P { K ( t y ) = ky, K ( t 2) = k 2 , . . , K ( t n) = k n} .

. K ( t )
: K ( t ' , t ") [/', t").
= 2. ,
P { K ( t y ) = k h K ( t 2) = k 2 } = P { K ( t \ ) = k u K ( t u t 2 ) = k 2 - k y } =
= P { K ( t y ) = k y } P { K ( t u t 2 ) = k 2 - k y } =
= P { K ( t y ) = * , } P { K ( t 2 - ty) = k 2 - k y } =
_

W l) kl

\t

ky\

(A(/2 -

'

ty))h ~ k'

X( t 9 - h )

( k2 - k y ) \

,
P { K ( t y ) = ky, K ( t 2) = k 2 , . . . , K ( t n) = k n}
=

C ~XU

. (A(^2 - ty))k2~ k'

ky\

M U-U)

( k2 - k y ) \

. (A(^n-l -

(A(^3 - t2) ) k3~ k2 - M t i - U )


( h - k 2)\

t n- 2) ) k"- ' ~kn~2

-(*,.,-_) x

( k n- y - k n- 2)\
x

( (^

t n - i ) ) ka

kn~ l c - \ ( t n - t _ \ ) _

(kn - *_,)!
Xkne ~ xtat^'(t2 - ty)k2~ kl . . . ( t n - tn- \ ) kn~ kn-'

ky\(k2 - k y ) \ . . . ( k n -kn-{)\

2.
K(t) ,
a K(t) , K(t)

( ) . ^ K(t).
. :

t; \ t
; . . . ; t ;

P{K(t) = k} = p { j r {K(t) = k + m}{Hm}} =


m=

= Y : P { K ( t ) = k + m ,H m} =

{ I K(t) = k + } P{K(t) = k + ) =

=
k\

m\k\

- ) Y ,'
=0

(k + m)\
\

= ^k\ - " ( 1 _

(A(l - p ) t ) k _ (1-)
k\

. . K(t) (1 ).
3.
K ^ t i , h )
K(t) .
. t2 > t\.
K ps(ti,t2) = { ( - xh){K(t2) - a^2)} =
= M { K( h) K( t2)} - Xt 2 M{K{h)} - Xti M{K(t2)} + x 2 t{t 2 =
= M{K(ti)(K(t2) - K(ti) + K(tx))} - Xt2 Xti - Xti Xt 2 + X2 txt 2 =
= M{K(t\){K{t2) - ) } + * { ( )2} - X \ t 2. (1)
K{t\) K(t2) K{t\) ,
M{K(ti)(K(t2) - K ( t i ) ) } = M { K ( h ) } M { ( K ( t 2) - K ( t x))} =
= Xtt (Xto Ati) X2UU A2/?:

,
M{{K{h))2} = D{K(h)} + ( } ) 2 = /1 + (A*i)2.
(1),
^ps(^b ^2) Afi.
t 2 < h
Kpsih, h ) ^2.
t\ t 2

Kpsih, h ) = Amin(^b ^), ,


, . ,
t2 > t\
Aps(^i, t2 ) = M { k { h ) k { t 2 ) } = M { k m h t 2) - h h ) + k m } =
= M { k ( h ) 2) - m m

+ M{k{h)}2 =

= M { k { t x)} M { k ( t 2) - k ( h ) } + D { k ( t x)} = - + = x t h
4.
,
, . . , ( ).
, N ,
.
. \ , 1- ; 2
1-
2- . .
{\ + 2 + . .. + > N}.
F(t)
= \ + 2 + . . . + .
F(t) = P { T i + T2 + .. . + Tn < t } =
= { [0, t) > } =
= 1 { [0, t) < } =

=0

(/|" ' 'i = '. - <' ) *


( 1)!/
( 1)!
1

{ > N} = |
N

J f ~ xe - xt dt.
' N

:
-

4-

tn- le~x t d t = Nn le XN + ^ _ i | f - * e ~ Mdt =


N
N
+oo

N n~le~XN
\

(n - 1)Nn~2e~XN
>0

I-

(n - \)(n - 2)

3e xt dt

,0

N
N n-le-\N
\

(n _ ^ N n - 2 e -X N

f a _ _ 2 )N n - 3 e - \ N

>0

.Q

...

(n - 1)(n - 2)... (n - (n - 2))Nn~Xn~2+v>e~XN


+ -------------------------- --------------------------- +
+00
(n-l)(n-2)...(n-(n-l))
|
J e~M dt =
+
A""1
J
N
N n~l . (n l)N n~ 2
( n - l ) ( n - 2 ) N n3

XN
e
+
+
^ _ x t

, ( .-1 )( -2 )...2 - , ( - l) ( n - 2 ) ...1


+
-1
+
A
141
/
1 \I ^
-XN y * N* (/ n - 1)!
_ (n
- 1)!
v
= e
^ \ n~k k\
Xn ^
n ~

k= 0

'J k

1 / \ \T\k

(AAQ* ^

k\

,
. ,
{ > N } = { { + 2 + .. . + > N} =
{ [0, ( 1) } =
1
(* - N
k\
k=0
,

5.
K(t) .

{{3) > 2 7 < {8) < 9}.


. .
{ ) > 2 ; 7 < (8) < 9} =
= { / ) > 2;(8) = 7} + {/(3) > 2; ( 8 ) = 8} =
7

{ ) = }{{) = 7 - } +
=2

+ Y , ) = }{{) = 8 - } =
171=2
7

{(3) = }({{5) = 7 - ) + {(5) = 8 - }) +


=2

+ { :(3) = 8} {/:(5) = 0} =
-

( -

- 5 7-

~ Z _ . m!
m=2
=

-8

--5

V ( 7 - m) ! e

=2

. (5 ) -

(8 /)!

''

. <>* - .-5 _

J+

()" ()7- + _ 5 _\ +
\ ( 7 - ) \ \
8-/

8! *

_8

388
8!

= -8 7 -

171=2

+ J A _ \ + -83

!(7 - )! V

8-/

8!

- - 87 V - 3"57- " ( 8 - + 5)
2 -J
\(8 )!

- 83 ^
8!

171=2

. F(x, ) (X , Y): F(x,y) { < , Y < }\

() Y : Fy{y) =
= P { Y < }. { > \\ < Y < 2}
F(x,y) Fy(y).
{ > - < Y < 2 } = { > - Y < y 2 } - P { X > x 1; Y < },
{ > 1; Y < y 2} = P { Y < 2 } - { < Y < 2},
{ > 1; Y < \} = P { Y < {\ { < ; Y < \}.

{ > \\ \ < Y < 2} = P { Y < 2} { < ; Y < 2} - ( . P { Y < } ~ { < \\ Y < /j}) =
= Fy(y2) - F y ( y i ) - F { x \ , y 2) +F{x\,y\).
X = (3), Y (8).
p ( k h k2) =

kj

) = ,

= 2},

2= 0 \= 0


2 > :

{{) = (8) = 2} =

2 <

{(3) = /(8) = 2} = 0.

\ \

(2-\)\

{(3) > 2; 7 < ( 8 ) < 9 } = J 2 ^ _8 "


/2=0

^ 8 "

/2=0

{ ( 3 ) = = *(8) = 2} +

/22=0 /21=0

= = 2} =

2= 0 /21 = 0

=
/2=7

^ _8 -

) = 01. *(8) = " 2} =

2=7 1=0
< W _ -8 A

' V '

= /2=7
!^ 8-
n
2=7 1=0

< > " |5>.......

l! (2 1)!

.-8

6.


, .
K(t) ,
(At)n
t. , P{K(t) = } =
. \ ,

..
\ , 2 , . .. \ ~ .

P{K(t) = \ = { 1 + . .. + < t\ \ + . .. + + +\ > t}.
Un = \ +
+ . .. + . ( 7
7; ).
( ). X
/), Y /2(),
X J , Z X + Y

()=

J h(x)h(z-x)dx.

,
{%) U2 = \ + 2 :
Z

z) = -** Xe~x{-Z~x)dx = X2 e~Xzdx

2_ | dx = A2 ze~Xz

( > 0).

3 ()
U3 = U2 + :
z

) =

.3 2

2~-Xe~x(-Z~x^dx = ~ x d x = - e ~ Xz (z > 0).

() Un = Un- \ + \
f

() =

\ - 1

?_
( 1)!
,() = 0

> 0,

z <. 0 .


P{Un < t, Un + +\ > ^},
X+ i \~* Un. ,

{ < , X + Y > z},


X fx(x), Y X FY(y).
,

{ < , X + Y > z } = | fx { t ) { \ - F Y{ z - t ) ) d t .
, X .

{<, + Y > z } =

Y , P{X = xi t X + Y > z } =
i: Xi<x

P{ X = x i , Y > z - X i } =
i: X i < x

53 P{ X = x t} P { Y > z - X i } =

i: X i < x
= 53 P { X = x i} ( \ - P { Y < z - x i}) =
i: Xi<x
=

5 3 P {X = X i } ( \ - F Y{ z - X i ) ) .
i: X j < x

, X fx{x),

J fx(v)(l - F Y( z - v ) ) d v ,

. ,
t
P{U < t , U + X n+i > 0 = 1 {){\ - FXn+l(t - *)) dx,

Fxn+l (v) I Xv +\.


t

P{Un < t, Un + X n+{ > t} = | ^ 1 ^ ( 1

\ n v n 1

- (1 - - <*-*>)) dx =

bJL
e~xtdx =
e~xt
(n 1)!
(n 1)!

n\

.
7.
, , , 50 . , 1 20
30 ?
. \
, .2
.. K(s)
s. ,
s ,
P{K(s) = ) = { + . .. + < s, \ + .. . + X n + X n+l > s}.
\ , 2 , . .. , , M X t = 1/ = 50 . ,
6, ,
P{K(s) = } = (- ^ f e - Xs.

p { k 1 < M s ) < 2} =

{ = }.

n k\

= 1/50, s = 1000, k\ = 20, / = 30

8 ( ). K(t) , - Vj. Vj F(v), . , Vj,


j = 1, 2 , , K(t) .

m
Q(t) = E v h
. . K(t) Vj.
,
t. K(t) , t, a Vj
/- .
m(t) =MQ(t) K(t\, t 2 ) =M {(Q(^i) m(t\))(Q(t 2 ) /w(^))}
Q(t).
.
. , X

, , v?x(s) X
{ } :

Q(t) t.
+00
m t ) (s) = M { e isQ^ j = ] M { e isQ | K(t) = k}P{K(t) = k}.


M { e isQ{t) | K(t) = k } = M{Vs E /=> vi} = M { e isV'eisVi.. . eisV*} =
= M { e isVl} M { e isV2} .. . M { e isVk} = (<pv (s))k,
(fv(s)
Vj, / = 1 , 2 , . . . ( ),

_ e-At . e<pv(s)-\t _ e-\t(\-ipv(s))


,
M {Q(0} =

=
5=0

M {Q(0}
:
m(t) =M{Q{t)} = At - M V .
: , . . M V ,
, . . At.
.
t2 > t \ .
K(th t2) = M{Q(t\) Q fe)} - m(ti) m(t2) =
= M {Q (^)(Q fe) - Q ft) + Q m } - A\ t 2 ( M V ) 2 =
= M{Q(tl)}M{Q(t2) - Q(h)} + M { Q 2 (h)} - AH M M V f =
= \ t \ M V { \ t 2 - A*i)MF + M IQ 2^ ) } - \ 2 t M M V ) 2 =
= -(A tx) 2 {MV) 2 + M { Q 2 {tx)}.

Af{Q2(^)} :

**<}- -(% ^ )L =0= <-1)(^{-<*>,})L=o=


= (l)A#ife~x/l(1-v,<e))A/i ^ d- v{s)) 2+e~xt[ V - w W - 2f -Y-^ sl \
I
\ ds J
ds2 J s=0

= (_ , )All{Af l( ^ > ) 2 + ^

}
5=0

,
MV = - i ( ^ e ^ j

M { V 2} =

ds2

( d<pv(s) \
{ - )

= - ( M V ) 2,

d 24>v(s)\

s=

ds

= - M { V 2},

J 5= o

M {Q 2 (t\)},
M{G?{tx)} = - X t x{ X h ( - \ ) ( M V ) 2 - M { V 2}) =
= (^)2()2 + ^{2}.

K{tu t2) = \ h - M { v 2}.


, t\ > t2 K(t\ ,t2) = 2 - M { V 2}. , ^ t 2

K(t\, t2) = m in(/b t2 ) - M { V 2}.


, D{Q()}
D{Q(t)} = K(t, t) = Xt M { V 2}.
, , , , . . Xt, , .. D V = M { V 2} (M V )2,
.

12.


,
,
, , , .
, 2, . . . ,
; X ,
. X
.
1. 1 ( : , ). , = 1 , 2, . . . ,
X 1,
{>:

- } = 1.

>

:
\ (), 2 = 2 (),...
= ()\ , , >, lim = , 1.

: { >X} = 1,
1
*, - 2 ^ X ( .. ..
).
2. .
, = 1 , 2 , . . . , X ,
lim { ( - ) 2} = 0.

~> X.

3.
. , = 1 , 2 , , X
, >
lim 5 = 0,

5 = {\ - \ > ).

: >X.
, ,
: X .
, , . . , 1 .
(. 8): - k >
Y M{\Y\k},
>
M{\Y\k)

= 2 Y X,
{\\>}<

{\ - \ > } <

{( - ) 2}
.2

, {{ JT)2} > 0 > ,


{\ \ > } 0 , . . .
, 1
. >

= {: 3 N = N(u) > N \() - {)\ < }.
, = 1, 2, . . . , X 1,
{ } = 1.
Ae = {u:VN > N

>};

{ } = 0.
Bjv = {: 3 n > N

| - | >}.

= ,\>2,3 =

k= \

,2 D . . . D Bejk ,

. . . .

, ,
-,1 + \ 2 + 2 + . . . + BikBji+1 + ...

X] ^ ek ^,k+1
*= 1

{} = { } + ^ P { B e , k B ,k+l}.
k=\
N- 1

_______

S N = J2 P{Be,kB,k+1};
k=\

P{BS,l} = P {A e} + Hm SN.
N -+ o o

*
P{BtkBjk+l} = {} - { +}

k = 1,2,...;

S m = ^{} - P{Bfl }
{} = { } + {{} - Jim {,}),
N-+00

Jim P{B,N} = P{A e} = 0.

N >


, = {: |*w(w) - X(w)| > ).
CtN ,
0 < {,} < P{Be,N}.
Af >,
lim {^ } lim {| \ > } = 0, N >

N >

, 1, , .
( 1, , )
.
4.
. :
, = 1, 2 , . . . , Y
,
Fyn(x) Fy(x) ,
Fy(x) .
,
: > { | - | > } ^ 0
> , Fyn(x) >Fy(x) , Fy(x)
.
P{Yn < x } = P {( Y n < x ) ( \ ( Y < x + e)} +
+ P{(Yn < x ) f ) ( Y > x + ) } < P { Y < x + s } + P { \Y n - Y \ > e } .

P { Y < - } = P { ( Y < - e ) f ] ( Y n < )} +


+ P { ( Y < x - e ) r \ ( Y n > x)} < P { Y n < x } + P { \ Y n - Y \ > e}.
, 8 n(e) = P{\Yn Y\ > e}
,
Fy(x - ) -

8 ()

< F y j x ) < Fy(x + ) + <5().

(1)

> 0. Fy(x)
, Fy(x + ) Fy(x )
, /2 . , N, , > N 5() < /4 . ,
(1), \ > N 2 > N
\ < ^

lim Fyn() . (1) ,
Fy{x), .
. -

: ) 1, ) , )
, )
. , ,
(..).
X(t)
l i m A f { ( * ( /) - * ( f o ) ) 2} = 0 ,
t HQ

, X(t) .. t = to-
(, ), .. (, ).
X(t) Y

X(t) .. to, Y .. X(t)


^; Y
K(t, ) X(t). .. X(t)
.
M{{X{to + h ) - ) ) 2 } = M{X{to + h) X( t 0 + h ) } ~
- 2M{X{to + h) X( t 0)} + M{X(t o)X(t 0)}.
m(t) = M{X{t)}. , t' t"
K{t', t") = M{X{t ')X{t")} - m(t')m(t");

M{(X{to + h) X ( ^ o ) ) 2 } = K(t0 + h, to + h) + m(to + h)m(to + h)


- 2K(t0 + h, to) - 2m(to + h) m(to) + K(t0, t0 ) + m(t0) m(to).
, m{t) to,
a K(t,u) t = to, X(t) .. to. , : .. X(t) to m(t)
K(t, ) t = = to-

, .. X ( t) (, )
1. ,
, 3 10,
1 , , . ..
, m(t) = 0 K(t, ) = D exp{A|f u|} .

.. X(t) to m(t) K(t,u). , , dm(t)
dK2 (t,u)
tn
at
atou
t = to. , ..,
.. , .
, , .
X(t) m(t) K(t\, t<i). X{t)
.. .. X'{t),
_
dm(t)
mdt) = ~ d r

"

v
d2K{tu k)
' ( 2) =

m\(t) K\{t\^ t<i) X'(t). ,


..:

,</) = { ' = { ( ( > } = 1 {(1)} = Jd f - ,


K d h , t2) = M{{X'{h) - m S M X ' i h ) - ) } =

= { m t ) - m(t))
I at

(X(t) - m(t)) I

t=txat

}=

Itt2 J

- m m ( X ( t 2) - m(/2))} =

X(t) X'{t),
*01 ( 2) = { ( {) - m{tx)){X'{t2) - /(*2))},

1.
X i , 2 , . .. ,
Fi(x),F 2 (x), . .. . ,
lim Fn(x) = G(x)
>
G(x). ,
, \ , . .. .
.

0
Fn(x) = < ^
1

< ,

< X < ,

X > ,

= 1 , 2 , . . . . , ,
lim Fn(x) =

1
2

,
\ , 2 , . . . .
2.
,
(. . ).

- . ,
. [, 0]
,
, 0.
, / = 1 , 2 , . . . .
()
:
2,

1,

{) =
. :

k=\

k=\

. X = 1. . > 0.
{\- \ > } = p | w rn,r n+ ^ j | =

0 > ,

.
:

{(' - ) ! ) = \! \ \ - \

1} =

= /> { * [r,r + i ] } = . 1 . 0

00,

.
, 1) 1
. = \[ ,
\ = Xi ( c Oi [ x ) y 2 ^ 2 ( ^ f i x ) >

1. , 1
^ - N k=i

* > N, , )\[

*>* + i ]

= 2.

2) . ,
0
^ 2,
fe=i k

Wfix ^ f n, + ~ , , = 1.
^

{, = } = ,
{: lim ^() = 1} = 1,
-+
1 \ , 2 , . . . .
, = 1 , 2, . . . ,
fn(x) = -
7

( ).

1 +

\ , 2 , . . . .
. fn(x) -,
X = 0.
.
> 0.
{\ - \ > } = {\\ > } = 1 - {\\ < } =

1
/ \ j
1 2 n f dx
, 2 f 1
dt
= 1 f J x ) dx = 1 ------------^ =1
=
J
f . 1+
7 J l + fi n

0
2
= 1
arctg t i e > 0 n oo,
7

. e. .
.
La J

M{{Xn - X ) 2 } = M { X l } =

| x 2f n(x)dx =

TLX

-4

7(1 + 2 2)

, .
( 4^ ,
, .

. , = 1, 2 , . . . ,
,
[0,1]; X . , . . , , = 0,01.

{\ - \ > } > { \ 0 ; -1 - - } , [ l + ; l ] } =

-()

1 1 ^ 2
4 - 2 +

. . 0 *, .
5.
,
( )
.
. K(t) . > 0.
K(t + h ) - K ( t )
*

0- > } = - { 5 2
= 1-

, } -

< j = 1 - P{K(h) < h s}.

h he 1,

1 - P{K(h) = 0} = 1 - ^) ~ = 1 - ~,
, 1 e~Xh > 0 h 0, ,

0.
X{t) :
6.

f(x). X(i): ) ; ) ?
.
. -

.
Kx(t ^2) X(t)
2) = { } = ( ,
| { (0 } .

'
t \ = t 2 = t.

D{X{t)}

J ( -

mx (t)) 2 f( x ) dx > ,

mx (t) = M{X{t)},

X{t) . . t,
Kx (t\,t 2 ) t\ = t 2 = t.
X(t) .
, ,
S >
]im P { |* (f + e) - J t ( 0 | > 5} = 0.
>0
t P{\X(t + ) - X(t)\ > 5 } 0.
X{t + e) X(t) . X(t + ) X(t) X(t + ) X(t). , X(t) / ( ). , Y = X; Fy{x) fy{x)
Y ; F{x) f(x)
X.
FY{x) = P { Y < x } = { ~ < } = { > - } =
= \ - { < - } = \ - F(-x),

Tx F y (x ) =

T x { l ~ F { ~ X )) =

/(_ )

. ,
(. 6 11) X(t + ) X(t)

g(x)=

J f(u)f(u-x)du.

,
V5 > 0

lim P{\X(t + ) - X(t)\ > 6 } =


>0
, .

7.

X(t) = [0,1] :
X(t) = l v "
[ V2 ,

<
t > ,

, [0,1],
V\ V2 m D > 0. , V\, V2 . , X(t) . .,
1.
. mx (t) = {{ t)}.
, :
\ = {t < }
{\} = 1 t, {#2} =

t.

#2 = {t > }.
-

mx (t) = M{X(t) I Hx} P { H x} + M { X { t ) I H 2 }P{ H 2} =


= Af{Vi}(l - t ) + M { V 2}t = m - ( l - t ) + m - t = m,
. e.

.
Kx(t i,t 2 )-
t\ < t2 - , :
mx(t)

\ = { < t\},

2 = {h < < t2},

Hz = {t 2 < }.


Kxi h, t2) = M{ X{ t x) h t 2 )} = M { h h ) h t 2) 1 Hi} p{H\ } +
+ M { h h ) X ( t 2) I H2} P{H2} + M{X( t i ) X( t 2) I Hz} P{Hz} =
= M { v 2 v 2} h + m { v x v 2} (t 2 - h) + M { V X. Vi} (i - 12) =
= D t\ + 0 (t 2 ^i) + D (1 ^2) = D (1 (/2 ^i)), t\ > t 2
X x ( h . h) D (1 (^i tz)),

t\ t<i

Kx {tu h ) = D - { \ - \ h - t 2\).

lim
4

Kx (th t2) = Kx (t,t) = D ,

. . X(t ) ( .
).
1 X(t), . , , V\ V<i .
:
P {V 1 = V2 } = P { V 1 - V 2 = 0} = 0,
, V\ V2
( ),
.

13.

, . x(t) X(t),
, - , . . .

t: t\, . . . , t n
X(ti + ) , . . . , + )
. , , .
/(* 1, . .. , \ t\, . . . , tn) X{t\), .. . , X ( t n), a f { x \ , . . . , x n\
t\ + , . . . , t n + )
+ ), .. . , X ( t n + ) (, ). X(t)

f(x 1, . . . , x n] t h . . . , t n) = f ( x i, . . . , \ h +, . . . , t n + r).
, = 1
fixi'Ji) = f ( x i; 0),
. . X(t\) t\
. ,
m(t) = M{X{t)} = )} = const
(, ,
) t . , = 2
f { x \ , X 2 \ h , t 2 ) = f ( x i , x 2; 0 , t 2 ~ h ) >

. . X(t\),X{t 2 )
t 2 ~ t \ . , X(t\),X(t 2 ),
K{t\,t 2 ),
ti t 2 , (, , )
t 2 ~ t \ . K { t \ , t 2 ) = , = ^ h
, . :
, , . , , , 10,
. ,
(
) . , , .
, () . ,
K ( t i , t 2 ) = K ( t i - 2) = (), K ( t 2 , t \ ) = K ( t 2 - ) = (-).
, , K ( t \ , ^2 ) = K f o , t i ) , () = ( ).
, K ( t \ , / 2 ) = (),
T = \ t 2 - h\ .
12
.. : .. () = 0,
.. "{0). , , , 1 10
() = D cos 9, .., 2 3 10 () = D exp{||} ..,
..

. , : ;
; , ; . ,
,
.


, .
X(t) (),

t
Xi = X(ti), i = 1,2, . . . , , (), . .
^
f ( x h x 2,

=
1

r::n f

(27t)//2<ti<T2 . . . crnD1/2

1 f

2Z)

n (xj-m dixj-m j) }
11
<7,</
/'

mi = M{Xi] Xi, a f M{(Xi mi)2} = M{(Xi)2}


Xi\ D - ,

= ~^M{(Xi
cricrj

mi){Xj

mj)} =

(JiGj

D=

Pl2

Pin

P2\

P2n

(Pij Pji> Pii 0


Pnl

Pn2

Dij D.

(\
= { ( )},

=
W

f{ x \, x 2,

:
1
f { x i, x 2, . . . , ) =
= |- 1 ( ) / 1 | ,
(2)/ 2 /\\
\\ .
^ , D 0;

, D = 0, .

= 1 = 2
:

/(*:) = W
T ?

1
/(x i - m i ) 2
<1 2 ( 1 ^ 7 ) (.
^

0 (jci - mi)(x2 - 2) (x2 - m 2)2\ l

2
--------- + ^

= pi 2 = 21 = {{ - \){ 2 - 2)}
<71(72
.
- , \\ : |/| 0.
n- , , . , X ,
Y k < , ,
X Y. \\ = 0, , X .

. \ 2

\\ = 0 {\,2) . , \\ = 0,
\ 2 ,
ciXi + 2 2 - 0.
, {\,2)
\\ + 2 2 = 0,
, , ( \ , 2) ,
.

=
, = \\ + 2 2 :
= 0.

0 = { ( ) } = { } = ,
. .

(ci + 2)2 = 0,

\ = 2 2 ,

, \\ + 22 = 0 2 = 2\ X 2 = 2 \.
\ 2
\ 2 , \ 2 = 2 \,
2 , . 12.
( \, 2 ),
( Y2 ). , \ 2 Y2 = 0.
Y\.

[, 2 ^, ], 2
\^.
1

2
f <
'| ~ ' ' 7 5 + ' ! 7
2
2 \

V5 J +Gx 2 V5'

2_\

/_1

V5
(e-i *) _2_
\V b

(e|/i /)

V5
J_

V5 )


(*. )

( 1 /2 )

/ 1
/5
_2_

V5
J_

V/5

/5

/J _
/5
2

2 \
/5
1

\ /5

/5 /

1
V5

*i
2

_2_

"/5

2\
/5
_ 1_

/5

,
W i +
1 = -/5
/5
=

!- = 5.

= { } = (

_ L ) Q = o,


D { Y l } = M{Yi } f } = M { 5 X X TfiT} = 1{} =
/J_\
V5
2_
-

; ;

\7/

1.
, .
. , , . ,
,
. ,
.
X(t)
. ,
/X(h)\

fX{h

0)\

\x (t

+ Q)J

t\, . . . , t n,0.
X(t) .


. X(t)
,
M{X(fi)} = . . . = M{ X(t n)} = mx = M{X(t)} = const,

kij = M{X(ti)X(tj)}
kij = Kx (tt, tj) = Kx (tj - ti),

Kx (u,v) = M{X{u)X{v)} X(t). :


M{ X{h + 0 ) } = . . . = M{ X( t n + ) } = ,
kn = M{X{U +
= X x (ti +

tj + ) = K x ( ( t j +

+ )}

) (t i

+ 0 ) ) = K x (t j t{)


. , .
2.
, . . .
.
X(t) mx(t) = const Kx(h, ^2) = Kx(t 2 )-
X'(t ):

d2Kx {th h) _ d2Kx(t2 ~ t\) _


dt\dh
dt\ dt2

K x 'ih h) =

d2Kx(r)
dr2 T=t2- t x

, X'{t)
.
3.
\ % ( )
. , \ 2 ?
. , . . f i x 1,) \
2
. (x \+ x l)/(2 < 7 2)

X iX 2 >

Q.

f i x i,x 2) = <
{ 0

XjX2 < 0.

/( 1, 2) dx\ dx 2 -I- I I f i x 1, x2) dx\ dx 2 =


OOOO
= ^2
e - (x*+xi)/{2a2) d x { dx 2 =
0 0

JJ

0
0
.

OO
n
e~x' /(2a2) d x ^
0

^(|

f(x\) \:

f i x 1) =

f { X i, X 2) d X

-\/( 2<2). 1
7<7

- 4 /V ^ ) d x 2

\ >

*?/(2<72) J _ [ -|/(2<2) d x 2 X! <


7

-?/(2 2) 1
772

0- \/( 2 2)

/27

, /() 2
1 -4 /(2 2)

, /(xi) f{x2) ,
f { x \, x 2) .
f(X2 ) =

4.

.
, , , . F(x).

, G t ( )
Gexp{r}.
g.
Af{A(/)} X(t) t,
{(0} t -+ .
. t, , to = . (to,t) s(-:
to = s 0 < s\ < s 2 < .. . < Sj_i < s i < . .. < s_i < sn = t;
n , A s(- = st- s;_i . , [s;_i,S;),

gXAs,. t , gXAsi
exp{r(^ s,)}, , gXAsiexp{r(t s,_i)}; , (st- _i,st-), gXAsi exp{r(t ,)}. {
, t
gXAsiexp{r(t ;)},
X(t) t,
x( t) = f 2 Xi,
i=i

M {x (t ) } = j 2 M{Xi).
i=i

M{Xi} As,- , gXAst {( 0}

Xi gXAsi {^ )} , 0 1 pi, - ,
,- ,

(t ,) :
pt = p { n > * - & } = 1 - { < t - t i } = 1 - F { t - i i ) .
,
M {Xi ) . gXAsi exp{r(* - 6)}(1 - F{t - &))

M{X{t)} g A A s ( exp{r(t - ) } 0 ~ F{t - 0),


;=i
, As;.
max As,- 0,
i

t

M{X{t)} = Xg exp{r( - s)}( 1 - Fit - s))ds.


0
1{(/)} t , = t s:
t

exp{r( s)}(1 F(t s)) ds = {}(1 F(u)) du

t
exp{ra}(l F(u)) du.

lim jVf{X(0} = Xg [ {}(1 F(u)) du,


J
0
. : ,
m(t) = M{X{t)}
, m(t) const. , ,
:
F{u) = 1 exp{ /j,u }, > 0.
t QO

Xg

{}(1 F(u)) du = Xg j exp{(r )} du.

, > , < -, . . /i

(
1 00
1
- = | uF'{u)du) -.

Xg | exp{(r fi)u} du =

Ag

exp{(r fi)u} du =

Ag

fl r

(1 - exp{(/i r)T}).

, ,
{(fj, ) \ < 0,01, > - In 100.
\
5.
:

V3
=

1 2 7 2

251
\ ~ 2 ~ 2
~ ~ 13 ~ / '

: )
, ) Z = X 2 Y.

.
1

fix, )

2 / 1

- -

L1 _ ( f< ( x - m

^ _ 2p ( - ) ( - )

(-

2(1 - 2) \

:
=

1
2(1 - 2)2

2(1 2)&'

=
(1 - 2)

1 2 7 2
,
25
- 2 ~ 2
~ ~ ~ =
= - ( - )2 - ( - ) 2 + ( - )( - ) =
= ( 2 2 + 2) ( 2 2 + 2) +
+ ( - - + ).
, , , , ,
,

= 1 , = 1 , = - 1,
2 = 1,
2 - = 13,
- 2 - 2 + = - .
, :
= i,

= -7,

= -1 ,

= 1,

= 4 =
t>
; /

/=

- \/7<.

2(1 -

2)*1

(1 - )

=-1,

= \floy,
:
1

/7

/6 ~ yfi'
:
1

271-0-* \ / l -

(-

1 X/Q -

A" /i 1~ ^

[?

7rv/2


= (

= / 7 /6 - 1 / 6

2 )

V 1/6 1/6

M Z = M X - 2M Y = mx - 2 m y = l - 2 - ( -2 ) = 5,
DZ = DX + >{27} - 2 cov(Z, 27) = a x2 + 4of - 4 axayp =
__ 7

4 _

/7

_1_ / ____ 1_ \

6+ 6
4''^
/7 2 , Z M Z = 5 DZ 5/2. ,

( \ _

6.

1(2 - 5)2 1 _
^ _ | { 2 '
5
}

1
(2 - 5)2 1
V 5 7 6XPl
5

X{t)
mx(t) = M{X(t)} = () = ~/2'2/ 2.
/(, t; , t)
X(t) .. Y(t) = X'(t)
t.

. ,
.
, ,
. Y{t)

m Y( t ) = M { Y ( t ) } = j tM{X(t)} = 0
(. 3)
K

(t ) =

~ 2 K x ( t ) = 1 ( 3 2 ~ 22/ 2 (1 + 2 ) .

X(t) Y(t)
(. 12)
K x y i h , t2 ) = M{{X(t{) - mx(t\))(Y(t 2 ) - my(t2))} = - ^ K x ( t \ , t 2 ),

K

x y

(t )

= '() = - 2 (32 ~22/2.

, X(t) Y(t)
cov(X(t),Y(t)) = K x Y(r)\r=o = 0.
, X(t) Y(t)
D{X(t)} = {) |=0 = a 2,

D{Y(t)} = K Y(r) |=0 = 2/?2.

,
X(t) Y(t) , . .
. 1. 0 = * . 0 .-/ ( ! / . 0 =

+ ^ ) } .

: X(t) Y(t).

7.
, :

= w s)- ^ K

> 0 , K(t)
.
.
M{ N(t)} = 1 (M{K(t + )} - *)}) = 1( (t + ) - At) = .

KN(tu t2) = M { N ( h ) N ( t 2)} - Af{^(^)}Af{JV(f2)} =
= M { ( K ( h + ) - K{tx))(K(t 2 + ) - K(t2))} - A2.
. ,
t2 > t \ . t 2 t\ > K{t\ + ) K(t\)
K(t 2 + ) K(t2)
+ ) - ) ) { 2 + ) - K(t2))} =
= M{K{tx + ) - K{tx)} M{K{t 2 + e) - K(t2)} = Ae Ae = A2e2.
0 < t2 t\ < .
{ + ) - m r n m + ) - ] =
= M { K ( t 1 + ) - K(t2) + K(t2) - K(ti)) x
X (K(t 2 + ) - K{tX+ ) + K(h + ) - K(t2))} =
= M{(K(t\ + e) - K(t 2 ))(K(t 2 + ) - K(h + e))} +
+ M {(K{t\+ ) - m

+ S) - } +

+ M { (K ( t2) - K{h)){K{t 2 + ) - m

+ ))} +

+ M {( K( t2) - m m m + e) - } =
= A (tx + t2) A (t 2 /j) + M{K{t\ + e) K(t 2 y\ 2 +
+ A (t 2 ^i) A (t 2 -t- t\ e) + A (t2 ^i) A (fj + t2).
,
M {K (tl + ) - K ( t 2 ) } 2 =
= D{K{t\ + ) - K(t2)} + ( { + ) - K { t 2) } f =
= A {t\ + t*})

~\~


:
{ \+ )~ + - } =
= A2(^i + s ^2X^2 ~ ^1) " A2(^i + ^ ) 2 - A(fi - s ^2)
+ 2(^2 ^l)2 + 2(^2 ^lH^l + h) =
A2(^i + ^2X^2 ^1 +

~ ^2) + A(^i + ^2)+

+ 2(/2 h )(^2 t\

t\

ty) =

= ^A2(^i + ) + A(^i + ^2) H S)?(t 2 t\) =

= <sA2(^1 + 6 ^2+ ^2 ^l) + A(^i +


/2) 2A2 + :A A(^2 ^l),

KN(th f2) = -
1
,

~ t\).

1\ > ,


t\ > 0,

^ k ) = \ X

|h ~ *i| > ,

\t2 - h\ < .

8.
X(t + ) ..
X(t)
()
X(t + A ) * X ( t ) + ^ .
at
,

4.

. M{e{t 4- )} = 0,
D{e{t + )} = M{e(t + )}2 =
= M{ X( t + } 2 + M{X{t ) } 2 + 2 { * - 2M{ X( t + )(*)} ~ 2*{*(* + ) ^ } + 2 | ( 0 dX(f) 1
dt

(), :
MX(t) = 0, Kx(h, t%) = { (^ ^ )} -
M [ d X ( t ) Y ^ # K x (tuh)
d 2Kx(h - fr)
\ dt f
dtidt2
tl=t2= t~
dt' dt*
_

d K x ' ( t 2 - t\ )

dt i

= - K x " ( h ~ h)

h = t 2= t

t\=t2=t

= - K x "{ 0 ).


M ^ X { t + ) ^ } = ' ( - ) = - K x (A),
' () {)\
{ ) * } = ' ( 0 ) = 0,
() ,
X{t) . .
,

0{(* + )} =
= (0)

+ {0) + 2 { - "{0)) - 2() - 2 ( - '()) =


= 2( ( 0 ) - ()) + 2 ' ( ) - 2 "(0).

( 1)

'{0) = '"{0) = 0 (),



() (0) + %- "{0) + ^ 4 4)()2

' 7

4!

) ~ / 0 ) + ^ 4 4)()-

(1),
D{e(t + )} * 2 ( - ^ - "{0) -

+ 2 ( "(0) + ^ 4 4 )( ) ) - 2 0 ) =
= - A 2Kx " ( 0 ) - ^ K f ( 0 ) + 2 A 2Kx "(0) + ^ K f ( 0 ) - A 2Kx "(0) =
= 4 4)(0).
.
9. X(t)

Kx(t t2) = Dx e~a

cos[(3(t2 - ^)],

a > 0, (3 > 0. X'(t) ..


X(t).
.
Kx<(t\,t2) X'(t):

t \

d?Kx(ti,t2)

''-h) =

st,at,

(P Kx ih -tx )

at,at,

. ,

= ~* ('2' h)'

Dx >- Kx >{t\, t2)\tl=tl=t = ~ K x " ( 0).



() = Dxe ~ ar2 cos (,
'() = Dxe ~ aT2 (.2 cos / f3 sin (),
Kx"( r ) = Dxe ~ ar2 {2)(2 cos ( (3 sin () +
+ Dxe ~ aT2 (2a cos ( 2(sin () (3 (32 cos (),
:
"( 0) = Dx ( - 2 a - (2),

Dx >= (2 + /t ) D x .

10. X(t)
mx(t) ().
Y(t) = t2dX{t + 2) + tX(t - 1)
at
, ( ..) .

. :
M{Y{t)} =

+ tM{X{t - 1)} =

-= t 2 d M{ X( t + 2)} +

= t2 ^ x ( r )

+ t m x (T)

dt
dr
T=t+2
r= f-l
7 (0 :
(0.0) =
=

+ -

= { !

{
+ f2h

dt\

. ^ (| 2 ) +
at2

dX(h+ _2 ) ^

_ l) +

+ ^ 1 ( 0 - 1)} =
2

. ^ + _ 2 ) . ^ 2 _ 1} +
at i

x { h _ 1} x { h _ 1}j =

+ 2)1(0 + 2)} + t\t2^-M {X(h + 2)1(0 - 1)} +


+ tlh-^-M{X{h - 1) 1(0 + 2)} + 00 M{X{h - 1) 1(0 - 1)} =
Ot2

= t 2 f* W m

K x {t2

+ ^ lo ^ ^ ( o

~ tl) + ^

~ h - 3) +

- 0 + 3) + 0 0 ^ x ( 0 - 0 ) =

= - ^ / | ^ " ( t ) | t= ^_^ - t\t 2 Kx!(r)\T=h_ h_z +


+ \ {r)\Tz=h_ h+z + tit 2 Kx(T)\T=h_ h .
11.

{)

(() = ) + * - ^ + ^ ? - ,

X(t) , (); , , .
. , MY(t) = 0.
,
K Y(tl , t 2 ) = M { Y ( t l)Y(t 2 )} =
= M {{ aX h + + cXh)(aX t2 + bXh + cXh )} =
= M^cP'X^X^ + abXt{X t2 + acXtiXt 2 + baXtxXt 2 +
+ b2X hX h + bcXtiXt 2 + caXtlXt 2 + cbXtxXt 2 + cPXt^Xf^}.


M { X tlX t2 = KX (t\, t2) K X (t 2 - t\) = K x ( t ) ,
M { x tlx t2

^ - M { x tlx t2}

K x (t 2 - h)

M { x hx t2 =

= A 5(r),

M { x hx t2 =
M { x tlx t2
M { X hXt 2

K'x {t),

= K x (t 2 - h) = - K'x (r),
M { X tlX ti} = J ^ - K x (t 2 - t i) = - K fJc(T),
<% dt 2
d3
d3
{ 2} =
dt\ dt\
<%<9/f
*

dt\ dt2

M { X tlXt2 = | | 1{ , } = 2 - h ) = K x ( t ),
M { x tlx t2
M { X tlX t2

93 M { X tlX t2} = 1^ - K x {t2 - h ) =

dtfdt 2
dA
/2

dt\dt 2
d4
f2*,2J

K 'Z { T ),


* ( 2 )= * { ) )} =
= a 2/ f z ( r ) + a W ^ ( r ) + ^ ( ) + ( - ^ (

+ 62( - ^ ( r ) ) +

+ &(-^() + '() + cW ^'(r) + 2 ^ (),


, ,
Ky(h, h ) = 2 () + (2 - 2 )'^) + 2 ^().
12. X{t)
:
mx ( t ) = 0,

()= De~a2r\


(X(t)\
( = m
,
\ m j
.

. (0 , , , X(t). ,
M X ( t) = 0. :
= M{X{t)X{t)} = Kx (t, t) = (0) =
12 = M{X(t)X(t)} = M { X {h )X { t2)}\h=h =
M { m ) x m \ k=h = - h)

h=h
CY^T2 \ f I

hh

= ^ ff( r ) U = ( ^ -- ae 2r2\
r ) n' 1I = o =_ - 2o J2 a1
K 22 = M{X{t)X{t)} = M { X{ h )X {t 2) } \ h=:t2 =

a2

a2 M {X ( h ) X ( t2)}

<% dt 2

h~h

dt\ dt2

Kx(t2 ~ ^l)

tl=t2

^ " < r ) | 0 = - ( D ^ V !) " |r =o = 2 2a


= } = M { X ( h ) X ( h ) } |,1=
h=t2
d3
dt\ d t 2

a3

;Kx(t 2 - *l)
hh
?r2 \W\

*1=*2

= - | = 0 = - ( ^ - ) U o = 0
= M { 1 (0 * (0 } = { 1 ( 2)} |,1=
h=h

a4
atfa*

hh

a4
5 xKx{t 2 ^i)
*?^2
hh
U
Li UL2

= 4 v m U = - ( ^ ' V ) IVI 0 = 12 4 a
,
,
/ D
0
2a 2D\
=
0
2 a 2D
0
\ 2a2D
0
124D .

, w q ,
W(t), 0 < t < ,
:
0) W(0) = w0;
1) 0 < to < h < t2 < . < tn
W{h) - W(t0), W(t2) - W{tx), . . . , W{tn) - W{tn- 1) (.e. t) ;
2) W(t) ), 0 < 5 < t, t s.
, W{t)
( w q ) K(s, t) = min(s, t) (. 1
).
,
, . ,
.
,
.
: , .
,
JI. , ,
.

.
, , -.

, , 8 , ,
. So = 0, -

S n = \ + + ,
Xi, i = 1,2, .
,
+1 1 q
, + q 1.
M{Xi}=p-q,

{ 8 } = ^ = (-)-,
i=1
D{Xi} = (1 - (p - q))2p + (-1 - { p - q))2q = Apq,
D{Sn} = j T D i X i } = Apqn.
i=i
, 8 , - S n5, Af{Sn<5} = 5Af{S} = ( q)n 6 D{Sn} = S2D{ Sn} = ApqnS2
.
,
d . ,

( q)rS = ,

ApqrS2 = d.

(1)

, 8
, , q
, ,
(1), > 0 ^ > 0 . , , 8 * 0, 1/2,
,
( q)r 8 > ,

ApqrS2 d.


Vk,n P { S n k }

, S nS = kS.
t .
v^n k > >
, / t kd .
, ( )
. S n = k , ( ) = k,
( + k)/2. , v^<n
, (n + k ) / 2 . :
vk<n = c ( +k)l2p(n+kV 2 qn- ( n+kV2.
- (. 4)

vk<n ~ ~ <(), =
y/npq

v f c exp{ - f } '

Vk,n ~

(
/27npq
I
~ ,
. :

(k - ( - ))2
8npq

S n8 ,
Vktn , S n 8

(k 1)5 {k + 1)5, ^/(25)


, . . . , * /(25)

= 0 d = 1 , .
. , .
.
,
: W(t) ^ Y(t),
1 .
^.
1. X(t) 0 < t < 1.
, t, t + h [0,1]
P{\X(t + h ) - X ( t ) \ > g ( h ) } < q ( h ) ,
g q h, { ) h 1 0 ,

g(2-")<oo,

] 2 ^ (2 -" ) <.

X(t) Y(t), 1
0 < t < 1.
.

, X(t) Y(t) , t P{X(t) = Y{t)} = 1.


.: ., . . .: , 1969.

X(t) X n(t), (. . 13):


X(t,r+x) X{tnr)
X n(t) X(tn r) +
-(t - tn,r) tnj < t < tn>r+1.
1/ 2"

. 13
xn(t), x n+\(t), x(t) X n(t),
X n+\{t), X{t) t e [tny, tn>r+1]
\Xn+l{t)

Xn{f)|

|-^(^!+l,2r+l) ~-^(^n+l^r+l)! =

2 [^(^n+l,2r) "T x{tn+l,2r+2 )] =

= 2 IfJC^ n+l>2r+1) JC^+l,2/-)]b[-5C(W l,2r+l)-^(Wl^r+2)] | ^


2 a ~^~2

^'

a = \x(tn+\2 r+\) *(Wl,2r)|> b = \x{tn+\' 2r+\) ^(W l,2r+2)|.


. e. b t,
max
\xn+i{t) - x n{t)\ <
ifl.+ ift.
WS?S?n,r+i
*
*
, ^ max
|Xn+i() X n{t)\,
A = l^ (W l,2 r+ l) ^ ( W l,2 r ) | 5 =

^ (W l,2 r+ 2 )| -


max
\Xn+i(t)
WSrS?/z,/-+l

- X(t)| <
^

**{, max

\Xn+x(t) - * n(f)| > g(2_"-1)} <

l t n , r < t < t n tr+ 1

\A +

,
{\ +
- > ( 2 - ~) } <
< { ( 1 > ^ ( 2 - " - 1)) ( j ( f i > ^ 2 ') ) } <
< { > ^ ( - " - 1)} + { > g(2~n- 1)}.

(3)


P { A > g ( 2 - n- l)} =
= P{\X(tn+h2 r+i) - X ( t n+h2r)\ > g(2~n- 1) } < <7(2-"-')

{ > g{2~n~1)} < q(2~n~l).
, (2) (3),
Pi

m ax

\Xn+i(t) - X n{t)\ >

< 2q(2~n~x).

[0,1]
{ max |X n+l(t) - X n(t) | > g t f - * - 1)} <
2n \

^ p {I
2

U (, 222?+ 1

\ * n , r < t < t n tr

/ )

1^

n1

< V

p\
max
|X+ i(f) - X n(t)\ >
H v W+l
r= 0

<

+ 1q{2~n~x) .


, .
. Y\,Y2, . . .
, 8\,52, . . . \,2, . . .

, ^ 2 $ i .

1=1

1=1

P{\Yn+l- Y n\ > 5 n} < e n,


, Yn > 1.
. ,
P{\Yn+i - Y a\ > 6 } = 0.

(4)

, . . > 0.

^ i ,
/=1

+1 + +2 +

X / i ^ '
i=tn-\-1

,
{\+\ \ > 8 } <
< P{\Yn+\ Yn\ > Sn > } <

< +1 + +2 + =

i <
i=m+\

(4). ,
, , - P - ,
N = N(u>),
\ + \{ ) ~ ( ) \ < 6

> N(uj).
\(^), 2 (), . . . (1) (>).
w-, , (>) = 0. , () (>)
oj, , , - , . .
P{Yn -

Y} = {: {) - ()} = 1.

.
. ,

P j m a x |* +1(/)

> g(2_/!_1) | < 2 n+lq( 2 - n~l).

^ 2 g ( 2 ~ n~ ) < ,
2n+lq(2~n~l) < ,
= 1
=1
, ; (. . , ,
, - ) x n{t,ui), = 1,2, ..., t [0,1].
x n(t, ) t = 1, 2, . . . ,

, y(t,u), [0,1]. y{t,uj) Y(t).


y( t, u ) [0,1] Y(t) [0,1] 1.
t = tn<r x n(t) = x(t) ( x n(t)); , t = tn,r{t)
x n+p(t) = x n(t) = 1, 2, . . . . ,
/ = - 1, 2, . . . x n+p(t) x(t), ,
, , t = tn,r Y ( t ) = X ( t ) 1.
t tn>r . [0,1] , , t. ,
tn,r .
0 < t tn,rn < 2- ", t = lim t:rn
* , ) - * ( * ) | > * ( 2 - ) } <
< P{\X(tn,rn) - X(t)\ > g(t - tn<rn)} < q(t - tn,ra) < q(2 -n).
, , , X(tnjn) X{t) 1. , Y(t)
1 ,
Y(tn,rn) Y(t) 1. , ,
P{X(tntrn) = Y(tn<Tn)} = 1. , P{X{t) = 7 (0 } = 1.
.
W(t) , W ( t+ h )
W(t) t
\h\.

P{\W{t
/>{| +
+ h)
- W{f)\
I > }} = 11
- |

exp


1-

V 2 ^\h \ ' / 2

= 1

*2

y/2 ^\h \x' 2

dx =

dx-f-

expM i

\/2^|/|1/2 {

~ =

1
exp
V 2 ^\h \ ^ 2

1 -2

f }* =

= 1 -2

2|A|

4 / 2 4 ^ 2 6XP\

V 2 ^\h\V2

exp<
f l

dx

DO

= 1-2(

\h\ 1/2

,
Vx > 1 () <

<p(x)

, A(x) = <p(x)/x (1 - ())


(0, ), '() = <()/2 < 0.
lim
() = 0, () > 0 > 0.

-++

P {\w (t

h) -

()I > } <

).

= \h\a, (0,1/2).
P{\W{t + h) - W(t)\ > \h\a} < 2|A|1/2- V ( N fl~1/2).

g(h) = \h\a,

q(h) =

\ h \ W - a<p{\h\a- V 2).


OO

OO

/2=1

n\

, (, ),

Y i 2 nq( 2 ~n) =
/2=1

' , 2 (2 - ) 1/ 2 - { ( 2 - )- / 2) =
= 1

= 2^2 22- /2<(2/ 2~) = 2 J 2 2n/ 2+naip{2n/2~na)


=1
/2=1
: - ,
+1 _ 2l/2+a .

2__________ )_ _

e x p { - ^ -2(1- 2a)nJ
= 21/2+a e x p | - i ( 2 (1_2a)" 21-2a - 2(1_2a)") J =
= 21/ 2+a exp j ^ 2(1_2a)n(21_2a 1) j >

n > oo,

OO

^ 2nq(2~n) .
/2=1

, 1 g(h) q(h), W(t) Y(t),


1.
, W(t) , : , .
2. - t
W(t + h ) - W ( t )

----- ^------- Z(t)

- ( 1 , , ),
z\ z%
P{z\ < Z(t) < Z2 } = ,
.. 1 Z(t)
.
. (. 12),
1, ,

.
.
, :
W(t + h) - W(t)

- 0.
h

Z : Fzk(x)
>Fz(x) h 0 , Fz(x) . W{t + h) W{t)
\h\. ,
Z/, = ( W(t + h) W(t))/h \h\/h 2 = \/\h\.
Zh =

lim Fzh(x) = lim P{Z^ < x} =


0
s-o
lim

exp{^2 m } d v =

h-> 0

VW;
= lim
h^O

V\h\ exp</ \h '\ v \ >jdv = lim


V
I
2 J
h^o
\/ 2 n

\/ 2

exp

du

x oo,

1/2

oo < x < oo,

x oo.

x = o o ,
{0
1/2 o o < x <
1

oo,

oo.

Fz(x) = F(x) Fz(x).



(. 9 5). , ,
. , Fz(x) ,
, ,
2.

1) Fz(x) ( , ) .
F(x)
P { z x < Z < z 2} = F z ( z 2) - 2 (21) = F ( z 2) - F(zO = ^ ~ ^ = 0
z\ z 2, . e. , Z - ,
.
2) Fz (x) . z \ , z 2 ( , ) z \ ( o o . z i )
z \ {z2, ) , , Fz {x) z* \,

P{zi < Z < z 2} < P { z \ < Z < z * 2} =
= Fz { z l ) ~ F z {z\)-- F { z l ) - F { z \ ) = \ - \ = 0,
. e. P{z\ < Z < z 2} = 0 , Z - , .
2 .

1.
, W(t) , Kw(s, t) = min(s, t).
. ,
: W(0) = 0. t\ < t2 < . . . < tn
.
W(t)

/ )\
)

,
1
1

\ /

W(t\)

- ) \

W{t2) - W { t x)

1 / \ ) -

W{tx) - W(0 ) \
W(t2) - W{tx)

\ W ( t n) .
/

W (ti)-W (0) \
W(t2) - W(h)

\ W ( t n) - W(tn- i) J
, . . .
,

[ m t i)\

W (h)
\ m t n)J
W(t).
K w ( s , t). t > 5,
K w { s , t ) = M { ( W { s ) - w Q) ( W { t ) - w 0)} =
= M {( (s) - \ (0 ))( 0 - ir(s ) + (s) - (0 ))} =
= M { ( r ( s ) - ( 0 ) ) ( ( 0 - r ( s ) ) + (W(s) - ))2} =
= {( ) - 0 ))( /) - TF(s))} + M { ( r ( s ) - 0 ))2}.
, , W{t), K(s,t) = s
( t > s), .
2.
W(t) , .

X(t) = W { t ) - t W { \ ) , T A e

*[0,1].

. M {W ( t) } = 0, M{X(t)} = 0
K xduti) = { ( ) ( =
= M { { W { t x) - t xW(\)){W{t 2 ) - t 2 W{\))} =

(*2)} - <iM{1P(1)1(*2)} - *2{1)w(h)} +

+ t\t<2M { W 2(\)} = min(*i, t2) - t\t 2 - t2 t\ + t\t 2 = min(*i, *2) - t\t2.

3.

W(t) , .
,
) = * - ' / 2 - \
.
( , t\, t2, h , U, , t\ <
< t 2 < h < *4, M{{X{t2) X (^ ))(Z (^ ) *))} = 0.)
.
* ) } - e~t/ 2M { e w(t)} - 1.
M { e w^ } . W(t)
t,

{ } = -=

| t f e - * / dx
r e-(*-t)V( 2t)d x = e t/2

/27 J
oo
,

y/ 22
irtt J
oo

* )} =

~ {/ 2 e f/ 2

-1

= 0,

X(t) .
*i < *2 < h < *4.
M { ( X ( t 2 ) - X m ( X ( t 4 ) - X ( t 3))} =
= M { ( e w(t2)~ t2/2 - e w(h)~h/2) { ) ~ 2 - e W(h)~hl2)} =
= { )+)-(* 2+ 2} __ )+)-(+)/2} _
- M { e W(t2)+^)-2+/)/2} + M {e mh)+mh)-(h+h)/ 2 y

{ )+)} = { # ) + ) - ) } _
= M { e 2 w^ } - M { e W M ~ w^ } ;

W{t2) t2,
2 W{t2)
4t2\
(. )
M{<?w^ } = ^ 2 = 2\
W(t\) W(t2) t4 t2, (. )
W(t4) -W (t2) \ = ( - 2

M { e w(f2)+w{ti)} = e2ti e{t4~t2)/2.



(5),

M{(X{t2) - X(ti))(X(t4) - X(t3))} = e2t2 e (t4~ t2)/ 2 ~


_ e 2h . e ( h - t i ) / 2 . e - ( h
+

+ k

)/2 _
.

e 2ti . e ( h ~ h ) / 2

e 2t2

. e (t3 - t 2) / 2 .

e - ( h + t 3) / 2 =

gh _

^ + )/ 2

e - ( h + t 3) / 2
gh

eh

+
eh

= o,

4.

W { t ) , ;
.

X(t) =

W(t

T )-W (t).

. ,

M{X(t)} = M { W { t + ) - 1(0} = 0.

t2 > t \ ,

K x ( h , t 2 ) = M { { W { h + ) - W ( h ) )( W ( t 2 + ) - W(t2))} =
- { W{h + ) W(t 2 + )} - { W i h ) W { t 2 + )} - M { W { t x + r ) W ( t 2)} + M { W { t x) W (t2)} =
= m i n ( / i + r , t 2 + ) - m i n ( / i , t 2 + r ) - m i n ( ^ + r , t 2 ) + m i n ( ^ , t 2 ) =

[t \ +

- t\ - {t\ +

+ t\ = 0

\ t \ + T - t \ - t 2 + t \ = T - {t 2 - t \ )

(t2 -

{t 2 - t \ ) < T .

t\) > r ,

, t2 < *1 .
t\ t 2

\t2 - * i | > ,
\t2 ~ t \ \ < T .

, X ( t)
. ?
W{t) (. 1),
t \ ,t 2, . . . , t n

fW (tx+ T )\

)
W(t 2 + )
m t 2)
W(tn + r)
mtn ) J
, . . .
,

/()\
X(t2)
\X ( t n) /

/ 1 -1
0 0
\0

0 . . . 0
-1 ...

...

0 0\

-1/

mu)

W(t 2 + r)
W ( t 2)

m tn+ r)
m tn )

,
( X ( t ON
X(t2)
\X(tn)J
,
. , X(t) -

, .
5.
,
, = to < t\ < . . . < tn- \ <
< t n = b [ ,], (b )
:
'1
r<{| X ) W ( * i+ i) - T O ) ) 2- ( f r - a ) } 2 - 0
'/=0

(*/+1*,) -> 0.

(6)

.
( ) - * ) > 2.
1=0

M J 2 ( W ( t i+l)
i= 0

- w r n 2 = ] T m ( T O +i) - w r n 2 =
i= 0

= D{ W{ti+X) - w m
i=0

=| >
i=0

+i - U) = b a.

(7)

, W(ti+1) W(U)

D J 2 (W(ti+1) - w m
/=0

= E D ( W ( t i+1) - T O ) ) 2 =
i= 0

= ] { W m ) - T O ) ) 4 - [ + i ) - T O ) ) 2]2}i= 0

Af(TO-+1) - ))2 = D(w(tM ) oo

expj

M(w(ti+l) - w m A= f *4

wm

= tw

- u,

?___ |

f<)^

=3(/w - f f)2,


D j 2 m t i+,) - w ( u ) ) 2 =
[3i+i - ) 2 - (ti+1 - n)2} =
i=0
/=0

= 2 ( f i+1 -

U)2 <

2 m a x (fj+ i -

i=

= 2(6 - a) m ax(/i+i - *,) 0


i

U)

- =

i=0
max(^+i - U) 0.
i

,
D ^ m ti+ i) - 2=
i= 0
i=0

i=0

(7) (8) (6).

(8)

W(t) , X(i)
.. , , X{t\), . . . , X ( t n) ) W(t) t\ < . .. < tn < t < s. b > a
.
to < t\ < . . . <

< tn = b


Yn,r = J 2 X ( t d m t i+l) - W(u)).
i=
5 , . .
5 = max (ti ti - 1).
, ,
M ( Y - Yn%Tf ^ 0

-> 0,

(1)

(, ) X(t) W(t);
:

= | X(t) dW(t).


l.i.m., (1)
:
Y = l.i.m. >,
, ,

f xw dW(t) =

X(ti)(W(tw ) - W(ti)).

^M { X{ t)} 2 dt.
, .
W(t) , . X{t) = W{t)

: 0 =

< h < < tn- i < tn = T.

W(T) = {W{tx) - W { t ())) + {W{t 2 ) - m t x ) ) + . -- + (W( tn) - W \ t n_ x)).


:
W 2 (T) = ( * ) - m u ) f +
(=0

+ 2 ( w ( t n) - m t n. x)) J 2 ( n t i +l) - w m
i=0

+ 2( w ( t n^ ) - w ( t n_ 2 ) ) nj2 m t i + x ) - w m +
i=
. .. + 2(W(t2) - W ( m w { h ) - W(to)) =

i= 0

. . .

(=0

w m w ( t i+x) - w m

= \w

2 {T)

- i ^ V t e + i ) - w m 2.

/=0
1=0
,

-\

I W{t)dW(t) = W 2(T) - i U . m . ' ( W i t l+i) - w m 2-

(. 5 14)
- W ( t i ) f = .
i=0
,

W(t)dW(t) = X
^ W 2 {T) - - .

,
; ,
.
G(t) t [t0, 1

| G{t) dt
to

:
Z

G(t) dt =
t

l.i.m.
mf x ( ^ + i

J 2 G(rk)(tk+i - tk),
k 0

me to < t\ < .. . < tn_ 1 < t n - T , T k e [tk, tk+\\. : Z (

| G(t)dt), ,
i
lim
m \z max(^+l-^)^0 I

k=0

G(Tk)(tk+i - tk) \

=0

* [tk, tk+1]> , :
> 0 <5 = 5(e) > 0, ,
to < t\ < .. . < tn_\ < tn =
Tk [tkJk+1]
M $ Z - ^ 2 G(Tk){tk+1 - t k) \
k=o
J

< ,

m ax(4+i tk) 5.
k

J G(t) dt to
K q {u , v) G(t) to < ,
v < 7, . .

Kg(u,v) du dv

to to

K q {u , v ). ,

W(t) dt

(2)

W{t) [0, 7],


K w ( u , v) = min(i/, v)

K w ( u , v) du d v -

min(i/, v) du dv =

duty

v dv

+ J u fifo j = +

(T u ) u j d u

= ^ T 3.

j G(r) dr G( t )
t [?> . 0
t
Y(t) | G( t ) dr, to < t < T.
to
, my(t),
mo(t) \ 2 ),-(2)
Y(t),G(t) :
t
hh
m Y(t) = j 0 () dr, K Y{t\, t2) = j j {\,2) drj dr2;
to

to to

,
t t

Dy(t) =

K g { t \ , t 2)
to to

dr\ dr2.

, ( ) , ^.
, , (2) 3/ 3.
Z/ = Z{t)
t

Z t = Z 0 + j G(t) dt + J X(t) dW(t),


Wt = W(t) , a G(i)
,
. , Zt dZt,

dZt = Gtdt + X t dWt.

Zt, G/ Xt
Zt.
. F(t,x) ,
t [, ] ( . ) . F(t,Zt)
,
dF(t,Zt) = (

+ Gt
x= Zt

dF(t, )

dF(t, )

dt +
x= Zi

X t dWt +
x Z t

1 d 2F(t,x)
2 2

X f dt.

(3)

x= Z t

(3) .
, . , , G, X
7 - , ,
, (
).
. , (3)
(11 , ,
.

^, , ,
. F{t + dt, Zt + dZt) , dt:
F(t + d t , Z t + dZt) * F(t ,Z t) + ^ dt + ^ dZt + \ ^ i d t f +

) 2+

^ d t d Z t F(t,Zt) + ^ dt+ g ( Gt d t + X t dWt) +

Z dx

(G? (dtf + 2 GtX t d td W t + X f ( d W tf ) +


\

'

d2F
+ ^ g ( G t(dt ) 2 + X t dtdWt)

F{t,Zt) + ^ d t + ~ ( G t dt + X t dWt) + \ ^ X

2 {dWt)2,

(4)

F(t,x)
(t,Zt).

l.i.m.
] T ( W tk - W tk_ x) 2 = ,
\ { d W t)2 =
m a x fe 4 _ i ) >0 _

(4) (dWt ) 2 = dt, (3)


.
.
F ( t , x ) = x n,

Gt = 0,

X t = l.

(3)
d ( W t)n = n W ? ~ l d W t + | ( - 1) W tn ~ 2 dt,
. e.

t
w n_wn=
0

nW^~ d W T + \ n ( n ^ n w ; - 2 dT
0

^ - , .: ..
. .: , 1975.

. Z*
. JI. ,
1912 . ,
, M { A Z t} = 0, A t M { A Z t } 2 At, , a 2, M { A Z t } 2 = a 2 At.
,
dZt d dWt,

Zt =

+ dWt,

Wt .
, 1965 ., . , Zt
^ = li d t + v d W u
(5)

. . , , .
(5)
( ) Zt, .
(5).
dZt = //Zf dt + oZt d Wtn
(3). F(t,x) = 1,
G(t) = jiZt X(t) aZt
dQnZt)=fiZt ( - \

V + f - l

\ x \ x = Z t/

~2

)<rZt dW t +

\X \x = Z tJ

z ) a<2Z^ d t = l^dt+adWt^ a 2 dt = ^ ^ a 2 ^jdt+adWt,

..

In Zt ln Z 0 =

t
( y - ' - a ^ d t + ^adW t,

Z(t) Zo exp{fit} |^
, Z q {^/} -2^ |.


1.
, W{t) []:
7 (0 = jV (r )rf T ,
Ky(t,s) 7(0 . ,

JW) dt
G(t)

KG{t\,t 2 ) d t \ d t 2

K G(t\,t 2 ) G(0;
t

Ky(t, s) =

JJKc(t\, t2 ) dt\ dt 2 00

G(t)
W(t), Kw{t\ , ^2) = min(^i, /2)- s > t,
t

Ky(t,s)=

min(^i, t^) dt\ dt 2 =


00

^ min(^i, t%) dt\^dt<i


00

^ min(^i, /2) dt\ + min(/i, t<i) d t\ ^ d t 2 =


0 0
h
t

+ h ( t 2 - ^ ) d t 2 = ^ 2(3s - t).

0
, t s,

= m in(^ s), b = (, s),

K Y(t,s) = ^ 2(36 ).

, = b = s = t
1. 3
Ky{t, t) = Dy(t) = -t'

Y(t).
2.

^
X(t) =

^TdW(T),

W ( t ) . mx {t) Dx (t) X(t).


.
X(t)=

l.i.m.

j t k[W(tk+l- W ( t k) l

m a x (^ +1- 4 ) - > 0 k= Q

, ,
MX(t) =

1-i.m.

iX t k [W(tk+l- W ( t k)] =

m a x ( tk+ i - t k) - ^ 0 k=Q

lim

J T tkM[W{tk+x - W{tk)\ = 0,

m a,x(tk+ i - t k)-+ 0 k= Q

M[W(tk+\ W(tk)] = 0 .
:
Dx { t ) = M { X { f ) } 2 = M [

l.i.m.

j E t k[W{tk+l- W { t k) ] x

{m
t k) ^ 0 k= Q
m ax(tk+la x ( t k+ \tk)>0

l.i.m.

? ! tl [W(tj + l - W ( t j ) } \ =

max(tj+l-tj)-* 0 ._ q

lim

1 - (4 )] ^ [ (^ 1 - ^ )]} =
4=0

/ =0

lim
m { x : t2[W{tk+1max{tk+l- tk)-^0 Kk=Q

w m 2},
)

: M{ { W( t k+\) W(tk))(W(tj+{) - W{tj))} = 0


k j. ,

{ ) t\[W(tk+\ - ^ ) ] 2) =

m^x(^+i tk)

=q

t 2M [W{tk+1 - w m

m a x f e + i - / * ) - + ( ) k=()

lim

/- l
j.
i
' i \ ^ i k \ u 2 du = - / 3,

m a x ( ^ + i - ^ ) ^ 0 fe=0

>*(/) = (1/3)/3.

3.

Kx'y(t 1J
X (t)
t
Y(t) = () du

X(t) , X '(/) Y(t)


.
. ,

KX>Y(t l J2) =M{ X' W( t 2) } =


..
X(h + ) - X(t\)
= < l.i.m .---------------------

^0

1
l.i.m. > ( ) > ,

- ^ 0

u\,U 2 , . . . , \ [0 ,^ ]: 0 = <
< \ < U2 < .. < _ 1 < = t 2 , = -\. :
. . , .
X(/i + s) X(t\) , .
v/ \ 1
M l l.i.m. ---- l.i.m. > ( ) > =
1 >0

maxAwj
>0^
J
i
1=1
=

Um

,+ ) - , ) 1 ( [ ) =
^0, m ia x j
()
J
1 1

lim

, | 1+ ) -

>0, m a x , >0

lim
>0, m a x / j >0

V
= 1

^-

, |1

fo(<i + . ) ~ *x(*i, )

'

Mxituu) ^
dt\

/(, ) X(t).

4.

X(t) W(t):
\ x { t) d W { t) = l.i.m . 1* (f/) ( r ( f i+1) _ W{U)).

*=0

0-
:
1
X(t) dW(t) = l . i . m + 0 (ti+l - ti))(W(ti+1) - /,)),
a
1=0
'

0 < < 1. 0 = 0 .
0 = 1/2
. X(t)
W{t), 0-

W(t)dW(t).

/(0 ) = J

/(0) : 0 = 0; 0 = 1; 0 = 1/2.
. 0 = 0.
/(0 ) = l.i.m .

W(ti)(W(tw ) - )).

=0

&Wi = W{ti+\) W{ti)


W(ti)AWi = \ [ W 2 {ti+1) - W 2m


W(U)AWi = \ [ W 2 {T) - r 2(0)] - i W i ) 2.
i=0
i= 0
n- 1
(. 5 14), l.i.m. ](;)2 = .

0 ) = 0
m

1=0

= -l w 2 { T ) - l- T .

,
, .

0 = 1.
1
J(\) = U . m . ' W ( t i+l)AWi.
1=0

W(ti+l) A W i = ( W(ti) + Wi)AWi = W ( td A W i + ( W t ) 2 =


= \ [ W 2{tiH) - W 2{ti)] + \ { A W i)2,

W(ti+l)AWi = ^ [ 2() - r 2(0)] + 1
/=0
,

/=0
J { \ ) = y- W 2{ T ) + -l T .

, , 1/2.
/ ( ) = l.i.m. ) !^ ,
v /
1=0
ft- = ^(ti + tj+1). :
W(7i) AWi = ( w(ti) + W(ti) - W(ti))AWi =

= W(ti)AWi + ( T O ) - W(td)AWi =
= W(ti)AWi + ( T O ) - W(ti))(W(ti+1) - T O ) + T O ) - T O ) ) =
= t o o ( ) 2+ ( ) - ) - * ).

+ l.i.m. ( T O ) - T O O X T O + l) - ) ) .
1= 0

0 = 0 ,
l.i.m. ] ) AWi = \ W { T ) - l- T .
i= 0

, 5 14,
U . m . J 2 ( W ( t i) - W(ti ) ) 2 =

- U) = i T.

, ,
,

1
u .m . ^ 2 ( w ( t d - w m m u + i ) - w m
1=0

= o.

, 0 = 1/2 0-

J( 0 ) = W(t)dW(t)

, W(t)
,
, .
5.
V v(t) .

. D V j Vj, v(t)
V(t)
() = ~,

> 0,

> 0.

. V(t). Kx(s, t)
X(t),
D VT = D{X(T)} = ( 9 ).
:

-<*1<2~1 dtx d h

(, ) = 1 1 K v (th h) dh d h =

00
J 2

_1_

f(j Be~ad -h) dtx + [ Be~a{tl- t2)dt ij d h

2 J

t2

2 J

= -L [ * (1

J a

dh +

i f

-(1 - e~aT >) d h =

, OL

+ * * ~ '>) +W a ( ~

- ) -

, D V j > 0 > , . . , .

6.
() X(t).

t

Y(t) = ^X{u)du,
X(t).
. (. )

t t

Dy(t) =

| JKx(t\, t%) dt\


oo


t t

Dy(t) =

h ) d t \ d t 2 =

^ Kx(t 2 - t\)dt^jdt\ =
oo
oo
{ : t2 t\, dt 2 = dr}
t

t-ti

= | ( J Kx {r) d r ) dti = | | K( t) dr dti,


o

-h

,
. 14 .

-t

. 14
:
t

t-

JK{T)drdt\ = J Kx(r)dtijdT+ J^JKx{r)dt^dT,


o o
- t
-T

, ,
D.
d

t T

J(J Kx(T)dtijdT = jKx(T)(t-T)dT\


o o

j(j
-t

Kx{T)dt^j dr =

| Kx(r)(t + t ) dr.

d z = d r

K x ( r ) ( t + r ) d r = \ K x (z ) ( t - z ) { - d z ) =
-t
t

= | K x { - Z ) { t - z) d z = J K x (z) ( t - z) dz,

().
,
t

D Y{t) = 2 \ { t - T ) K x { r ) dT.

7. M X 2 (t)f
t

X { t ) = \ r 2 dK{T),

() , :
*

.22 dK{T) =

l.i.m.

V-/2r
Y , ti [K{ti) - K { t ^ i)].

m a x A t i >0 '
i

i= 1

.
M X 2 (t) = DX(t) + (MX{t))2.
MX(t)

DX(t):
DX{t) = M(X(t ) ) 2 = (

l.i.m.

V tf [k(U) - K{ti-i)] x

1=1

I m ax

l.im
j
1

A ti>0

f 2 t j [ k ( t j ) - k ( t M )]} =
J
j= 1

m a x A t j (): : 1

lim
m a x A t ;>0 1 :

t= l

K(ti) K (ti - 1) K(tj) - K(tj_i) i j. ,


M (k(ti)-k(ti^

lim

= D (k(ti)-fati-i)) = D ( K ( t i ) - m - i ) ) = \AU,

tjM(k(ti) - k ( t i - 1))2 =

^ >0 .

))2

<=i

tjXAti = X \ = 1~ \ .

lim
m a x A / j - >0 .

t= l

,
M X 2 (t) =

+ (^A /3) 2 =

+ ^A .

8.

X(t) no , MX(t) =

1. j * ( 0 dt = mx ,
(6)

, ,

Urn ( J X(t) dt - = 0,
^

. (6) ,
(6)
.

K(t) .
X(t) :
=
X( t) ?
. :
MX(t) = A f { ^ } = -MK(t)

. e.
.

{ 1

-* (
) ' - !

= - > (
T

l.i.m.

V ^ A fc -

\ m a x A ^ () ^

2 ^

l.i.m.

2+>-

V ^ A f ;

m a x A fy >0^

tj

( 1. . E A ( ) + A ' =
y m a x A ^ O ^ ti
)

= _TLmaxA/i
lim

/j/y

KAf,>U
/
2
..
^ { )

lim > l i i /,- + A2 =


7^ maxA^>0 .
i

m ax A tj- ^ Q

v v Am in(^, ,) -f- A2^ ; A

= -2
lim
-------7~"----^ A t i A t j T ma,xAti-+Q~?
t[tj
l>]
m ax A t ; - ^ 0

2A

A^

lim
>
-A/,- + A2 =
^0 ^ titi
m a
xfA/-
A ^ >0
i

T T

-*Jf(
00

Amin(7i,^2)
\ 2\
.
2A
+ A2^ dt\dt 2
J A dt + A2 =
fife

j j

T T

_1_

T2

Amin(fbfe) , ,

dt\dt 2 =

{. . 15}
_1_

^ dt'd h + h \ \ u i dt'd h=

*i

DI

( | . + _L

>,
X(t) .

,

.
. X(t) MX(t) = const

~2

jJK x i h J i ) dti di 2 = ,

Kx(t\,t 2 ) X{t).
,
m

:
KX( h , t 2 ) = M { m ) m ) } = t V M { m ) k t 2)> - min(fi, ^2)
t\t2
t\t2
j j

Y?

j]

T T

;2)^1

" , . 1 _ 2

- ^2

00

0 0

> . ,
.

9.

(0 , DX(t) Dx

1 . 1 [ ) 2 = % ,
+ 1 J

, ,
2

* ( i

Dx ) = 0,

.
X ( t) :
W(t)
X(t) =

Vi

W{t) , .
X(t) ?
. X(t) ,

2 /
DX(t) = M X 2 (t) =
- 0 )} 2 = y t = l
0 .
,

11.1.
.
1

, ,

W2(t)
/1
W 1'
1V
\
dt- 1
= 1
t
/
V

1 (

~ T2

.1

(U)

L im
i

JV/2

,.

' ,:"_0 ^

( h) , \

((

V ^ A I , ) t l =
t;
1
ti
i
72 U \ w/2

A t :vO
V
VmaxA^
>0* ^^

lim

" < ^ 0 . ) ) ) ||,,

T m
axA ^O '
i
i,j
max A/1/
>0
/

r max4m
T
A^0
=

w 2U d t Y - M ( l
t
J
\

2 \
t,

T/

44
Utj

tiT -^ A fi + l =

lim

T m axA ^O ^
i
i,j
max Atj^O
j

tit/

lim
V ^- + 1 =
T maxA/j-^0 .
/

= J,
,im
r
i
e
T maxA^ - U t j
4
max Afy>0

.4 ,

E f
T ^ ^1
i
4
max Atj-^0
i

4 ,,4 ( r b
T

r2 u } y/ 2 (
l e i
t[tj

tl

M A ()_ N

Af{lF2(^)tt^2(fy)}, , ,
tj > ti'.
M { W 2 (ti)W 2 (tj)} = M { W 2 {ti)(W{tj) - W{ti) + W4*))2} =

= {^2( ^ - [ ( ^ ) - ^ ) 2+ 2 ( ^ )- ))- ^ )+ ^ 2)]} =


= M{ W2(ti) m t j ) - W(ti))2} + 2M{(W(tj) - W(ti )) wHt i ) } +
+M

{ti) = ti (tj ti) + 0 + 3tf = 2 tf + t(tj,

ti tj
{ W 2 (ti)W 2 {tj)} = 2(min(fc, tj ) ) 2 + .
, :
lim

2
1/^

A1

0^
i

m ax A t j - + Q

/ 2(min(/t, /))2
+ 1 j Ati Atj 1
= ~2
lim

m ax A ti >>0 ^ V

1 .
~
m ax A t j +0

T T

/ ^ < :b fe g + i W
\
t\t2
' J
t\h

, 2_ i = .
Z
2 J J

0 0

dt\ dt 2 .

^1^2

0 0

. 15:

2(min(^i, 2))2I
t\t 2

I f f 9/2

JJ

1 9^2

2/2

-j^dh dti + -^2

2
2
2

D2

r f2

flf/l )rf/2 + -^2

dt\ dt 2

tx

(j }dtl=

0
_2_ ' 1 ^
2 ~2

, 2 1

2J

f?
~2

,
* .
, .
, X(t) (X(t ) ) 2 . , X(t)
, K y( t\ ,t 2 )

, ,
8,
1

lim
.9
+ .

J/(^i, t2) dt\ dt 2 = 0.

00

, X(t)
; , .

V/
^ (0 V/
, X(t)
Y(t) = -
Vt
*
K Y{tu t2 ) = M { { Y { h ) - M Y { t x)){Y{t 2 ) - M Y { t 2))} =
t\
=

J\
_

t2

2m

_ w

+ 1

= } - , = A - M { w 4 t,) w 4 h ) } - 1=
= 7V (2 (m m 1,(2))2 + M 2 ) - l = 2<mi'l(' b ' !))!
tit 2 v '
v
1
nt 2

f2(ml

= l

hh

00

00

rp
W(t)
, ,

vt
.

10.

X(t) : 1 1.
{ (0 ) = 1} = { * ( 0 ) = - 1 } -

, 1 (0 )
. . Kx{t\,t2) X(t) , X(t)
.

. MX{t).
:
MX{t) = 1 P{X(t) = 1} + (-1 ) P{X(t) = -1}.
:
P{X(t) = 1} = P{X(t) = 1 1* (0 ) = 1} {*(0) = 1} +
+ P{X(t) = 1 1* (0 ) = -1 } 0 ) = -1 } .
Ho
P{X(t) = 1 j JT(0) = -1 } = P { T < t } =

1-

e~xt,

P{X(t) = 1 1X(0) = 1} = P { T > t } = e~xt.

p{X{t) = 1} = e - A< i + (l - e - xt) i = i

P{X(t) = -1 } = 1,

MX(t) = 0.

Kx { h , t 2 ) = M { X { t x)X{t2)} =
= P { X ( h ) X ( t2) = 1} - P { X ( h ) X ( t2) = -1 } .
t2 > t\.
P { X ( h ) X ( t 2) - 1} = { i [tu h ]} = 1 - P { T [tu t2]} =
h

= 1 - J Ae~xtdt = 1 +

e ~ Xh - e

~ xtl;

h

P { X ( h ) X ( t 2) = -1 } = 1 - P { X (h ) X ( t2) = 1} = e - A/ , t 2 > t\
Kxi h, t2) = 1 + e ~ xt2 - e~xt1 - (e~xt1 - e~xt2) = 1 t \ > t 2
Kx (tu t2) = \ - 2 e

~ xt2

+ 2e- xt>.

2 e~xtl

+ 2 e~xt2,

X(t)
,

~21

dt\ dt2


. D\ D<i , . 15,

~~2 1 h) dt\ dt 2
0 0

^ ~ 2 e~xt{ + 2 e~xt2) dt\ dt 2 +


D\

+^ JJ(1- 2eA
<2+2 e~xtl) d h dt 2 =
d

r/r2

^ (1 T2 J
0 0

2 e~xtl

+ 2 e~xt2) d h ) d t 2 +
h

+ ^2

J(J(i - 2e~xt2 + 2 e~xt')dt 2) d t h

0
,
_1_
2

K x ( h , t2) dt\ dt 2 = \ + ^ ^ 2 0 ~ e XT) ~

+ e XT)-

>, X(t ) .

( l f t n - U -

I'

*?

B.C.
-: . .
: ..

23.08.11. 6 0 x 9 0 /1 6 . .
. . . . 14,5. .-. . 14,6. 500 .
-6591.

-
/
117997, , . , 90
E-m ail: fizm at@ m a ik .ru , fm lsale@ m aik .ru ;
h ttp ://w w w .fm l.ru


, 428019
. , - . , 13

ISBN 978-5-9221-1345-8

9785922113458

9 765922 113456