随机过程课件（上海财经大学）第二节 时间与 及无限.ppt

第二节 时间与无限 τ矩的有限性 1(A) 表示事件A的指示函数，Z是一个非负且取值为正整数的随机变量，则 τ的均值：一步分析法 边界条件是 边界条件是 τ的均值 边界条件是 第四节 数值计算与直觉 We compute the probability of winning $100 before losing $100 in some games with odds that are typical of the world’s casinos. The table assumes a constant bet size of $1 on all rounds of the game. One of the lessons we can extract from this table is that the traditional movie character who chooses to wager everything on a single round of roulette is not so foolish; there is wisdom to back up the bravado. Chance on one round 0.500 0.495 0.490 0.480 0.470 Chance to win $100 0.500 0.1191 0.079 0.0003 6*exp(-6) Duration of the game 10,000 7,616 4,800 2,498 1,667 第五节 停时τ的分布 概率生成函数（probability generating function） 性质：独立随机变量和的概率生成函数是随机变量概率生成函数的积。 第一步分析法 Exercises Consider simple random walk beginning at 0 and show that for any L?0 the expected number of visits to level L before returning to 0 is exactly 1.