电子讲义-2随机过程的基本概念.pdfVIP

  §2.1  Æ   ℄  Æ Æ t x− X (t) V (t), {(X (t), V (t), t ≥ 0} t,((X (t), V (t)) ω , (X (t, ω), V (t, ω)). {(X (t, ω), V (t, ω)), ω ∈ Ω, t ≥ 0} ℄  ℄ 2.1.1 (Ω, F, P ) ξ = {ξ (t), t ∈ T } (random processes or stochastical processes), ℄ t ∈ T , ξ (t) 2.1.1 ξ T T ℄  T t ∈ T {ξ (t), t ∈ T }  , {ξ (t), t ∈ T }  . ( 2.1.3). 28 2.1.1 {ξ (t), t ∈ T },  t, ξ (t) t ω , t ξ (t, ω), ξ ξ (, ω) T R ξ (, ω) : T ∋ t → ξ (t, ω) ∈ R,  {ξ (t, ω), t ∈ T } ξ () (Æ) (sample path or sample function)  2.1.1 i ξ = 1, ξ = 0, ξ = {ξ , i = 1, 2, } i i i ξ  ξ 0 1 Sn = ξ1 + ξ2 + + ξn , S = {Sn , n = 1, 2, }  (Markov) 2.1.2 ξ (t) (0, t] {ξ (t), t ∈ (0, 24]} ( ) 1  (Poisson) 2.1.3 ξ (t) t ξ = {ξ (t), t ∈ (0, 24]} Æ η (t) t ζ = {ζ (t) = (ξ (t), η(t)), t ∈ [0, 24]} 2.1.4 ξn n  ξn ξ = {ξn , n = 1, 2, } 2.1.1 2.1.4 T ( (state space)),   Poisson Markov 29 (Brown) 2.1.5() ξ = {ξ (t), t ∈ (−∞, ∞)}, ℄n 1 t1 t2 tn ξ (t ), ξ(t ) − ξ (t ), ξ(t ) − ξ (t ), , ξ(t ) − ξ (t ), 1 2 1 3 2 n n−1 ξ (process with independent increments). ξ (t)−ξ (s) (t − s) s, t ξ (process with stationary increments). ξ ξ (process with independent and stationary increments). ℄ ( [6]) Brown  2.1.6(Poisson )