( )

. . ,

. .

( )

2008

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

3
4

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

2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

13

4. . . . . .

16

5.

19

6.

23

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

7.
. . . . . . . . . . . . . . . . . . . . . . . . . . . . .

26

8. . . . . . .

29

9. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

33

10. . . .

37

11.

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

41

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

44

12.

13.

. . . . . .

48

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

51

, 32
32 .
().
(
). ( ,
).

(
, , , ).

( , ).
. ( , ,
).
,
,
.
: [16, 911, 1318] ( ), [8, 12] ( ).

a := b b a a, b ..;
R, Rn Rmn , n-
- m n;
Z ;
C ;
z , z C;
Re z z C;
col[x1 , . . . , xn ] -, x1 , . . . , xn ;
A A1 ;
trA A;
I O ;
o(x) o -, . . x, , o(x)/x 0 x 0;
IB B;
B(E) - E Rn ;
a (B) , a;
(x) - ;
L2 (T ) ( L2 (T, )) ,
T ( );
(, F , P) ;
M, D cov , ;
P{. . . | . . .} M{. . . | . . .} ;
I{. . .} {. . .};
Bi(N, p) N p;
() ;
E() ;

C() f (x) =
;
(x2 + 2 )
R(a, b) (a, b);
N (m, D) () m
( ) D;
1

(x) =

Zx

eu

/2

du ;

FX (x) X;
pX (x) fX (x) X;

T
(. 1);
E ( ) ;
(t) t;
, ;
P (t1 , . . . , tn ) n- ;
F (x1 , . . . , xn ; t1 , . . . , tn ) n- ;
p (x1 , . . . , xn ; t1 , . . . , tn ) n- ;
(z1 , . . . , zn ; t1 , . . . , tn ) n- ;
m (t) D (t)
(. 2);
R (t, s) (t, s) ;
L2 ()
(. 3);
.. ;
..
Xn X X = l.i.m. Xn ;
n
(P-..) ( 1);
w(t) (. 6);
(. 8);
r( ) ;
S (B), s () Z (B) ,
;
H() (. 9);
P(s, x, t, B) p(s, x, t, y) (. 11);
P(x, t, B) p(x, t, y)
;
px,y , px,y (n) px,y (t)
x y , n ,
t (. 12 13);
P P(t) ( , t)
;
x (t) (t) x
t;
x,y
x y;
x x;
.

1.1.
(t) = (t)U,

t [0, 1],

U FU (x), (t) .
.
n- ?
1.2. X V ,
N (0, 1).
(t) = X + t V , t > 0:
) ;
) ;
) A = {:
}.
1.3 ( ). [0, ) : (t) = 1, t < (), (t) = 0
, E(1).
:
) ;
) ;
) P{(t) = 1 | (s) = 1} t > s ,
.
1.4. F (x), x R.
, {(n), n = 1, 2, . . .} , P{(n) 6 x} = F (x)

n x.
{(n)} k-
.
1.5 ( ).
tn := n t, n = 0, 1, 2, . . ., xm := m x,
m Z. , xm tn , tn+1
: xm+1 xm1 ,

.
, x0 ,

:= {(t), t T } T := {tn : n > 0}.
. (a, a), 0,95
:= ((t) (s))/(t s) [s, t], s, t T ,
N := (t s)/t . , ?

1. (t) = t X,
t > 0, X R(0, 1). P , [1, 3] [1, 4] t = 3
t = 5, .



. F (x1 , . . . , xn ; t1 , . . . , tn ) = F min x1/t1 , . . . , xn/tn ,
F (x) = x x [0, 1], F (x) = 0 x < 0 F (x) = 1, x > 1;
P = 7/15 0,4667.
2. 1.2 X V
p X (x) p V (v). (t). , k > 3
.
. . , {(t1 ), . . . , (tk )}

[. 1

k > 3 
 

2.
x2 x1
1
x x1
pX
. p (x1 , x2 ; t1 , t2 ) =
p V x1 2
t2 t 1
t2 t1
t2 t1
t2 > t1 .
3. (t) = Xt2 + Y t, t > 0, X, Y N (0, 1). :
A = { : }; B = { : inf (t) < 0}.

t>0

. A = {X > 0, Y > 0}; B = {X > 0, Y < 0}{X < 0}.

. P{A} = 1/4; P{B} = 3/4.

4.
,
1.5.
t/t
. (z; t) = (cos(z x))
t T (z1 , z2 ; t, s) =


s/t
(ts)/t
= (cos(z1 x))
cos (z1 + z2 ) x
t > s T .
5. [0, ) :

0,
(t) = 1,

2,

t < (),
0 6 t () < (),
t > () + (),

, ,
> 0.
.
. 0 (t) = et , 1 (t) = tet , 2 (t) = 1 (1 + t)et ,
x (t) := P{(t) = x}.

2.1 ( ). ,
(t) := 0 (t) +

k
X
j=1

j (t)Xj , t T , j (t)

, Xj
.
m (t), D (t), R (t, s), (t, s).
2.2. , {U (t), t > 0}
m U (t) U0 R U (t, s) = (U )2 cos((t s)),
U0 := 220 , U := 10 , := 2 50 1 .
212 .
U (t) t = 0,01; 0,1; 10 ?
2.3. V := {Vn }
c
DVn 6= 0 .
DVn = 1 n, V .
, . . {X(n), n = 0, 1, 2, . . . },
:
X(n) = X(n 1) + Vn + ,

n = 1, 2, . . . ,

(2.1)

, , , {Vn } , X(0).
,
X.

10

[. 2

2.4. mZ (t), DZ (t) RZ (t, s), {Z(t), t R}

, Z(t) =
= A eitV , A N (0, 1) V C(1) .
2.5. {w(t), t > 0}
mw 0 Rw (t, s) = min(t, s),
. .
2.6. C(t, s) = ch(t + s) K(t, s) = ch(t s)
( ch := (e + e )/2)
, ?

1. , .
.
n- (
n).
2. 2.3: ) X {Vn }; ) mX (n), DX (n)
RX (n, m), . ); )
:= lim mX (n),
n

:= lim DX (n),
n

(k) := lim RX (n + k, n)
n

mX (0), DX (0)?
. xn = an x0 +

n
X

xn = a xn1 + yn . k=1
n

. a) X(n) = X(0) +

n
X

nk

( Vk + );

k=1

) mX (n) =

(
n mX (0) + (1 n )/(1 )
mX (0) + n

6= 1,

= 1,

ank yk ,

DX (n) =

(
2n DX (0) + 2 (1 2n )/(1 2 )
DX (0) + 2 n

11

2 6= 1,

2 = 1,

RX (n, m) = |nm| DX (min(n, m)), 00 := 1;

) (1, 1),

,
1

2
,
1 2

(k) = k .

3. , 1.5. m (n), D (n) R (n, m).

, 2.3 2.
. m 0, D (n) = (x)2 n, R (n, m) = (x)2 min(n, m).
4.
(. 1.3).
. m (t) = et , (t, s) = e max(t,s) .
5. 1.2.
. R (t, s) = 1 + t s.
6. , {B(t),
t [0, 1]}, B(t) = w(t) t w(1), w(t) . B(t). t, s (0, 1) B(t),
B(s): ) ; ) ?
. DB (t) = (1 t)t; RB (t, s) = min(t, s) t s; .
7. :

) cos(t s),
1, n = m,
)
) exp{i(t + s)};
0, n 6= m;

) exp{i(t s)},
1, n = m, m 1,
)
t, s R;
0 ,
) max (t, s);
n, m Z;
) 1 max (t, s),
) exp{t + s};
t, s [0, 1];
) exp{|t + s|};
) 1 + (ts)2 ;
) 1 (ts)2 ;
) cos(t + s);

. ), ), ), ), ), ), ), ).

) exp{min(t, s)};
) (1 + t s) exp{|t s|},
t, s > 0?

12

[. 2

3
8. p- {X(n), n = 0, 1, . . . }
1- X(n) = X(n 1) + Vn + ,
n > 1, {Vn } q- , . .
M{Vn } = 0,

cov{Vn , Vn } = I,

cov{Vn , Vm } = O,

n 6= m,

cov{Vn , X(0)} = O, I O
, , Rpp , Rpq
Rp . , mX (n) := M{X(n)} DX (n) := cov{X(n), X(n)}. , || < 1, := lim mX (n)

:= lim DX (n), ,
n
= + = + .
. mX (n) = mX (n 1) + , DX (n) = DX (n 1) + .

3.1. , (t)
, T , . .
(t) := 1 (t)X1 + . . . + k (t)Xk , j (t) , Xj .
j (t) Xj (t) :
) ; ) ; ) ..-; ) ..
? (t) ..- (t)
, .
3.2. (t) T := [0, 1]
:
(
V1 , t < ,
(t) =
V2 , t > ,
, V1 V2 ,
R(0, 1), Vi N (0, 1).
, (t) ..- T ,
. ?
3.3. , , . . {X(t), t > 0}


1
RX (t, s) = t + s |t s| ,
2
(0, 2),
.
3.4. , (
0 < 6 ) {X(t), t R} -

14

[. 3

RX (t, s) = (1 + |t s|)e|ts| ? ..- ( , ).

3.5. {X(t), t > 0}
mX (t) = b (1 ea t )/a
RX (t, s) = b2 (ea (t+s) ea t ea s + 1)/(9a2 ), a, b > 0.

P{X(t)
+ a X(t) > 0}. A := l.i.m. X(t)?

. 3.3 = 1.
7. {(t), t R}
2
R (t, s) = e(ts) , > 0.
(t)

, R (t, s).
. R (t, s) =

t+

..- , A?

1. a, b R (b 6= 0) {G(t), t > 0}
mG(t) = ea t  2

RG(t, s) = ea(t+s) eb min(t,s) 1 ..- l.i.m. G(t)?
t+

. ..- , 2a < b2 .
2. {X(t), t > 0}
t
min(t,s)
m
).
X (t) = 1 2
RX (t, s) = 2(1 2
P l.i.m. X(t) > 1 , ) t0 = 0; ) t0 = 1; ) t0 = +.
tt0

. ) 0; ) 1 (1/2) 0,3085; ) 0,5.

3. (t) ..-
T = [a, b]. , C,
M|(t)|2 6 C t T .
4. , (t), 3.4, . ,
> 0 > 0 (t).
. D{(t) (s)} 6 2( + )|t s|
.
5. , , 3.3,
..-.
6. , w (. 2.5) .

15

R (t, s)
= 2(t s) exp{(t s)2 }, R (t, s) =
s

2 R (t, s)
= 2(1 2(t s)2 ) exp{(t s)2 }, D (t) = R (t, t) = 2.
ts

8.




: ) P |(t)|
> 2 ; ) P ((t)/
(t))2 < 12 .

. ) 2(1 ( 2)) 0,1573; ) 2(2) 1 0,9545.

9. X(t) 3.4 = . t s

X(t), X(s):
) ; ) ?
. ) t = s; ) |t s| = 1/.
10. A N (0, 1), V C(1) . Z(t) := A ei tV , t R: ) ; ) ..-?
. . 2.4.
. ) ; ) .
11. (t) := min(t, ) t [0, 1]:
) ; ) ..-, R(0, 1)?
Zt Zs

. (t, s) = {1 max(v, u)} dv du.

00
. ) ; ) .
12. , ..- {X(t), t > t0 }
, X(t) .
Zt

e (t) := X (t0 ) + Y ( )d ,
. X
t0

Y ..- X.
13. , (t) 7 ,
.

17

4.4.
V (t) mV = 105 /c RV (t, s) = V2 max(1 |t s|/, 0), V = 0,5 mV ,
= 1 .
J, [0, T ], T > .
,
, ) T = 5 ; ) T = 1 .

4.1. (t)
(t) = U1 sin t + U2 cos t,

t > 0,

U1 , U2
D > 0, .
..-
Zt

(t) = ( ) d,

m (t) D (t),
.
4.2.
{w( ), > 0}:
(t) = w( ) d,

t > 0.

R (t, s) D (t) (t).

4.3. {(t), t > 0}

(t)
+ (t) = ,

(4.1)

(t)
..-, ,
, D > 0 cov{(0), } = 0.
(4.1). l.i.m. (t)?
t+

1. (t) = 1/ 2 t 6 (t) = 0 t > , t [0, 1],

,
Z1

t > 0,

Zt

[0, 1]. X := (t) dt: ) ;

0
) ?
. MX 2 = .
. ) ; ) .
2. {(t), t > 0}, (t)

= (t) +
(0) = , ,
, M = m ,
M = m , D = D , D = D , cov{, } = .
m
. (t) N (m (t), D (t)), m (t) = et m + (et 1),

D
2 2t
2
D (t) = e2t D + 2 (et 1) +
e et .

3. V (t), 4.4, , P{J < MJ/2}.

. ) (2,315) 0,01031; ) (7,768) 0.
= 0} = 1 t [a, b], 4. , P{(t)
c R, (t) = c (P-..) t [a, b].
5. (t) =

Zt

( ) d , {( ), > 0} ,

2 . . . .

18

[. 4

5
m (t) = et , (t, s) = e max(t,s) . (t) (. 11
).
. m (t) = 1 et , (t, s) = 2 (2 + u)eu u ev , u := min(t, s), v := max(t, s).
Zt
1
6. ..- (t) =
2t

(u) du

t +, {(u), u R} a
R (v, u) = b2 cos(v u).
. : m (t) = a D (t) 0 t +.
. l.i.m. (t) = a.
t+

5.1. ,
{w(t), t > 0}
, [0, ).
5.2. :
{V (t), t > 0} ,
Zt

1
..
V ( ) d 0
t

t +,

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

= a (t) + b V (t),
(t)

(0) = ,

(5.1)

a, b , V (t) ,
, m
D .
) ; ) m (t) D (t)
; ) t + .
5.4. 5.3
(z; t), a 6= 0, V (t) , [c, c], c > 0.

20

[. 5

5.5. (t)

+ 2 ((t)
) + 2 (t) = gV (t),
(t)

(5.2)

V (t) , , , g .
m ,
, > 0.

R (t, s) = D + b2 min(t, s), a = 0; lim R (t, t ) =

t+

b2 |a |
e
, a < 0.
2|a|

5. a(t) b(t) (t),

= a(t)(t) + b(t)V (t) V (t), (t)
..-?
. . .
. b(t) = 0 .
6. {Vk } MVk = 0 DVk = k2 ,
X 2
k < ; {tk } . k

21

: ) , (t) :=

Vk

X
k : tk 6t

; ) ; )
1. , {(t), t > 0}, (0) = 0, :
) D{(t) (s)} = D (t)D (s) (t > s) ) R (t, s) = D (min(t, s)),
(t) .
2. : ) {V (t), t > 0}
Zt

(t), (t) = V (s) ds 0

D (t) =

Zt

(s) ds; )

V (t) , (t) (. 5.1).

Zt
3.

b( )d( ),

(t) :=

t0

t > t0 , , .
, (t) .
. R (t, s) =

min(t,s)
Z
t0

|b( )|2 d .

+
Z

(t) d(t).

. D (t) =

X
k : tk 6t

k2 ; J =

(tk )Vk ,

..- (t),

X
k

|(tk )|2 k2 < .

7. 2- (t)+
1 (t)+
+0 (t) = 1 V (t)+0 V (t) ?
m , D
, V (t) .

. X(t)
= aX(t) + bV (t),
#
#
"
"
1
0
1
2
.
, b=
X(t) R , X1 (t) = (t), a =
0 1 1
0 1
. 1 0 ; m = 0, D =
Zt

Zt

02 + 0 12
.
20 1

8. X := f ( ) d( ), Y := g( ) ( ) d , ( )

4. R (t, s) 5.3. a < 0 R (t, t ) t +.

. (t) .


b2 a|ts|
b2
. R (t, s) =
a 6= 0
e
+ ea(t+s) D +
2a

J :=

2a

D ( ) = , > 0, f ( ), g( )
. DX, DY cov{X, Y }.
. Y
.

22

. DX =
Zt

Zt
0

|f ( )|2 d , DY =
Zt

Zt
0

[. 5

6
|G(t, )|2 d cov{X, Y } =

= f ( )G(t, ) d , G(t, ) := g(s) ds.

Zt

9. 8 f (t)(t) + g( ) ( ) d
.

Zt

Zt

. H(t, ) d( ), H(t, ) := f (t) + g(s) ds.

10.
Zt

(t) := sin t w(t) cos w( )d , t > 0, w(t) 0

.


sin 2t
t
.
. N 0,

11. RX (t, s)
Zt

X(t) := 2t (t) ( )d , t > 0, ( )

0

, D ( ) = 6 .
. RX (t, s) = 9a2 b + 5a3 , a := min(t, s), b := max(t, s).
12. {X(t), t > 0}
X(t)
+ X(t) = V (t) > 0
, V (t)
W (t) .
: ) ( ) := lim cov{X(t), W (t )}, > 0;
t+

) , {X(s), s 6 t}, {V (u), u > t} ; ) cov{X(t), W (u)} = cov{X(t), W (t)} u > t.

. ( ) = e/.
13. , B := {B(t), t [0, 1]}
B(t)
= B(t)/(1 t) + w(t)

(0, 1)
w(t) B(0) = B(1) = 0, B (. 6 2). Zt
. B(t) =
B, RB (t, s).

1t
dw( ), 1

6.1.
w(t)
w(t)
w(s) w(u), 0 < s < t < u. (t) := M(w(t)
w(t))2 .
6.2. x x > 0 . , x . ,
?
6.3. {ek (t)}
k=1 L2 [0, 1] , [0, 1], {Vk } , N (0, 2 ).
,
(t) :=

X
k=1

Zt

Vk ek ( ) d,
0

t [0, 1],

(6.1)

[0, 1] , (6.1)
.
6.4. , , X(t) := e t w(e2 t ) t > 0 ( w(t) , ),
:

X(t)
+ X(t) = V (t),

t > 0,

(6.2)

V (t).
? V (t) w(t)?

24

[. 6


1. Y := (w(t) w(s))2 (t s)
, t > s > 0, w( ) . :
Y < MY Y > MY ?
. F Y (y) = 2( y/) 1, y > 0; P{Y < MY } 0,6826.
2. {w( ), > 0}
0 < s < t < u ..-
) w(s)

{w(t), w(u)} ( ); ) w(u)

{w(s), w(t)} ( ). ( ) := M(w(

) w( ))2 .
. . 6.1.
. ) w(s)

= s w(t)/t, (s) = (t s)s/t; ) w(u)

= w(t),
(u) = u t.
3.
w(t) = max w( ), t > 0, w( ) .
[0,t]

. P{w(t) > x} = P{x 6 t} 6.2.

p

2
. F w(x; t) = 2(x/ t) 1, p w(x; t) = 2/(t) ex /(2t) .
4. , |w(t)| w(t) .
5. w(t): c > 0 X(t) := w(c t), t > 0,
.
. .
6. {w(t), t > 0} (. 2.5). , X(t) := t w(1/t), t > 0,
X(0) := 0, .
.
.
7. U (t) m
,
: mU (t) = U (t) + w(t),

w(t)
.
U (t) N (0, DU ) t +. U (t),
p
p
0,997, t.
. 3/ 2m, 3/ 2m .

25

8. X(t) := ew(t) w(t) , X(kh)

k- , h . , : )
; )
,
0,01
.
. ) {X(kh) < X((k 1)h)}, k = 1, . . . , 7, ; ) P{x 6 7h}
, P{x 6 h} , x = ln 2
(. 6.2).
. ) 15/16; ) 0,3303.

27

Zt

1. m (t), D (t) R (t, s) (t) := w2 ( ) dw( ).

0

7.1.
w(s).

Zt

w(s)dw(s)

7.2. (t)
:
d(t) = (t)(a dt + dw(t)),

t > 0,

(0) = 1,

(7.1)

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

p m (t), D (t), v (t) := D (t)/m (t), , w(t)
.

, w(t)
, .

7.3. , (t) = exp{ t + w(t)}, t > 0,

,
(7.1).
.
7.4.
d(X1 (t)X2 (t)) X1 (t), X2 (t), : ) ; ) .

. m 0, D (t) = t3 , R (t, s) = D (min(t, s)).

2. (t) ,

1. 

: ) M{w(t)(t)}; ) M w2 (t)(t) .
. 7.4, w(t)(t) w2 (t)(t)
..-.
. ) t2/2; ) 0.
3.
1
d(t) = (t) dt + (t) dw(t), (0) = 1.
2

. (t) = ew(t) .
4. , E(t) = exp{w(t) t/2}, , .
.
Zt
. E(t) E(t) = 1 + E(s)dw(s).
0
. mE 1.
5. X(t) := col[cos w(t), sin w(t)] .
, 

X(t).
1
0 1

. dX(t) = X(t)dt + U X(t)dw(t), U =

1 0
2

90 .
6.

: dX(t) =


= a(t)X(t) + u(t) dt + b(t)dw(t), X(0) = 0, a(t), u(t), b(t) - .
7.

.
8. ,
(t) = sin (t), (t)

28

[. 7

8
: d(t) = cos (t)dt + cos (t)dw(t).
. d(t) = (1 2 (t))(1 (t)/2) dt + (1 2 (t)) dw(t).
9. X(t)
(t).

Zt

Y (t) := X(s)dX(s) X(t), X(0) (t). 0

7.1.
. 7.4.
o
n
Zt
1
2
2
(X (t) X (0)) 2 (s)ds .
. Y (t) =
2

10. ,
dw(t)

d(t) = arctg (t) dt +

, (0) = 0,
1 + 2 (t)
.
11. w1 (t), w2 (t) . Z1

J := w1 (t)dw2 (t), ?
0
Z1


. , J = f (t)dw(t), f (t) := 0 w1 (t) R12
0

..- ,
w(t) := col[w1 (t), w2 (t)].
1

Zt
, (t) 12. (t) := (t) 1 + ( )d
0

(. 7.2). , (t).
. d(t) = (t)[(a (t))dt + dw(t)].
13. w(t) := col[w1 (t), . . . , wn (t)] n- .
|w(t)|2 := w12 (t) + . . . + wn2 (t).
. d|w(t)|2 = 2(w(t)) dw(t) + ndt = 2

n
X

k=1

wk (t)dwk (t) + ndt.

{(t),
t T }, T = Z T = R.

8.1.
{V (t), t T } . {V (t), t T }
. , ,
(. 2 5).
8.2 ( ).
{(t), t T }
(t) :=

N
X
k=1

Wk eitk ,

t T,

(8.1)

{Wk } DWk = Ak > 0, {k }

.
, (t) . r ( ), S (d)
Z (d).
8.3. U (n) := ein ,
n Z, N (0, 1)
R(, ).
, U (n) .
rU ( ), sU ()
ZU (d).

30

[. 8

8.4.
{(t), t R} r (t) = D e|t| , D > 0, > 0.
, (t) , .
8.5. w1 (t) w2 (t) . {W (t), t R}
:
(
w1 (t),
t > 0,
W (t) :=
w2 (t), t 6 0.
, (t) := W (t + h) W (t), t R, (h ).
.

1. Uk , Vk X

, MUk = MVk = 0, DUk = DVk = k2 ,

k2 < .
, (t) :=

(Uk cos k t + Vk sin k t), t T ,

k=1

({k } ). Z (d), S (d) r (t).

. (t) =

ik t

Wk e

k=

k := k , Wk := (Uk iVk )/2, Wk := W k k > 1, W0 := 0, {Wk } .

. S =

k=1

k2

X
+

k + k
Uk k k + Vk k k
, Z =
2
2
2i

k=1

(a , a), r (t) =

k2 cos k t.

k=1

2. , ,
(, ),
(z) f (x),

31

(, ). , (n) := cos(n + ) 2
. m , D , r (n) s ().
. m = 0, D = 1, r (n) = (n), s () = f ().
sin an

3. (n) =
n 6= 0 r (0) = a/, 0 < a < . n
, (n)
. s ().
. s () 1/(2) [a, a] .
4. ,  s () = ||.
. D = r (0) = 2 , r (n) = 2(1)n n2 n 6= 0.
5. , (t) := 1 (t) + 2 (t) {i (t), t T } . , (t).
. S = S1 + S2 , s = s1 + s2 , Z = Z1 + Z2 .
6.
 8.5.
. s () = (1 cos h) (2 ).
7. U , X , U N (0, 1),
X f (x) := 1/((1
+ x2 )). ,

itX
(t) := U (1 + iX)e / 2, t R, .

Z
. J ()() := (t) (t)dt

: ) J() ,
Z

; ) M{J()} = 0; ) D{J()} =

|(t)|2 dt.

8. :
{(t), t R} , . . s () = 0  

X
sin(at k)
k
[a, a], (t) =

(P-..), ,
k=

at k

.
. eit [a, a]

{eik/a , k Z}. (t) =

Za

eit Z (d).

32

[. 8

9
9. , {(t), t T },
, ,
. . t1 , . . . , tn T P (t1 + h, . . . , tn + h) h T .
10. {(t),
|t|
t R}
cos o0 t, > 0.
n r ( ) = e
. s () =

1
1
+ 2
.
2 + ( + 0 )2
+ ( 0 )2

11. (t), t R -

s () =

2 ( ) + 2 ( + )
, > > 0. (2 + 2 )2

.
. r ( ) = (1 + |t|)e|t| .
12. ..-
2

2(2 2 )

,
s () =

[( )2 + 2 ][( + )2 + 2 ]
> > 0?
. f (t), t R,
( )
, f (t).
. .

9.1 ( ).
(n) a (1, 1), a 6= 0.
,
(n) = a (n 1) + b (n),

n Z,

(9.1)

:= {(n), n Z},
.
(9.1).
. ,
.
9.2. (t) > 0.
,
(t)
= (t) + (t),

(9.2)

t R,

:= {(t), t R}.
,
. , . (t), (t) .
9.3 ( ). {(n), n Z}
m s ().
, n Z
N (n) :=

N 1
1 X
..
(n k) m
N
k=0

N .

(9.3)

34

[. 9

35

9.4. {Y (t), t R} f (t) (t):

Y (t) = f (t) + (t),

1.
(n) = a0 (n) + a1 (n 1), n Z, .
. s () = D (a20 + a21 + 2a0 a1 cos )/(2).
2. H(Y ) , ..-
Y .

Y ,




2
2

M | | 6 M | | H(Y ).
9.1, ,
 (n), n > 1,
2
2
{(m), m 6 0}. := lim M |
(n) (n)| .
n+
. (n) L2 ()
(n) = an (0) + an1 b (1) + . . . + a b (n 1) + b (n)
H({(m), m 6 0}), H({(m), m 6 0}).
. (n) = an (0), 2 = D = b2 /(1 a2 ).
3. :

f (t) , (t) , . .
D [0 , 0 ]


D /(20 ), || 6 0 ,
s () =
0,
|| > 0 .
Y (t) h > 0:
Xh (t) =

Y (t + h) Y (t)
.
h

(9.4)

(9.4). h 0.

9.5. {(n), n Z} , . . (n) = V1 ein1 + V2 ein2 + . . . + V N einN ,

{Vk } Ak > 0, {k } (, ]
(. 8.2).
ea (n) :=

N
X
k=1

ak (n k),

n Z,

(9.5)

(n) N {(n 1), (n 2), . . . , (n N )}.

a = {a1 , . . . , aN } (9.5)
, . .


D(a) := M |ea (n) (n)|2 ?

..- ?

(9.6)

(n 2)

2(n 1)

(n 2)

) (n) = (n 1)
+ (n); ) (n) =

+ (n).
4
3
12
. H() z = ei .



X
X
(k + 1)
1
1
(n k); ) (n) = 3
k+1
. ) (n) =
k
k+1
2
2
6
k=0
k=0
(n k).
4. :
(n) = ((n + 1) + (n 1))/2, n Z?
s (), . ?
1
cos2 ; (n) = ((n) + (n 2))/2.
. ; s () =
2

5. Y (t), : ) Y (t) = A X(t), A ; )

Y (t) = X(th) h > 0.
.
. ) H() = A, sY () = |A|2 sX (), ZY (d) = A ZX (d);
) H() = eih , sY () = sX (), ZY (d) = eih ZX (d).
3*

36

[. 9

10
6. H(),

: X(t) 7 X(t).
, X(t)
, H L2 (R, SX ). SX (d) ZX (d).
. H() = i, SX (d) = 2 SX (d), ZX (d) = i ZX (d).
7. Y (t),
Y (t) + Y (t) = X(t) + U (t), X(t)

X(t)
+ X(t) = V (t),
U (t), V (t) , > 0,
> 0 .
2 + 2 + 2
. sY () =
.
2
2
2
2
2( + )( + )

8. H() a 6 || 6 b R,
b > a > 0. g(t)
{(t), t R},
V (t) .
. g(t) = (sin bt sin at)/(t), D = (b a)/.
1

t+h
Z

9. h (t) =
(s) ds.
2h
th
, l.i.m. h (t) = m , s () .
h

. H() =

sin h
6= 0 H(0) = 1.
h

10.1. , :
) , ;
) ,
.
10.2. , 1020 .
,
109 .
. ( )?
.
?
10.3. {(t), t > 0}, ,
(t) = Vk

t [Tk , Tk+1 ),

k = 0, 1, 2, . . . ,

T0 = 0,

{Vk } , . . P{Vk = 1} = 1/2, {Tk }

, Tk+1 Tk E(0 ).
{Tk+1 Tk , Vl , k, l > 0}
.
, (t)
, r (t).

38

[. 10

10.4. {Tn }, (j)

{Tn }, j = 1, 2.
(t), {Tn }?

10.5 (- ). ,
, - X(t) := W1 + . . . + W(t) ,
t > 0, {Wk } , () k-
; (t) ( ),
, t;
.
, Y , (s, t].

1. .
.
, : )
; ) ?
. ) 0,002479; ) 0,8009.
2. 1 :
) ; ) ; ) , ?
. ) MT1 ; ) MT9 ; ) M{T9 (T8 + ) | T9 > T8 + },
{Tn } 1/3 1 := 17 .
. ) 20 ; ) 3 ; ) 20 .
3. 1 : ) (M M, M +
+ M ), 0,95 , ( M
, M > 0); ) ,
4500 .
. .
. ) (494, 586); ) 0,9968.

39

4. Ai := { i N },
i = 1, 2. A1 A2 : ) ;
) ; ) A1 , A2 ; ) A1 A2 ?
. ) ; ) 1 2 = ;
) 1 , 2 ; ) 1 2 .
5. T+ t
{Tn } ,
T , t.
, T+ , T , (. . ) 10.1).
. T+ = T(t)+1 t T = t T(t) ; P{T+ > u, T > s, (t) = n} u > 0, s [0, t],
n = 0, 1, . . . ; {Tn 6 t} = {(t) > n}.
. T+ E(); P{T 6 s} = 1 es 0 6 s 6 t P{T =
= t} = et ( [0, t]).
6. : ) T+ ; ) T
, (. 5)?
. T+ , T
{(t) = n}.
. ) ; ) P{T 6 s | (t) = n} = 1 (1 s/t)n s
[0, t] n > 1, P{T = 0 | (t) = 0} = 1.
7. , (. 10.3)
, .
. s () =

20
.
(420 + 2 )

8. (t), {T2n }, {Tn } ,

(t) .

? ? {T2n } ,
, ?
. (t) = [(t)/2], [. . .] ;
T2(n+1) T2n ;
= /2; {T2n } .
9. (t) = 1 + . . . + [t] , {n }
, (). ,
(t): ) , ) ?

40

[. 10

11
. .
10. {Un } e(t) = (a(t)), (t) , a(t) , a(0) = 0. a(t) {Un }
(t), , (t) = sin2 t?
. a (t) = (t); a(t) = t/2 (sin 2t)/4 (t) = sin2 t.
11. , - (. 10.5). ?
. mX (t) = t; RX (t, s) = 2 min(t, s).
12. , 10.5 b
, q .
X(t), t.
. P{Wk = b} = q, P{Wk = 0} = 1 q.
. X(t) = b e(t), e(t) (q t).
13. , , p ,
.
. (t) = W1 + . . . + W(t)
, Wk Bi(1, 1 p), (t) .
. (1 p).

11.1. . Vn
, n- .
(n) := max(V1 , . . . , Vn ),

n = 1, 2, . . .

, (n) ,
.
11.2. 2-
X(n) = 1 X(n 1) + 2 X(n 2) + Vn ,

n > 2,

X(0) = X(1) = 0,

{Vn } , 1 , 2
, 2 6= 0.
, {X(n)} ,
,
{Y (n)}, X(n) Y1 (n).
11.3. , {w(t), t > 0}
{(t), t > 0} . .
11.4. ,

g(x, t)
1
= g(x, t),
t
2

x Rm ,

t > 0,

(11.1)

g(x, 0) = IK (x), IK (x)

m- K := {x Rm : |x1 | 6 1, . . . , |xm | 6 1},
, . .
g(x, t) :=

2 g(x, t)
2 g(x, t)
+ ... +
.
2
x1
x2m

42

[. 11

1. 11.1 : ) (10) := (1 (10), . . .

. . . , 6 (10)), x (n) := P{(n) = x}, x (9) = 1/6; ) (10),
5 (11) = 6 (11) = 1/2; ) p1,6 (2).
. ) (10) = (1/36, 1/12, 5/36, 7/36, 1/4, 11/36); ) (10) =
= (0, 0, 0, 0, 3/5, 2/5); ) p1,6 (2) = 11/36.
2. {Vn }
F (x). , {X(n)},
: X(n) = X(n 1) + Vn , n > 1,
, X0 = const, .
: P(x, 1, (, y]).
. F ( x + y).
3. (n) := V1 + . . . + Vn , n > 1, {Vn } , {1, 1} p
q . px,y (m).
. px,y (m) = P{ = (y x + m)/2}, Bi(m, p), x, y Z.
4. , (n) := max{(n), 0} , {(n)} p = q = 1/2.
. P{(3) = 0 | (2) = (1) = 0} =
6 P{(3) = 0 | (2) = 0}.
5. X(t), dX(t) = A X(t)dt + B dw(t), A, B = const,
A, B 6= 0, {w(t), t > 0} .
. p(x, t, y) = pX (y; t), X(0) = x.
o
n
(y mx (t))2
1
. p(x, t, y) = p
, mx (t) := x eAt ,
exp
B 2 |1 e2At |
D(t) :=
.
2|A|

2 D(t)

2D(t)

6. , , . . U (x, t),
U (x, t)
1
= U (x, t) t > 0 U (x, 0) = (x), x Rm .
t
2

. U (x, t) = pw (x; t), w(t) m-

.
2
. U (x, t) = (2 t)m/2 e|x| /2t , |x|2 := x21 + . . . + x2m .
7. {(t),
t > 0}, (0) = 1, -

43

p(x, t, y)

2
=
y p(x, t, y) + 2 y 2 p(x, t, y) , x, t, y > 0.
t
y
y

. 3 7.
2
. p (y; t) = (2 t y 2 )1/2 e(ln y) /2t .
8. {(t), t > 0}, (0) = 0 (t) (s) C(t s) t > s > 0. ,
, .
t
.
. p(x, t, y) =
2
2
(t + (y x) )

9. , {B(t), t [0, 1]} . ?

. : R (t1 , t3 )R (t2 , t2 ) =
= R (t1 , t2 )R (t2 , t3 ) t1 , t2 , t3 , t1 6
6 t2 6 t3 .


(1 t)(t s)
1t
x,
0 < s < t < 1.
. P(s, x, t, ) = N
1s

1s

12

12.1. . 12.1
, , ,
.
:
1) ;
2
2) ;
3) ;
4) ,
3
1
, : ) 2; ) 4; )
4, 5 ;
5)
.
4
5
. 12.1

12.2. E = {1, 2, 3, 4} : p 1,2 = p 2,3 = 1, p 3,1 = p 3,2,

p 4,4 = 3p 4,2,

.
? ,
. ? {1, 2}
, :
) ; ) ?

12.3. {(n), n > 0},

, (n) = (n 1) + Vn n > 1, {Vn }
,
P{Vn = 1} = p, P{Vn = 1} = q (p, q ,
p + q = 1), (0) .

45

, {(n)} Z.
. .
?
12.4. 0,5

0
: A B
0,25
0,25
0,5
;
, - 0,5
1
2
0,8
; ;
0,2
. 12.4

;
( );
.
.
RA .
?

1. (. 12.4).
, , .
q .
. = (0, 2/7, 5/7); q = 2.
2. 12.2 ) Q ; ) q.
. P{Q = n} , .
. P{Q = n} = (3/4)n1 /4, n = 1, 2, . . . , ( ), q = 4.
3. {(n)} :
(n) (n 1) + Vn

46

[. 12

n > 1, (0) {0, 1, 2, 3, 4}, {Vn } ,

P{Vn = 1} = 1/2. .
?
P := lim P{(n) 6= 4 | (n + 1) 6= 0},
n

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

.
; P = 7/8 (0).
4. 12.2 (0) = 1 : )
1 ; ) ,
; ) 1 , 12.2.
. ) P{1 = 2m + 1} = (1/2)m , m = 1, 2, . . . ; ) P{1 > 5} =
= 1/2; ) 1 = 5.
p
q

N1

N2

. 12.5

5. (. 12.5),
0 < p < 1, q = 1 p. , , .
ax (1 a)
, x = 0, 1, . . . , N , a := p/q;
. p 6= q, x =
1 aN +1
p = q, x = 1/(N + 1).
6. , (n) = max((n 1) + Vn , 0)
, {Vn }
, Vn {1, 1} P{Vn = 1} > 1/2.
. , N 0
{(n)} , 5, lim N = sup M N < .
N

7. 12.4 , p , RA . RA
A?
. RA =

p > 1/2 lim RA = 1 (1/)B > 0 p < 1/2.

A

8. ,
: 1 (); 2 (
); 3 (). ,
. , , : 0,8,
; 0,1, ; 0,3, . , ,
. :
) ; )
.
. ) 1 = 63/95 0,6632; ) 2 = 95/14 6,786;
P=

A A+B
, := (1 p)/p 6= 1; lim RA = 0
1 A+B
A

47

"

0,8
0
0,7

0,2 0
0,1 0,9
0 0,3

49

13

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

13.2. :
, ; (.. )
;
;
;
.
(t),
. S(t) , t,
? t?
?
13.3. ,
. ,
();
; () ; ,
. (t),
t > 0 , .
, (t) , , ,
, .
13.4. ,

(t). , N , , bx = x , dx = x , x = 1, . . . , N .
,
(. . ) .
b1 = .
: ) ; ) ;
) ?

1. 13.2 p 0,1(h)
> 0, > 0 , p 0,1(h) = h + o(h).

. p 0,1(h) =
eh eh 6= , p 0,1(h) = h eh

= .
2. N .
. : ) , ; ) .
. ) ; )

(N 1)N
.
(N + 1)2

3. , ,
: )
; ) ,
? , , N .
. ) 3N/2; ) 2/3.
4. s , E(). ,
, . s
0,001, = ?
. x = (x/x!)(1 + + . . . + s/s!)1 ( ),
4 . . . .

50

[. 13

x = 0, 1, . . . , s, := /; s < 0,001 s = 6.
5. .
, , E().
E(). , .
. 1/(1 + / + /).
6. , E(). , . : ) ;
) .
. .)
 : Hx = { x}.
. ) 1 (1 + )2 ; ) (1 + /2)/(1 + )2 , := /.
7. 13.4
N = 100, .
. 0,7897.
8. dx = x x, : bx = (N + 1 x), N
. : )
; ) ; ) ,
0,997 , N = 106 = .
. ) Bi(N, (1 + /)1 ); ) (1 + /)N ; ) (498500, 501500).

1. . . . .: , 1999.
2. . ., . . .
.: , 2003.
3. . . . .: ,
1996.
4. . ., . .
. .: , 2001.
5. . ., . . . .: , 1977.
6. . ., . .
. .: , 1987.
7. . ., . . .
.: , 1984.
8. . ., . . . .: , 2003.
9. . . . . .: , 1985.
10. . ., . . . .: , 2002.
11. . .
.: , 2003.
12. . . . .: -
, 1996.
13. . . .
.: , 2002.
14. . ., . .
. .: , 1990.
15. . . . .: ,
1990.
16. . . . .: , 1989.
17. . . .
. 1. .: , 1998.
18. . . . .: , 2006.