..

25 2014 .

1
-

2014




- .-. ,

..

.
,
.
. ,
, .
3- , .

:
.. , . .-. ,
.. , . . ,


1. ..............................................
1 ........................................
2. ..................................................
2 ........................................
3. ............................................
3 ........................................
4. .................................................................
4 ........................................
5. .....................................................................................
5 ........................................
6. , ,
..........................................................
6 ........................................
7. ...........................................................
........
...............................................................................................................
.........

4
6
7
10
12
22
24
32
34
36
37
44
46
51
55
56



1.
, .
, .
:
1. ,
, , .
2. : ,
, ..
3.
.
4. .
5. .
6. , .
7.
.
.
, F , P.

() , -

R, B.
,
( , t ) , , t T .
.

(, t ) , -

t T ,
.

 t, t ( )
,
t.
. ,
, ,
. , t : (t),
.
.
,
(,t), , t.
(,t) (t), t
.
1.1.
(t ) U sin(t ),

U .
,

: ) t1 ; ) t1 .
2
6
. , , ..

1 (t ) U sin( ) U ;
6
6 2

) t2
2 (t ) U sin( ) U .
2
2

) t1

1.2. (t ) t 2 1 U ,
U ,
0,10 .
(t ) , U : ) u1 2 ; ) u2 3,5 .
. , , ..
5

) u1 2 1 (t ) 2 t 2 1 ;

) u1 3,5 2 (t ) 3,5 t 2 1 .
1.3.

t U , t 0,1

U R 0,1 , -

0,1 . (t ) .
. t0 t() = t0U() , [0,t0].
(t),
0(t) = U(0)t, , ( ), U(0).
1
1.
(t ) e tU , t 0 , U , .
2.
Y , t X et , X 0,1
, t .
3.
X (t ) U cos at V sin at , U ,V , a
.

2.
(t1) (t)
t1.

F ( x1, t1 ) P (t1) x1

t1 .
t1 t2,
F(x1,t1;x2,t2) = P{(t1)<x1,(t2)<x2}
.
n

F ( x1, t1 ; .....; xn , tn ) P (t1) x1,....,(tn ) xn

(1.1)

n- .
, (t) , (1.1) n.
F(x1,t1;;xn,tn) , :

F ( x1 , t1 ,, x n , t n ) F ( x1 , t1 ,, x n , t n , , t n 1 ,, , t n p ) ,

F ( x1 , t1 , , x n , t n ) F ( xi1 , t i1 ,, xin , t in ) ,

(1.2)
(1.3)

i1, i2,,in 1,2,n n. .

. (t),
T (t T ) (1.1),
(1.2) (1.3).
F(x1,t1;;xn,tn) n = 1,2, (t).
F(x1,t1;;xn,tn)
x1

xn

F ( x1 , t1 ,..., x n , t n ) p ( y1 , t1 ,..., y n , t n )dy n ...dy1

7

 p(x1,t1;;xn,tn) ,

p ( y1 , t1 ,..., y n , t n )dy n ...dy1 1 ,

p(x1,t1;;xn,tn) n- (t).

p ( x1 , t1 ,..., x n , t n ) p ( y1 , t1 ,..., y n , t n , y n 1 , t n 1 ,..., y n p , t n p )dy n p ...dy n 1 ,

p ( x1 , t1 ,..., xn , tn ) p ( xi , ti ,..., xin , tin ) .

.
2.1. (t) = (t)V, t[0,1], V , FV(x), (t) > 0.
(t).
.
F ( x1 , t1 ,..., x n , t n ) P(t1 ) x1 ,..., (t n ) x n P(t1 )V x1 ,..., (t n )V x n

x
xi
xi .
x

P V 1 ,...,V n P V min
FV i min
i 1, 2 ,..., n (t )
1, 2 ,..., n (t )

(
t
)
(
t
)
1
n
i
i

FV(x) pV(x),
(t). n = 1

x x 1
z

dz ,
F ( x, t ) FV
pV
(t ) (t ) (t )
p ( x, t )

x .
1
pV

(t ) (t )

2.2. ,
(t) = Ut+V, U V
FU(x), FV(y).
.
.
t = 0.

 (t)
t > 0

F ( x, t ) P(t ) x PUt V x

PUt V x V ydF

( y)

PUt y xdFV ( y)

x y

x y
PU t dFV ( y) FU t dFV ( y) .

t = 0, F(x,t) = FV(x).
n- ,
,

F ( x1 , t1 ,..., xn , tn ) P(t1 ) x1 ,..., (tn ) xn

x y
min i
dFV ( y ) .
i 1, 2 ,..., n
ti

g (u1 , t1 ,..., u n , t n ) M exp i (t k )u k

k 1

n
exp i x k u k p ( x1 , t1 ,..., x n , t n )dx1 ...dx n .

k 1

. , , (t) (t) (n+m)- :

F ( x1 , t1 , , x n , t n , y1 , t1 , , y m , t m )

P(t1 ) x1 , , (t n ) x n , (t1 ) y1 , , (t m ) y m

.
2.3. (t) = (t)V, t[0,1], V
a 2, (t)
. (t).
n

. u k (t k ) , (tk) = (tk)V,
k 1

nk

V u k (t k ) , k 1

:
9

M a u k (t k ) m
k 1

D u k (t k ) D .
k 1

g (u ) M e iu expium u 2
,
2

(t):
n
1

g (u1 , t1 , , u n , t n ) M exp i (t k )u k M e i g (1) expim D .

2

k 1

2
1. X(,t)
,F,P, : = 1,2, F , P
, 1/2, {1} {2}. t [0,1] X(,t) = t.
X(,t) .
2. X(,t) ,F,P, = 0,1, P . t(0,1)
X(,t) = 1 t , X(,t) = 0 t > .
X(,t) .
3. U ,
FU ( x ) , t > 0. (t) = U+t.
4. X Y , Y
, P(Y = 0) = 0. ,
(t) = X+t(Y+t) t 0 .
5. (t) = V, V pv(x). .
6. , , ,
k , Pk ()
10

() k .
e
k!

 (t) 0
t (, ).
.
7. (t) = X+t, t > 0, X
, > 0
. D[0,)
. :
) P{(t) = 0 tD};
) P{(t) = 0 t[0,1]}.
8. (t) = Vt2, V
, a 2.
(t).
9. (t) s(t) n(t). ,
s(t) = Acos(Bt+), n(t)
2.
.

11

3.
. ,

,
, . .
,
, ( ()).
.
m(t),
t T ,

m (t ) M (t )

xdF ( x, t ) .

t .
, ,
.

1. (t )
M (t ) (t ) .
2. (t ) M (t )(t ) (t ) M (t ) (t )m (t ) .
3.

M 1 (t ) 2 (t ) M 1 (t ) M 2 (t ) .
4. (t ) (t ) :

M (t ) (t ) M (t ) (t ).
12

 3.1.

(t ) U cos t , U ,
M (U ) 2 .

. cos(t ) , , 2 :
M (t ) M U cos t cos t M U 2 cos t . ;
. (t) D (t ) , -

t
:

D (t ) M (t ) m (t ) x m (t ) dF ( x, t ).
2

m (t ).

1. D t 0. ;
2. t t D (t ) t D (t ).
3. t
t
D t (t ) 2 t D (t ).
3.2. (t ) U sin t ,
U , D(U ) 6.
. sin(t ) , ,

:
D (t ) D U sin t sin 2 t D U 6sin 2 t .
3.3. ,
(t) = (U+V)/t, U V ,
N(0;1/2).
(t) P{(t) < 3/t} t > 0.
13

. , U V ,

1
U V 1
M (t ) M
M U M V 0 ,
t
t t
1
1
U V 1
D(t ) D
2 DU 2 DV 2 .
t
t
t t
(U+V) a = 0, 2 = 1,

U V

x PU V xt ( xt ) ,
F ( x, t ) P(t ) x P
t

(z)

( z )

2
exp u du .
2

3
3
3

P (t ) F ( , t ) F ( , t ) (3) (3) 0.997 .

t
t
t

. , t

t D t .
t

t . t m t t .

(t ) , , t :

(t ) (t ) m (t ).

14

1. t

1 t 2 t (t ) , 2 (t ) 1 (t ) .
2. t t

: 1 t 2 t (t ) , 2 (t ) 1 (t )(t ) .
3.

: M 2 (t ) M (t ) m (t ) 0.

(t )
t
. ,
, . , , , ..

(t ) .
,
.
, .

15

 (t),
(t), , . (t) , (t) .
, . ( ) .
X t1 X t2 .
. (t) t1 t2.

R (t1 , t 2 ) M (t1 )(t 2 )

x x dF ( x , t , x
1 2

, t2 ) .

F(x1,t1;x2,t2)
t1 t2. R(t1,t2)
.
, (t), () ,
,
(t),
. (t)
. , (t) - t mY (t ) ,
mY (t ) . Y (t ) :
Y (t1 ) Y (t2 ) .
( ) (t) t1 t2.

K (t1 , t 2 ) cov(t 1 ), (t 2 ) M ((t1 ) m (t1 ))((t 2 ) m (t 2 )).

K (t1, t2 )
, m (t ) .
,
16

K (t1 , t 2 ) R (t1 , t 2 ) m (t1 )m (t 2 ) .

t1 = t2 = t D(t) K (t , t ) D (t ) 2 (t ) .

r (t1 , t 2 )

K (t1 , t 2 )
(t1 ) (t 2 )

K (t1 , t 2 )
K (t1 , t1 ) K (t 2 , t 2 )

.
(t1) (t2)
, (t1) (t2).
(t) (t)
-

R (t1 , t 2 ) M (t1 )(t 2 ) .

.
(t)

(t) K (t1, t2 ) M (t1 ) (t2 ) .

,
. .

(t) (t)

R (t1 , t 2 ) R (t1 , t 2 )
R (t , t ) R (t , t ) ,
1 2
1 2
.
3.4. (t ) U t , tT, U
, mU 4
DU 10 . D(t) K (t1 , t2 ).
17

. :
m (t ) M (t ) M U t t M (U ) 4t.

(t ) (t ) m (t ) U t 4t (U 4) t.

(t1 ) U 4 t1, (t2 ) U 4 t2 .

K (t1, t2 ) M (t1 ) (t2 ) M U 4 t1 U 4 t2

t1 t2 M U 4 t1 t2 DU 10t1 t2 .
2

t1 t2 t :

K (t, t ) D (t ) 10t 2 .
3.5. (t) = (t)V, tT, V , mV DV, (t) .
m(t), D(t)
R(t1,t2).
. :
m (t ) M (t ) M (t )V (t ) M V mV (t ) ,

2
R (t1 , t 2 ) M (t1 )(t 2 ) M V(t1 )V(t 2 ) (t1 )(t 2 ) M V 2 (t1 )(t 2 ) DV mV ,

K (t1 , t 2 ) M (t1 ) m (t1 ) (t 2 ) m (t 2 ) R (t1 , t 2 ) m (t1 )m (t 2 )

(t1 )(t 2 ) DV mV

(t1 )(t 2 ) DV (t1 )(t 2 ) ,

D (t ) K (t , t ) DV 2 (t ) .
3.6.
(t ) -

K (t1, t2 ) 5cos(t2 t1 ) .
.
:

18

K (t1, t2 )
K (t1, t2 )

(t1 ) (t2 )
K (t1, t1 ) K (t2 , t2 )
5cos(t2 t1 )

cos(t2 t1 )
5cos(t1 t1 )5cos(t2 t2 )
r (t1, t2 )

R(t1,t2)
(t).
1. , ..
R(t1 , t 2 ) R(t 2 , t1 ) ,
R() R (t 2 t1 ) R (t1 t 2 ) R() .
2. :

R(t1 , t 2 ) R(t1 , t1 ) R(t 2 , t 2 ) .

,
.
3. (t ) (t ) (t ),
t , (t ) ,

R (t1, t2 ) (t1 ) (t2 ) R (t1, t2 ).

4. (t ) (t ) (t ),
.. ,
R (t1, t2 ); R (t1, t2 ) R (t1, t2 ) , :

R (t1 , t2 ) R (t1 , t2 ) R (t1 , t2 ) R (t1 , t2 ) R (t1 , t2 ) .

5.

(t ) (t )(t ) (t )(t ) ,

R (t1, t2 ) (t1 )(t2 ) R (t1 , t2 ) (t1 ) (t2 ) R (t1, t2 )

(t1 ) (t2 ) R (t1, t2 ) (t1 ) (t2 ) R (t1, t2 )
t t .
19

6.
(t) (t+) ,
lim R() lim M (t )(t ) M(t ) M(t ) m2 R() .

m R ( ) .
, ,
2 R (0) m2 R (0) R () .
, , .
7.
, n
1,2,,n,
2

R (t j , t k ) j k M (t j )(t k ) j k M (t k ) k 0 .

j ,k
k

j ,k

8.
.
n

, (t ) i (t )
i 1

R (t1 , t 2 ) Ri (t1 , t 2 ) Ri j (t1 , t 2 ) .

i j

R (t1 , t 2 ) Ri (t1 , t 2 ) .
i

1. ( ) K (t1 , t2 ) K (t2 , t1 ).
2. (t )
(t ) :
2 (t ) 1 (t ) (t ) , K 2 (t1, t2 ) K 1 (t1, t2 ).
20

3. (t )
(t ) (t1 )(t2 ) :

2 (t ) 1 (t ) (t ) , K2 (t1, t2 ) K1 (t1, t2 )(t1 )(t2 ).

4.
:

K (t1, t2 ) D (t1 ) D (t2 ) .

5.
,

a t1 a t2 K t1, t2 dt1dt2 0,

B B

a t t, , (t ).
3.7. (t )

Y
i

i 1

(t ), tT, Yi

mi Di, i(t) T
. m(t), D(t) R(t,s).
.
n
n
n
m (t ) M (t ) M Yi i (t ) M Yi i (t ) mi i (t ) ,
i 1
i 1
i 1
n
n

n n

R (t1 , t 2 ) M (t1 )(t 2 ) M Yi i (t1 ) Yi i (t 2 ) M Yi Yi i (t1 ) i (t 2 )

i 1
i 1

i 1 i 1

M Yi Y j i (t1 ) i (t 2 ) M Yi M Yi i (t1 ) i (t 2 ) M Yi i (t1 ) i (t 2 )

n

i 1 i 1

i 1 i 1
i j

i 1

mi m j i (t1 ) i (t 2 ) Di mi i (t1 ) i (t 2 ) ,
i 1 i 1

i 1

K (t1 , t 2 ) R (t1 , t 2 ) m (t1 )m (t 2 ) mi m j i (t1 ) i (t 2 ) Di mi i (t1 ) i (t 2 )

i 1 j 1

i 1

i 1

i 1

mi i (t1 ) mi i (t 2 ) Di i (t 2 ) j (t 2 ) ,
i 1 j 1

D (t ) K (t , t ) Di i (t 2 ) .
2

i 1

21

1. ,
(t ) U sin 3t ;
U , mU 10, DU 0, 2.
2.
(t ) Ut

(t ) U t 1 ;

U , DU 10.
3. m (t ) 2t 1, m (t ) t 1 2

K (t1 , t2 ) t1 t2 , K (t1 , t2 ) e4 t2 t1 (t ), (t ) . , t t t .
4. m (t ) ,

K (t1 , t2 ), D (t ) (t ) U sin t V cos t ,

U,
V

,
mU 1, mV 8, DU DV 4 .
5.

(t ) U cos t V sin t ,
(t ) U cos 3t V sin 3t , U, V , mU 0, mV 0, DU DV 5 . .
6. m (t ) ,

K (t1 , t 2 ) , D (t )
(t ) Usht 3e 3tV t 2 ,

U,
V

U R 3;3 ,V 1;2 .

7. K (t1 , t 2 ) D (t ) ,

22

(t ), (t )

(t ) t 2 (t ) (t ) sin 2t cos 2t ,

K (t1 , t2 ) 1 cos(t2 t1 ); K (t1 , t2 ) exp t2 t1 .

8. (t ), (t )

K (t1 , t2 ) 4sin t1 sin t2 ; K (t1 , t2 ) 81sin t1 sin t2 ; K, (t1 , t2 ) 18sin t1 sin t2 .

m (t ) ,

K (t1 , t2 ) , D (t ) ,
r (t1 , t2 ) (t ) sin 4t e 2t (t ) e t (t ) .

23

4.
, .. , . . : ,
..
(t)
, ti,
i=1,2,n .

F ( x1 , t1 , , x n , t n ) F ( x1 , t1 , , x n , t n ) ,

p ( x1 , t1 , , x n , t n ) p ( x1 , t1 ,, x n , t n ), , n 1,2, .
, () . , t
.
n = 1,

p ( x, t ) p ( x, t ) .
t ,

p ( x, t ) p ( x ) ,

. , ,

m (t ) m const ,

D (t ) 2 const .
n 2, , :
p( x1 , t1 , x2 , t 2 ) p( x1 , t1 , x2 , t 2 ) ,
24

 t ,

p( x1, t1 , x2 , t2 ) p( x1, x2 , t2 t1 ) ,

, ,

R (t1 , t 2 )

x x

1 2

p( x1 , t1 , x2 , t 2 )dx1dx2

x x

1 2

p ( x1 , x2 , t 2 t1 )dx1dx2 R (t 2 t1 ) .

,
,
. .. :
1. m t M t M 0 const .

t , t R t

2. D t const .
3. R

t1 R , .. R t1 , t2

t 2 t1 .
4. K t1 , t2 K t2 t1 K , .. K t1 , t2 t2 t1 .
5. D (t ) K t , t K t t K 0 .

1.
: K K .
2.
:
K K 0 .
, :

25

r ( )

K ( )
K (0)

1.
:

r ( )

K ( ) K (0)

1.
K (0) K (0)

2. 0 :

r ( )

K (0)
1.
K (0)

(t ), (t ),
t2 t1 .

K (t1 , t2 ) K ( t2 t1 ) K ( ).
: K ( ) K () .
1. ' (t ) (t ) , :
''
K ' ( ) K ( ) .

2.
'
(t ) (t )

K ,
() , ' ()
: K ' ( ) K ' ( )

K' ( ) K' ( ) .

.. K ' ( ) ,

26

3. (t ) ( s ) ds
0

(t ) , :
t2

t2 t1

t1

K (t1 , t 2 ) (t2 )K ( ) d (t2 t1 )K ( ) d (t1 )K ( ) d .

0

. (t ) ( s ) ds
0

(t ) ,

D (t ) 2 (t )K ( ) d .
0

4.1. (t ) cos(t ) ,

, R 0,2 . , (t )
.
.

m M cos(t ) M cost cossin t sin

M cost cos M sin t sin cos t M cos sin t M sin .

M cos M sin , R 0, 2 ,
:
2
1
1
p ( x )
, x 0,2 , M cos
cos d 0
2
0 2
2
1
M sin
sin d 0 , , m (t ) 0 .
0 2
:

K (t1, t2 ) cov (t1 ), (t2 ) M ((t1 ) m (t1 ))((t2 ) m (t2 ))

(t1 ) m (t1 ) (t1 ), (t2 ) m (t2 ) (t2 ).

,

M ((t1 ) m (t1 ))((t2 ) m (t2 )) M cos(t1 )cos(t2 ) .

:

M cos( t1 )cos( t2 ) M

cos( t2 t1 ) cos( t2 t1 2 )
.
2

,
27

cos( t2 t1 2 )
0.
2

cos(t2 t1 )
.
2
, ,
m (t ) 0 , . ,
(t ) .

K (t1 , t 2 ) M

4.2. K ( )

1
2

cos -

(t ) . .
.
,
1
cos
2
cos .
r ( )
K (0) 1 cos0
2

K ( )

4.3.

(t ) cos(t ), (t ) sin(t ), ,
R 0, 2 . , (t ) (t ) .

. 1 , m (t ) 0 ,

(t ) : m (t ) 0 . , (t ) (t ) :

(t ) cos t , (t ) sin t .
:


K ( t1 , t2 ) M ( t1 ) ( t2 ) M cos t1 sin t2

sin t2 t1 sin t2 t1 2
M
.
2

28


sin t2 t1 2
sin(t2 t1 )cos 2 cos(t2 t1 )sin 2

M
M
2
2

sin(t2 t1 )
cos(t2 t1 )
M cos 2
M sin 2;
2
2
2

M cos2

M sin 2

1 2
1
cos 2d 2
cos 2d 2 0;
4
4 0
1 2
1
sin 2d 2
sin 2d 2 0.
4
4 0

sin t2 t1 2
: M
0.
2

sin t t sin t 2 t1
K (t1 , t 2 ) M 2 1
, .. 2

2
, , (t ) (t ) .

4.4. K 2e 0,5

(t ) . ' (t ) .
''

. 1 K ' ( ) K ( ) ,

2e

0,5 2

2e
''

0,5 2

K ' K
''

12 , D' ( 0) K ' 0 2 .

4.5. K e

1 ,

(t ) . K ' ( ) (t ) .

. K

'

'

( ) K ( ) .

29

1. 0 , K ( ) e
0 : K ' ( ) e

1 , K ' ( ) e ,

2. 0 , K ( ) e 1 , K ( ) e , '

0 : K ' ( ) e .

4.6. K ( )

1
1

(t ) . ( t ) ( s ) ds.
0

. 3
t

(t ) ( s ) ds (t ) , 0

: D (t ) 2 (t )K ( ) d .
0

D (t ) 2 (t )
0

1
1

t
t d 2 1
1
2
d

2
arctg
t
t

2
2
2
0 1
0 1
0 1
t

d 2t

2tarctgt ln t 2 1 .

, . , , , ( )
.

. , , ,
. ,
.
-

30

 , .
k- (k)(t)
2T.
T

1
~ .
( k ) (t )dt m

T 2T
T

( k ) lim

, M ,
. (t).

1
~
R () ( k ) (t ) ( k ) (t ) lim
T 2T

(k )

(t ) ( k ) (t )dt .

, , .
, . , , ,
.
. , ,
, .
, ,
.

: , , , ,
,
0 1, .
31

 , . (t) = (t)+, (t) ,

. , (t) ,
, .
, ,

, , ,
~ , R () R~ () .
m (t ) m

. ,
x ,
, x,
T

1
~
F ( x) lim
C x ( k ) (t ) dt P{(t ) x} ,
T 2T
T

1,
0,

C ( y )

y 0,
y 0.

expi(k)(t)u,

1
g~ (u ) lim
T 2T

expi

(k )

(t )u dt .

, , .
4

1. X (t ) cos t , -

, 0, 2 . ,

X (t ) .

32

2.

X (t ) U sin t V cos t , U, V mU mV 0, DU DV D .
3. K ( )
2

(t ) . , (t ) a (t ) , K ( ) a K ( ) .
4.

X (t ) cos t

,
, Y (t ) sin t

0, 2 . ,
.
5. ,

X (t ) (U 2) cos 7t V sin 7t , U N 2, 3 , V R 3, 3

.
.
6. K ( ) exp 3 1sin 3 (t ) . , ' (t ) , k ' .

7. K ( )
(t ) . K (t1,t 2 ) ,
t

D (t ) (t ) ( s ) ds ,

k t1 ,t2

) k 72

19
2

0 t 2 t1 .

; ) k e .

33

5.
,
,
S(), .
(t ) , R ( ) , ; ,
:

S () R ( ) exp( i) d

(t ) . R ( ) S () :

R ( )

1
S () exp(i) d .
2

S ()
(t ) , () ,
,
.
, + d.
:
, , ,
.

:

34

 4 , (t ) . , .. 0 , R ( ) 0 ,

S () const .

1. S () S ( ) .
2. S () 0 .

R ( )

3.

0 , : R (0) D (t )

1
S () exp(i) d ;
2

1
S () d .
2

5.1. (t ) -

R ( ) D e

, 0
. , 0

.
. :

S ( w)

1
1

R ()eiw d
De eiwd .

2
2

,
:

35

S ( w)

D 0 iw

d e iw d .
e
2
0

S ( w)

1
e iw

2 ( iw)

1
e iw

2 ( iw)

D 1

2 ( iw) ( iw)

D 1
D
1
.

2 ( iw) ( iw) ( 2 w 2 )

1. k -

t . .

sin 2 4
; ) k 12 exp 4 1 4 .
2
2. -

) k 64

t , S ( w) :
2
a) S ( w) 1 16 , 4 ;
0
, 4

b) S ( w)

36

10
1
1

2
2
4 3 4 3

6. , ,


, () . , . ,
.
, .

, M 2 t ,
, .

M 2 t , , .
:
0 ,
1. :

lim P k ()() 0 .
k

2
2. : lim M k ( ) ( ) 0 .
k

3. : P lim k () () 1 .
k

4. ( ): lim F F ( x )

F ( x ) .
, .

.
1. s (t ) (t )
2
s s0 , lim M s (t ) (t ) 0 .
s s0

37

..

s (t )

s s0

(t ) ; l.i.m s (t ) (t ) .
s s0

2. (, t ) , t T
2

(.. M (, t ) ) t t0 , :

lim M (, t ) (, t0 ) 0 ,

t t0
2

.. t t0

() (, t0 ) .
3. ,
(, t) , t T ,
t T .
6.1. , .
t t 0 T .

M ( , t ) ( , t 0 )

k P (, t) (, t ) k k

k 1

(t t 0 )e ( t t0 ) k

(t t 0 )

k 1

[ (t t 0 )]k ( t t0 )
e

k!

k 1

( k 1)!

k 1

(t t 0 )k 1 .
k
(k 1)!
k 1

k
k 1

k 1

( k 1)!

dx

k 1

( k 1)!

k 0

k!

x
xe .

k 1

38

k 1

( k 1)!

d
dx

( xe ) xe e e ( x 1) .

2
(t t0 )
M (, t ) (, t0 ) (t t0 )e ( t t0 ) k

(k 1)!
k 1
(t t0 ) (t t0 ) 1 0,
t t0
k 1

, 1,
, , 2, .

4. ( , t ) t T

t t0 ,

'

(, t0 ) ,
2
(, t ) (, t ) '

0
(, t0 ) 0 .
lim M
t t0
t t0

(3.7)

' (, t )
.
t0 t t t0 t 0 :
'

(, t ) lim
t t0

(, t ) (, t0 )
t t0

5. (, t )
t T -

T0 T , T0 .
1 ( ). , (, t ) t T
'
t0 T , (, t0 ) 39

 , ,
m (t ) K (t1 , t 2 )
t1 t 2 t0 .
. T
(, t ) t T

m (t ) K (t1 , t 2 ) '
(, t )
t T , ,
'
(, t ) (, t ) ,
1) m (t )

d
dt

2) K (t1 , t 2 )

m (t ) ;

t1t 2

K (t1 , t 2 ) .

(, t ) ,
1) m (t ) 0 ;
2) K (t1 , t2 ) K ' ( ) .
6.2. m (t ) t 2 t

(t ) ,

m ' (t ) m (t ) .

'
'
2
m ' (t ) m (t ) m (t ) t t 2t 1 .

6.3.
t
(t ) (t ) e , t 0, (t ) N (3,1) .
d ( t )
'
(t )
.
dt

40

. t
t
(t ) : m (t ) M ( e ) e M ; (t ) N (3,1) , t
m (t ) 3 e ; m ' (t ) :

'
'
t
m ' (t ) M ' t M t 3e t 3e .

(t ) :
K ( t1 , t2 ) M
9 e

t1

t2

M e

M e t e t
t t
3 M 3 e e .

t1

3e t1 e t2 3e t2

t1

t2

K t1 ,t2 M 3

d (t ) K (t1 , t 2 )
'
;
(t )

dt
t1t 2

K x (t1 , t 2 ) 2t1 t 2

t1t2

2
t2

6 e 1 e

t2

t1 t2

t1t 2

6.4.
2
t1

3 D 1 ;

e t e t

t1 t2

X (t ) , -

K ' (t1 , t2 ) .
x
. -

t1 :

K x (t1 , t 2 )
t1

2t1 t 2 t12 t 22
t1

2t 2 2t1 t 22 ;

t 2 :

2
K x (t1 , t 2 ) 2t 2 2t1 t 2

2 4t1 t 2 .
t1t 2
t 2
2

41

,
K x' (t1 , t2 ) 2 4t1 t2 .

6.5.

X (t ) cos( t ) sin( t ), ,
2

, , m , m , . , .
. ,
:

mX (t ) M cos( t ) sin( t ) M cos( t ) M sin( t )

m cos( t ) m sin( t );
K X (t1 , t 2 ) M [( X (t1 ) m X (t1 ))( X (t 2 ) m X (t2 )) M X (t1 ) X (t 2 )

m X (t1 ) M X (t2 ) m X (t2 ) M X (t1 ) m X (t1 ) m X (t2 )

M X (t1 ) X (t2 ) m X (t1 ) m X (t2 );

M X (t1 ) X (t2 ) mX (t1 )mX (t2 ) M [( cos( t1 ) sin( t1 )( cos( t2 )

sin( t2 )] mX (t1 )mX (t2 ) M 2 cos( t1 )cos( t2 )
M M sin( (t1 t2 )) M 2 sin( t1 )sin( t2 )
m2 cos( t1 )cos( t2 ) m m cos(t1) sin(t2 )sin(t1)cos(t2 )
''

2e0,52 2e0,52

12 2e0,5

''

2e0,52

12 m2 sin( t1 )sin( t2 )

.. M 2 2 m2 ; M 2 2 m2 2 cos( (t1 t2 ));

m X (t ) m cos( t ) m sin( t ); K X (t1 , t 2 ) 2 cos( (t1 t 2 ));

dm X
'
[ m cos( t ) m sin( t )];
m X (t )
dt
2

KX
2 2
2 2
cos (t2 t1 ) t1 t2 t0
t1t 2

42

X (t ) cos( t ) sin( t ) .

. (t ) T R . a ,b T
1

a t0 t1 .... t n1 t n b , i ti 1 , ti , i 1,..., n .
6. n max(ti ti 1 ) 0
i 1,...,n

( i )(ti ti 1 )
,

ti

c.k

i 1

,
i

(t ) ,
a,b
b

(t ) dt .
a

2.
b

(t ) dt ,
a

:
b

I1 m (t ) dt ; I 2 K (t , ) dtd ,

m (t ) M (t ) K (t , ) cov (t), ( ) .
3. (t ) ,

M M (t ) dt m (t ) dt ,
a

cov (t ) dt ,( ) K (t ,) dt , T ;
a

d
d
b b
b
b d
cov (t ) dt , ( ) d K (t ,) dtd , c,d T ; D (t ) dt K (t ,)dtd .
c
c
a
a c
a a

43

 6.6. m (t ) 2t 1

(t ) ,
t

(t ) ( s ) ds .
0

. M (t ) m ( s ) ds (2 s 1) ds t 2 t .
6.7. m (t ) 3e t

(t ) K (t1 , t 2 ) e

t1 t2 ,

(t ) ( s ) ds .
0

M (t ) m ( s ) ds 3e s ds 3e
0

s t
0

(t ) :

t
3 3e .

t1 t2

(t ) ( s ) ds , K (t1 , t 2 ) K ( 1 ,2 ) d 1d 2 , .. 0

:
t1 t2

t1

t2

K ( t1 , t2 ) e1 2 d 1d 2 e1 d 1 e2 d 2

t1

1 e t2 e 1 d 1 1 e t2 1 e t1 .
0

6
3

1. m X (t ) t 2t 1
X (t ) . .
2. mX (t ) t 2 4 X (t ) .

Y (t ) t X ' (t ) t 2 .

44

3. K (t1 , t 2 ) 5e t2 t1

X (t ) . .

4. m X (t ) 3t 2 1

X (t ) , Y (t ) X ( s ) ds .
0

5. X (t ) Ue cos t , U
, mU (t ) 5.
t

Y (t ) X ( s ) ds .
0

6. (t ) ch 2t Ush 2t , U E 0; 4 , (t ) ' (t ) .
m (t ) ,

K (t1 , t 2 ) , D (t ) ,
r (t1 , t 2 ) (t ) , (t ) . K , (t1 , t 2 ) r , (t1 , t 2 ) .
t

7. (t ) (t 2 1)U , U N ( 3, 5), (t ) ( s )ds .

0

m (t ) ,

K (t1 , t 2 ) , D (t ) ,

K , (t1 , t 2 ); K , (t1 , t2 ) (t ) .
8. (t )

t
U
, U P (2), (t ) ( s )ds .
(t 4)
0
2

K (t1 , t 2 ) , D (t ) ,

r (t1 , t 2 )

(t ) (t ) (t ) , (t ) .

45

7.

, . ,
, .

T
n- ,
1, 2 , , n

1 , 2 ,, n T R n .

gn () Mei (,) Mei (11 nn ) ,

T
, n- 1, 2 , , n

1 n
gn () exp i m, v v T K v exp i mk vk K jk v j vk ,
2
2 j , k 1

k 1

T
v v1 , v2 , , vn , mT M 1 , M 2 ,, M n , K ( K jk ) -

1 , 2 ,, n :
T

___

K jk M j m j k mk M j k , j, k 1, n .

. , t t T

,
, ..
46


, t1 , , t2 ,, , tn ti T i 1, n

g n v1 , v2 , , vn ; t1 , t2 , , tn exp i m tk vk
n

k 1

K t k , tl vk vl .
n

2 k , l 1

,
.
7.1. n 1 .

g1 v M ei v ei x v p1 x dx ,

x m
1
exp
2
22
2

. p1 x
2

p1 x

p1 x

i xv

g1 v dv .

,
1
i mv 2 v 2
2
g1 v e
.

i xv

2 2

ei m v

x m 2
2 2

dx

xm y

2 2

1
2

y i v
2

2v 2
2

i y m v

dy

z y i 2v

y2
2 2 dy

ei m v

ei m v
2 2

i y v

y2

dy

2 v 2 i 2 v
2

1
2 2

z2
2 2

dz

i 2v

1
i m v 2 v2
2
.
e

47

g1 v1; t1 M ei , t1 v1 ,
g 2 v1 , v2 ; t1 , t2 M ei , t1 v1 , t2 v2 ,

g3 v1 , v2 , v3 ; t1 , t2 , t3 M

3
i , t j v j
j 1

:
1. :
m (t ) K (t ) .
2.
. , ,
,

.
, ..

.

.
, t1 t2 ... tn

t1 , t2 t1 , t3 t2 , ...., tn tn 1 ,
:

cov t1 , t2 t1 0 ; cov t2 t1 , t3 t2 0 ; ;
cov tn 2 tn 1 , tn 1 tn 0 ;
:
p (t1 , x1 , t2 , x2 ,..., tn , xn ) p (tn , xn tn 1 , xn 1 ) .... p (t2 , x2 t1 , x1 ) p (t1 , x1 ) .

48

 :
1.
, ..
p(t , x) , p(t1 , x1 , t2 , x2 )
Ft x , Ft 1, t

x1, x2 .

2.
:

K t1 , t2 K t1 ,
K t1 t1.
K t1 , .
(
)
. , t t T 0 , :
1. , 0 0.

tk : tk T , k 1, n : 0 t1 t2 tn
, t1 , , t2 , t1 ,, , tn , tn 1 -

2. n 1

.
3. 0 ti 1 ti : , ti , ti 1 D ti ti 1 2 (
).
, , . 1 , .

49


. , w , t
, 0 s 0
t

X , t w , 2 ,

1
X , t t w , ,
t
X , t w , t s w , s

.
(
)
. 0 , t , t R , -

:
1. , 0 0.
2. n 1, tk T , k 1, n : t1 t2 tn

, t1 , , t2 , t1 ,, , tn , tn 1 .
3. t1, t2 T : 0 t1 t2 , t2 , t1

t2 t1

t2 t1 et2 t1 .
k

P , t2 , t1 k

50

k!


1. (t) +1 1. . .
, .
2. (t) ,
p( x)

| x | | x|
e . , ( 1)

(t). ,
, , .
3. U V , [a,b] [c,d] . , S(t) = U+Vt.
?
4. (t) = Ucosat+Vsinat, a , U V , [1,1] [2,2] .
,
. ?
5. (t) = (t)cos(Bt+),
B , (t) m K(),
, [0,2], (t) . ?
6. , (t) t
K(t,s) = e(t+s).
7. 1(t) 2(t) R1(t,s) R2(t,s), . (t) = 1(t)2(t).
8. ,
(t) = Xcos(t+Y), X
, Y , [0,2].
51

9. xa

.

(t) = +t, t R.
10. U V ,
1 2, .
,
S(t) = U+Vt. ?
11. S(t) = Uet+Vet, U V ,
. ,
(t). ,
, , .
12. S(t) = t+Uet+Vet, U V
D1 = D2 = 2, . , (t). , , .
13.
[0,2]. (t) = t+a, a , , .
?
14. (t) = Vt2, V
, a 2. (t) ( , ). ?
15. (t) = cos(t+),
, , [0,2].
16. (t) = V, V pV ( x) . (t) ( ,
). ?
17. , , ,
k :

52

() k
e
.
k!
(t) 0
t (, ). , (t). . ,
s>t (s) = (t)+, t s.
18. , m 2.
(t) = 2t+b, b , t > 0.
19. . (t) : i- (i = 1,2) Vi .
(0) = V0. V0, V1,
pV(x). .

20.
Pk ()

(t )

n
Y q (t ), q1(t),q2(t),,qn(t) , Y1, Y2, ,
i 1 i i

Yn m1, m2, , mn d1, d2, , dn .

21. R(t,s)
, Q(z) . ,
R(t,s) = Q(R(t,s)) .
22. XN(m,), b . Y(t) = Xt+b, t > 0.
23. X(t) X(t) = U+Vt, U V ,
[0,1], t 0 . P(A)

A 0 X (1)

1 1
X (2)
2 2

3 1
1
X (1) 1 X (2)
4 2
4

3
.
4

24. X Y
, 1 +1 1/2. (t) = Xcost+Ysint, t 0.
53

25. X(t), t 0
. , Y(t) = X(t+1)X(t), t 1 .
26. ?
27. (t) T,
X , [0, T].
Y(t) = (t+X) .
28. , .
29. (t) = Xcos(t+Y), X, Y , X N(0;1), Y [;].
30. X(t) , Y . Z(t) = X(t)+Y ?
31. , R (t ) 2 e a|t| cos t , a, , ,
. , .
32. X(t) X (t ) b sin ( t ) , b,
,
f(x), t 0. X(t) :
a) f(x) = cos [0, /2];
) f (x) = 1/2 x [0,2], f(x) = 0 x [0, 2].
33. (t) :
1 (t ) 1 ; 2 (t ) 2 ; (t ) sin t ; 4 (t ) cos t .
3
(t) (
, ).
, ?

54

1. - .. . . : , 1969. 512 .
2. .., .., .. : .
. . : - . .. , 1999. 448 .
3. .., .. . 3- ., . . . : , 2005. 400 .
4. .. . . : , 1969. 448 .
5. .. : .
. : , 2004. 326 .
6. .., ..
. . : , 2002. 320 .
7. .., .. : . . : - , 2006. 204 .
8. .., .. : .
. : - , 2004.
9. .. . . : . , 1971.
10. .., .., .., .. . 2 7- . . : -, 2009.
592 .

55



1. .

.
P 1 p, P 0 q , M p, D pq , -

g (u ) q peiu .
2. .
n .
P m Cnm p m q n m ; m 0,1,.., n ,

, q . M np, D npq , -

g (u ) q peiu

3. .

.
1
q
m 1
P m pq
; m 1, 2,..; q 1 p , M , D
; p
p2

g (u )

peiu

.
1 qeiu
4. . ,

,
P m

m e
; m 0,1, 2,..; M D ,
m!

eiu 1

.
g (u ) e
5. .
:
1
ab
n2 1
, ak b
P k n
; M
; D
;
2
12
0,
, else

56

eiau ei (b 1)u

g (u )

.
n(1 eiu )
6. .

:
ex , x 0
1
1
;

p ( x)
; 0, M , D

x
0,
,
0
2

g (u )

.
iu

7. . :

1
a xb
ab
b a 2 ,

p ( x) b a
; M
, D
2
12
0,
, else
eibu eiau .
g (u )

iu (b a)
8. . :

p ( x)

; , a 0, x , .
2 ( x a )2

,
iau u

g (u ) e

9. . :
p ( x)

1
2

x 2
22 , ,

x , , M , D 2 ,

g (u ) e

iau

2u 2
2

.
57

10. . 1 x
: p ( x) e , M 0, D 2,
2
1
g (u )
.
1 u2
11. . , k , :
1 x
p
p
, x0
x e

; , 0; M , D
,
p ( x) ()

, x0
0,
iu
g (u ) 1

58

 ..
- ..


414 9 2014 . 100 .
59