,

. .

11.05.2011,
,
-

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36. .
37. .

3
5
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22
26
37
43
51
69
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69
75
83
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210

 , .
, , ,
.
.

, , .
,
.
, . , -
. ,
, .
. .. , .. (- , 1999).
. .
(?) (?n) .
1. .
.

A. n , ,
nA , A. PA A
A,
PA = lim
n

nA
.
n

,
. ,
, , . .
:
(, ,
, ), ,
.
, .
:
1) nA 0, PA 0,
2) nA n, PA 1,
3) A B , nA+B = nA +nB ,
A + B , i) A B, ii) A B (
).
P(A + B) = PA + PB.
(. ),
, . ,
, .
, , ,
4

 , . , 1/2 3? : 6.
, ,
. ,
. 1
.
2.
.. ( . ).
(, A, P),
,
, A - , P A, ..
i) P :A [0,1],
P
P
An =
ii) P
P(An )
n

An ,
iii) P() = 1.
, - A, , A , A. A B
A B ( , A B),
A + B, A B ; AB A B (
A B,
, ,
, ), AB = A
B ( , ..
); A \ B A, B; ; . A A A.
{...},

.
P S Q
, , , A B A B ( ,
i

A, B).
P(A) ( E() D())
.
, , -.
,
,
. .
, . . , .
i) A B, PA PB. ,
PB = PA + P(B \ A), P(B \ A) 0.
PA .
ii) PA = 1 PA.
iii) P(A B) PA + PB. ,
P(A B) = PA + P(B \ A), P(B \ A) PB.
iv) PA = 0, PB = 0 P(A B) = 0, PA = 1, PB = 1 P(AB) = 1.
v) P(A+B) = PA+PB = 0, AB = .
5

vi) + = P = 0.
.
1. a. {1, 2, 3},
. -.
b. , . .
, . ,
. ?
. = [0, 1], A
- [0, 1], P .

 1.
1.
,
,
.
1. .
( )
, A ,
. |A| A. (
)
|A|
(pr)
P(A) =
||
:
.
. ,
( !), , .

.
, , :
1) , .. ,
2) , .. A ,
3) |A| ||, .
. , i) - iii).
2. .

. ,
A B := {(a, b) : a A, b B}, |A B| = |A||B|,

()

An := {(a1 , ..., an ) : ai Ai}, |An | = |A|n .

,
: {a} B |B| ,
A B |A| . , -
. |B1 + B2 + ... + Br | = |B1 | + |B2 | + ... + |Br |.
A = {a1 , ..., ar }. A B :
A B = {a1 } B + ... + {ar } B.
:
|A B| = |{a1 } B| + ... + |{ar } B| = r |{a1 } B| = r |B|.
(
n), n = 2 |A2 | = |A A| = |A|2 .
. 3 3 = 9 3 2 = 6.
:
3 3 = |{a, b, c}| |{a, b, c}| =
= |{a, b, c} {a, b, c}| = |{(a, a), (a, b), (a, c), (b, a), (b, b), (b, c), (c, a), (c, b), (c, c)}| = 9,
7

 :
3 2 = |{a, b, c}| |{x, y}| =
= |{a, b, c} {x, y}| = |{(a, x), (a, y), (b, x), (b, y), (c, x), (c, y)}| = 6.
{a, b, c}:
3 2 = |{a, b, c}| |{b, c}| = |{a, b, c} {b, c}| = |{(a, b), (a, c), (b, b), (b, c), (c, b), (c, c)}| = 6.
, -
a. ,
|An | = |A|n ,
, ,
|An | = |An1 A| = |An1 | |A| = |A|n1 |A| = |A|n .
, An n- (a1 , a2 , ..., an ), A, n-
n A. n- Rn , x = (x1 , x2 , ..., xn ), xi i-
x. , A ,
An .
An , A r , n r- .
(a1 , ..., an ) An n A,
( ). ,
rn . , n r- .
( n r)
r!
r(r 1)...(r n + 1) =
.
(r n)!
n n
r n ,
, n n + 1 r n .
n = n + 1 ( n + 1 r,
r!
).
, ,
. ,
n r . ,
AB

P a A Ba ,
P
{a} Ba . , A(2) |A(2) | =
|Ba |.
aA

aA

Ba , A(2)
|A| |Ba |, a A .
2 A. (a, b), a A, b Ba =
A \ {a} (b a). |A| = r, |Ba | = r 1,
r(r 1).
3.
P
A(3) =
{(a, b)} B(a,b) , B(a,b) = A \ {a, b}, r 2 .
(a,b)A(2)

, 2 r 2 3,
8

 r(r1)(r2). n r
.
A(n) n
A, |A| = r. |A(n) | = r(r 1)...(r n + 1).
A(n+1) :
X
A(n+1) =
{a1 , ..., an } (A \ {a1 , ..., an }).
()
{a1 ,...,an }A(n)

, |A \ {a1 , ..., an }| = r n {a1 , ..., an } A(n) ( A(n) A),

|A(n+1) | = (r n) + + (r n) = |A(n) | (r n) = r(r 1)...(r n + 1)(r n).
{z
}
|
|An | times

.
n A, |A| = r. , n r.
1, 2, ..., n A , i 6= j ai 6= aj .
i ai , , i- ai .
n A, |A| = r,
r(r 1)...(r n+1). . A(a1 , ..., as ) A, ( !) a1 ,...,as .
A(s) s
A.
n = r, , r!.
, ,
. r
A, .
, n r-
( )
Crn =

r!
.
n!(r n)!

()

, n! ,
. n n!
.
|A B|
. (*) : |A| =
. |B|
(, ),
n r- (
n ) n
r!
. , (, ) (rn)!
,
n!.
. : ,
, . ,
, .
, .


n, .
n! ,
. , , , .
, . ,
, ,
,
(pr) . : (a, b, c) 6
(a, b, c), (b, c, a), (c, a, b), (a, c, b), (c, b, a), (b, a, c), (a, a, b) 3 (a, a, b), (a, b, a), (b, a, a),
(a, a, a) .
.
, , . ,

.
. 1. 32- 10 , . 5 32. , 10
. 10 32 . ,
, ,
. .
, 3210 . ,
 10
28
.
, 28 . : 32
. , ,
, .
, , .
. 10
, ,
 
28 .
. 32
2. 8 4 . 10 .
, . ,
. ( ) ( ).
32 31 ... 23.
28 27 ... 19. ,
28 27 ... 19
.
32 31 ... 23
, . . , 10 32 10
. C32
.
10
28 , C28 . , .
3. 8- 5 . ,
( 2 8 ).
5 7 .

10

, , ,
. .
,
75 . ,
, .
.
, ( 7 6 55 4 3 ).
7
, ?
, .
,
. , (2, 2, 2, 2, 2) ,
(2, 3, 4, 5, 6) 5! . ,
, . , ,
. ( ),
, .
.
, A .
, A . , A ,
1!
3. (). N , R
, N R . n . ,
r , n r ?
, (,
). .
, , , . ,
, n
.
. , || = CN
( , ),
r R ,
n r N R . , A
r nr
, |A| = CR
CN R .
4. . n ,
k n .
. ,
n 2 (, ). || = 2n . (
, : n = 2 4 {, }, {, },{, },{, },
. .)
, :

P{, } = P{, } = P{,} = P{, }.
- i-
n-k , i- .
Ak . ,
. , k , , . ,
11

 (n1 , ..., nk ) k {1, ..., n}. , ni

Ak ,
. , |Ak | = Cnk ,
Ck
PA = nn .
2
.
P() =

_k = 0n P(Ak ) =

_k = 0n

Cnk
(1 + 1)n
= 1.
n =
2
2n

.
A , . ,

n 2- {, },
, n k.
4. n , , ,
k ? ,

. r .
5. .
( ) r . ,
n r ( ,
r ). , 1- n1 , 2-
n2 ,..., r- nr ? ,
n r . , || = rn .

A = { 1- n1 , 2- n2 ,..., r- nr }
,
|A| =

n!
.
n1 !n2 !...nr !

r, r 1 r
r 1 r ,
A0 = { 1- n1 , 2- n2 ,..., r 1- nr1 + nr }
( 0 (r 1)n ).
r 1
n!
|A0 | =
.
n1 !n2 !...(nr1 + nr )!
, r = 2 nr1 + nr
(nr1 + nr )!
r 1- r-
.
nr1 !nr !
(n
+ nr )!
, A0 r1
A.
nr1 !nr !
|A| =

n!
(nr1 + nr )!
n!

=
.
n1 !n2 !...(nr1 + nr )!
nr1 !nr !
n1 !n2 !...nr !

,
P{n1 , ..., nr } = rn
12

n!
.
n1 !n2 !...nr !

(1)

 .
. r n ( ).
(1).
6. .
(,
)
, .

( ).

( ). (n1 , ..., nr ),
, . , (1)
P{n1 , ..., nr } =

1
.
||

(2)

||,

n1 + ... + nr = n
(3),
ni . (2)

|| | || | || |,
, |
. , , n1 = 0, n2 = 0,
n3 = 1, n4 = 1, n5 = 0, n6 = 2, n7 = 3, n8 = 0, n9 = 1, n10 = 0.
n r 1 |. , n
n
r . ||, , Cn+r1
.
n
1/Cn+r1 .
5. 2 2 . 12|, 1|2, 2|1, 2|2, P{1|2 + 2|1} = 1/2.
|, |, | , P{|} = 1/3.
. , .
, . {, |} {, }, P{1 , 1 } = 1/3? ,
- , , ,
. , ,
, , ( ).
{|} 1/2 1/3
. , ,
, p , 1 p
.
. ,
. , ,
,
, . r n
|| = Cnr . .
.
6. 5 8 . , 1, 2, 3, 4?

13

 , | | | | | | |,
(, ),
5. A | | | |||| (
5
4 . , || = C12
.
A 4 . , A
5
.
| | |, 5. : |A| = C85 , P(A) = C85 /C12
2. 4 , {a, b} 1 {x, y} 2
. 2 . , ? A
.
3. 12 , 3 1 , 4 2
5 3 . 6 . , 2
?
2.
,
. , , ,
r- , , , , r-
, , ,
. m. A , , m
.
P(A) =

m(A)
.
m()

(, , , , ). , . , ( [0, 2]), , , , .
, , .
, . ,
( ), .
-
(, , A B ,
- x, ). ,
.
, . ,
. , ( ) ,
. ( , ,
.)

, ,
.
14

,
(!) .

1 . ,

3?
. ,
, . ,

. ,

3, 2/3, 1/3.
, , .
. , . . , . 3,
, , 1/2. , 1/2.
.
. .
, 1/2. /4.
1/4.
, . , ,
.
, .
.
. ,
, , . ,
,
, , .
, ?
, . ,
,
.
, ,
, , , ,
.
1. ( ) 4 . , 1
.?
. , (0, 4), A = (0, 1). P(A) = m(0,1)
m(0,4) = 1/4 (m ,
).
2. ( ) 2 . .
, 1 .?
. , ,
x, y. x y
(0, 1). (x, y) {(x, y) : 0 < x < 1, 0 < y < 1},
. A ={(x,y): x+y<1 }} . P(A) = m(A)
m() = 1/8 (m ).
. .

15

, . ,
, .
4. ( ) 2 . . , 1.5 .?
3. .
. m(A)
P(A) = |A|
|| , P(A) = m() .

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

. , , , 1 9,
, .
, .
, , ,
. ,
k n , 0.51 0.5. ,
.
,
. .
. , ,
.
1. .
:
P(A B) = P(A) + P(B) P(AB).
. A B = A + (B \ A),
P(A B) = P(A) + P(B \ A).

16

(1)

 B = (B \ A) + AB,
P(B) = P(B \ A) + P(AB).
(1).
n

[ X
X
P
Ai =
P(Ai )
P(Ai Aj )+

i
i<j
in

Y
X
+
P(Ai Aj Ak ) ... + (1)n+1 P
Ai .

(10 )

in

i<j<k

n . (10 ) n , n + 1
An An+1 n,
P (An An+1 )

Ai Aj Ak (An An+1 ) = Ai Aj Ak An Ai Aj Ak An+1 ,
, ,
() .

[
[
[

Ai An+1 = P
P
Ai + P (An+1 ) P
Ai An+1 .

in

in

in

. :
,
A1 ... An = A1 + [A2 \ A1 ] + ... + [An \ (A1 A2 ... An1 )].
2. . A
B
P(AB)
P(A|B) :=
.
(2)
P(B)
.
, , , B, , A.
nAB
nAB nB
P(AB)
=
/

.
nB
n
n
P(B)
, P(B) 6= 0. , ( ) . ,
!
X 
X
P(B)
P(|B) =
= 1, P
An B =
P(An |B).
P(B)
n
n
, ,
. ?
P{(A|B)|C} =

P(AC|B)
P(ACB) P(CB)
P(ACB)
=
/
=
= P(A|BC).
P(C|B)
P(B)
P(B)
P(CB)
17

. 18 . : , A
B, B .. .
A
B, , .
. , (. ).
P(A|B) ( B, , ,
P(A|B) = P(AB|B).
3. .
P (A1 A2 ...An ) = P (A1 ) P (A2 |A1 ) ...P (An |A1 ...An1 ) .

(3)

.
P(AB) = P(A|B)P(B).
n + 1 :
P (A1 A2 ...An An+1 ) = P (A1 A2 ...An ) P (An+1 |A1 A2 ...An ) =
= P (A1 ) P (A2 |A1 ) ...P (An |A1 ...An1 ) P (An+1 |A1 A2 ...An ) .
. , -
,
. .
1. 100 , 90 , 10 .
5 ( ). , ?
Ai = { i- },
90 , A , 99 , 89
A1 A2 A3 A4 A5 . : P(A1 ) = 100
1
, A1 A2 , 98 , 88 , . .
,
, . ,
P (A1 A2 ...A5 ) = P (A1 ) P (A2 |A1 ) ...P (A5 |A1 ...A4 ) =

90 89 88 87 86
.
100 99 98 97 96

, ( ) 5 . ,
( ) .
4. . n n
. . ,
?
Ai = {i- S
}. . Ai .
i

, ,
. :
1
1 1
P(Ai ) = i, P(Ai Aj ) = P(Aj |Ai )P(Ai ) =
i < j, ...,
n
n1n

18

Ai =

in

1
n!

, , ..
,

[
1
1
1
P
Ai = 1 + ... + (1)n+1 1 e1 .
2! 3!
n!
in

5. .
, .
, . ,
:
P{ > t + h| > t} = P{ > h}.

()

:
P{ > t + h} = P [{ > t + h}{ > t}] = P{ > t + h| > t}P{ > t} = P{ > h}P{ > t}.
(, { > t + h} = { > t + h}{ > t}.) ,
t , (. 1 ,
) . , . ,
P{ > t} = et ,
> 0 . , 1. et P{ > 0} = 1.
. (*). t ,
h Bt = { t }.
, t, .
, , , .
6. .
{Ai }
, . .
B:
X
P(B) =
P(B|Ai )P(Ai ).
(4)
i

: =

Ai ,

!
P(B) =

X
i

P B

Ai

P(BAi ) =

P(B|Ai )P(Ai ).

7. .
(4) P(Ai |B) P(B|Ai ). ,
P(B|Ai )P(Ai )
.
P(Ai |B) = X
P(B|Ai )P(Ai )
i

19

(5)

8. .
(. .
1/2) . 1 . A
m , B n . , A?
B. , ,
, .
, .
.
,
s = m+n, m = sn. n B .
p(n) B, B
n . B n + 1 n 1 ,
1/2. B

= { 1 } + { 1 }.
:

1
1
p(n 1) + p(n + 1)n, p(s) = 1, p(0) = 0.
2
2
, ( n s)
p(n) = n
s.
.
s + 1 :
p(0) = 0;
p(n) =

1
1
p(0) + p(2)
2
2

1
1
p(s 1) = p(s 2) + p(s);
2
2
p(s) = 1.
p(1) =

s 1

 1

 1/2

 0



 0

 0

p(n).

1/2 0
0

0 
1 1/2 0

0 
1/2 1 1/2
0 
.


0 1/2 1 1/2 

0 1/2 1 

, , , p(n) = n
s . , p(n)
. - :
, C, , , ? , :
p(n) + p(m) =

m
n
+
= 1.
n+m n+m

. k C (
) (n) , A n

20

 B, n s s. (.
),
k!
(0)
[(k + n)/2]![(k n)/2]!
"
#
 k
k/2

k/2
p
p

k
k/2
k/2
1
2 k/
2 k/2
2 k/2 2k =
0.

e
e
e
k
(n+k)/2 k

(n) = Ck

C 2s (s ) 0 k .
k
. ,
p, 1 p. [. .]
9. .

.
, .
, .
. , . , 90 ,
10 . ( 0.91)
. ( 0.09) , 50 , 50 .

( ) , , ,
, .
?
0.09.
, . :
B = { }, A1 = { }, A2 = { }.
P(A2 |B). :
P(A2 |B) =

P(B|A2 )P(A2 )
0.5 0.09
=
.
P(B|A1 )P(A1 ) + P(B|A2 )P(A2 )
0.5 0.09 + 0.9 0.91

.
10. .
.
. . , 4 2
, 2 3 . , ,
, . ,
?
: , , ,
1/2. ,
.
, , .. 1. ,
. :
B = { }, Ai = { i- }.
1/2,
P(B) = P(B|A1 )P(A1 ) + P(B|A2 )P(A2 ).

21

 , P(A1 ) = P(A2 ) = 1/2. , P(B|A1 ) =

4/6, P(B|A2 ) = 2/5,
8
4 1 2 1
.
P(B) = + =
6 2 5 2
15

:
P(A1 |B) =

P(A1 B)
1/3
5
3
=
= , P(A2 |B) = .
P(B)
8/15
8
8

. , ,
. ,
?
, .
B 0 . , P(B 0 |B). ,
, ,
, , 3/8,
, , 5/8:
P(B 0 |B) = P(B 0 |A1 )P(A1 |B) + P(B 0 |A2 )P(A2 |B) =

1
3 2 5 2
+ = .
8 3 8 5
2

5. 2 2
P( 1- < 0.5 .| < 1 .).

4.
. A B, P(A|B) = P(A).
P(B), :
1. . A B ,
P(AB) = P(A)P(B).
,
.
,
.
. , n ,
A = {1- 1 },
B = {2- 2 }
. :
P(AB) = nn2 /nn = 1/n 1/n = P(A)P(B).
, (, 1 6= 2 ):
P(A) = P(B) = 1/n, P(AB) = 1/n(n 1).
22

 n A B . . [0, 1] [0, 1],

.
A = {(x, y) : x (a, b)} B = {(x, y) : y (c, d)}
:
P(A) = b a, P(B) = d c,
P(AB) = P{(x, y) : x (a, b), y (c, d)} = (b a)(d c).
, , =
{(x, y) : x2 + y 2 1} P , .
A B P(AB) = P(A)P(B) . ,
p
p
A = {(x, y) : x ( 1/2, 1/2)},
p
p
B = {(x, y) : y ( 1/2, 1/2)}
P(A) = P(B) = (/2 + 1)/, P(AB) = 1/. a. b, c, d 0
A B P(AB)/P(A)P(B) /4.
: , , ,
, .
36 , 52 .
, . , ,
53 (. .
) .
2. .
A B C,
P(AB|C) = P(A|C)P(B|C).
C = (c, d)
(e, f ), ,
.
. A B C, 0 < P(C) < 1. , A B
A B C
. A, B C ( . ). , A B C. A B
A B? AB?
3. .
. :
a) A1 , A2 , . . . An , I 1, n :
!
Y
Y
P
Ai =
P(Ai ).
(0).
iI

iI

b) A1 , A2 , . . . An ,
Q
Q
I 1, n J 1, n iI Ai iJ Ai .
c) A1 , A2 , . . . An , B1 , B2 , . . . Bn , Bi Ai Ai ,

Y
Y
P
Bi =
P(Bi ).
(1)
in

in

23

. a) b) .
!
!
Y
Y
Y
Y
P
Ai P
Ai =
P(Ai )
P(Ai ) =
iI

iJ

iI

iJ

!
=

P(Ai ) = P

iI+J

Ai

!
=P

iI+J

Ai

Ai

b) a) I. ,
P (Ai Aj Ak ) = P(Ai )P (Aj Ak ) = P(Ai )P(Aj )P(Ak ).
, |I| = 4 |I| = 3 . .
a) b) c):
0 ) (1)
!
Y
Y
P
Bi =
P(Bi ).
iI

(10 )

iI

I 1, n. , a)
c) 0 ), .
a) 0 ) j I, Bj
Aj ( i I Bi = Ai ). , (0) (10 ),
j I Bj = Aj . (0)
I \ {j} I.

Y
Y
P
Ai =
P(Ai ).
iI\{j}

iI\{j}

!
P

Ai

iI

P(Ai ).

iI

Y
Y
P(Ai )P(Aj ).
P
Ai Aj =
iI\{j}

iI\{j}

0 ) a) . ) 0 ).
, n 2,
. , (10 ) k + 1 ,
k . j 6 I.

!
Y
Y
P
B i Aj =
P(Bi )P(Aj ),
iI

iI

!
P

B i Aj

iI

P(Bi )P(Aj ).

iI

,
!
P

Bi

iI

Y
iI

24

P(Bi ).

. A1 , A2 , . . . An ,

Y
Y
P(Ai ).
P
Ai =
in

in

4. , .
. , . (
) . , . ( )
( ).
. . ( n 2n ) , ( ) i
i . .
5. ,
.
,
. ,
, . K, S, Z , ,
, . ,
K, S, Z ,
P(KSZ) = 1/4 6= 1/8 = P(K)P(S)P(Z).
6. -.
. - Ai (i n) - Ai ,
Ai Ai
!
Y
Y
P
Ai =
P(Ai ).
i

, ,
Ai . , ,
- c). ,
.
. 1) -?
(i , Ai , Pi )
Q
- i , - A, Qi

Ai , Ai Ai . ,
i

, ( ),

!
Y
Y
P
Ai =
Pi (Ai )
()
i

- A. - Ai
(
Q ) - - A,
Bi , Bj j j 6= i Bi Ai , Ai Ai .
i

(*) - Ai .
25

 (. ) .
(, A, P), N , N ,
Q
, A, n- , Bi , Bi
i

i 6= n Bn A.
, [0, 1] -
{0, 1}, P{1} = P{0} = 1/2.
7. .
-
, . ,
Ci , i n, Ai Ci , i n, .
Ai Ui , i n, Ui Ci , i n,
? , ,
- Ai , Ci .
, C1 C2 .
, , , , ,
A B , A \ B
.
( ). [a, b) .
( ). C1
1 , C2 2 , A1 A2 , A1 C1 , A2
C2 , 1 2 . ,
, . , A1 A2
-.
,
.
. ,
1) A, B , A, B

P(A) = P(A) 1

P(AB) = P(A)P(B)

= P(A)P(B).

P(AB)
, , A, B (A,
B), (A,
B).

(A, B), (A, B),

2) A1 A2 = , (A1 , B), (A2 , B) , (A1 + A2 , B) .

P(A1 B) = P(A1 )P(B),
P(A2 B) = P(A2 )P(B).
. , : (K S, Z)
. ,
A, B, C (A B, C).
1), 2) , .

26

,
. , , , 1) 2) :
8. . F1 F2 .
U1 U2 .
.
, .
9. .
(AnT) A , A1
S
A2 ... An ... A = An A1 A2 ... An ... A = An .
n

, (An ) A An A,

An A, An A.
10. . , An A
(An ) (A).
11. . P - .
. An A.
A = A1 + (A2 \ A1 ) + . . .
An = A1 + (A2 \ A1 ) + . . . + (An \ An1 ).

P(An ) = P(A1 ) + P(A2 \ A1 ) + . . . + P(An \ An1 )

P(A) = P(A1 ) + P(A2 \ A1 ) + . . . .
, , :
P(A) = lim P(An ).
n

An A An A
.
12. . (An , B) n, An A An A,
A B .
.
,
-. , -
( )
. ,
.
13. . ( - , , -
), (
).
14. . F
F .

. 1) , F, , ,
27

 . 2) , F, . 3) (??),
.
, . , .
F F, F1 .
F1 , F1 ,
F2 . ,
(Fn ). F .
,
Fn . F , F+1 . . F , F , F . .,
.
15. . - , .
. , - ,
, . , ( )
( ).
16. ( ). M,
A, -.
. , M ,
A. , M .
M Mc , M.
Mc ( An A An Mc , Acn Ac
M A = (Ac )c Mc ). M Mc (,
!) M.
, , M
, .
1) M0 B : A A
A B A B M. , M0 . ,
Bn B, A Bn A Bn n M, M ,
A B = limn (A Bn ) A B = limn (A Bn ) M. , M0
. A , B A M0 . M, M0
M. , A A, B M AB, AB M.
2) M00 B : A M AB
A B M. (??), M00 .
, M00 A. , ,
A A B M A B A B M. A
B, , A A , M00 .
, M00 , M00 A, M00 M.
A M, B M, A B A B M.
17. ( ).
n .
p, 1 p. ,
n.
i- Gi , ,
i- , Ri .
, Ai = {, Gi , Ri , } . ............
...Gi ...Rj ...Rk ..., ,
G, R, .

28

 , G1 = {...}, G2 = {....}, G3 = {.....} . . (

) - Ai ,
P(............) = ...P(Gi )...P(Rj )...P(Rk )... =
= p{ } (1 p){ } .
( ), k,
. { n k }
, ,
P{ n k } = Cnk pk (1 p)nk .
. 6 ( 1, 2, 3, 4. 5. 6).
, 2 1.
. p = 1/6. : C62 (1/6)2 (5/6)4 .
18. ,
r , i- pi , . .
,
p1 ,...,pr , , , ,
, , , .
n = n1 + ... + nr , i i-
ni ,
n!
pn1 pnr r .
n1 ! nr ! 1
19. ( ).
:
P{Sn = k} = Cnk pk (1 p)nk = p

1
2np(1 p)

ex(k)

/2

(1 + n ),

Sn (.. 1 0) n , x(k) =
p k np
n 0 n k, x(k)
np(1 p)
- .
:
 2
Z b
X
1
x
exp
(1 + n )dx,
P{Sn = k} =
2
2
a
x(k)(a,b)

n 0. k , n, , .
(. ). ,
:

 n n

1
e(n) , |(n)|
e
2n

, , .
, p 0 1,
n! =

2n

29

 n k (
). , ( ), 20 ,
. ,
. p, 0,
k :
20. .
+ o 1
. k :
n p = n
n
P{Sn = k}

k
e .
k!

.

 k
1
n(n 1) (n k + 1)
+o
p)
=
k!
n
n
 nk

1

1 +o
=
n
n
 


 nk

k1
1

1
1
k
1

( + o(1)) 1 + o

1 1
n
n
k!
n
n
1
1
k e .
k!
,
.
21. . A1 , A2 , . . . An ,
I 1, n J 1, n , A(I) - Ai , i I, A(J) Ai , i J, A(I) A(J)
.
, -.
- A(I), Ai , i I, - A(J), Ai ,
i J. - A(I). ,
, , ,
Q
. iI Bi ,
Bi Ai Ai . , Ai 2|I|1 .
Q
-Q
A(I). - A(J). ,
iI Bi iJ Bi . , , 0 )
a). A(I) A(I) A(J) A(J) 2)
.
22. . .
.
Cnk pk (1

nk

Ai = {i- }.
A1 , A2 ? ,
P(A1 ) = P(A2 ) =

1
, P(A1 A2 ) = 0 6= P(A1 )P(A2 ).
5
30

 , 5, 1000 , 200
. Ai ,
P(A1 A2 ) = P(A1 )P(A2 |A1 ) =

200 199
.
1000 999

, A1 A2 . ,
, ,
. ,
A1 A2 . , :
P{ } = P(A1 A2 ) =

11
,
55

P{ } = P(A1 A2 + A1 A2 ) = 2
P{ } = P(A1 A2 ) =

14
,
55

44
.
55

6. - ?
7. .
: { 2}, { 3}?
8. 2 2 ,
: {x < 1}, {y < 1}; {x < y}, {x + y < 1}; {x < y}, {x + y < 2}; {x + y < 1},
{x + y < 2}?
9. - , A, B, C, , 0 1. ,
A, B, C? 1b.

31

 2.
5.
1. - B(R), (, x), x R. .
R f : R R, f 1 (B)
B .
e 2. : (, A, P)
(R, B(R)), .. B B(R) 1 (B) = { : () B} A, ..
.
. :
{ B} := { : () B}, { < a} := { : () < a},
{ > a}, { = a}, { a}, {a < b} ..
(. ) . , ,
. 8
, . ,
i :

1, i ,
i () =
0, i .
, , {(1 , 2 , 3 ) = (1, 1, 0)} = ,
{1 + 2 + 3 = 2} = {, , }.
. [0, 1], [0, 1],
.
[0, 1] R.
. ,
{ [0, 1/2]} + { (1/2, 1]} = { [0, 1]}.
{ [0, 1/2]} + { [1/2, 1]} , ,
{ [0, 1/2]}{ [1/2, 1]} =
6 .
. , = { {1, 2}},
{ [0, 1/2]}{ [1/2, 1]} = .

{ [0, 1/2]} { [1/2, 1]} = { [0, 1]}.
,
[

{ 1/n} = { < 0}.

Q
n {1/n < < 1/n}?
20 : R,
{ < a}, a R.
3. 2 20 .
32

1 10 { < a} = 1 (, a), (, a) .
10 1. B0 B R, { B}
, B0 -. , , B0
. Bn B0 ,
(
)
[
[

Bn = { Bn } A,
n

Bn B0 .

, B0 -. , B0 (, a).
- B0
-.
. 3 (, x)
, -.
3.
4. P
- B(R),
P (B) := P{ B} B B(R).

(1)

. 4 2, (1) . , P (B) P{ B}
, . ,
, , . ,
.
P P. ,
P
(
)
X
X

Bn =
{ Bn },
n

Bn (
) , ,
P
{ Bn } .
n

5. F :
R [0, 1],
F (x) = P{ < x} x R.

(2)

P F (x) = P(, x)
0, :
1) x y F (x) F (y);
2) limx F (x) = 0, limx F (x) = 1;
3) limxy F (x) = F (y) y R.
1) (, x) (, y).
4.11 2) 3) .
2) xn , (, xn )
F (xn ) = P(, xn ) P() = 0.
xn + 3), ..
xn x, (, xn ) (, x). , xn x
(, xn ) (, x], .
33

 6 (. ). F , 1), 2), 3) P - B ,
F (x) = P(, x) x.
, ,
. ,
. , P, , F
.
.
, C
( ) :
1) C, C;
2) C C;
3) A, B C, A B, B \ A
C (,
, ).
, P
C A,
n
A A A = i=1 Ai , Ai inAi.
, - B.
, C
: C [0, 1] :
1) () = 1; P
2) A = n An ( , ),
A C, An Cn,
X
(A) =
(An ).
n

C, - B, 3), - A B .
B .

C = {[a, b) : a R {}, b R {+}},
C
([a, b)) := F (b) F (a).
1) (, ). 2) A.
,
. , -
.
( )
. ,
P(, x) = F (x),
P
P[a, b) = P(, b) P(, a) = F (b) F (a)

34

 F .

P([a1 , b1 ) + [a2 , b2 ) + . . . + [an , bn )) = P[a1 , b1 ) + P[a2 , b2 ) + . . . + P[an , bn ) =
= (F (b1 ) F (a1 )) + (F (b2 ) F (a2 )) + . . . + (F (bn ) F (an )),
.. P F . ,
A ( !).

,
. 4.16
-.
, F - .
7. . P(a, b) = F (b) F (a + 0); P[a, b] = F (b + 0) F (a); P{x} = F (x + 0) F (x)
(.. ;
, ).
8. f ()
.
. {f () B} = { f 1 (B)}. B f 1 (B) ,
{ f 1 (B)} .
. , ,
,
, ,
F (x) = P{ x} x R.

(2 )

( )
G (x) = P{ > x} x R.

(2 )

( 1 0 +).
9. . P -
P
, {xn }, n P{xn } =
1. xn , P{xn }. , 1.
10. . P -
, - p R, p(x)dx = 1 p
P :
Z
p(x)dx = P(B)
(3)
B

B. p P.
F , P,
Zx
p(u)du = F (x)
(4)

(, B = (, x), ,
, (3), , ,
(, x) (, x], x).
35

. ,
, p .
P(B) .
P
P{an } = pn ,
n pn = 1,
pn 0 n. P{a1 , a2 , ...} = 1, P(R \ {a1 , a2 , ...}) = 0.
B R \ {a1 , a2 , ...} 0.
P(B), {a1 , a2 , ...}:
P(B) = P(B {a1 , a2 , ...}) + P[B (R \ {a1 , a2 , ...})] =
X
= P(B {a1 , a2 , ...}) =
pn .
n:an B

, ..
p(x) =

n
X

pi (x)IBi ,

Bi = R, Bi .

i=1

:
X Z
P(B) =
pi (x)dx.
i B B
i

11.

P {1} = p, P {0} = 1 p.
p (0, 1)
( 1, 0 ).
n n .
P {k} = Cnk pk (1 p)nk , k = 0, 1, ..., n.
B(n, p),
. , B(6, 1/3), {2}.

k
e , k {0} N.
P {k} =
k!
P ().
(. ).
P{r} =

nr
r
CR
CN
R
,
n
CN

r [max{0, n (N R)}, min{R, n}] ({0} N).

.
P{k} = p(1 p)k , k = 0, 1, 2, ..., p (0, 1).

36

 : (
p) , , k + 1
.
12.
. [a,b] (, )
p(x) =

1
I[a,b] (x),
ba

IE E , 1 E 0 E.
. ba
a, b = a+b
2 , = 2 .
.

p (x) = ex I[0,) (x).

= 1/. .

2
1
p(x) = ex /2 .
2

, R 1
.
. , + m
m ||.
.
, , .
> 0.


xm
P { + m < x} = P <
.

.


xm
1
,
p+m (x) = p

2

m
1 x
1

p+m (x) = e 2
.
2
, , .





xm
xm
P { + m < x} = P >
=1P <
.

, m, ||.
p+m (x) =

xm

e 2
1

2

N (m, 2 ),
N (0, 1). .
.
37

- . e ,
.
:


P e < x = P { < ln x} , x > 0.
pe (x) =

1
p (ln x)I(0,) .
x

21 . 2 , N (0, 1).



P x < < x , x > 0,

x x.
2
n n = 1.
2n ,
.
.
a
p(x) =

1
a
.

2
1 + a (x )2

a. a. {a} . , , a, ,
a +, 1.
P
(P {xi } = pi ) ( !) p(x) =
pi {xi } (x).
i

( )
( p 0 1), ( b a), ( 0) .
, .
, .
, .
.
[0,1] , 0....1...0...
0....2...0... .
1 2.
.
,

n
0 ( limn 23 ).
. , . ,
P {xn } = P {xn } ,
,
p (x) = p (x) x R.
, F
F (x) = 1 F (x) x R.

38


x > 0. [a, a],
m = 0, = 0.
. ?
.
13. P, F ?
(, A, P),
: (, A, P) (R, B(R)), F = F .,
. ,
,
(?).
(R, B(R), P) (x) = x, R.
(0, 1), - - (0, 1),
P m (0, 1). , m m(a, b) = b a a < b.
. F (
), . , F (x) = a, F (x + 0) = b > a,
(x, ), a < b. (0, 1)
y- , x- x = x()
( ,
). , () := x().
. , 13 F = F .
14. .
(. [30]). F (x) x, 1 F (x).
, ,
, . ,
0 1. p
,
Za

Z
p(x)dx =

a,
a

.. (x) = 1 (x).
x > 0. m 2
.
, m

10. , P { = 1} = 1/3, P { = 2} = 1/2, P { = 3} = 1/6.

P { R \ {1, 2, 3}} F .
11. a. , (x) (x) = 0.9. (x).
b.
x > 0 : P{ < 2}, P{|| > 2}?
c. x, P{|| > x} = 0.1.
12. m = 1 2 = 4.
P{ (1, 2.5)}.
. , F = F , F
1)-3)? [0, 1] , () =
39

F 1 (). , F (x) = x, , F 1 () ,
. 0. ,
x, (omega) = x x [F (x), F (x + 0)].
() := (1 ).
. .
. , .
6. ,
. , , ( ,
X, Y , ...).
n .
...... n. (
Sn ) .
(pSn (1p)nSn ), p
, k
Sn , , Sn k.
, Cnk pk (1 p)nk . , B
P{Sn B} , Sn B.
k, B. , B, k ,
. P{Sn B}, B, PSn
Sn . , :
PSn (B) = P{Sn B},
,
PSn ({k}) = P{Sn = k},
PSn ,
,
{Sn = k}. , Sn , ,
. Sn

FSn (x) := PSn (, x),
[0, 1]. .
, PSn (, x) , (, x)
k, k. ,
FSn , k,
PSn
, , ,
, .
, , vx . :
Zb
P {vx (a, b)} =
a

40

2 2
u
2 du,
e
2

(5)

 . vx
2 2
Zs
u
2 du,
e
(6)
Fvx (s) :=
2

( x, x ). ,
N ,
1/N . ( , ). (5) (6)
, vx pvx .
p .
R , p 0 (
, ), -, R p (x)dx = 1.
P {vx B}
B , B,
Z
B

2 2
u
2 du = P {vx B} .
e
2

B ( ) .
1. ,
.
P , , P P{ai } =
pi ,
i pi = 1, p(x) =
i pi (x ai ),
.
, F p :
Z x
F (x) =
p (t)dt,

p (x) =

dF
(x).
dx

1. .
, ( Sn vx ), (, , px , py , pz (
) qx , qy , qz ).
, 1 , ..., n P1 ,...,n , :
P1 ,...,n (B) = P{(1 , ..., n ) B}.
B ,
n- , ,
.
. ,
{(1 , ..., n ) B} := { : (1 (), ..., n ()) B}.
41

 ,
{1 B1 , ..., n Bn } = {1 B1 }...{n Bn } :=

n
\

!
{i Bi } .

i=1

, B - -, . , - ,
{(x1 , ..., xn ) : xi < x}, i = 1, 2, ..., n, x R ,
. -
,
.
,
. , . , , .
(, , ,
). , ,
, .

, , , .
, .
,
{3 , 46 , }.
- , , - , , ,
- .
, .
, (
, ).
:
F1 ,...,n (x1 , ..., xn ) = P{1 < x1 , ..., n < xn }.
: , .
( ) 1)-3), , ,
. , , F, :
P{a1 < a2 , b1 < b2 } =
= F, (a2 , b2 ) F, (a1 , b2 ) F, (a2 , b1 ) + F, (a1 , b1 ) 0
a1 < a2 , b1 < b2 .
,

p1 ,...,n (x1 , ..., xn ),
42

 :
Z
Z
P1 ,...,n (B) = ...
p1 ,...,n (x1 , ..., xn )dx1 ...dxn .

(7)

:
Z x1 Z xn
F1 ,...,n (x1 , ..., xn ) =
...
p1 ,...,n (u1 , ..., un )du1 ...dun .

,
p1 ,...,n (x1 , ..., xn ) =

n F1 ...n
(x1 , ..., xn ).
x1 ...xn

. x1 , ..., xn , n1 , ..., nk , 1 ni n?
Q
. B k-
Ri ,
i{n1 ,...,nk }
Q
Ri i ( , Rn
Ri .)
in

,
Z

Z
...

pn1 ,...,nk (xn1 , ..., xnk )dxn1 ...dxnk = P{(n1 , ..., nk ) B} =

= P{(1 , 2 , ..., n ) B

Ri } =

i6{n1 ,...,nk }

Z
=

Z
...

p1 ,...,n (x1 , ..., xn )dx1 ...dxn .

Q

Ri

i6{n1 ,...,nk }

, pn1 ,...,nk (
)
pn1 ,...,nk (xn1 , ..., xnk ) =
Z
Z
Y
= ...
p1 ,...,n (x1 , ..., xn )
dxi .
i6{n1 ,...,nk }

Ri
i6{n1 ,...,nk }

p1 ,...,n (x1 , ..., xn )

p1 ,...,n (y1 , ..., yn ), (1 , ..., n ) ( )
B (1 , ..., n ). - B

P{(1 , ..., n ) B} = P{(1 , ..., n ) B},

( , , , , )
:
Z
Z
Z
Z
... p1 ,...,n (x1 , ..., xn )dx1 ...dxn = ... p1 ,...,n (y1 , ..., yn )dy1 ...dyn .

, ,
p1 ,...,n (y1 , ..., yn ) p1 ,...,n (x1 , ..., xn ). ,
B ( B

43

 ) ( ) . :
(, ), (, ), = 2 , = /.

{(, ) B} = {((, )) B},

p
3
(u, v) , (
uv, 3 u/v 2 ) B.
B
. , ,
(, A, P) P, . x : (x, y) x, y :
(x, y) y. ,
(R2 , B(R2 ), P, ). (?), Px,y = P, .
2. .
1 , ..., n ,
B1 , B2 , ..., Bn
P{1 B1 , ..., n Bn } = P{1 B1 }...P{n Bn }.

(8)

, ( ),
1 , 2 , ..., n
P{1 < a1 , ..., n < an } = P{1 < a1 }...P{n < an }

(9)

a1 , a2 , ..., an , (8) Bi = (, xi ).
, (8), (9)
(8) (9) . (8) Bi R,
, {n R} = . ,
1,
, (8) .
(9).
f (i ) i . , (8)
P{f1 (1 ) B1 , ..., fn (n ) Bn } =
P{f1 (1 ) B1 }...P{fn (n ) Bn }.

(80 )

{fi (i ) Bi } = {(i ) fi1 (Bi )}. , (30 ) (3) Bi = fi1 (Bi ).

, 1 , 2 , ..., n
Pr(k) (k)
(k)
, k : P{k = ai } = pi , i r(k) , i=1 pi = 1.

(1) (2)
(n)
P{1 = ai1 , ..., n = ain } = pi1 pi2 ...pin .
1 , 2 , ..., n . ,
p1 ,...,n (x1 , ..., xn ),
p1 ,...,n (x1 , ..., xn ) = p1 (x1 )...pn (xn ).

(10)

(9) . , (10) (8) (9). ,

1 , ..., n (10), 1 , ..., n . -
1 , ..., n
p. , pn ,
p1 ,...,n (x1 , ..., xn ) = p(x1 )...p(xn ).
44

 3. (
): B1 , ..., Bn
P{1 B1 , ..., n Bn } = P{1 B1 }...P{n Bn },

(11)

a1 , ..., an :
P{1 < a1 , ..., n < an } = P{1 < a1 }...P{n < an }.

(12)

. , (8) (9). , (9)

(8) (, a).
, : A1 , A2 , ..., An , A1 , A2 , ..., An
, A1 , A1 (... A1 A1 = , A1 + A1 , A2 , ..., An , ,
A1 A1 , A1 \ A1 , A2 , ..., An . ,
Ai , Ai .
{1 < b1 }, ..., {n < an }
{1 < a1 }, {2 < a2 }, ..., {n < an }. (11) ,
a1 < b1 {a1 < 1 < b1 }, {2 < a2 }, ..., {n <
an }. , 1 , ..., n
(, a) [ai , bi ). ,
,
ni
X
(j) (j)
[ai , bi ).

(13)

j=1

R ( ,
(j)
(j)
ai , bi ). ,
, (.
) .
R. (*)
, ( )
().
(m)
. : m A1 , A2 , ..., An

(m)

(m)

P(A1 A2 , ...An ) = P(A1 )P(A2 )...P(An ), ()

(m)

A1

(m)

% A1 A1

& A1 , (**)
P(A1 A2 , ...An ) = P(A1 )P(A2 )...P(An ).

4. ( ) 1 , 2 , ..., n , 1 , 2 , ..., m , f (x1 , x2 , ..., xn ) g(x1 , x2 , ..., xm ) .

f (1 , ..., n ), g(1 , ..., m ) .
.
, .
, . ,
n = m = 1, .
1.

{(1 , 2 , ..., n ) B1 ... Bn }, {(1 , 2 , ..., m ) C1 ... Cm },
45

 Bi , Cj . Rn Rm .
. ,
(1 , 2 , ..., n ) (1 , 2 , ..., m ) . -
Rn Rm ( ,
, . .). , ,
, ,
. , B C f 1 (B) g 1 (C)
- .
5. F1 F2
F c F1 F2 .
Z
F1 (x t)dF2 (t).

F (x) =

(14)

. .
, .
Z Z
F (x) =
dF1 (u)dF2 (t).
u+t<x

A = {u+t < x}
.
X
R=
[k/2n , k + 1/2n ),
kZ

An A,
An =

{(t, u) [k/2n , (k + 1)/2n ) (, x (k + 1)/2n )}.

kZ

(n)

ZZ
(x) :=

dF1 (u)dF2 (t) =

An

F1 (x (k + 1)/2n )[F2 ((k + 1)/2n )) F2 (k/2n )] =

kZ

(n)

F1 (x t)dF2 (t),

(n)

(n)
F1 (xt)

= F1 (x(k +1)/2n ) t [k/2n , k +1/2n ). , F1 (xt) F1 (xt)

t. An A, F (n) (x) F (x),
Z

(n)
F1 (x

Z
t)dF2 (t)

F1 (x t)dF2 (t).

n- . 1 , 2 , ..., n ,
46

1 x
pi (x) = e 2 .
2

n x2 + x2 + ... + x2
2
n
1
1
2
e
p1 ,2 ,...,n (x1 , x2 , ..., xn ) =
.
2
:
6. .
1 , 2 , ..., n , U ( )
Rn .


(1 , 2 , ..., n ) = U (1 , 2 , ..., n )
, (1 , 2 , ..., n ), . . 1 , 2 , ..., n
.
(*).
P{(1 , 2 , ..., n ) B} = P{U (1 , 2 , ..., n ) B} =
= P{(1 , 2 , ..., n ) U 1 (B)} =
Z
=

Z
...
U 1 (B)

Z
=

Z
...
U 1 (B)

p1 ,2 ,...,n (x1 , x2 , ..., xn )dx1 dx2 ...dxn =

n
e

x2
1

+ x22 + ... + x2n

2
dx1 dx2 ...dxn .

:
(y1 , y2 , ..., yn ) = U (x1 , x2 , ..., xn ).
{(x1 , x2 , ..., xn ) U 1 (B)} {(y1 , y2 , ..., yn )
B}. , 1,
. , :
P{(1 , 2 , ..., n ) B} =
n y 2 + y 2 + ... + y 2
2
n
1
1
2

= ...
e
dy1 dy2 ...dyn .
2
B
, .
. ,

Z
Z
= ...
p1 ,2 ,...,n (x1 , x2 , ..., xn )dx1 dx2 ...dxn
Z

Z 

( )
P{(1 , 2 , ..., n ) B},
, (1 , 2 , ..., n ) B
, .

47

7. . , ,
+
, .
2
2
. . , [1, 1]. { +
[1, +1]}, { [1, +1]}, { + [1, +1], [1, +1]}
8. .
T (1 , 2 , ..., n ), (1 , 2 , ..., n )


p1 ,2 ,...,n (x1 , x2 , ..., xn ) =

n
e

x2
1

+ x22 + ... + x2n

2
,

T S (c!)
(m1 , ..., mn ). , T (1 , 2 , ..., n ) = S(1 , 2 , ..., n )+(m1 , ..., mn ).
T (1 , 2 , ..., n ), . . ,
p1 +m1 ,2 +m2 ,...,n +mn (x1 , x2 , ..., xn ) =
= p1 ,2 ,...,n (x1 m1 , x2 m2 , ..., xn mn ).
.
P {(1 + m1 , 2 + m2 , ..., n + mn ) B} =
Z
=

p1 +m1 ,2 +m2 ,...,n +mn (x1 , x2 , ..., xn )dx1 ...dxn .

B

P {(1 + m1 , 2 + m2 , ..., n + mn ) B} =
= P {(1 , 2 , ..., n ) B (m1 , ..., mn )} =
Z
=

p1 ,2 ,...,n (x1 , x2 , ..., xn )dx1 ...dxn .

B(m1 ,...,mn )

, , S .
Z
P {(1 , 2 , ..., n )S B} =
pS(1 ,2 ,...,n ) (x1 , x2 , ..., xn )dx1 ...dxn .
B

:


P {(1 , 2 , ..., n )S B} = P (1 , 2 , ..., n ) (B)S 1 =


Z
=
(B)S 1

n
e

x2
1

+ x22 + ... + x2n

2
dx1 ...dxn .

(x1 , ...xn ) = (y1 , ..., yn )S, x21 + x22 + ... + x2n = [x1 , ...xn ][x1 , ...xn ]0 . :
Z
(B)S 1

n
e

x2
1

+ x22 + ... + x2n

2
dx1 ...dxn =

48

Z
=
(B)S 1

Z
| det(S)|

=
B

n
e

n
e

[x1 , ...xn ][x1 , ...xn ]0

2
dx1 ...dxn =

[y1 , ...yn ]SS 0 [y1 , ...yn ]0

2
dy1 ...dyn =
j
X

Z
=

det(A)1/2

n
e

aij yi yj

dy1 ...dyn ,

A = SS = [aij ]i,jn .
. [aij ] , i
.
. aij = 0. i j ?
,
.
(. )
. , .
2n .
, .
1 , 2 , ..., n , 2n = 12 + 22 + ... + n2 . 2 .

P 2n < x . :




P 2n < x = P 12 + 22 + ... + n2 < x
B Rn ,


P 12 + 22 + ... + n2 < x = P (1 , 2 , ...n ) B}
,
B = {(x1 , x2 , ..., xn ) : x21 + x22 + ... + x2n < x}
,


P 2n < x =
Z
=

Z
...
x21 +x22 +...+x2n <x

n
e

x2
1

+ x22 + ... + x2n

2
dx1 dx2 ...dxn .

n- :
x1 = r cos 1 ,
x2 = r sin 1 cos 2 ,
x3 = r sin 1 sin 2 cos 3 ,
...
xn1 = r sin 1 sin 2 ... sin n2 cos n1 ,
xn = r sin 1 sin 2 ... sin n2 sin n1 ,
49

 ,
, r (n 1)- . ,

x21 + x22 + ... + x2n = r2 .

, :
Z

Z
...
x21 +x22 +...+x2n <x

n
e

x2
1

+ x22 + ... + x2n

2
dx1 dx2 ...dxn =

n
2
1
r

e 2 C(1 , 2 , ..., n1 )rn1 drd1 ...dn1 .

2
r 2 <x

.
Z

...



P 2n < x = Const

2
r
e 2 rn1 dr

r 2 <x

r2 = u :
Z


u n 2
P 2n < x = Const
e 2 u 2 du
u<x

, p2n (x) = Const ex/2 x(n2)/2 . x, :

Z
1
Const ex/2 x(n2)/2 dx = 1, Const = n/2 n
.
2

0
2
( 2 , p2n (x) = 0 x < 0). ,
p2n (x) =

1
n
2

2n/2

ex/2 x(n2)/2 I(0,) (x).

,
N (0, 1)- . ,
p/ (x) =

1
.
(1 + x2 )

, , y = u/v, z = v.
x
Z

2
2
Z Z
2
2
1 u + v
1 z (1 + y )
2
2
e
e
dudv =
zdydz =
2

y<x 0

u/v<x

Z
=

1
dz.
(1 + y 2 )

y<x

. ||

. , ,
, +1 1
. ,

50

1/2 ( , , = 1/), , , ||


. .
,
,
, .
|| || ||

,
tn = r
1 2
(1 + ... + n2 )
n
, 1 ,...,n N (0, 1)- .
2n , , ,

r
. .
1 2
n
n
9. . .
( ) .
. (1 , 1 ), (2 , 2 ),...,(n , n ) ,
Bi R2 (i n) {(i , i ) Bi }
.
. a) (1 , 1 )
(2 , 2 , 2 ).
b) , (1 , 1 ) (2 , 2 ) 1 2 , 1 2 , 1 2 , 1 2 .
B1 B2 ?
10. (i ) (i n)
Pi ?
. Rn , - - B(Rn )
, P -

!
n
n
Y
Y
Pi (Bi ).
P
Bi =
i=1

i=1

Rn . n , i i (x1 , ..., xn ) = xi .
11. .
1 , 2 , ..., n , 1 , 2 1 , ..., n n1
p1 ,p2 ,...,pn . p1 ,2 ,...,n ?
:
B Rn , B
= {(y1 , y2 , ..., yn ) : (y1 , y1 + y2 , ..., y1 + ... + yn ) B}.
B

n
o

P {(1 , 2 , ...n ) B} = P (1 , 2 1 , ...n n1 ) B

Z
Z
Z
Z
= ...
p1 (y1 ) pn (yn )dy1 dyn = ...
p1 (x1 )p2 (x2 x1 ) pn (xn xn1 )dx1 dxn .

p1 ,2 ,...,n (x1 , ...xn ) = p1 (x1 )p2 (x2 x1 ) pn (xn xn1 ).

51

, (x1 , ..., xn ) = (y1 , y1 + y2 , ..., y1 +

... + yn ) 1.
12. . n :
i) n , , n
. ns = n n .
ii) n , P{1} = 1/2
n . n n .
. 1. , . 2. |n n |
, |n |. , ns , .
. .
13. a. n i
p(x) = ex I(x).
p1 ,...,n .
b. , P{ = 1} = 21 , . , , ||
.
c. x, P{|| >
x} = 0.1, .
d. 2n n = 1?
. 1.
, , - , . , .
, ( ), .
, ,
, . , , , ,
( , ),
, .
, (a, b),
a A b B,
(a1 , b1 ), ..., (aN , bN ), N = |A| |B|.
(a1 , ..., an ) ai Ai , , ,
|A1 | |A2 | ... |An |, Ai = A, |A|n . ,
n, n
, . ,
( ). , .
, , , .
, , ,
, .
,
, , . , , .

. , 52

 . .
, . , 6. , 3. , , ,
(, ).
, ,
.
.
.
- (, , , ).
, , ,
: ( -
).
- , ,
.
1. , ,
. , , , , , ,
, : , ?.
?
. .
. ,
. . , . , ,
. , , , ,
.
, .
. , ,
. , , 13 , ,
32 .
, ,
. , .
.
2. . .
, ?
. .
( ). , || = 4!.
. , . ,
. , .
6
C42 . 24
.
3.
, , 7, 8. , ( 10 )
, , 10, 9 .

53

. .
20 , ,
1- 10-, 11- 20-.
, , 10, 9. || = 20 19 18 17. |A|. A = A12 + A13 +
A14 + A23 + A24 + A34 , A12 , , ,
10,9, A13 , , 10,
, 9, . . ,
|A12 | + |A13 | + |A14 | + |A23 | + |A24 | + |A34 |.
|A| |A12 |, 6 , . , A12
= (1 , 2 ),
1 , , 2 10 9, . , ||, : |A| =
10 9 10 9.
109109
.
: 6 20191817
4. , .
, .
. , , . P{n}
, n ,
2n , {,,...,,} ( n 1 ). , P{n} = 2n ,

1
1
1
1
+
+
+ ... = .
4 16 64
3
5. 10 .
5 ?
. ,
(x, y), x , y
. P(A) = m(A)
m() , m .
, 10 ,
, .
,
. ,
= {(x, y) : 0 x 10, 0 y 10}, A = {(x, y) : 0 x 5 0 y 5}.
P(A) =

75
.
100

6. , .
, .
. 4,
.
= {1, 2, 3, ...}, A = {1, 3, 5, ...}.
, ( ,
). , P({n}),
n . , P({n}). n ,
54

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

X
1
2
P(A) = n , P(A) =
22k+1 = .
2
3
k=0

, ,
:
P(A) = P(A| 1 )P( 1 )+
+P(A| 1 )P( 1 ).
,

P(A| 1 ) = P(A),
,
, , A A, P(A| 1 ) =
1. ,
1
2
1
P(A) = 1 + (1 P(A)) , P(A) = .
2
2
3
7. 7 , p, . 6 , .
, .
.. (). p. ,
(, , , ).
, .
7
: p = 12
, p
. 5
, 12 1.
, , 6 .
, , 61
.
P({ }|{ }) =
P({ }{ })
.
P({ })
6
P({ }) = 1 p,
7
1
p.
7
8. , 5 2 , 3
4 . ( 21 ) ,
. .
, ?
. , :
P({ }{ }) =

5 1 3 1
4
+ = .
7 2 7 2
7
, 12 , ,
. , ,
55

 7 . ,
, 74 ,
5
3
5
= 1 + 0.
7
7
7
, , , .
P(1 | ) =

5
7

5 1
7 2
1
3
2 + 7

1
2

5
.
8

( ):

1
2

34
5 5 3 3
+ =
.
7 8 7 8
56
,
, ,
.
9. ,
25 , 35 .
, .
. ?
. A2 + A3 + A4 (Ai , i ).
: P(Ai ) = C4i ( 25 )i ( 35 )4i .
.
. Ai . .
10. .
11. .
12. ( )
( , ).
P{ = 2, = 2} =

1
1
1
1
, P{ = 2, = 3} =
, P{ = 2, = 4} =
, P{ = 2, = 5} =
,
10
20
20
20

1
1
1
1
, P{ = 3, = 3} =
, P{ = 3, = 4} =
, P{ = 3, = 5} =
,
10
20
20
20
1
1
1
1
P{ = 4, = 2} =
, P{ = 4, = 3} =
, P{ = 4, = 4} =
, P{ = 4, = 5} =
,
20
10
10
20
1
1
1
1
P{ = 5, = 2} =
, P{ = 5, = 3} =
, P{ = 5, = 4} =
, P{ = 5, = 5} =
.
20
20
20
20
.
. , ,
P{ = 3, = 2} =

P{ = 2} =

1
1
1
1
5
+
+
+
=
,
10 20 20 20
20

P{ = 2} =

1
1
1
1
6
+
+
+
=
,
10 10 20 20
20

56

1
5 6
6=
.
10
20 20
( ) , 12 ( 16?).
13. .
14. p, 1 ABCD A = (0, 0), B = (1, 0), C = (1, 1), D = (1, 2), 0 . a) p . b) , + c, .
c.
. a) , S :
 2
t /2, 0 t 1;
F (t) = S({(x, y) : x < t} ABCD) =
1 (2 t)2 /2, 1 t 2.
P{ = 2, = 2} =

, . b) .
15. (, ) , L, (0, 0), (1, 1), (2, 0),
l . .
. F (t) = l({(x,y):x<t}L)
= t/2. 12 I[0,2] .
l(L)
16. , p(x) = ex I[0,) (x). , + , /
.
.

p+,/ (x, y) = p+ (x)p/ (y).

: B R2
Z Z
P{( + , /) B} :=
p+,/ (x, y)dxdy.
()
B

p+,/ , ,
, :
p, (u, v) = eu I[0,) (u)ev I[0,) (v).
, :
R2
B
Z Z

P{(, ) B} :=
p, (u, v)dudv.
()

(*) (**) .
,
B

{( + , /) B} = {(, ) B}.
, , .
,
= {(u, v) : (u + v, u/v) B}.
B
,
Z Z

e(u+v) I[0,) (u)I[0,) (v)dudv.

P{( + , /) B} =
{(u,v):(u+v,u/v)B}

57

 x = u + v, y = u/v, u, v x, y
,
Z Z
Z Z
x
dxdy,
p+,/ (x, y)dxdy =
ex) I[0,) (x)I[0,) (y)
(y + 1)2
B
B
+ , /.
, x, y ,
u, v, , .
, :
1) . , , , ,
. ,
, .
2) , .
.
3) , . ,
A B P(A B) = P(A) + P(B) ( , , P(A + B) = P(A) + P(B)). ,
. (
) P(A B) = P(A) + P(B) P(A)P(B).
, P(A + B) = P(A) + P(B) .
, P(A) = P() P(A) P(A) = P(A + B) P(B). ,
( )
, ( ).
4) .
5)
. (, ).
X
P{(, ) = (xi , yi )} = pi ,
pi = 1.
i

, P{(, )}, pi , (xi , yi ) B. ,

P{ = x} pi , xi = x (
B = {x} R).
, B . , .
(,
,
)
Z
p (x) =

p, (x, y)dy.
R

, B:
Z
P{ B} = p (x)dx =
B

Z
= P{(, ) B R} =

p, (x, y)dxdy.
BR

58

6) : :
P{(, ) B1 B2 } = P{ B1 } P{ B2 }.
, x y

P{ = x, = y} = P{ = x} P{ = y}.

(1)

x B1
y B2 .

p, (x, y) = p (x) p (y)
(2)
x y, .
7) 1 ,
2 ,...,n , p.
8)
X
E =
xi P{ = xi },
i

xi . ,
(, ),
X
E =
xi P{ = xi , = yi },
i

(xi , yi ) (, ).
9)
Z
E = xp (x)dx.
R

, (, ),
Z Z
E =
xp, (x, y)dxdy.
R R

10) , ,
, E(E) = E ( ).
11) .
12) :
D = E( E)2 = E 2 (E)2 .
13. (D = D( + c)), , , ,
.
14) : m , 2 .
15) , .
. ,
,
. ,
, . .
59

7.
1. .
.
.
, , .. . , .
. , ( ),
, . , (99 ,
12%, 1 , 73 ,...). ,
, , .
.
, , .. , ,
. , .
, ,
.
P
E
an I=an
n

an I{=an } =:

an P { = an } .

, . ,
.
, , || C |E()| EC =
C. , n
(, , sup | n | 0, sup |m n | 0,
m, n . |E(m n )| sup |m n | 0, En
, , , E. ,

.
.
.
Xk
) .
I( h
(n) =
n nk , k+1
n
kZ

, (n) , , | (n) | < 1/n.

. n L (, A, P). n
L (, A, P) ( L1 (, A, P)).
L (, A, P) .
2. , .
1. E(Const) = Const.
2. E(a + b) = aE + bE
a, b , , . ,
.
3. E E, ,
4. || c, c , |E| c. , E = 0, P { = 0} =
1.
60

. ,

dP,

E,
M. .
. 4 ,
( , ).

, . ( ,
) .
, . ,
, .
3. ( x R).
.
:
Z
E =

xp (x)dx,
R

. :
Z
Eg(1 , ..., n ) =

g(x1 , ..., xn )p1 ,...,n (x1 , ..., xn )dx1 ...dxn ,

(1)

Rn

g ,
, , n-
( ).
, g
Xk
) .
I( h
g (n) =
n g nk , k+1
n
kZ

g (n) (1 , ..., n ) g (n) (1 , ..., n ).

(1) g (n) (1 , ..., n ), .
:


Xk
k
(n)
(n)
Eg (1 , ..., n ) =
P ,...,n g (x1 , ..., xn ) =
=
n 1
n
Xk
n

Z
p1 ,...,n (x1 , ..., xn )dx1 ...dxn
k
g (n) (x1 ,...,xn )= n

Z
=

g (n) (x1 , ..., xn )p1 ,...,n (x1 , ..., xn )dx1 ...dxn .

Rn

.
, . . ,
, , .
61

 , ,
.
:
Z
Eg(1 , ..., n ) =

g(x1 , ..., xn )dP1 ,...,n (x1 , ..., xn ).

(2)

Rn

.
. (?) :
P = P , Eg() = Eg() g,
.
R
R . f (x)dm(x), m , -
ydf m(y), f m m
f . , .
, ,
.

Pn : i=1 f (i )(xi xi1 ), i [xi1 , xi )

Pn ,
i=1 f (i )m([xi1 , xi )), m
,
. Pn
i=1 i f m([yi1 , yi )), i [yi1 , yi ), f m([yi1 , yi )) = m{f 1 [yi1 , yi )}.
, f ,
n
X
i=1

i f m([yi1 , yi )) =

n
X

f (i )m([f 1 (yi1 (, f 1 (yi )),

i=1

f (i ) = i , .
, . .
,
. , , , f {y1 , ..., yn } f {y1 , ..., yn , ...},
m {y1 , ..., yn } {y1 , ..., yn , ...}, f m({yi }) = m(f 1 ({yi }).
, , yi , , .
P

Pn
i=1 yi m(f 1 ({yi }) n yn m(f 1 ({yn }).
, ,
Z
E = M =
dP.

P , , ,
, P P
, P p ,
, ,
.
, ( ) ,
.
4. .
. , , E E .
E
E = EE.
(3)
62

 =
P
=
bm I{=bm } . :
m
X
E =
an P{ = an },

P
n

an I{=an }

E =

bm P{ = bm },

E =

an bm P{ = an , = bm }.

n,m

,
P{ = an , = bm } = P{ = an }P{ = bm },
m n .
- (n)
(n) . ,
, , , (n) (n)
. , ,
( (n) (n) ). .

= + , = + ,
+ = max{, 0}, = min{, 0}, + ,
. ,
(3) .



1
1
(n) +
=
E (n) E (n) = E (n) (n) E() E (n) +
n
n

 

1
1
E (n) +
E (n) +
.
n
n
,
lim E

(n)

lim E

(n)


= lim E

(n)

1
+
n

(n)

1
+
n


= lim E
n

= E(),
= E(),

.
.
(3), .
. , E[E] = E.
5. .
1 ,...,n ,...
+ ... + n
1 n

n .
.
. , .
. , 0.1.

63

 ( n n ), k .
, , . , 1 + k
. ,
?


1 0.9k + (k + 1) 1 0.9k
.
E{ } =
k
: k = 4.
6. . .
. , r .
1- i- , 2- j , 1- xij ( ,
). [xij ]. 1- ,
? ,
.
:

1 2 3
[xij ] = 3 2 3 .
4 3 2
, 1- 2. :
1/3, ,
. 1- :
2- 1- 1-
1 + 3 + 4 = 8 , 2- 2-
3
3
1- 2 + 23 + 3 = 73 , 2- 1-
1- 3 + 33 + 1 = 73 . , (
) . 7/3.
1 , 1- p1 = 1/3, 2-
p2 = 4/15, 3- p3 = 2/5. , 2-
, q1 1- , q2 2-
3
P
, q3 3- .
xij pi qj . i,j=1
P
1 {pi }, Pmin
xij pi qj
qj =1 i,j

,
2 {qj },
P
Pmax
xij pi qj . , 1- pi =1 i,j
P
Pmax Pmin
xij pi qj , 2-
pi =1
qj =1 i,j
P
Pmin Pmax
xij pi qj .
qj =1

pi =1 i,j

,
X
X
max Pmin
xij pi qj = Pmin Pmax
xij pi qj .
P
pi =1

qj =1

qj =1

i,j

7. .

64

pi =1

i,j


D = E( E)2 .

D = E 2 (E)2 .
:
E( E)2 = E 2 2E(E) + E(E)2 = E 2 2EE + EE.
: .
8. (, ).
1. D 0.
2. D( + Const) = D.
3. D(a) = a2 D.
4. ,
D( + ) = D + D.
.
E([ E] + [ E])2 =
E( E)2 + E( E)2 + 2E([ E][ E]).

E([ E][ E]) = E[ E]E[ E] = 0 0.

, , ,
D( + ) = D(2) = 4D 6= D + D.
. 1. P = P , E = E, D = D.
.
2. 1 ,...,n
,


1 + ... + n
E
= E1 = ... = En ,
n


1 + ... + n

D
= D1 = ... = Dn .
n
, 1 ,...,n , . .
i ,j i 6= j?
9. .
n-
n () = E n .
E()
.
n-
n () = E[ E]n .
. . , n- a an ,
65

, n- .
10. .
P d,
P(, d]

1
1
, P[d, ) .
2
2

.
: K ,
P{ < K , P{ K .
, K1 .
, .
, .
, .
11. .
,
, , ,

p.
Z
E = xdP (x) = 1 P { = 1} + 0 P { = 0} = p.
D = E 2 (E)2 = p p2 .
B(n, p).
Z
E=

xdP(x) =

n
X

kP {k} =

k=0

n
X
k=0

n
X

kCnk pk (1 p)nk =

k=0
n

X
n!
pk (1 p)nk = np
Cnk1 pk1 (1 p)nk = np.
k!(n k)!
k=1

. , . ,
n .
:
= 1 + ... + n ,
i i p p(1 p).
( ), , E = np, D = np(1 p).
. .
p.
.
Z
E =

xdP (x) =

kP { = k} =

k=0

X
k=1

X
k
k e =
k!

k=0

k
e = e e = .
(k 1)!
66

E 2 =

k 2 P { = k} =

k=0

X
k=2

{k(k 1) + k}

k=0
k

e +
(k 2)!

k
e =
k!

k
e = 2 + .
(k 1)!

k=1

D = + 2 = .
[a, b].
Zb
E =

1
b2 a2
a+b
xdx =
=
.
ba
2(b a)
2

Zb

E 2 =

b3 a3
1
x2 dx =
.
ba
3(b a)

a
2

D =

a + ab + b2
(a + b)2
(b a)2

=
.
3
4
12

12. .
N (0, 1),
.
Z
E =

2
1
xex /2 dx = 0
2

. .
Z

D = E =

2
1
x2 ex /2 dx =
2

2
1
xdex /2 =
2

Z

2
1
1
x2 /2 
ex /2 dx = 0 + 1 = 1.
= xde
 +

2
2

0. . n = 2k + 1

2k+1

Z
=

2
1
x2k+1 ex /2 dx = 0.
2

n = 2k :
2k () = E

2k

Z
=

2
1
x2k ex /2 dx =
2

Z
2
1 2k1 x2 /2 
1
= x
de
x2k2 ex /2 dx =
 +(2k 1)

2
2

2k2 () = ... = (2k 1)!!.

= + m (. . N (m, )) :
67

E = m, D = 2 , 2k () = (2k 1)!! 2k .
. n = ( + m)n .
, n ().
13. 2n .
2n , 2n : 2n = 12 + ... + n2 , i
.
E2n = E12 + ... + En2 = n 1.


2 
= n(3 1) = 2n.
D2n = D12 + ... + Dn2 = n E14 E12
14. .
:
Z
x

1
dx.
(1 + x2 )

, , , .
15.
n 1 ,..., n
( ) [i,j ],
i,j = E[i E(i )][j E(j )]
[i,j ] . , xi
"
#2
X
X
i,j xi xj = E
(i Ei )xi 0.
i,j

. a) ,
.
b) : , (1 , 1 ), (2 , 2 )

E [(1 + 2 E(1 + 2 )) (1 + 2 E(1 + 2 ))] = E [(1 E1 ) (1 E1 )]+E [(2 E2 ) (2 E2 )] .

E [(1 + 2 E(1 + 2 )) (1 + 2 E(1 + 2 ))] = E [(1 E1 ) (2 E2 )]+E [(2 E2 ) (1 E1 )]?
16. .
,
(, ) = E[ E][ E]
0. (, ) ,
(, ,
). :
(, ) =

E[ E][ E]
p
.
D()D()
68


1. (a + b, c + d) = sgn (ac)(, ) a, b, c, d.
2. |(, )| 1.
3. , (, ) = 0, |(, )| = 1 ,
, .. a + b + c = 0 a, b, c.
1,
E
= p
D()
. ,
(, ) = E , (a + b) = sgn a .
1. 2
p
|E| E||2 E||2 .
3 . ,
. ,
. = C , 3.
, sgn a = sgn b .
(, ) .
. = {1, 2, 3, 4} , (1) = 1, (2) = 1, (3) = (4) = 0,
(1) = (2) = 0, (3) = 1, (4) = 1. 0, = 0 .
, .
. , (, ) = 0,
.
,

|A| 1 (a11 x2 +2a12 xy+a22 y2 )
p, (x, y) =
e 2
.
2
, , a12 6= 0. (, ) = 0, , .
Z Z
|A| 1 (a11 x2 +2a12 xy+a22 y2 )
xy
e 2
dxdy.
2

Z Z
|A| 1 (a11 x2 +a22 y2 )
e 2
dxdy.
xy
2
, a12 > 0. {xy > 0} {xy < 0}. , .
0. a12 < 0
.
. P, , 1/ {(x, y) : x2 +y 2 1} 0 .
, (, ) = 0, , . (.
A B,
P{ A} = P (A) 6= 0, P{ B} = P (B) 6= 0,
P({ A}{ B}) = P, (A B) = 0.)
69

a,
b
p, (x, y) =

x2 + y 2 1,
|x| 1, |y| 1, x2 + y 2 > 1,
|x| > 1 |y| > 1?

a b?
14. , D() = 1,
E() = D() = E() = D() = 1.
E( ), D( ).
15. ,
D( + ) = D() + D(). , .
. .
.
?
8.
1. .

f (1 , 2 , ..., n ) 1 , 2 ,..., n . ,
E( f (1 , 2 , ..., n ))2 (. ).
, . . = c, f ,
{c}. , E( f (c))2 f (c) = E. , f (c) = d 6= E.
E( d)2 = E( E + E d)2 = E( E)2 + E(E d)2 + E( E)(E d).
, E d ,
E( E)(E d) = (E d)E( E) = 0.
, E(E) = E.
,
Z
Ec = c = cP() = c.

:
=

an I{=an } .

E( f ())2
E( f ())2 =

( f ())2 dP =

X
n

!!2

{=an }

X
n

70

an I{=an }

dP.

 , , f
an , f bn = f (an ) f ()
{ = an }.
E( f ())2 =

( f ())2 dP =

X
n

( bn ) dP.

{=an }

, . ,
Z
2

( bn ) dP.

(1)

{=an }

, ,
{ = an }, P 1 .
, P
P(B{ = an })
{ = an } P({ = an }). Pn (B) =
P({ = an })
. (1)
Z
bn =
dPn .
(1).
{=an }

, :
Pn (B) = P(B|{ = an }).
2. .
p, , , x, y. E( f ())2
p, :
Z
2
E( f ()) =
(y f (x))2 p, (x, y)dxdy.
RR

, ,
x,
:
Z
Z
Z
(y f (x))2 p, (x, y)dxdy =

(y f (x))2 p, (x, y)dy.

dx

RR

,
x. , p, (x, y)dy,
, . , x p, (x, y) .

p, (x, y)
.
p (y| = x) = Z
p, (x, y)dy
R

( y, (y) = y, (y) = x),

:
Z
yp, (x, y)dy Z
R
Z
=
yp (y| = x)dy.
f (x) =
R
p, (x, y)dy
R

71

3. .

p, (x, y) =

|A|1/2 1 (a11 (xmx )2 +2a12 (xmx )(ymy )+a22 (ymy ))2

e 2
,
2

A = [aij ], |A| A. :
|A|1/2 1 (a11 (xmx )2 +2a12 (xmx )(ymy )+a22 (ymy ))2
dy
e 2
2
f (x) = Z
.
|A|1/2 1 (a11 (xmx )2 +2a12 (xmx )(ymy )+a22 (ymy ))2
e 2
dy
2
Z

, y:
Z
2
1
ye 2 (2a12 (xmx )(ymy )+a22 (ymy )) dy
.
f (x) = Z
2
1
e 2 (2a12 (xmx )(ymy )+a22 (ymy )) dy
, , ,
x. :
Z
2
a12
1
ye 2 a22 ( a22 (xmx )+(ymy )) dy
.
f (x) = R 1
a12 (xm )+(ym ) 2
a
x
y )
e 2 22 ( a22
dy
,
, ,
.

Z 
2
a12
1
a12
(x mx ) + (y my ) e 2 a22 ( a22 (xmx )+(ymy )) dy
a22
Z
+
2
a12
1
e 2 a22 ( a22 (xmx )+(ymy )) dy

Z 
2
a12
1
a12
(x mx ) + my e 2 a22 ( a22 (xmx )+(ymy )) dy
a22
Z
.
2
a12
1
e 2 a22 ( a22 (xmx )+(ymy )) dy
,
f (x) =

a12
(x mx ) + my .
a22

4. .
-, 4
. , ,
, . ,
f (1 , 2 , 3 ) f (1 , 2 ), .
5.

72



(i)
(i)
x1 , ..., xs ; y (i) , i n. y f (x1 , ..., xs ). , 1/n ( ,
)
n  
2

X
(i)
Sn =
f x1 , ..., x(i)
y (i) .
s

()

i=1

, . 1-3 f (i)
(i)
, (x1 , ..., xs ),  , ,
(i)

(i)

f x1 , ..., xs = y (i) . f
. ,
. , , , 4
f (x1 , ..., xs ) = a1 x1 + ... + as xs + b, (*) ai
b. f . y,
. ,
.
6. .
, : B -
- A, . , B
-, .
f () :
R
R
i) f ()dP = dP B B.
B

ii) f () B.
, (
) B E(|B).
-, ,
, ( (A) = 0 (A) = 0), R
A d d d
d
d
A
d
( ),
d

- 0.
R
A dP,
A

- A, - B. -
, , , ,
. , .
.
.
. - A .
B A, (B) = sup{(C) : C A}.
. , (An ) ,
(An ) sup ( ).
(Ai )in T 2n Cj (n),
i Ai , Ai Ai , . , Cj (n) .
73

Bn Cj (n) . ,
B
\ [
B=
Bn .
m mn<

, ,
, (. 4.11),

Bn (B).
mn<

:
i) (B
n ) (An )
S
 n,
ii)
mn< Bn (Bm ) m.
, .
i) , An , Bn Cj (n), Bn An
-, An - An -. s m

[
[

Bn
Bn .
()
mns

mns+1

, (*) Cj (s + 1) -. (*)
ii).
. - ,
= + + ,
(A) 0 A + (A) 0 A .
(?), + = B, = B c .
. - ,
= + ,
+ .
: + (A) = (+ A), (A) = ( A).
. . , ,
.
Z
A f d
A

f ,
Z
f d (A).

()

(?), f = f1 f = f2 (*), f = max{f1 , f2 }, (*). F f , (*).

(fn ), (*),

Z
Z

fn d sup
f d : f F .

74

 (*). f . :

Z
Z

f d = sup
f d : f F .

,
Z
f d = (A) A A.
A

, , f
(*), f .

Z
(A) = (A)

f d A A,
A

, , ,
g,
Z
(A) gd A A.
A

, f , g.
,
() = > 0.

()

Z
(A) = (A)

d A A.
2()

(**) A ,
= sup > 0. + , (A) 0
A + . ,
Z

(A)
d A + .
2()
A

,
g=

I +.
2()

- . ,
d - , d
( ).
. d - .
d
R
= P (A) = d. A

- A, - B (
-,
( ) ). , E(|B)
EB . , = IA ,
A B P(A|B).
( !)
.
75

.
a. , 0 P(A|B) 1 .


P
P
b. , P
An |B =
P(An |B) .
n

c. , A B, P(A|B) = P(A) .
B ? =
P
an I{=an } B -, n

{ = an }. P(A|B),
{ = an } P(A| = an ).
, = R2 , P
Z
P(B) = p, (x, y)dxdy.
B

- A - R2 , B
- B R, B R.
. ,
p, (x, y)
p (y| = x) = Z
p, (x, y)dy

()

c
P(|B).
. P(|B)
P R2 , (?)
p, . ,
- . ,
(*) . ,
P(A|B) := E(IA |B),
, - B,
Z
Z
P(A|B)dP =
B

dP
AB

B B.
, .
. B -,
. f ,
E(|B) = f () ?
,
(A)(), A (A)()
,
P(A|B) = (A)()
A. , .
. ? . ( , ).
76

 , . , P1 ,
P2 . , , P1 (A) P2 (A). A
. . ,
P1 (A) P2 (A) .
?
16. , c, E| c|
, .

77

 3.
. , ex ex = 1+x+x2 /2!+....
.
, , , ,
.
,
. :
. , n
. , ,
( ). ,
. , .
. - .
9.
, R. , ,
. , ,
f fn , , , , ,
. , f f (, )
.
.
n () () , ,
, ,
. ,
,
1. ,
, .
(
).
P
1. . n ( n ),
> 0
P{|n | > } 0.

P
P
n , n ,
P
1) n + n + ,
P
2) n n ,
P
3) P{ 6= 0} = 1, n /n /.
, 1):
P{|n + n | > } P{|n | > /2} + P{|n | > /2},
78


{|n + n | > } {|n | > /2} {|n | > /2}.
. P{n = xn } = 1, P{ = x} = 1. ,
P
xn x n .
, ,
.
2. . , (n )
..
( n ), P{ : n () ()} = 1. ,
, , , . , ,
, , .
:
P
P
n , n ,
(n + n ) + . ,
>0
P{|n + n | > } 6 0.
> 0, nk
P{|nk + nk | > } > k.

()

nk nkm ,
..
..
nkm , nkm .
:
P{ : nkm () (), nkm () ()} = 1.
,

..
nkm + nkm + ,

(*).
,
.
3. ( ). n
( n
, m , 2 ).

1 + ... + n P
m.
(1)
n
. , (1):


1 + ... + n
D(1 + ... + n )
n 2
2
D
=
=
=
0.
n
n
n2
n2


E

1 + ... + n
n


=

E(1 + ... + n )
nm
=
= m.
n
n

79

 :
P{| E| > }

D
.
2

(2)

:
P{ > }

E
.

(?):
P{ > } E,
EI{>} , , I{>} < ( ). = ( E) ,
+ ... + n
{| E| > } = {( E)2 > 2 }. (2) 1 n
,



 1 + ... + n

2
P 
m >
.
(3).
n
n
.
4.
:
lim
n

nA
= P(A),
n

nA , A, n ,

A. . A, i- , Ai .
Ai (
), ,
P(Ai ) P(A)
A.
, IAi , E(Ai ) =
P(A).
nA
IA + IA2 + ... + IAn P
= 1
P(A).
n
n
, , 1 nnA
P(A), , nnA P(A).
, , . . ,
0.
( ),
.
17. ,

tn = r
.
1 2
2
( + ... + n )
n 1
, n,
P
tn .
80

10. -
- . .
. , x1 , x2 , ..., xn ,
[0, 1]. , B [0, 1] xi , B, B,
(xi , xi+1 ), B [0, 1] [0, 1], B,
,
, . . ,
, , . . ,
,
(. .. ...) ,
, [0, 1]
. , , xi i ,
.
[0, 1].
f [0, 1],
f (1 ) + f (2 ) + ... + f (n ) P
Ef () =
n

Z1
f (x)dx.
0

Z
Ef () = f (x)p (x)dx,
[0, 1]
p (x) = I[0,1] (x).
xi i , ,
, 1,
f (x1 ) + f (x2 ) + ... + f (xn )
n

Z1
f (x)dx.
0

( 1) . , 0.999. . ,
2 = Df (). |f | C.
, Df () C 2 . :



 f ( ) + ... + f ( ) Z1

C2
1
n
P 
f (x)dx > 2

n
n

0

81

 C,
0, 001 n = 109 . , (, ), .
, ,
. , f , .
. , ( ) f
. - .
-
f (x1 , x2 , ..., xr ) r- [0, 1] [0, 1] ... [0, 1].
nr , .
-
, .
, r- . - r-
. (, x21 + ... + x2r 1).
r- ,

(1)

(1)

(n)

(n)

(n)
f (x1 , x2 , ..., x(1)
r ) + ... + f (x1 , x2 , ..., xr )
n
(i)

(i)

, (x1 , ..., xr ) .
- , ,
. ,
.
11.
( ) i
, . E(i ) = m.
1 + 2 + ... + n ..
m.
(1)
n
, :
n
1 + 2 + ... + n ..
a,
n
a , n , a .
.
. , ( ) . ,
. , - .
. n , 1/2 1 1. , . ,

. , .
82

 [0, 1) , , . ,
:


1, x [0, 1/2),
1, x [0, 1/4) [1/2, 3/4),
1 =
=
1, x [1/2, 1), 2
1, x [1/4, 1/2) [3/4, 1),

3 =

1, x [0, 1/8) [1/4, 3/8) [1/2, 5/8) [3/4, 7/8),

...
1, x [1/8, 1/4) [3/8, 1/2) [5/8, 3/4) [7/8, 1),

, , 4 , 5 . .
, , n ( n , m , m 6= n, , , ).
, ,
1 + 2 + ... + n ..
0.
n
[0, 1]. , = 0, n (1) = 1
n 1, 0. ,
= k/2n , 1.
() , 0, . ,
, 1. ,
. , ,
.

: , , . .
.
, , , 1, , , .
, L2 [0, 1).
. , .
. . n
D(n ), ,
X D(n )
n

n2

< .

(2)

:
n , m; n ,
X D(n )
n

n2

< .

(20 )

a) , (n ), (20 ),
X n En
.
(3)
n
n
.

83

b)
(1 E1 ) + (2 E2 ) + ... + (n En ) ..
0.
n

(4)

c) , n (2).
.
a) .
i) , , (20 )
(
)
X n E(n )
P
= 0.
(30 )
n
n
(
, ).
, ,
.
P
ii) , - ..
n , .
n
P
.
n () .
n

iii) , ,
.
i) a).
P
i) . (An ) ,
P(An ) <
n

,
P { : An } = 0.

(5)

. ,
A = { : An } =

\ [

Am .

n mn

, AnS , n Pm n,
Am ,
Am n.
P(An )
n

mn

0,
P(A) P

Am

mn

P(Am ) 0.

mn

P . , An , (4)
P(An ) < .
n

ii) 1.
P .. .

n . . , > 0
n

> 0 N N r > 0


)
(
+s
 N

 X

P : max 
i () > .
sr 


()

i=N +1

,
,
.
84

iii)

xn ,

k ,

k 0 k, n1 < n2 <
... < nk < ..., , k
 s

 X



()
max 
xi  k .
nk <snk+1 

i=nk +1

, (*)

xn .

: > 0, k,
X
s < .
sk

N = nk .
N + 1 N + r. l k , N + r > nl . :

 

  n


 nl
  N +r
+r
l
k+1
 NX
  X

 X
 X
  X

 


xi  
xi  + . . . + 
xi  + 
xi 
j .


 

i=nl1 +1  i=nl +1  j=k
i=nk +1
i=N +1
. > 0 > 0
, k k , ,
nk = N P
(**).
:
k ,
k



)
s
 X



P :
max 
i () > k k ,
nk snk+1 

i=nk +1

k . , .

 s

)

 X


:
max 
i () > k .
nk snk+1 


(
Ak =

i=nk +1

, , (Ak ), . 1
Ak , k = k(). k()
:
 s

 X



i () k ,
max 
nk snk+1 

i=nk +1
P
k .
i ()
i

, , .
, .
a).
.. . n
X

D(n ) < ,

85

(n E(i ))

.
1,

. i , i r, .
r
X


(
)
D(i )
s
X



i=1
.
P max 
[i E(i )] >
sr 

2
i=1


 s
)
(
r

X
X


2
D(i ).
[i E(i )] >
P max 
sr 


( )

i=1

i=1

A
A1 = {|1 E(1 )| > } ,
A2 = {|1 E(1 )| , |[1 E(1 )] + [2 E(2 )]| > } , ,
Ar = { , |[1 E(1 )] + + [r1 E(r1 )]| ,
|[1 E(1 )] + + +[r E(r )]| > }.
(
), , (***):
r
X

r
X

D(i ) = D

i=1

=
A

!
i

i=1

Z (X
r

)2
[i E(i )]

dP

i=1

( s
)2
r Z
r
X
X
X
=
[i E(i )] +
[i E(i )] dP =

r Z
X
s=1A
s

s=1A
s

i=s+1

i=1

( s
)2 ( r
)2
r Z
X
X
X
=
[i E(i )] +
[i E(i )] +
s=1A
s

+2

i=1

( s
X

i=s+1

)(
[i E(i )]

i=1

r
X

)
[i E(i )] dP.

i=s+1

. As

As

:
Z (X
s

)2
[i E(i )]

dP 2 P(As ).

i=1

As

,
Z ( X
r
As

)2
[i E(i )]

i=s+1

86

dP 0.

,
Z (X
s
As

)(
[i E(i )]

i=1

[i E(i )] dP =

i=s+1

(
= E IAs

r
X

i=1

r
X

)(
[i E(i )]

i=1

)(

s
X
[i E(i )]

IAs

( s
X

)!
[i E(i )]

= E IAs

i=s+1

r
X

)
[i E(i )] dP =

i=s+1

( s
X

)! (
[i E(i )]

i=1

r
X

)
[i E(i )]

i=s+1

. As
)
( s
X
[i E(i )]
IAs
i=1

i , i s,
E i , i s + 1. (
,


s
P
i , i s, IAs
[i E(i )] .)
i=1

, 4 6 (
), ,
0.
,
r
X

D(i )

r
X

P(As ) = 2 P(A).

s=1

i=1

, .. ,
.. . , N ,
P
2
n=N +1 D(n ) < 1 = N +1 ,...,r = N +r (!).
1. i ,
X D(n )
< ,
n2
n

X n En
n

.
: sn s,
(s1 s) + (s2 s) + ... + (sn s)
0.
n

. sn s ( ), sn s .
. n > N |sn s| ,
(s1 s) + (s2 s) + ... + (sn s)
=
n
=

(s1 s) + (s2 s) + ... + (sN s) (sN +1 s) + ... + (sn s)

+
.
n
n
87

= 0.

 , ,
N
n
n .
b),
P xn = n () En ,
,
xn /n s ,
n

x1 + x2 + ... + xn
0.
n

sn =

(5)

x1
x2
xn
+
+ ... +
s.
1
2
n

(5)
nsn s1 .... sn1
s1 + 2(s2 s1 ) + .... + n(sn sn1 )
=
.
n
n

(6)

sn s, , ,
s + .... + sn1
s. , (6) 0.
, 1
n
,
2. i
X D(n )
< ,
n2
n

(1 E1 ) + (2 E2 ) + ... + (n En ) ..
0.
n

(9)

) , .. (1).
n , . , f
Z
Z
f (x)P1 (x) = ... =
f (x)Pn (x) = ...,
R

, ..
Z
E|1 | =
|x|P1 (x) < .
R

n = n I{|n |n} .
, ,
. ,
a):
X E(n )2
< .
(7)
n2
n
() i , . .,
1 .
X E(n )2
X Z
1
=
|x|2 2 dP1 (x) =
2
n
n
n
n
|x|n

X X

n 1in
i1<|x|i

88

|x|


1
1
+
+ ... dP1
n2
(n + 1)2

n1<|x|n

X
n

|n|2

C
dP1
n

Z
C(|x| + 1)dP1 Const .
R

n1<|x|n

,
2

E(n )2 [E(n )] .
P D(n )
P E(n )2
<
< .
2
n
n2
n
n
, 2 , n
2.

n , (1).
,
X
P {n 6= n } < .
(10)

1 .
X
X Z
P {n 6= n } =
dP1 =
n

XZ
n

I(n,) dP1 =

(n,)

Z X
R

I(n,) (x)dP1

|x|dP1 < .
R

, -, 1 n () n (), n = n(). ,
( P
= 1)

(1 () E1 ) + (2 () E2 ) + ... + (n () En )
0.
n

(1 () E1 ) + (2 () E2 ) + ... + (n () En )
0.
n
,
, , . ,

(1 () E1 ) + (2 E2 ) + ... + (n En ) ..
0.
n

(1 E1 ) + (2 E2 ) + ... + (n En ) ..
0.
(11)
n
(11) Ei Ei
i,
(E1 E1 ) + (E2 E2 ) + ... + (En En )
0.
n
89

(12)

 , En = E1 . (12)
Z
Z
En = 1 I{|1 |n} dP 1 dP = E1 ,

1 I{|1 |n}
( |1 |), . ,
(1), m .

, .
R .
R
dF , d P .
12.
(
) ( , , , )
. ?
, Pn P ,
Pn (B) P(B)
(?)
( , ) . , Pn
n , , , , 1/n. :
1/n 0 = . , Pn P .
A = {0},
Pn (A) = 0, P (A) = 1.
, (?) .
, .
.
1. Pn
R P (

Pn P),
f R
Z
Z
f (x)dPn (x) f (x)dP(x).
(1)
R

, , .
,
P
n

Pn P .
, ,
Fn F .

,
90

. . .
( (),
). .
2.
. Pn R P. ,
P
F (x) = P(, x)
, , .
Fn , Pn .
: Pn P ,
Fn (x) F (x) x F.

(2)

. A (, x), x. , x
F ,
F (x) F (x + 0) F (x 0).
. 1
F . ? ,
(
1/2 ( 2), 1/3,..., 1/n,... ). R
. , R ( , )
F .
. , (2) (1)? ,
Z
Z
f (x)dPn (x) f (x)dP(x).
R

.
:
1. xn x , > 0 yn y , |xn yn | < , n0 , |x y| < .
2. -
> 0:
yn xn zn , yn y, zn z, |x y| < , |x z| < .
. ,
. , (
). , = 3 . n n0 |xn yn | < 3 . , |x y| < 3 .
n n1 |yn y| < 3 . ,
|xn x| |xn yn | + |yn y| + |y x| <

3
n max{n0 , n1 }.
3

1
.
91

 .
, .
, .
, (1) .
: a < b,
1 F (b) < /4C, F (a) < /4C,

()

= sup{|f (x)|x R}. , , a , b , ,

a b F .

Z
Z
f (x)dPn (x),
xn = f (x)dPn (x), yn =
R

[a,b]

Z
x=

Z
f (x)dP(x), y =

f (x)dP(x).
[a,b]

, 1 , n > n0
1 Fn (b) < /2C, Fn (a) < /2C,


Z

Z
Z




|xn yn | =  f (x)dPn (x) f (x)dPn (x)
|f (x)|dPn (x)


R

[a,b)
(,a)[b,)
C (P(, a) + P[b, )) = C{(1 Fn (b)) + Fn (a)} ,

|x y| .
yn y. 1.
(yn ) .
f [a, b], a = u0 < u1 < ... < ur = b,
f ,
ui , F .

Z
Z
xn =
f (x)dPn (x) x =
f (x)dP(x).
[a,b)

[a,b)

yn
r1
X

f (vi )[Fn (ui+1 ) Fn (ui )],

i=0

vi (ui , ui+1 ) . :
r1
X

f (vi )[Fn (ui+1 ) Fn (ui )]

i=0

r1
X

f (vi )[F (ui+1 ) F (ui )].

i=0

, xn , x yn , y .
r1
X
f(x) =
f (vi )I[ui ,ui+1 ) , x [a, b].
i=0

92

 , |f f| < .



Z
r1


X


f (x)dP(x)
f (vi )[F (ui+1 ) F (ui )] =



i=0

[a,b)
=

r1
X
i=0

|f (x) f(x)|dP(x)

r1
X
[F (ui+1 ) F (ui )] 1.
i=0

[ui+1 ,ui+1 )

Pn (x).
(1) (2) f . x F Fn (x) F (x). x
, [x , x + ] x, F
. , F
F (x + ) F (x) , F (x) F (x )
f1 f2 :
f1 (y) = 1 y (, x ], f1 (y) = 0 y [x, ),
x x f1 .
f2 :
f2 (y) = 1 y (, x], f2 (y) = 0 y [x + , ),
x x + f2 .
,
Z
Z
f1 (x)dPn (x), f2 (x)dPn (x)
R

- Fn (x) F (x).
, ,
I(,x) f1 I(,x) f2 I(,x+) .

Z
f1 (y)dPn (y) Fn (x)

f2 (y)dPn (y) n,
R

Z
f1 (y)dPn (y)

f1 (y)dP,
R

Z
f2 (y)dPn (y)

f2 (y)dP(y),
R

Z
F (x) F (x)

Z
f1 (y)dP(y) F (x)

f2 (y)dP(y) F (x+) F (x)+.

R

. Pn N (mn , n ), P N (m, ), , mn tom, n .

Pn P.
93

 mn = 0, n 0, Pn , 0
( ).
3. . n , ,
P

n ,

Pn P .
(2) .
:
Fn (x) F (x) x F .
, F [x , x + ] ,
, n0 ,
P {|n | } < .

{ < x } {n < x} {|n | } ,

()

{n < x} { < x + } {|n | } .

()

, , :
() < x , n () x, |n () ()| .
: (*)
F (x) F (x ) Fn (x) + P {|n | } Fn (x) + ,
(**)
Fn (x) F (x + ) + P {|n | } F (x) + 2.
.
. , Fn Fn
n . :
= {0, 1}, P {0} =

1
1
, P {1} = , n (1) = 0, n (0) = 1, (0) = 0, (1) = 1.
2
2

:
P {|n | = 1} = 1,

Pn = P ,

Pn P .
, ,
, . , {, } , , , ... 6 .
. , 2/3, 1/3, . = Const,
, .
.

94

. , .
:
D

n Pn P ,
, n n (in distribution).

D

= P = P ,
, .
4. . n , , = c,

Pn P ,

P
n .
. x 6= c F . > 0 > 0, x = c + x = c .
n0 , n > n0
|Fn ( + ) F ( + )| <

, |Fn ( ) F ( )| < .
2
2

F ( ) = 0, F ( + ) = 1,

Fn ( + ) > 1 , Fn ( ) < .
2
2

P {|n | > } = P {n > c + } + P {n < c }

(1 Fn ( + )) + Fn ( ) + .
2 2
.
. , . .
, , . , , (, , , ).
, ,
R Rn , ,
.
1. (0, 1) - - , . ,
F F 1
(0, 1) c F . , (0, 1) c
0 1.
2.
.
a) ,
f R , R
P, f (x)dP(x) . . R

, , , .
95

 , .

P, P, P, ... P)
.
b) f (x)R = I(,0] , Pn {1/n}
= 1 , ,
R
P{0} = 1 . f (x)dPn (x) = 0, f (x)dP(x) = 1.
R

18. f : R R ,

Pn P ,

Pf (n ) Pf () .
13.

( ).
1. .
. P
Z
(t) =

eitx dP(x).

, P
F , ( ,
),

(t) = E(eit ),
:
Z
(t) = eit dP.

,
Z
(t) = eitx dF (x).
R

, :
Z
(t) = eitx p (x)dx.
R

, , :
X
(t) =
eitan P { = an } .
n

2.
96

1. (0) = 1; (t) = (t).

2. ;

. tn t, |eitn x | = 1 1 eitn x eitn x x,
f (x) = 1 (!) dF (x).
Z
Z
eitn x dF (x) eitx dF (x).
R

.
> 0 ( )
a, b R,
Z

dF (x) > 1 .
4
[a,b]



u eiu , 1 > 0 1 eiu  < /2

 |u| < 1 . 0 < < 1 / max |a|, |b|. |t| < , x [a, b]
1 eitx  < /2. |t t0 | < ,


Z
 Z 



0
0 

|F (t) F (t0 )| =  eitx eit x dF (x) eitx eit x  dF (x) =


R

Z
=

+
[a,b]

Z
R\[a,b]

Z
2dF (x) .

/2dF (x) +
[a,b]

R\[a,b]

3. ,
+ (t) = (t) (t);
4.
a+b (t) = eitb (at);
5. ,

0 (0) = iE(),

(t) = 1 + iE()t + o(t).

,
00 (0) = E( 2 ),
1
(t) = 1 + iE()t E( 2 )t2 + o(t2 ).
2
6. . F
F ( , ).
7. .
, .
. 1-4 .
3
. 5 .
97

 6, ,
. ,
, ,
.
3. ?
P
( an P { = an } = 1),
n

(t) =

eian t P { = an } .

p (x),
Z
(t) = eitx p (x).
R

4. .
1. .
k
it
P {k} = e (t) = e(e 1) .
k!
2. .
x2
N (0, 1), p(x) = p1 e 2 .
2p
Z
x2
t2
1
e 2 +itx dx = e 2 .
(t) =
2
R

. ,
R C
.
2 Z
(zit)2
z2
1
1
t
e 2 +itz dz = e 2
e 2 dz =
2
2

Z
(t) =
R
t2

= e 2

Z
Rit

z2
t2
1
e 2 dz = e 2
2

Z
R

z2
t2
1
e 2 dz = e 2 .
2

: m
+ m, 0, 1. 4
1

+m (t) = eitm (t) = eitm 2

2 2

:
, .
3. .
. ,
Z
1
eitx
dx = e|t| .
2)
(1
+
x

98

, 1 ,...,n ,
1 + ... + n
n
.
5. . (n )
,
E(n ) = m, D(n ) = 2 .

1 + 2 + ... + n nm

n
N (0, 1).
( 5), , 3 4.
m
5 i .
, 1.


t2
i m (t) = 1 + 0 it + o t2 .
2

3 :

1 + 2 + ... + n nm =

t2
+ o t2
2

4

1 + 2 + ... + n nm =

t2
+o
2n

1
2n

n

n

t2

e 2 .

, .
19. a. , (
).
b. , (
).
c. ,
( ).
d.
, ? ( , ).
e. Pn , Pn {k/n} = 1/n k = 1, 2, ..., m.
, Pn
[0, 1].

99

 a b F .
1
F (b) F (a) = lim
A 2

ZA

eita eitb
F (t)dt.
it

(1)

,
, itb itb

, , , F (t) = cos tb = e +e
2
t R . ,
:
Z
1
p(x) =
eitx F (t)dt,
2
R

p F ,
. (1) a b, . , ,
.
(1) F :
1
lim
A 2

ZA

eita eitb
dt
it

eitx dF (x).

, [A, A] R,
ita
eitb t = 0, e
it
, .. . , , [A, A] R,
. :
1
A 2

ZA

lim

dF (x)

eita eitb itx

e dt.
it

(2)

:
ZA
IA (x) =

eita eitb itx

e dt = 2
it

ZA

sin((x a)t) sin((x b)t)

dt.
t
t

(2),
Z
Z
1
1
lim
IA (x)dF (x) =
lim IA (x)dF (x),
A 2
2 A
R

.
( ),
. ,
i) lim IAn (x) x,
An

ii) IA (x) C ( g(x) = C

dF ).
i)
Z

sin t
dx,
t

100

 IA (x), = (x a) = (x b).
RB
t
ii) sin
t dt,
0
R
t dt ( , B (B , )),
sin
1
t
0
RB
t
sin
t dt [0, B1 ]. ,
0

 B

Z
 sin t 
 < C, B,

dt


t


0

ZA

sin(x a)t
dt = sgn(A(x a))
t

|A(xa)|
Z

sin t
dt.
t

.
Z
I(x) =

sin((x a)t) sin((x b)t)

dt =
t
t

0, x > a, x > b;

, a < x < b;
0, x < a, x < b;
=

/2, x = b;

/2, x = b.
, I a b ,
F . ,
. ,
ZA ita
1
e
eitb
lim
F (t)dt =
A 2
it
A

Z
=

1
2I(x)dF (x) =
2

Z
I[a,b) (x)dF (x) = F (b) F (a).
R

. F G , . ,
x y, F G,
F (y) F (x) = G(y) G(x).
. F .
,
{ F } =

{ F 1/n},

( n 1 ).
.
. F G.
101

 , (xn )
F G, , y R (zn ) F G, y . , :
F (z) = lim(F (x) F (xn )) = lim(G(x) G(xn )) = G(z)
n

z,
F (y) = lim F (zn ) = lim G(zn ) = G(y)
n

y.
.
.
. . 1) p
N (m1 , 1 ), N (m2 , 2 ), + N (m1 + m2 , 12 + 22 ). 2)
P (1 ), P (2 ), + P (1 + 2 )..
. + ,
.
. ,

f (x) = eitx Fn F Fn (t) F (t) t.
( ), :
Fn (t) F (t) t Fn F . .
. ()
, , 1)-3). , I(n,) , n ,
. ,
2). ,
0 F R, 1) 3),
2)
20 ) 0 F (x) 1 x R. ,
0, .
1. (Fn ) 0 (Fnk ), F 0
F .
. ,
(Fnk ) F , .
(
[0, 1]). R
S = (rn ) (, Q), (Fn (r1 ))
(Fnk (r1 )). (Fnkl ), r2 , (Fnkl ), r2
m
. . , ,
Fn1 , Fnk2 , Fnkl ,... , rn .
3
(Fnk ). , (Fnk (r))
r S (r).

102

 F . ,
S . ,
F (y) = sup{(r) : r < y}.
, F ( ) [0, 1]. F
. : > 0
r < y , (r) > F (y) . : x (r, y] F (x) (r) >
F (y) . y.

Fnk (x) F (x) x F .
F , x y <
x < z, F (y) > F (z) . r0 , r00 S ,
y < r0 < x < r00 < z.
:
F (x) F (y) F (r0 ) = lim Fnk (r0 ) lim inf Fnk (x)
k

lim sup Fnk (x) lim Fnk (r00 ) = F (r00 ) F (z) < F (x) + .
k

lim Fnk (x) = F (x).
k

. , i)
Fn (t) F (t) t, x F Fn (x) F (x) . i).
Fnk (x). F (x), . (Fn (x)) ,
F (x), Fnk (x). :
Fnk (x) a 6= F (x). i).
(Fnk )

Fnkl G.

()

Fnk (t) G (t) t.
l

Fnk (t) F (t) t,
l

F = G , F = G. (*) Fnk (x) F (x),

(Fnk ).
, , , .
.
,
, , 0, + 1.
G,
0 , . , , (Fn ) .
103

 , (Fn )
.
. (Fn )
, (Fnk )
(Fnkl ), , , ii) > 0
N N A > 0 , n > N
Fn (A) < , Fn (+A) > 1 .
. 0

Fnkl G 0 .
a < A b > A G
G(a) , G(b) 1 ,
()
G .

, R

dF (x) F ,
|x|A

.
.
Z

1/A
Z

A
1
dF (x)
1 sin 1 2

(1 F (t))dt.
1/A

|x|A

.
A
2

1/A
Z

1/A Z
Z

A
(1 F (t))dt =
2

1/A

1/A

1/A Z
Z

Z
(1 cos(tx))dtdF (x) =

=A
0

(1 eitx )dtdF (x) =

x/A sin(x/A)
dF (x)
x/A

Z
(1 sin(1))

dF (x).

|x|A

1 sin(1)

x/A sin(x/A)
, |x| > A.
x/A

(Fn ) .
> 0 A > 0, t [1/A, 1/A]
1
1 sin 1 |1 F (t)| < ,
1
A
1 sin 1 2

1/A
Z

|1 F (t)|dt < .
1/A

104

 Fn (t) Fn (t) t, n
N
1/A
Z
1
A
|1 Fn (t)|dt < .
1 sin 1 2
1/A

,
(Fn ) , .
14.
:
a)|eix 1| |x|, b)|eix ix 1| x2 /2.
i 0 ix. .
:
c)| ln(1 + z) z| C|z|2
0 {|z| < 1/2}.
. () nk , k k(n)
, :
1) nk n;
2) Enk = 0 n k;
k(n)
P
2
3)
Enk
= 1 n;
k=1

4) limn

k(n)
P
k=1

2
Enk
I{|nk |>C} = 0 C > 0.

k(n)
P

nk -

k=1

0 1, .. N (0, 1).
.
nk (t) := Eeitnk = nk (t)
nk
k(n)

lim
n

nk (t) = et

/2

k=1

,
k(n)

lim
n

ln(nk (t)) = t2 /2.

(1)

k=1

. (1) ln
ln(nk (t)) nk (t)1. c), x = nk (t)1.
, , n nk (t) 1
1/2. ,
max |nk (t) 1| 0.
k

105

(2)

 1.
2
lim max Enk
= 0.
n

(3)

.
2
2
2
max Enk
max Enk
I{|nk |C} + Enk
I{|nk |>C}
k

k(n)
2
max Enk
I{|nk |C} +

2
Enk
I{|nk |>C} .

k
2

C , ,
, c), 0. (3).
(2):
2.


max |nk (t) 1| = max Eeitnk 1 =
k

( 2) 0 Enk )



= max E eitnk itnk 1 
k

( b))
 2 
0
max Enk
k

1. ,

k(n)
P

ln(nk (t))

k=1

k(n)
P

(nk (t) 1), ,

k=1

, , 0:
k(n)

k(n)

|ln(nk (t)) (nk (t) 1)|

|nk (t) 1|

k=1

k=1

( )
k(n)

max |nk (t) 1|

k

|nk (t) 1| .

k=1

2, 0,
k(n)

k(n)

k(n)
X

 X 2
itnk


|nk (t) 1| =
E e
itnk 1
Enk = 1.

k=1

k=1

k=1

, :
k(n)

lim
n

(nk (t) 1) = t2 /2.

k=1

0 2):
k(n)

X
k=1

k(n)

(nk (t) 1) =

E eitnk itnk 1 =

k=1

106

(4)

( )
k(n)

(eitx itx 1)d

Z
R

Pnk (x) =

k=1

n(k)

eitx itx 1 2 X
x d
Pnk (x) =
x2
k

n(k)

eitx itx 1 X
d
Enk 2 I{nk <x} .
x2
k

Z
R

itx
1 0
. f (x) = e itx
x2
0. limx0 =
t2 /2. :
Z
Z
g(x)x2 dP = g(x)dE 2 I{<x} ,
(5)
R

, g , E 2 < . (
Rb
, .)
a

, (5) g(x) = I[a,b) (x).

:
Z
Z
I[a,b) (x)x2 dP (x) = E 2 I{a<b} = I[a,b) (x)dE 2 I{<x} .
R

n(k)

Fn (x) =

Enk 2 I{nk <x} .

, lim Fn (x) = 1 3), lim Fn (x) = Enk 2 I = 0. ,

x

Fn {0} , 0.
0 x < 0 1 x > 0. :
k(n)

lim
n

k(n)
2
Enk
I{nk <x}

k=1

lim
n

2
Enk
I{|nk |>x} = 0

k=1

x < 0,
k(n)

lim
n

k(n)
2
Enk
I{nk <x} = 1 lim
n

k=1

2
Enk
I{nk >x} = 1

k=1

x > 0. :
n(k)

Z
f (x)d
R

Enk 2 I{nk <x}

f (x)d{0} = f (0) = t2 /2.

.
.
13

nk =

k m
, k n.
n
107

 1)-3) . 4).
lim
n

n
X
(k m)2 (
E
I  m  ) =
2

n
 k
>C
k=1
 n 

= lim E
n

(1 m)2 (
I  m  ) 0.
2
>C n
 1


,



 1 m 

 > C n (n ).

 
15. .
P {Sn < k}, Sn n p,
(0, 1). p 0, k , . (
). .
2n , n , .
, , tn 1.
S
,
( ) . ,
(
)
!
a E(S)
a E(S)
S E(S)
p
P {S < a} = P
< p
= p
.
D(S)
D(S)
D(S)
, , S. x. N (0, 1).
1. .
r rn ,
, , i
[0, 1].
, F
F 1 (r). :


P F 1 (r) < x = P {r < F (x)} .
, , .
N (0, 1)- r1 + ... + r12 6, ri
, [0, 1]. , , 0,
1.
N (0, 1)-
1 2 . , (, ) (1 , 2 )
108

. , . ,

2
2
2
Z Z
Z Z
1 x + y
1
2
2
P {(1 , 2 ) B} =
e
dxdy =
e
dd.
2
2
B

, ,
[0, 2] ,

Zx

2
2
e 2 d = 1 ex /2 .

P { < x} =
0

.
Knuth.
2
1 ex /2 ( 1) 2
. ( )
, [0, 1],
, r r x-. ,
r, ,
.
2. .
. = (1 , ..., n ) ,
, 1 ,...,n
1 ,...,n (t1 , ..., tn ) = Eei(t1 1 +...+tn n ) .
, ,
, , .

,
P{

n
Y

[ai , bi )},

i=1

)
( n
n
[
[[
P
{(x1 , ..., xn ) : xi = ai }
{(x1 , ..., xn ) : xi = bi ht} = 0.
i=1

i=1

, , {(ai ), (bi )},

, .
. , 1 , ..., n
1 ,...,n (t1 , ..., tn ) = 1 (t1 ) . . . n (tn ).

(6)

, , , (*) 1 , ..., n .
, ,
.
109

 , n

D
n ,

Pn P,
. ,
D
n ,





(1)
(d)
(1)
(d)
n = n , ..., n , = (1) , ..., (d) , n ,..., n
n, (1) ,..., (d) . ,
P
n .

P
n



P n > 0
> 0, k k Rd .
. n , r- , f Rr ,

Pn P,

Pf (n ) Pf ()
.
.
,
(1 , ..., n ) (1 , ..., n ) (1 , ..., n )A, A =
[aij ] . (1 , ..., n ) (t1 , ..., tn )
t1 1 + ... + tn n - -
t1 1 + ... + tn n = (1 , ..., n )(t1 , ..., tn )0 .
(1 , ..., n )A,
(1 , ..., n )A(t1 , ..., tn )0 = (1 , ..., n )((t1 , ..., tn )A0 )0 .
,
(1 ,...,n )A (t1 , ..., tn ) = (1 ,...,n ) ((t1 , ..., tn )A0 ).
(1 , ..., n ).

1

(1 ,...,n ) (t1 , ..., tn ) = e 2 (t1 ,...,tn )(t1 ,...,tn ) .

o ,
1

(1 ,...,n )A (t1 , ..., tn ) = e 2 (t1 ,...,tn )A A(t1 ,...,tn ) = .

110

e
kl =

1
2

kl tk tl

k,l

aik ail , [kl ] -

.

P

1 ,...,n (t1 , ..., tn ) = e

P
imk tk 1
kl tk tl
2
k,l

(7)

. , [kl ] , , ,
, .
,
E(k ) k , i,
:
E {(k E(k ))(l E(l ))} = kl .
20. a. , , (7)
mk = E(k ), kl = E {(k E(k ))(l E(l ))} .
b. A1 + ... + Ar = , P(Ak ) = pk . k k () = IAk .
(1 , ..., r ), .
3. .
, :
. (n ) [kl ].
1 + ... + n

n

[kl ].
,
. ,

,
n, n, n
.
.
n
. 11 +...+
+...+n , i , j 0 1.

111

 4.

( ) .
,
.
, , , ,
. ,
,
.
. .. , .. , .. ,
.. " "(- , 1999).
p . , ,
F , p- x, F (x) = p. p ( ), x .
16. .
1. . m , m1 1- , m2 2- , m3 3- (m = m1 + m2 + m3 ).
( ) m n . i-
xi i- .
m1 , m2 , m3 . ,
x1 , x2 , . . . , xn , , m . ,
m1 , m2 , m3 n1 (m/n), n2 (m/n), n3 (m/n), , m1 , m2 , m3 ( , ).
, .
2. , ,
x1 , x2 , . . . , xn -,
,
.
( ) .
( N, R, R2 .. -
. ). ,
, .
3. .
{x1 , x2 , . . . , xn } ,
:
R, , , 1/n (,
), P .
, ..

112

{ xi , x}
x.
F (x) =
n
:
Z
x1 + x2 + . . . + xn
x
= xdP (x) =
.
n
:

s (

s2x )

Z
:=

x dP (x)

2

Z
xdP (x)

1X 2
1X
2
xi x
2 =
(xi x
) .
n i=1
n i=1

()

(), (
D = E 2 (E)2 = E( E)2
).
,
. , , {(x1 , y1 ), (x2 , y2 ). . ., (xn , yn )},
R2 P {(xi , yi )} = 1/n i
. . . + xn , y , s2 s2 ,
n, x
= x1 + x2 +
y
x
n

n

rx,y =

1X
(xi x
)(yi y)
n i=1
(s2x )1/2 (s2y )1/2

..
. {x1 , x2 , . . . , xn } .
. , ,
, x
s2x .
17.
P , -, x1 , x2 , . . . , xn ,
F . ( ,
) F , . - .
( ) , (
). , -
. ,
P (, P ,
, , , ,
1 , P
{1, 2, 3}). , , P P,
.
1. .
P = {Pm, }, Pm, m
,
pm, (x) =

1 xm 2
1
e 2 ( ) , x R, m R, 0.
(2)1/2

113


ex , x 0,
0,
x < 0.


p (x) =


pm, (x) =

1/(2), x (m , m + );
0 .

pa,m (x) =

a
(a2 + (x m)2 )

P {k} = e

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

Pp {1} = p, Pp {0} = 1 p.
( )
.
x1 , x2 , . . . , xn
n , P = P , ,
P. P
P(n) x1 , x2 , . . . , xn , Rn . , x1 , x2 , . . . , xn ,
p,
p(n) (x1 , x2 , . . . , xn ) = p(x1 )p(x2 ) . . . p(xn ), xi R.
, P n-
P (n) = {P (n) : P P}, .
2. .

"

n
2 #
n 
1
1 X xi m
(n)

pm, (x1 , x2 , . . . , xn ) =
exp
, xi R
2 i=1

2
m R, (0, ).

(n)

P {k1 , k2 , . . . , kn } = exp(n)

k1 +k2 +...+kn
, ki {0} N,
k1 !k2 !...kn !

(0, ).

n
P

n
P

(1i )

i=1
P(n)
(1 p)i=1
p {1 , 2 , . . . , n } = p

, i {0, 1},

p (0,1).
. , , .

, .
114

 . , , ( ). ,
0 1, ,
,
, , ,
.
3. . , P = {P : },
( R),
, .
. , ,
.
.
. , ,
R2 ,
R2n .
4. .
T R.
:
T (x1 , x2 , . . . , xn ) = xi ; T (x1 , x2 , . . . , xn ) = x
, s2 , max(x1 , x2 , . . . , xn )
..
R
(n)
: E T = T (x1 , x2 , . . . , xn )dP (x1 , x2 , . . . , xn ).
x1 , x2 , . . . , xn , ,
P, T (x1 , x2 , . . . , xn ) , , ,
P. {P }
P,T T , .

(, ).
. a) ,
T (x1 , x2 , . . . , xn ) = (x1 x2 )/(x3 x4 )
m . b)
.
5. .
1) .
2) (..
P1 P2 , ).
3) (.., P, ,
).
.
, , . , .
,
.
, . ,

115

 n- ,
, .
R, Rn .

n , , R2 .
, ,
. ,
,
.
, ( ,
{0, 1}) A. 1, A , 0,
.
, 2) , .
. .
.
,
.
,
, , f (T, ),
, .
.
18.
1. {P } . , , R,

: Rn .
1 , x2 , . . . , xn ) =
, (, (x
0 , .. ). , .
2. . , , .
1. ,
E = .
1. (. 1, . 6), , xi .
10 . ,
E = ,
(*):
1)
Z
Z
1 , x2 , . . . , xn )dP (n) (x1 , x2 , . . . , xn ) = ,
(x

116

().

.
2)
X
(n)
(xi1 , xi2 , . . . , xin )dP (xi1 , xi2 , . . . , xin ) = ,
i

.
- . ,
, , E = .
(*) , , (*) .
2. . , {P } , {P } ),
{P }, {P }} , ..
Z
Z
1 , x2 , . . . , xn )dP (n) (x1 , x2 , . . . , xn ) 6= .
(x

.
, , (
!!), (*) .
, .
3. .
x
=

x1 + x2 + . . . + xn
.
n

,
Ex1 + Ex2 + . . . + Exn
nEx1
=
= Ex1 .
n
n
, xi . x
, . , . ,
Z
m = xdPm, (x),
E
x=

Z
p=

xdPp (x),

Z
=

xdP (x)

( n- !), , x

m , p ,
.
4. . ( x
). ():
1X
1X 2
2
(xi x
) =
x x
2 .
(1)
n i=1
n i=1 i
117

, (m = Exi )
Es2 = E

1X
1X
(xi x
)2 = E
[(xi m) (
x m)]2 =
n i=1
n i=1

1 X
1
E
(xi x
)2 E(
x m)2 = nDxi D
x=
n i=1
n
= Dxi

Dxi
Dx1 + Dx2 + . . . + Dxn
n1
= Dxi
=
Dxi .
n2
n
n

, s2 ,

S2 =

n 2
s .
n1

(2)

2 , S 2

( , S 2
!).
. , x
, ,
, x
(, m , lambda . .). ,
n
S 2 = n1
s2 , , , 2 . ,
, .
, . , 0 (0) = iE, 00 (0) = E 2 .
:


it
it
(t) = e(e 1) , 0 (t) = i eit 1 e(e 1) .
0 (0) = i, 00 (0) = 2 . . ,
, x
S 2 , .
5. .
. ,
( ,
1
D D 1 ( ).

()

.
(. ),
( ) , ,
,
.
. .
, , 0 , , ,
.
,
. , ,
, ( ). ,
.

118

. ( ). .
( )
:
1

"
E

(n)

ln p

( )

#2 .

, (***), :
P , ,
x,
. , P
( ) R. ,
.
.
Z
Z
1 , x2 , . . . , xn )p(n) (x1 , x2 , . . . , xn )dx1 dx2 . . . dxn = ,
. . . (x
(1)

Z
Z
(n)
. . . p (x1 , x2 , . . . , xn )dx1 dx2 . . . dxn = 1, .

(2)

(1) (2) . , (
). :
Z

Z
...

(n)

1 , x2 , . . . , xn ) p (x1 , x2 , . . . , xn ) dx1 dx2 . . . dxn = 1, .

(x

(10 )

(n)

p (x1 , x2 , . . . , xn )
dx1 dx2 . . . dxn = 0, .

...

(20 )

(10 ) (20 ), .
Z

Z
...

(n)

( )

p (x1 , x2 , . . . , xn )
dx1 dx2 . . . dxn = 1, .

(3)

.
, .
(3) , (3) :
Z

Z
...

(n)

( )

p (x1 , . . . , xn ) 1 (n)
p dx1 . . . dxn = 1, .
(n)

(4)

Z
...

(n)

( )

ln p (n)
p dx1 . . . dxn = 1, .

(n)

(5)

(5) p
(n)
( ) ln(p )/,
119

 :
Z
1

(n)
( )2 p dx1 . . . dxn

...

Z
...

(n)

ln p

!2
(n)

p dx1 . . . dxn = 1,

, ,
Z
Z
(n)

. . . ( )2 p dx1 . . . dxn = D ,
Z

Z
...

(n)

ln p

!2

"
(n)
p dx1

(n)

ln p

. . . dxn = E

#2
.

. , , . x

m . (***). (
xi ,
(
). ,
. ,
.)
 2
1
2 n
Dm, x
=
(Dx1 + Dx2 + . . . + Dxn ) = 2 .
n
n


n
2
n
1
1 X xi m
ln p(n)
(x
,
x
,
.
.
.
,
x
)
=
ln

.
2
n
m, 1
2 i=1

(2)1/2

(7)
(8)

(n)

ln pm, m, :
(n)

1
ln pm,
= 2
m

n
X

!
xi nm .

i=1

,
1
Em, 2

n
X

!
xi nm

= 0.

i=1

"
Em,

(n)

ln pm,
m

#2
= Dm,

n
1 X
x
2 i=1 i

!
=

n
n 2
= 2,
4

.
. x
p
.
, P
( ) R. , ,
.
. , x

. , m ,
, . ,
Z
Z m+
1
(m + )2 (m )2
xpm, (x)dx =
x
dx =
= m.
2
4

m
120

 , x
m, :
max xi + min xi
m(x
1 , x2 , . . . , xn ) =
.
2
( , m
m. ,
. , (xi ) (2m xi ), x 2m x,
, m.
, m.
,
x 2m x m.)
!
Z m+
1
2
2
2 1
2
=
x
dx m
.
=
D
x=
n
n
2
3n
m
:
D( + ) 2D + 2D.

(11)

max xi . xi yi = (xi m+)/2,

[0, 1]. : Fmax yi (x) = P{max yi < x} = P{y1 < x, y2 < x, . . . , yn < x} = xn
x [0, 1].
Z 1
n
,
E[max yi ] =
xdxn =
n
+
1
0
Z 1
n
E[max yi ]2 =
x2 dxn =
,
n
+
2
0

2
n
n
n
D[max yi ] =

.
=
n+2
n+1
(n + 2)(n + 1)2
 
 
D[max xi ] = O 12 . D[min xi ] = O 12 ,
n
n
 
1
.
D[max xi + min xi ]/2 = O
n2
, m
x
. , ,
, .. .
6. . , P ( ).

(n)

(n)

(x1 , x2 , . . . , xn ) = { : p (x1 , x2 , . . . , xn ) = max p (x1 , x2 , . . . , xn )},

.. (x1 , . . . , xn )
, =
(n)

p (x1 , x2 , . . . , xn ) = p (x1 )p (x2 ) . . . p (xn )

( )

. ( )
, P {xi }, , (
).
121

. n , (****), (
), ,
,
:

. ,
(***) ( ), .
.
, ,
, ,
(n)

1 , x2 , . . . , xn ) = Const() ln p (x1 , . . . ., xn )
(x

x1 , x2 , . . . , xn .
(10) (x1 , x2 , . . . , xn ) (n)
x1 , x2 , . . . , xn . ln , ln p

= ,
(n)

ln p (x1 , . . . ., xn )
= 0 = (x1 , x2 , . . . , xn ),

1 , x2 , . . . , xn ) = (x1 , x2 , . . . , xn ).
(x
. 1) , . 2)
, . 3) ,
.
.
1) m.
.
!
n
1 X
xi nm = 0.
2 i=1
m = x
. 2) 3) . ,
.
2) 2 .

(n)
ln pm,
2

(n/2) ln
=
1/2
2

(n/2 2 ) + 1/2

n
P

xi m 2

i=1

n
X
(xi m)2
i=1

= 0.

= 0.
()

2 =

1X
(xi m)2 .
n i=1

, , m. ,
m = m0

n
1X
(xi m0 )2 .
n i=1
122

 , 2 ( N (m0 , )).
.
!
n
n


1X
1 X
2
D
(xi m0 )
= 2
D (xi m0 )2 =
n i=1
n i=1




1
n
D (x1 m0 )2 =
E(x1 m0 )4 E(x1 m0 )2 =
2
n
n
1
2 4
{3 4 4 } =
.
n
n
.
.
!2
n
X
(xi m)2
2
.
E (n/2 ) + 1/2
4
i=1
. ,
!
n
2
X
(x

m)
i
E (n/2 2 ) + 1/2
= 0.
4
i=1

D 1/2

n
X
(xi m)2

i=1


= n/4D

(x1 m)2
4


=

n2 4
.
4 8

.
1
p (x) =
I[0,] (x). [0, ],
. , x1 , x2 ,...,
xn , max{xi }. max{xi }, =
max{xi }
 n Y
1
(n)
p (x1 , ..., xn ) =
I[0,] (xi )

1
max{xi }

n

7. .
n ,
n. , -
. ,
Rn , (n) ,
Rn , n P,(n)
( ).

:
P
. (n) (n ) , (n) ( ) , (.
),

P,( n) ,
, , {} = 1. ,
123

(, Rn ) , (n) ,
.
,
.
. x
m .
.
x
=

x1 + x2 + . . . + xn P
Exi = m.
n

. , , x
( , x

p ).
1 (). . ?
2 (). , S 2 2
. [. 0
, E 4 = 3!! 4 = 3 4 .]
s2 ? , S 2 ,
?
3. ,
a
, a > 0. , x

p (x) =
[a2 (x )2 + 1]
. [. , x
, , n]. [. xk (t) = eiat|at|
k.
n
x (t) = (x1 (t/n)) = x1 (t),
.] ,
, , . ,
.
.
8. . .
, P .
{P } ( ,
):
1) p ( )
, {p 6= 0} ;
(n)
2) {x1 , x2 , . . . , xn } p (x1 , ..., xn ) .
( ) , ,
.
, 1)
Rb
xi , xi (a, b) p (x)dx = 0,
.
, ,

(n)
P {(x1 , ..., xn ) : ( , + )} 1 > 0.

:
(n)

(n)

{ ( , + )} {(x1 , ..., xn ) : p (x1 , ..., xn ) > p (x1 , ..., xn ),

124

(n)

(n)

p (x1 , ..., xn ) > p+ (x1 , ..., xn )}.

()

, ,
, , ,
. , , .
, :
(n)

(n)

(n)

(n)

(n)

(n)

P {(x1 , ..., xn ) : p (x1 , ..., xn ) > p (x1 , ..., xn )} 1,

P {(x1 , ..., xn ) : p (x1 , ..., xn ) > p+ (x1 , ..., xn )} 1.
, . :
)
!
(
(n)
p+
(n)
(n)
<0 =
{p > p+ } = ln
(n)
p
(
)


n
1X
p+ (xi )
= (x1 , ..., xn ) :
ln
<0 .
n i=1
p (xi )


p+ (xi )
( . , ln
p (xi )
xi , )
xi . p (x )
n. , E ln + i .
p (xi )
, ,
( , , . n
1 P ln p+ (xi )
) , n
p (xi )
i=1
. n
1.


p+ (xi )
E ln
< 0.
p (xi )
.
. ( .) g ,
, (1) ,

Eg() g(E),
(1)
.
, ,
(1) .
: P {x1 } = p, P {x2 } = 1 p:
Eg() = pg(x1 ) + (1 p)g(x2 ) g(px1 + (1 p)x2 ) = g(E),
.
{x1 , ...xn }:
X
p1 g(x1 ) + ... + pn g(xn ) g(p1 x1 + ... + pn xn ), pi 0,
pi = 1.
i

X
X
X
pi g(xi ) g
pi xi , pi 0,
pi = 1.
(2)
i=1

i=1

125

 (1) ,
.
, (2) , (1)
.
, g, pi
xi . ,
g , .
. (, g()).
{(x, y) : y = g(x)}, (E, Eg()) , , ,
. Eg() g(E).
. ln
:

 


p+ (xi )
p+ (xi )
< ln E
=
E ln
p (xi )
p (xi )

Z
Z
p+ (x)
p (x)dx = ln p+ (x)dx = ln 1 = 0.
= ln
p (x)
R
R


p+ (xi )
E ln
.
p (xi )


p+ (xi )
, E ln
. 1) ,
p (xi )





p+ (x)
< + = 1.
P x : < ln
p (x)
.

:
= + + , + = max{, 0}, = min{, 0}.
, E + < , E > .
: E + < , E , , E =
, E > , E + , , E = . E
, . (,



p+ (x)
.) , E ln
,
p (x)
+
 
p+ (x)
E ln
< .
(3)
p (x)
, ,
Cn % , Dn & ,


Z
p+ (x)
limn sup
ln
p (x)dx < .
(4)
p (x)
"
#
p+ (x) <C
Dn <ln
n
p (x)
( (4), (3) . , D < 0,


Z
p+ (x)

ln
p (x)dx
p (x)
"
#
p+ (x) <0
D<ln
p (x)
126

 |D|,
( , |D|). ,
(3) ,


Z
p+ (x)
lim
ln
p (x)dx = .
C
p (x)
#
"
p+ (x) <C
0<ln
p (x)
Dn &
Cn % ,




Z
Z
p+ (x)
p+ (x)

p (x)dx <
p (x)dx + n
ln
ln
p (x)
p (x)
"
#
"
#
p+ (x) <0
p+ (x) <C
Dn <ln
0<ln
p (x)
p (x)
(4) .) Cn % , Dn &





p+ (x)
An = x : Dn < ln
< Cn .
p (x)
An p p+ ,
.
Z
Z
p (x)dx = 1 n , p+ (x)dx = 1 n ,
An

An

, An :
p (x) =

p (x)
p+ (x)
, p+ (x) =
.
1 n
1 n

, n 0, n 0. , ,


Z
p+ (x)
p (x)dx =
n 0.
ln
p (x)
An

Z
n =

ln

p+ (x)
p (x)


p (x)dx =

An

Z
=

ln

(1 n )
p+ (x)
(1 n )
p (x)


(1 n )
p (x)dx =

An

Z 


[ln(1 n ) ln(1 n )] + ln

p+ (x)
p (x)


(1 n )
p (x)dx =

An

Z
=
n (1 n ) + [ln(1 n ) ln(1 n )]

p (x)dx.

An

, n +,
n , (1n ) ,
0, 1.
127

 , , n
n , ( n ). , n = n + n ,
n,
n < 0, n , (
n ) ( N ).
, ( , ).
1
limn sup

1 + ... + n
1 + ... + n
lim
N.
n
n
n

N . , 1 i .
. . , , . x

m. , x
m,
. x
.
, .
,
P{m = x
} = 0

P{m (
x , x
)} 1.
n m (
x , x
) ,
1. .
. ? ,
. ?
.
. , , m. ,
m , 1) . , 2)
.
9.
,
.
.
.
2 .
.
19.
, ,
, . , ,
, , , ,
= 0 ( ).
,
, .
128

1. . ( {P }, )

(1 (x1 , x2 , . . . , xn ), 2 (x1 , x2 , . . . , xn )),
1 2 ,
(n)
inf P {(xi ) : (1 (x1 , x2 , . . . , xn ), 2 (x1 , x2 , . . . , xn ))} ,

()

- (, 1),
.
1. ,
- =

.
2.
(1 , 2 ),
(n)
P {(xi ) : (1 (x1 , x2 , . . . , xn ), 2 (x1 , x2 , . . . , xn ))} = ,

()

3.
T Rn ,
T , ( , , ) . ,
f (T, ) . , f (T, ) Q,
: a1 a2 ,
(n)

P {(xi ) : a1 < f (T, ) < a2 } = Q{x : a1 < x < a2 } = ,

a1 < f (T, ) < a2 . , f (T, ),
. ,
N (m, ) f (T, ) ,
2 . , f (T, )
xi m
, , .
2. .
,

2 !
1
1 xm
pm, (x) =
exp
, x R, m R, 0,
2

(2)1/2
n-

n
2 !

n 
1 X xi m
1
(n)
pm, (x1 , x2 , . . . , xn ) =
exp
, xi R,
2 i=1

(2)1/2
m , .
. , , , , m , . , :

129

 ( , , m),
, , , , . ,
: 1) , 2)
, 3) , 4)
.,
1. 2 .
xi N (m, 0 ) , x1 + x2 + . . . + xn
N (nm, n1/2 0 ) (. ), x
N (m, n1/2 0 ), n1/2 (
x
m)/0 N (0, 1). m = 0.9. ,
= n1/2 (
x m)/0 , N (0, 1),
P{|| } = 0, 9.
, P{ > t} = P{ < t} t,
(
) ,
Z
1
1
exp( x2 )dx = 0, 95,
( ) =
1/2
2
(2)

Z
1
1
P{|| } =
exp( x2 )dx = 0, 9.
1/2
2
(2)

, = 1.65. ,
P{|n1/2 (
x m)/0 | 1.65} = 0.9.
m, m: m
(
x (0 /n1/2 )1.65, x
+ (0 /n1/2 )1.65).
1. ,
+ . (, x
+ (0 /n1/2 )1.65)
0.9, 0, 95.
2. . , 0 , .
. 0 = 20,
30 ( = 15), ,
= 0.9.
. n:
20n1/2 1.65 15, n1/2 2.2, n 4.84.
, 5- 0,84
( 0,16), .
2. 2 m0 .
n
1 P (x m )2 ( ).
2
Sm
= n
i
0
0
i=1

2
Sm
, , 0
, 2n . ,

130

,
T (x1 , x2 , . . . , xn ) =

2
nSm
0
2

2n . , 2n 12 +22 +. . .+n2 , 1 , 2 , . . . , n
N (0, 1) . :
n

2
X
nSm
0
=
(xi m0 )2 / 2
2

i=1

2 , i = (xi m0 )/.
2n , 2 . (, ) (
), (0, ) (
- , ), (, ) (
).
. , , :
> 0,

 2
nSm0
< = .
P
2

 2
nSm0
,
,


P

2
nSm
0
< 2


= .

3. 1,
x
. .
, 1.
n 2n .
2 n
n2n n . (!)
N (0, 1).
3. 2 .
xi
2
m0 , Sm

0
n

S2 =

1 X
(xi x
)2 .
n 1 i=1

.
n

(n 1)

X
S2
=
(xi x
)2 / 2
2
i=1

2n1 .
. (1) 2,
:
1. (1 , 2 , . . . , n ) (.. 1 , 2 , . . . , n N (0, 1), ). U
131

 , U = [uij ], i, j n, , (i )

X
i =
uij j , i n.
i=1

(1 , 2 , . . . , n ) n- .
m 1 + 2 + . . . + n .
. i = xi
,=
n
T (x1 , x2 , . . . , xn ) =

n
X

(xi x
)2 / 2 =

i=1

n
X
[(xi m) (
x m)]2 / 2 =
i=1

n
X

2=
(i )

i=1

n
X

i2 n2 .

i=1

U , U

1/ n 1/ n

.
U =

1- , - ,
, U (, . , ,
, ).
1 = n1/2 (1 + +n ). n
n
P 2
P
P
,
n2 =
2 2 =
2 , ..
i=1

i=1

i=2

2n1 .
4. .
1 ,
n1/2 (
x m)/ N (0, 1). ,
, .

Tm (x1 , x2 , . . . , xn ) = n1/2 (
x m)/S,
S 2 . ,
Tm , m, Tm
m. :
(x1 m) + (x2 m) + . . . + (xn m)
Tm

x
m
= n1/2
=
S

n1/2
1
n

n
X

!1/2

(xi x
)

i=1

1
= n

1/2


x1 m + x2 m + . . . + xn m

.
2 !1/2
n 
X
m
xi m) x
1

i=1

m
i = xi
, i N (0, 1),
n1/2 (1 + + n )
Tm = 
1/2 .
n
P
1
2

(i )
n
i=1

132

 3 (x1 , x2 , . . . , xn ),
,
n

n1/2 (1 + ... + n ) = 1 ,

1X
2 = 2 + . . . + 2 .
(i )
2
n
n i=1

,
1

Tm =
1
n

n
X

!1/2
i2

i=2

n 1,
|Tm | < , P{|Tm | < } =
.
4. n .
5. , , , 2 3, . . x

. , .
n

1X
s =
(xi m)2 (
x m)2 .
n i=1
2

2 ,
,
.
6. ,

, ,
. , ,
T . ,
t1 () t2 () ,
(n)

P {t1 () < T < t2 ()} = .

()

( t1 () t2 () ,
T .)
T
, (*). , (*) . ,
( ),
,
.

. , m (*) .
3. .
. , , , ,
.
133

,
tn = p

12

+ ... +

n2

=q

1 2
n n

i n+1 N (0, 1) . ,
tn . n = 1 tn

||
, N (0, 1). , ,
P{ = 1} = P{ = 1} = 1/2,
,
P{ [x, x]} = 2P{ [0, x]} = P{ [x, x]}.
P{[x, x]} = 2P{[0, x]} . (, N (0, 1)) F (x) x > 0.
, ,
. (!)
L L L
=
=
= ,
||
||
||

. ,
,
. :
x
n
1

e 2 x 2 1 I(0,) (x),
2n/2 n2


n n/2
nx
n
p n1 2n (x) = 2 n
e 2 x 2 1 I(0,) (x),
2


n n/2
nx2
p 1 2 (x) = 2 2 n
e 2 xn1 I(0,) (x),
n n
2

p2n (x) =

tn :
Z

Ftn (x) =

p (u)p 1 2 (v)dudv =
n

n
1 2
1
e 2 u 2 2

u/vx,v0

n/2
nv 2

e 2 v n1 dudv =
n

u/vx,v0

y = u/v, z = v,
Z

n
1
2 2
2

yx,z0

(u,v)
(x,y)

= z:

n/2
2
1 2

z n e 2 z (n+y ) dydz =
n
2

(w = 12 z 2 (n + y 2 ))
Z

=
yx,w0

n+1
1 nn/2 w n1

e w 2 (n + y 2 ) 2 dydw =

n
2

20. .
134

Z
yx

1 n+1
2

n n2



y2
1+
n

 n+1
2
dy.

 , .
. T = T (x1 , ..., xn )
(n)
(n)
P , , ( ) p (x1 , ..., xn |T = t)
(n)
( ) P {x1 , ..., xn |T = t} .
: ,
.
1. , T .
. ( ) pn
(n)
p (x1 , ..., xn ) = g (T (x1 , ..., xn ))h(x1 , ..., xn ),
(n)

( ) P {x1 , ..., xn }
(n)
P {x1 , ..., xn } = g (T (x1 , ..., xn ))h(x1 , ..., xn ),
g (t) , h(x1 , ..., xn ) , T
.
, .
:
(n)

(n)

P {x1 , ..., xn |T = t} =

P {{x1 , ..., xn } {T = t}}

(n)

P {T = t}

, T (x1 , ..., xn ) 6= t,
(n)

P {{x1 , ..., xn } = g (t)h(x1 , ..., xn ),

T (x1 , ..., xn ) = t. :
X
X
(n)
(n)
P {T = t} =
P {x1 , ..., xn } =
g (t)h(x1 , ..., xn ).
T (xi )=t

T (xi )=t

h(x1 , ..., xn )
X
,
h(x1 , ..., xn )
T (xi )=t

.
2. (
) ,
(x1 , ..., xn ) T (x1 , ..., xn ) . , n + d- , d T ,
{(x1 , ..., xn , t) : t = T (x1 , ..., xn )}.
1.
n
2 !

n 
1 X (xi m)
1
(n)

pm, (x1 , x2 , . . . , xn ) =
exp
=
2 i=1

n
n
X
X
2
2
xi 2m
xi + nm

n

1 i=1

1
i=1
.

exp
=

2
2

135

 ,
!
n
n
X
X
2
T (x1 , ..., xn ) =
xi ,
xi ,
i=1

i=1

, , T (
x, s2 ).
2. .. . [0, ], > 0 .

 n
1
(n)
I[0,] (x1 ) I[0,] (xn ).
p (x1 , x2 , . . . , xn ) =

T (x1 , ..., xn ) = max xi .
in

, T ,
(n)
p (x1 , x2 , . . . , xn )


=

n
,

T > ,
(n)

p (x1 , x2 , . . . , xn ) = 0.
, h
, , 1. :
3.
k1 +k2 +kn n
(n)
P (k1 , k2 , . . . , kn ) ==
e
.
k1 !k2 ! kn !
T (k1 , k2 , . . . , kn ) = k1 + k2 + . . . + kn ,
h(k1 , k2 , . . . , kn ) =

1
.
k1 !k2 ! kn !

21.
: H0 P0
p0 , H1 P1 p1 .
(x1 , . . . , xn )(xi P0 P1 )
H0 H1 .
, Rn = 0 + 1 (Rn
), H0 , 0 ,
H1 , 1 . 0 + 1 ,
. ,
P{ H1 , H0 } =
(n)
, = P0 1 ,
P{ H0 , H1 } =
(n)
, = P1 0 .
H0 H1 , H0 , H1 , (..

136

H0 ), ( H0 ). 0 +1
.
.
(
)
(n)
p0 (x1 , . . . , xn )
P0 (xi ) : (n)
= C = 0,
(0)
p1 (x1 , . . . , xn )
C
Z
Z
(n)

p0 (x1 , . . . , xn )dx1 . . . dxn = = P{H1 |H0 },

1

)
(
(n)
p0 (x1 , . . . , xn )
> C , 1 = Rn \0 .
0 = (xi ) : (n)
p1 (x1 , . . . , xn )

()

. (*) Rn = 00 + 01 ,
R
R (n)
p0 (x1 , . . . , xn )dx1 . . . dxn = . :
01

(n)

(n)

(n)

(n)

(n)

(n)

1 = P0 0 = P0 (0 00 ) + P0 (0 \00 ) = P0 00 = P0 (0 00 ) + P0 (00 \0 ).

(n)

(n)

P0 (0 \00 ) = P0 (00 \0 ).
:
0 \ 00 = 01 \ 1 ,
00 \ 0 = 1 \ 01 .
:
(n)

(n)

(n)

P1 0 = P1 (0 00 ) + P1 (0 \00 ) =
Z
Z
(n)
(n)
= P1 (0 00 ) +

p1 dx1 . . . dxn =
0 \00
(n)

= P1 (0 00 ) +

(n)

p1

(n)
p dx1
(n) 0

p0

0 \00

(n)
P1 (0

00 )

1 (n)
p dx1 . . . dxn =
C 0

. . . dxn

0 \00
(n)

= P1 (0 00 ) +

1 (n)
p dx1 . . . dxn
C 0

00 \0

(n)

P1 (0

00 ) +

00 \0

137

(n)

p1

(n)
p dx1
(n) 0
p0

(n)

. . . dxn = P1 00 ,

 ( , ) (. ).
, (0) 0,
.
. ,
(0), H0
H1 . ,
.
.
??
22. .
. ,
( ) ( ) ( ).
, . , x1 , . . . , xn , ,

P0 . Rn , , , (.. (x1 , . . . , xn )) (, ,
).
( 0.001, 0.01,
0.05, 0.1), . ,
P0 ,
, , , , ,
( ) , ,
, .
(n)
. = P0 ().
1. .
( !).
(, 10000 ), ,
, .. . ( 1/125 ).
. 1 = { > 1},
,
(n)
P0 { > 1 } = 1/125.
= { < },

(n)
P
= 1/125.
0

: # = {| 1/2| > },
(n)
, P0 # 1/125.
0 = { = 1/2},
(n)
P0 0 1/125.
0 , 0 , , ,
: = 1/2. , ,
, P0
( Pp , Pp {0} = p, Pp {1} = 1 p. :
(p) = Pp c ,
138


c,
(p)
= Pp
# (p) = Pp #c ,
0 (p) = Pp 0c .
, , (p)
.
{Pp }.
{Pp : p > 1/2}, , , ,
{Pp : p 6= 1/2},
{Pp : p < 1/2}, ,
( ).
0 ( ).
. 1000 , 550 .
p = 1/2? = {k 550}, k
1000 ,
= P() =

1000
X

k
C1000
pk (1

1000k

p)

1000
X
550

550

k
C1000

 1000
1
.
2

, . .
, k ,
N (0, 1) .
k .
Ek = 1000
,

1
1
= 500, Dk = 1000 = 250.
2
4

P{k 550} (50/ 250) (3.164) 0.001.

.
, . ,
.
.
= {T > t},
T (
).
T ( ) ,
. 0 1,
0.01, 0.05 0.1. .
, ,
(. ). ,
T , T,
T ,
P{T > T}.
2. .
(x1 , ..., xn ) (y1 , ..., yk ). ,
, ,
. , , x

y, x
> y. , ,

139

 ,
.
.
.
,
(x1 , ..., xn ).
.
(y1 , ..., yk ). , x
y = > 0. , , ?
, . , : P{
x y },
,
, x
y ?
, , x
y ,
mx = Exi > my = Eyi .
, P{
x y > }, ,
m = mx = my , 2 = Dxi = Dyi , xi , yj
m, .
P{
x y > } , ,
, mx > my . ( ).
, , -, xi yj .
mx > my .
,
. ,

x
y
>

.
C(n, k) qP
Pk
n

2+
2
(x

)
(y

)
i
j
i=1
j=1
, C(m, k)
C(n, k) qP

n
i=1 (xi

x
y
Pk
x
)2 + j=1 (yj y)2

n + k 2,

,
tn+k2 = v
u
n+k2
u
X
1
t
2
n + k 2 i=1 i
, m , tn+k2 .
, .
C(n, k) qP

n
i=1 (xi

x
y
=
Pk
x
)2 + j=1 (yj y)2

x
m y m

C(n, k) v
=
u n 

2
k
2
X  [yj m] [
uX [xi m] [
x

m]
y

m]
t
+

i=1
j=1
140

 N (0, 1):
i =

xi m
yj m
, j =
,

1 + ... + n
1 + ... + k
=
, =
.
n
k
:
= C(n, k) qP

=
n
2 + Pk [j ]2
[

]
i
i=1
j=1

.
n
2
2 Pk 2 k 2
i=1 i n +
j=1 j

= C(n, k) qP

,




y1 +...+y
k

,
k

1 =

x1 +...+x
n

,
n

(1 , ..., n , 1 , ..., k )


1 + ... + n
1 + ... + k

, 2 =
, 3 , ..., n+k .
n
k

. 1 2 ,
n
k
qP

n+k 2
2
2

n + k 2,
i=1 i 1 2 . C(n, k)
q
nk
1/n + 1/k,
.
n+k
. . ?, ?
, , .
. ,
, , ,
. .
, , .
.
, . ,
0.01, 0.03.
.
. ,
, .

. x
s2 .
2. 2 .
2
P(A1 ) = p1 , ..., P(Ar ) = pr = A1 + ... + Ar .
n , ni Ai (n1 +...+nr = n).
, n

141

2
r 
X
nj npj
T =

npj
j=1

, 2r1 .

2
r 

X
nj npj
> ,
()
= T =

npj
j=1

2r1 .
. 2 , pi s 1 , ..., s . i , T (
). (, . 30, , 3),
T T 2rs1 .
2 .
2 . , (*)
, . ,
(*) . (. ),
n .

(*) 2rs1 . 2 ,
.
2 .



nj npj
.
(j ) =

npj
,

E

nj npj

npj


=0

j. n i n

1 pj
(i)
j =
0 1 pj
,
(i) (i)

j k = 0 j 6= k.
nj
X (i)
nj =
j ,
i

j
(i)
n
X
j pj

pj
i=1

.
j =
n

142


, (j ) n n
(i)
j p j

. pj
(j ) . , , ,
(i)
pj
, i , , i = 1. j
pj
(1) (1)
, [jk ]nj,k=1 . k = j j k
1,
(1)
(j )2 p2j
pj p2j
=
= 1 pj .
jj = E
pj
pj
(1) (1)

k 6= j j k

0,
(1) (1)

jk = E

j k p j p k

= pj pk .

pj pk

: (j ) ,
.
r
P

j2 . , j=1

, . ,
(j ) N (0, 1), ..
,
(j ), (j ).
j

j = j pj ( p1 1 + p2 2 + ... + pr r ) .
, E

p1 1 + ... +

p r r

2

= p1 + ... + pr = 1. :

2
Ej2 = Ej2 2Ej pj ( p1 1 + ... + pr r ) + Epj ( p1 1 + ... + pr r ) =
= 1 2pj + pj = 1 pj .

Ej k = Ej k Ej pk ( p1 1 + ... + pr r )

2
Ek pj ( p1 1 + ... + pr r ) + E pj pk ( p1 1 + ... + pr r ) =

= 0 pk pj pj pk + pj pk = pj pk .

r
P
j=1

j2 ,

(n ) = U (n ), n
N (0, 1),

1 = p1 1 + ... + pr r .
,
r
X

j2 =

j=1

r
X
j=1

j2 2

r
X

j pj ( p1 1 + p2 2 + ... + pr r ) +

j=1

143

2
2
+ ( p1 1 + ... + pr r ) =
j2 ( p1 1 + ... + pr r ) =
j=1

r
X

j2 12 =

j=1

r
X

j2 .

j=2

23.
, .
.
1. .
, {x1 , ..., xn }
F , F .

T = n sup |F (x) F (x)| ,

x

F . {T > },
. , : x > 0
P{T < x} K(x) = 1 + 2

(1)k e2k

x2

k=1

, . , T
F . , F (x) = x
(0 < x < 1), [0, 1]. ,
P{F (xi ) < x} = P{xi < F 1 (x)} = F (F 1 (x)) = x.
, x F (x)
xi ( F (xi )). ,
T.
.
. , ,
.
,
x x, ,
.
, .

: x [0, 1] n {F (x) F (x)}

( ) w(x), w(x) xw(1), x = 1
0. , [0, 1], ,
F (1) F (1) = 0.
2. 2 - -.
3.
{x1 , x2 , ..., xn }, {y1 , y2 , ..., yk }. , .. ,
.
144

 .
.

T =



n sup F,x (u) F,y (u) ,
u

F,x , F,y , {x1 , x2 , ..., xn } {y1 , y2 , ..., yk }. {|T | > },

.
2

T =

r
r
X
(nj npj )2 X (kj kpj )2
+
.
npj
kpj
j=1
j=1

(1)

r Aj , nj xi Aj , kj yi Aj , pj Aj ,
p1 +...+pr = 1. ,
Aj . pj ( r 1) 2 , (1)
.
(.. ). ,

2 = nk

r
X
j=1

1
nj + kj

kj
nj

n
k

2
.

, r 1, , ,
i +ki
pi = nn+k
. 2s ,
2r 2 (r 1) = r P
1. ( ,

P 2r 2
2
:
n
=
n,
k
=
k.)
,

{
>
},
i i
i i
2r1 .

{x1 , x2 , ..., xn }, {y1 , y2 , ..., yk } .
, {x1 , ..., xn } {x1 , ..., xn } , .
n + k , . n + k
x y. x
. .
, x y .

xi xi {x1 , x2 , ..., xn }.
{x1 , x2 , ..., xn } {y1 , y2 , ..., yk }
Xi xi .
T = X1 + ... + Xn




n(n + k + 1) 
T
> .
2
24.

145

1. , .
(x1 , y1 ), (x2 , y2 ), ..., (xn , yn ), xi N (mx , x ), . yi
N (my , y ), x- y- , .
x y ( ):
Pn
xy
i=1 xi yi n
pPn
.
r = pPn
2
2
2
x
y2
i=1 xi n
i=1 yi n
, r , (xi )
(yi ) , .

2
r= v
,
u n
uX
t
2

(2)

i=2

i N (0, 1). , ,

(2)
r
tn2 = n 2 1r
. , tn2
2
{|tn2 | > } r, {|r| > 1 }.
(2)
.
mx = yi my
i) i = xi
i
x
y
n
X

i i n

i=1

v
r= v
.
u n
u n
uX
uX
t
2 n2 t
2 n
2
i

(3)

i=1

i=1

, r mx , my , x , y . (3).

U , 1/ n, ..., 1/ n.

-
= (1 , ..., n ) (
0 -), = (1 , ..., n ),

= (1 , ...,n ),
= (1 , ..., n ),
= U, =
U . :

n = 1 , n
= 1 .
n
X

n
X

0
i i = 0 = U (
U) =
0 =
i i .

i=1

i=1

n
X

i i n =

i=1

n
X

i i .

i=2

( ), :
n
X

i i

i=2

v
r= v
.
u n
u n
uX uX
t
2 t
2
i

i=2

146

i=2

(4)

ii) (4) (2). ,

pr (u) = p

2
Pn

i=2

(u).

(5)

i2

(
)
Z
pr (u) =
pr (u|2 = v2 , ..., n = vn )p2 ,...,n (v2 , ..., vn )dv2 ...dvn .
(6)
Rn1

, pr (u|2 = v2 , ..., n = vn ) . 2 , ..., n v2 ,...,vn

n
n
X
X
vi i
i i
i=2
r(v2 , ..., vn ) = v i=2 v
=s
,
u n
u n
n
P
uX uX
2
i
t
vi2 t
i2
i=2

i=2

i=2

n
X
vi
,
2i = 1.
i = v
u n
uX
i=2
t
v2
i

i=2

,
pr (u|2 = v2 , ..., n = vn ) = pr(v2 ,...,vn ) (u).
pr(v2 ,...,vn ) (u),
U (i ) = (2 ) , (, 2) u
(i ). r(v2 , ..., vn )
2
r(v2 , ..., vn ) = v
.
u n
uX
t
2
i

i=2

, (v2 , ..., vn ).
(6) p 2
(u),
Pn

i=2

i2

(!) 1. (5).
iii)

r
2
n 2
=r
= tn2 .
(7)
Pn
2
1
1r
2
n 2 i=3 i
. ,

P{|tn2 | > } = ,
. (7)
r, ,
|tn2 | = |r| = .
r
|r| > .
147

. . , ,
, , 500 ( ).
, . ,
500 0.05, 500 .
? , . , 25
.
,
: , , . ,
, , .
. ,
.
, .
2. , 2 .
, xx y 2 .
x s , = A1 + ... + As ,
y t , = B1 + ... + Bs . :
njk (x, y) Aj Bk ,
X
X
X
njk = n,
njk = nj ,
njk = nk .
j,k

pj = P(Aj ), pk = P(Bk ).
j k 1, t +
s 2. P(Aj Bk ) = pj pk .
2 : pj = nj /n, pk = nk /n. ,

T =

X (njk nj nk /n)2
j,k

nj nk /n

2stst+1 .
3. , (
), , .
, , 5 4, 4 3, 5 4 5/4 , 4 3 4/3. (,
, ,
). ,
x1 ,...,xn x
1 ,...,
xn {1, 2, ..., n} : xi < xj x
i < x
j
( , xi ).
y1 ,...,yn y1 ,...,
yn {1, 2, ..., n}. , 1 xi
yj , n xi
yj . , (
x1 , y1 ), ..., (
xn , yn ).
x- y-. r (
x1 , y1 ), ..., (
xn , yn ). |
r| ,
, .
, . ,
(
x1 , y1 ), ..., (
xn , yn ) ,
148



1 2
{1, 2, ..., n}, n!
.
|
r[(
x1 , y1 ), ..., (
xn , yn )]|. P{
r > r0 }? ( ) r n
. n! . .
( r0 ). r, ,
r > r0 . , n!2 , n!. .
[(1, y1 ), (2, y2 ), ..., (n, yn )]
. , ,
{1, 2, ..., n}.
. M. Kendall. Rank Correlation Methods (. .
. . . 1975) n = 10,
, .
,
93
91
} 0.104, P{|
r|
} 0.096,
P{|
r|
165
165
105
107
P{|
r|
} 0.054, P{|
r|
} 0.048,
165
165
, .
. ,
,
( , 0.1 0.05).
4. .
r > 2

2
n
r
X
X
12
r(n
+
1)

,
Ri (j)
r2 (n3 n) i=1 j=1
2
Ri (j) i- j- , r , n
.
5. .
, (x1 , ..., xn ), , , 2 .
r , m 2 2 .
. , N (0, 1), E 3 = 0. .

n
1X
[xi x
]3
n i=1
A=
!3/2 .
n
1X
[xi x
]2
n i=1
, , m . A , ,

149

 {|A| > }. ,
E( E)4
3. 
2 3
E( E)2
. .
6. . .
(xi )ni=1 (yj )kj=1
,
.
=

1 2
n n,x
1 2 ,
k k,y

2n,x =

(xi x
)2 , 2k,y =

X
(yj y)2 ,

, 1 ( n, k ),
, 1,
. = nk ,
.
Fn,k . : y = u/v, z = v. :
Z
Z
p2n (u)p2k (v)dudv =
Fn,k (x) =
u/vx,u0,v0

n
2

2n/2
u/vx,u0,v0

1
2n/2

=
0yx,z0

Zx
0

n
2

e

=
2

n+k
2

n
2

yz
2

k
2

(yz) 2 1

Zx
=

e 2 u 2 1 I(0,) (u) e 2 v 2 1 I(0,) (v)dudv =

y 2 1 dy

2k/2

e (

y+1
2

k
2

e 2 z 2 1 dydz =

)z z n+k
2 1 dz =

0
n

n+k

2
n2

k
2

y 2 1
(y + 1)

n+k
2

dy.

.
25.
, n, . :
H0 , , P0
p0 (x), H1 , ,
P1 p1 (x). n (x1 , ..., xn ) (n)
(n)
p0 /p1 = p0 (x1 ) p0 (xn )/p1 (x1 ) p1 (xn ) .
(n)
(n)
(n)
(n)
p0 /p1 > C0 , H0 , p0 /p1 < C1 ,
150

(n)

(n)

H1 , C1 p0 /p1 C0 , .
0 C1 . ,
0 C1 P0 P1 ( ,
).
0 1 n:
X (n)
X (n)
0 =
0 , 1 =
1 ,
n

(n)
0

(n)

, H0 n- , 1
H1 n- .
X
X
(n)
(n)
=
P0 (1 ), =
P1 (0 ).
n

, -

n:
Z
Z
(n)
(n)
(n)
(n)
P0 (0 ) =
p0
C0 p1 = C0 P1 (0 )
(n)

(n)

0
(n)

P1 (1 ) =

(n)

p1
(n)

1
1 (n)
(n)
p0 =
P0 (1 ).
C1
C1

(n)

,
1 = P0 (0 ) C0 P1 (0 ) = C0 , 1 = P1 (1 )
,
C0

1
1
P0 (1 ) =
.
C1
C1

1
, C1
.

26.
1. . H0 ( P0 ) P1 = {P1, } , ,
i) ,
ii) 0
= P 0 = P0 0 ,

() = P1, P1, 0 .
.
, , P1, ,
. ,
( ).
1. H0 N (m0 , 0 ).
N (m, 0 ), m > m0 .
= {
x > C} .

151

. , m > m0 , (m)

)
(
p(n)
m0 ,0 (x1 , ...xn )
< C(m) =
=
(n)
pm,
(x1 , ...xn )
0


n

n
P

xi m 0
0

2

< C(m) =

e 2 i=1
0 2


=
n
n 1 P

xi m 2

e 2 i=1

0 2
)
( n 
2
n 
X xi m0 2 X
xi m
+
< 2 ln C(m) =

0
0
i=1
i=1
( n
)
n
X
X
2
2
2
2
xi m0 2
xi m < 20 ln C(m) + nm0 nm .
i=1

i=1

2(m0 m)n C,
. , C ( m0 0 ),
m. ,
P(n)
x > C} = .
m0 ,0 {
2. H0 N (m0 , 0 ).
N (m, 0 ), m 6= m0 . ,
= {
x > C} m > m0 , =
{
x < C} m < m0 . , ,
(m) m > m0 m < m0 , .
. ,
C,
.
2. . .
, ,
. , , . , ,
, . ,
, , . ,
( !) . ,
, .
, , ,
, .
3. .

p, (x, y)
.
p (x, y)dx
,

p (x| = y) = R

152

 ,
(, {x = x0 }) , .
f (, ) :
Z
pf (,y) (x)p (y)dy.
(3)
pf (,) (x) =

, f (, ). ,
Z
P{f (, ) B} =
pf (,) (x)dx.
B

pf (,) (3)
:
Z
Z
Z
Z
dx
pf (,y) (x))dy =
p (y)dy
pf (,y) (x)dx =
B

Z
p (y)dy

pf (,y) (x)dx
B

-. . m ?
.
27. ()
- , .
, , [11], [32] .
n r- . (n)
(n)
(1)
(1)
(x1 , ...xr ),..., (x1 , ...xr ).
. , n r,
xi , n- ,
. , n r.
.
1. .

, x1 , f (x2 , ..., xr ) P
. , , (x1 f (x2 , ..., xr ))2 ,
. , , x1 ,
( , ).
f (1 , ..., r ) .
f , E( f (1 , ..., r ))2 . E(|1 , ..., r ).
. , , (x2 , ..., xr )
(x1 , x2 , ..., xr ) f (x2 , ..., xr ) = x1 . ,
, . f .
153

 , ,
. , f
l(x2 , ..., xr ) = a2 x2 + ... + ar xr + b,

a2

n
P

(i)

(i)

(i)

(i)

(i)

(i)

(x1 [a2 x2 + ... + ar xr + b])2 = 0,

i=1

ar

n
P

(x1 [a2 x2 + ... + ar xr + b])2 = 0,

i=1

n
P

(i)

(i)

(i)

(x1 [a2 x2 + ... + ar xr + b])2 = 0.

i=1

f . , , y (i) f x(i) , 2
n 
P
(i)
f (x) = eax+b
y (i) eax +b .
i=1

y, . , , f
a sin(x + b) + c.
. ,
, -, ( ). , -,
, , .
, x(ti ), y(ti ), z(ti )
xi , yi , zi ,
. -, , .
, ,
,
.
2. .
(
) 2 ,
. , (1)
(n)
(n)
(1)
. , (x1 , ...xr ),..., (x1 , ...xr ) n () r-
() [rij ]i,jr ( ). , Rr

n
X
A ([xi ]ir , [yi ]ir ) =
rij xi yj .
i,j=1

i- ei = [0, ..., 0, 1, 0...] (1 i- ,

0), : rij = A(ei , ej ). , P L x P x L,
A(x P x, y) = 0 y L. ,
y L. ()

154

 e1 e2 ( ei , ej ). e1 e2 e1 e2 , e3 , ..., er . 1 2
r1234...r . :
r1234...r :=

A(e1 e1 , e2 e2 )
.
A(e1 e1 , e1 e1 )1/2 A(e2 e2 , e2 e2 )1/2

1 2 ,
, . , x y z, .
.
. , r1234...r r12 . ,
. , N (0, 1).
x1 = + , x2 = , x3 = .
12 = 0, 123 = 1.
. P e1 e1 L, e2 , ..., er .
e1 e2 , ..., er
r1(2...r) :=

A(e1 , P e1 )
.
A(e1 , e1 )1/2 A(P e1 , P e1 )1/2
()

. , xk (i n) , n
1/n, . ()
, x1
()
()
()
()
()
()
l(x2 , ..., xr ) x2 ,...,xr x1 x2
()
()
()
()
()
()
l1 (x3 , ..., xr ) l2 (x3 , ..., xr ) x3 ,...,xr .
r1234...r ()
()
()
()
()
()
x1 l1 (x3 , ..., xr ) x2 l2 (x3 , ..., xr ), r1(2...r)
()

()

()

x1 l(x2 , ..., xr ).
3.
. , , . ,
(xi )ir :
xi =

d
X

lij zj + ei ,

j=1

d < r (d ), zj , , 1, ei ,
zj , .
lij . , zj xi , . , ,
.
, n (xi ), lij
155

 ei , ( )
. lij ei . , [lij ] , .
( )
, , , , , , , ,
. . (. [32]). .
- . ,
.
4. .
.
,
(, , , .. ).
. , , , . ,
.
,
(, ). .
,
. .

156

 5.

,
(, A, P) (t ), t 0, t R, t T R
( ), (n ), n {0} N n Z ( ). (,
). ,
,
.

:
i) m (t) = Et , t T ;
ii) r (t, s) = E (t Et ) (s Es ), t, s T .
iii) Pt1 tn , {t1 , ..., tn }
T ;
, ,
, . , ,
. ,
.
, , ,
. , ,
.
: , ( ), , .
, , , , , , .
, ,
, . . . , , .
, .
, .

.
.
1. Pt s ,
t ,
t () = I[0,t] (), t [0, 1], [0, 1],
[0, 1] -
P, , T = [0, 1].
28. .

157


A ,
.
A = A1 + A2 + . . . An

A = A1 A2
, Ai .
= 1 2 , = (1 , 2 ), 1 k
, 2 k + 1 n. ,
, A = A1 A2 , A1 k , A2
k + 1 n. , |A| = |A1 | |A2 |.
1. .
, , % &. ,
.
0 0 , (0, 0) . ,
n, || = 2n .
2n . . ,
, , [0, 1]. ,
n n .
, , .
An,k , , (n, k). An,k =
{n = k}. P(An,k ), |An,k |/2n . , nk
k
(n, k) n +
2 % 2
&. n+k
nk
k
nk
2
, n +
= Cn 2 .
2 2 . Cn
(n, k) n k .
2. .
.
0, r.
. , n
. , .
r .
21 . , . n
. , ?
, .
:
A = {, , r}

A=

An,k +

kr

X
k<r

158

AAn,k .

 k < r:
Bn,k = ABn,k = {, ,
(n, k), r}.
2. . |Bn,k | = |An,2rk |.
-
Bn,k An,2rk . :
r Bn,k , y = r.
P(A):
)
(
n+r
X
X
X n+k
2n .
P(A) =
P(An,k ) +
P(Bn,k ) = 2
Cn 2 + Cn 2
kr

k<r

k>r

3. . .
. , A B
C,
P(AB|C) = P(A|C)P(B|C).
t : s < t < u
P({u = x, s = y}|t = z) = P(u = x|t = z)P(s = y|t = z).
u , t , s ,
, ,
. {u A},
{s C}, {t B}. , B = R, {t R}
.
, .
,
n+k

P({n = k} =

Cn 2
2n

6= 0

n k.
. . ,
{n m = i} {k l = j} l < k m < n.
.
, P{u = x}
t, .
. ,
.
(. 4.7). , , .
C = { & % s t }.
D = { & % m n }.
P(C) = 2(ts) , P(D) = 2(nm) , P(CD) = 2[(ts)+(nm)] .

159

 n m m < n, . ,
, {10 = 6} {11 = 9}. ,
. , .

p (. . n t > p s p
Ap,r = {p = r}). .

P(CD|Ap,r ) = P(C|Ap,r )P(D|Ap,r )

(1)

C,
s p D,
t : n t > p. , (1)
C = Ci D = Dj i j, Ci
i, Dj j,
(1) C = C1 +C2 +...+Ck D = D1 +D2 +...+Dl .
, C D
Ci Dj .
.
Ci , s : s p ,
s p 1 (. .
1 (s) s p).
Dj , t : n t > p ,
n t > p 2 (. .
2 (t) n t > p).
. 1 (p, r),
2 p r.
Ci Dj Ap,r P(Ci |Ap,r ) = 0, P(Dj |Ap,r ) = 0
(1) , . 0.
p r.
Ci Ap,r , Dj Ap,r 6= . Ci Ap,r
Dj Ap,r . |Ap,r |.
p+r

(0, 0) (p, r) , Cp 2 .
p + 1 n 2np . ,
p+r

|Ap,r | = Cp 2 2np ,
p+r

p+r

P(Ap,r ) = Cp 2 2np /2n = Cp 2 2p .

, |Ci Ap,r | 1 1, p
n t > p. 2np . , , |Dj Ap,r | 2 s < p, (0, 0) (p, r). ,
p+r

|Dj Ap,r | = Cp 2 . ,
p+r

P(Ci |Ap,r ) =

2np 2n
p+r

, P(Dj |Ap,r ) =

Cp 2 2p
P(Ci Dj |Ap,r ) =

Cp 2 2n
p+r

Cp 2 2p

2n

= P(Ci |Ap,r )P(Dj |Ap,r ).

p+r

Cp 2 2p
, (1) .
160

4. .
:
. , A B, n .
.
A = { A B}.
,
0 n.
,
A B.
.
(0, 0) (2n, 0).
A , , 0
2n, x-. ,
n
|| = C2n
, P(A) =

|A|
, |A| =?
||

|A| . , A
(1, 1) (2n 1, 1). (1, 1) (2n 1, 1)
n 1 & n 1 %.
n1
C2n2
. (1, 1) (2n 1, 1),
x-, |A|.
{ (1, 1) (2n 1, 1), x-} =
n
= { (1, 1) (2n 1, 1)} = C2n2
.
n1
n
, |A| = C2n2
C2n2
.
. 50 . 2n
, n 50- , n
1 . 50- .
, 2n ,
.
. , 50- , 1 .
5. .

1/2. 2n . , ,
, 2n-
n
, C2n
/22n .
A x- A , (2n, 0).
A : 1
, 2 .
2 (0, 0),
1

. 1 , (r, s),
x = r, c

1 ,
2 .
1
2
A,
A.

.
A,
(2n, 2m) x-. {y = m},

{y = m}
1,

161


2 .
2 ,
1 , 1
1 , 2 . 1 2 .
6. .
.
:
C2k,0 = { 0 2k},
,
A2k,0 = { 0 2k}.
f2k = P(C2k,0 ), u2k = P(A2k,0 ), f0 = 0, u0 = 1.
n
P
f2k u2n2k .
. u2n =
k=0

A2n,0 . ,
A2k,0 C2k,0 , A2n,0

n
X

C2k,0 .

k=0

A2n,0 =

n
X

A2n,0 C2k,0 =

k=0

n
X

A2n,0 C2k,0 A2k,0 .

()

k=0

C2k,0 A2k,0 . A2n,0

2k, C2k,0 .
( p = 2k, r = 0).
(3.3) , :
P(A2n,0 C2k,0 A2k,0 ) = P(A2n,0 C2k,0 |A2k,0 )P(A2k,0 ) =
= P(A2n,0 |A2k,0 )P(C2k,0 |A2k,0 )P(A2k,0 ) = P(A2n,0 |A2k,0 )P(C2k,0 ).
.
f2k . 0 2k 0
2n. ,
0 0 0 2n2k,
u2n2k . ( , |A2n,0 A2k,0 |
nk
k
k 2n2k
(= C2k
C2n2k
), |A2k,0 | (= C2k
2
) .)
(*)
P(A2n,0 ) =

n
X

P(A2n,0 C2k,0 ) =

k=0

n
X

f2k u2n2k .

k=0

.
. n = 3.
7. . .
, 2k
x- (-, , ), 2n 2k
x-. :
p2k,2n = P{ 2k x-,
2n 2k x-}.
.
. p2k,2n = u2k u2n2k .
162

.
p2k,2n =

k
nk
1 X
1 X
f2m p2k2m,2n2m +
f2m p2k,2n2m .
2 m=0
2 m=0

5. ,
2m x-.
2m x- x-,
12 .
5 6 . , n k n . ,
6,
p2k,2n =

k
nk
1 X
1 X
f2m u2k2m u2n2k +
f2m u2k u2n2k2m =
2 m=0
2 m=0
!
!
k
nk
X
1 X
f2m u2k2m u2n2k +
f2m u2n2k2m u2k =
2 m=0
m=0

k
nk
1 X
1 X
f2m p2k2m,2n2m +
f2m p2k,2n2m =
2 m=0
2 m=0

1
2

1
1
u2k u2n2k + u2n2k u2k ,
2
2
. , , ,
5. n k = n.
, x-
.
, .
. p2k,2n p 1
..
k(n k)
:
 n n

n! 2n
,
e
=

2k
2k
22k
e
1
 k
22k = ,
 k
k
k
2k ke
2k
e


k 2k
u2k = C2k
2

p2k,2n

k(n k)

, , 2k.
[0,1], 2k xk = 2k/2n.
Pn {xk }

xk (1 xk )

(1/n).

f (x)dPn (x)
0

n
X

1
f (xk ) p
(xk+1 xk ).
xk (1 xk )
k=1

163


Z 1
1
f (x) p
dx

x(1
x)
0
( ). (
) f [0, 1]. , n Pn
p 1
(0, 1).
x(1 x)
, .
8. .
.
1 ,
P
u2n = .

, , .
. 2,
4,... . f2n . ,
. ,
.
P
, ,
f2n = 1. : F U , (0, 1).
2n
2

F (z) = f0 + f2 z + f4 z 4 + ..., U (z) = u0 + u2 z 2 + u4 z 4 + ....

. , P
, 0, 1, 2,...,n,...

P
pn , n pn = 1. ( z) = n pn z n
. pn n-
( z). un 1,
, . fn 1
, .
5 z
F (z)U (z) = U (z) 1.

U (z) =

1
.
1 F (z)

z 1. :
u0 + u2 + u4 + ... =

1
.
1 (f0 + f2 + f4 + ...)

, :
, 0.
9. .

X
X 1

=
u2n =
n
n
n
, 1 1 .

164

 2 (x, y)
(x + 1, y), (x 1, y), (x, y + 2), (x, y 1), 1/4.
. ,
.
( x y , ,
).
y = x y = x.
1/2

1/ 2.
.
2n ,
x = y x = y. ,
u2n u2n

1
.
n

, 8
1 .
3 . : x, y, z. 1/6.
2n 62n ,
62n .
, { 2n } ,
i x , i x , j y , j
y , k z , k z , i + j + k = n.
( , 2n ).
, u2n 2n :
2n

u2n = 6

X
i+j+k=n

2n!
= 62n
i!i!j!j!k!k!

X
i+j+k=n

2n!
n!n!

n!
i!j!k!

2
(2)

,
. :

 X 





2n!
n!
2n!
n!
1
n!
u2n 62n
max
= 22n 3n
max
=O
.
n!n!
i!j!k!
i!j!k!
n!n!
i!j!k!
n3/2
i+j+k=n

 n n
n!
2n.
e
, , i,
j, k , n/3.
.
. , i < n/3, j > n/3, i!j!k! < (i 1)!(j + 1)!k!. (,
i + j + k = n, i, j, k N.
29.
, , ,
, .
() :
p(s, x; t, y) t y , s = x,
165

P (s, i; t, j) = P {(t) = j|(s) = i}

1. .
s < u < t.
Z
p(s, x; t, y) =
p(s, x; u, z)p(u, z; t, y)dz.

.
:
X
P (s, i; t, j) =
P (s, i; u, k)P (u, k; t, j)
(1).
k

,
(1) :
X
P {(t) = j|(s) = i} =
P {(u) = k|(s) = i} P {(t) = j|(u) = k}
(2).
k

, ,
, . (2)
, P, P {|(s) = i}. :
P {(t) = j|(s) = i} =
X
=
P {(t) = j|(u) = k, (s) = i} P {(u) = k|(s) = i} .
k

(2) , P {(t) = j|(u) = k}

P{(t) = j|(u) = k, (s) = i}.
{(t) = j} {(u) = k} {(s) = i}.
P {(t) = j|(u) = k, (s) = i} = P {(t) = j|(u) = k} .
, : s1 < s2 < ... < sn < u < t1 < t2 < ... < tm
p(t1 )...(tm ) (y1 , ..., ym |(s1 ) = x1 , ..., (sn ) = xn , (u) = z) = p(t1 )...(tm ) (y1 , ..., ym |(u) = z).
2. .
{0} N N. ,
. , ,

Z, Z2 .
, . ,
.
:
n , n = 0, 1, 2, ...
.
pij i j.
, pij = P(n+1 = j|n = i).
pij (n) n P
i j,
pij = pij (1). . j pij = 1 i,
i - .
166

 , :
X
pij (m + n) =
pik (m)pkj (n).
k

[pij (n)] n P(n), P = P(1).

( ):
P(n) = P n .
,
.
, Z,
: pi(i+1) = pi(i1) = 1/2. . -
. .
, i0 ( ( )
1) ,
X
pi0 i0 (n) = .
n

. ,
.
n,
pi (n) = P {n = i} .
, n = 0.
pi = pi (0).
( ) :
X
pj (n) =
pi pij (n),
(7)
i

[pj (n)]
[pi (n)] = [pi ]P n .
2. {1, 2, 3}, [1/2, 1/3, 1/6],

1/2 1/4 1/4

P = 1/3 1/3 1/3
1/2 1/2 0
, P{1 = 1, 2 = 2, 3 = 3}.
3. .
[pi ] . ,
0. ,
[pi ] ,
(7), :
pi (n) = pi .
167

 .
:
1) ?
2) , ? ,
? ?
. , . :
pi 0, i i , pi0 , ,
, pi0 1 pi0 > pi0 +1 .

pi 1 + pi0 +1
< pi0 (0).
pi0 (1) = 0
2
. , , , {0, 1},
p0,1 = 1, p1,0 = 1.

p0 = p1 = 1/2.
, , . (n) . , n (1, 0, ..., 0), (0, 1, ..., 0),
(0, 0, ..., 1).
,
.
, :
{0, 1, 2, 3}, p0,1 = 1, p1,0 = 1, p2,3 = 1, p3,2 = 1.

p00 = p01 = 1/2; p002 = p003 = 1/2.
.
( , )
. , .
32 .
A, B, C
C, B, A. , , . ., ,
.
, 32! .
2
( ) c = C32
, 1/c.
. n , 1/32!. ,
. ,
.

168

 P,
32! .
P. (
P n P = PP n .) , , ,
.
.
( , ,
, , )
.
. , i0 :
inf pi,i0 > 0.
i

P [pi ] := [pi ]P,

(8)
. ,

. :
X
d(p0 , p00 ) =
|p0i p00i | .
i

.




 

 X X
 X

X X


 

0
00
0
00
0
00
0
00
d(p P, p P) =
 (pi pi )pij  =
 (pi pi )pij  +  (pi pi )pii0  .



 

j

j6=i0

,
X
X
X
p0i =
p00i = 1,
pij = 1 i.
i

:

 
 
 

X
 X
 X
 X









 (p0i p00i )pii0  =  (p0i p00i )(pii0 + )  (p0i p00i )(pii0 ) +  (p0i p00i ) =

 
 
 

i
i
i
i


X



0
00
=  (pi pi )(pii0 ) + 0 d(p0 , p00 )(pii0 ) = d(p0 , p00 )pii0 d(p0 , p00 ).


i

:
d(p0 P, p00 P) (1 )d(p0 , p00 ).



 XX
X X
XX
X

0
00
|p0i p00i |pij =
|p0i p00i |pij =
|p0i p00i |.
 (pi pi )pij 


j

,
P.
l1 ,
d(p0 , p00 ) = kp0 p00 kl1 .
169


{(xi ) : x1 0, x2
P
0, ...} {(xi ) : n xn = 1}.
. ,
l1 .
. l1 , . , P
l1 , T , B
k k d(x, y) := kx yk :
d(T x, T y) = kT (x) T (y)k = kT (x y)k kT kkx yk = kT kd(x, y).
, P l1
, kP k < 1. . ,
0, , 1,
, , .
, P 1, .
, kpk 1,
X
P (1, 0, ...) = [p1i ]
p1i = 1.
i=1 ,
i

, .
P
kP (p0 p00 )k,
00
l1 . , i (p0i pP
i ) = 0, , P l1 l1 {(xi ) : i xi = 0}.
(1, 0, ...), , P
1.
. , T
:
sup kT (x)k = sup kT (x)k = kT k.
()
kxk1

kxk=1

,
kx + yk kxk + kyk, + = 1, 0, 0.
( , kxk = kyk = 1)
kT (x + y)k kT (x)k + kT (y)k max{kT (x)k, kT (y)k}, + = 1, 0, 0.

. ,
, x + y, kxk =
kyk = 1, + = 1, 0, 0 ( ),

,
. ,
l1 en , en = (0, ..., 0, 1, 0, ...) (1 n , ). ,
P
.
l1 {(xi ) : i xi = 0} 21 (em en ),
m 6= n. .
!



X


1
1 X

P

(e

e
)
=
p
e

p
e

=
m
n
mi
i
ni
i

2

2
i

170

1X
1 X X
=
+

|pmi pni | =
2 i
2
i=i
i6=i0

X
X
X
1
1 X
(pmi + pni ) +
|pmi pni |
(pmi + pni ) +
(pmi + pni 2) =

2
2
i=i
i=i
i6=i0

i6=i0

1
2

!
X
(pmi + pni ) 2

= 1 .

, P l1 {(xi ) :

xi = 0} 1 ,

d(p0 , p00 ) = kP (p0 p00 )k kP kd(p0 , p00 ) (1 )d(p0 , p00 ).

.
. 32 . , {a, b, c},
, {c, b, a}. , ,
322 . 0.
32!. P
, , . , . ( , 32
. ,
2
, = 3232 .) ,
.
30.
.
, t (
t) , ,
:
1) : t1 < t01 t2 < t02 ...
t01 t1 , t02 t2 , ...
. , , , ,
.
2) ( ):
t+h t t. ,
Pt+h t = Ph
t h. ,
E (t+h t ) = Eh , D (t+h t ) = Dh
t h.
, , , .
171

1. t
(0, t]. 1) 2), ,
.
1) t0 t (t, t0 ] .
, (
), ,
, . ,
( ) , .
2) , , ,
.
. , , , . .,
, - , - .
3) t . t
, P{t = k}. , t:
P{t = 1} = t + o(t),

P{t > 1} = o(t).

pk (t) = P{t = k}.

pk (t + t) = P{t+t = k} = P{t = k, t+t t = 0}+

+P{t = k 1, t+t t = 1} + P{t = k 2, t+t t = 2} + ...
1) 2)
P{t = k i, t+t t = i} = P{t = k i}P{t = i}
3) P{t = 0}, P{t = 1}, P{t > 1}. :
pk (t + t) = pk (t)(1 t + o(t)) + pk1 (t)(t + o(t)) + o(t).
:
dpk (t)
= pk (t) + pk1 (t).
dt
k = 0 ,
p0 (t) = Cet ,
t = 0 C = 1. k , . pk (),
pk+1 ()
pk (t) = (t)k et + C1 ,
t = 0 C1 = 0.
, t = t.
2. ( )
. , ,
172

 . , ( t ) x t,
0 0. , ().
, , , , , .
, t . ,
. , t = s t, s 1 ( ).
[t, t+h] t+h t , t+h t = s+h s t, s, h (
). 2) (. . 1):
h 0 Pt+h t t 0.
, t 1),
( [t1 , t01 ] [t2 , t02 ]),
- , . , [t1 , t01 ]
[t2 , t02 ] (, ),
,
. , , . , 1) . 2) ,
( ,
t, s, h t+h t = s+h s !!),
. ,
. 3) , , .
, . , .
:
3) E|t |3 = o(t), , E|t |3 .
t (


1/3
E|t+h t | = E|h | E|h |3
= o(h1/3 )),
, , .
3. t .
2)
Et+s = Et + Es ,
, . ,
.

Et = mt,
m . ( . ,
a
Eat = aEt .
(1)
2),
t = t/n + (2t/n t/n ) + ... + (t (n1)t/n ),
173

kt/n = t/n + (2t/n t/n ) + ... + (kt/n (k1)t/n )

, (1) a = k/n.
(1) ).
4. t
,
( 1)),
Dat = aDt ,

(2)

Dt = 2 t.
, m
2 .
5. t .

t (u) = Eeiut ,

, t .
1), 2) :
t+t (u) = Eeiut+t = Eeiu(t+t t ) eiut = Eeiut Eeiut =
= t (u)t (u).

:
t (u) = t (0) + 0t (0)u + 00t (0)

u3
u2
(3)
+ t (u) .
2!
3!

, :
2
t (u) = 1 + iEt u + i2 Et


 u3
u2
3
+ E eiut i3 t
.
2!
3!

, 3),




 iut 3 3 

3 
i t  E eiut i3 t
Ee
 = E|t |3 = o(t)
E 2 = D + (E)2 , :
t (u) = 1 + imtu

1 2
t + m2 (t)2 u2 + o(t).
2



2
1 2
2
2
t+t (u) = t (u) 1 + imtu
t + m (t) u + o(t) ,
2


t+t (u) t (u)
1
o(t)
= t (u) imu 2 u2 +
.
t
2
t



t (u)
1 2 2
= t (u) imu u .
t
2
174

 ( t = 0)
1

t (u) = eimut 2

u2 t

N (mt, t).
6. .
, t , Et
K(t, s) = E(t Et )(s Es ).
.
.
.
:
E =

kP{k} =

k=1

k=1

E 2 =

X
X
X
k
k
k
e =
e = ,
k e =
k!
(k 1)!
k!

X
k

k 2 P{k} =

{k(k 1) + k}

k=1

k=0

k
e = 2 + ,
k!

D = E 2 (E)2 = .
, Et = t, Dt = t.
s < t. ( ):
K(t, s) = E(t Et )(s Es ) = E[(t Et ) (s Es )](s Es )+
E(s Es )(s Es ) =
= E[(t Et ) (s Es )]E(s Es ) + D(s ) = D(s ).
, K(t, s) = min(t, s).
K(t, s) = 2 min(t, s).
7.
m
t /t m , . . E|t /t m|2 0.
t a :
i) ,
ii) .
,
E|t a|2 = E|(t E(t )) + (E(t ) a)|2 2E|t E(t )|2 + 2E|E(t ) a|2 =
= 2D(t ) + 2E|E(t ) a|2 0.
: E(t /t) = m, D(t /t) = 2 t/t2 0.
2
. , T .
:
o
n
(n)
(n)
(n)
(n)
(n)
(n) = 0 = t1 < t2 < ... < tm(n) = T, diam((n) ) = max ti+1 ti
0.
175


2
X 
(n)

c2 =

t(n) t(n)  /T,

i

i+1

2 .
. , . ,

(n) P
c2
2 .

i) :


2
X 
(n)
c
2
E t(n) t(n) /T =
E
/T =

i+1

  
2 
X 
D t(n) t(n) + E t(n) t(n)
/T =
=

i+1

X

(n)
ti+1

i+1

(n)
ti

2 

(n)
(n)
+ m ti+1 ti
/T =

= 2 T /T +


2
(n)
(n)
m ti+1 ti
/T 2 .

X

(n)

(n)

ti+1 ti

2


X

(n)
(n)
(n)
(n)
max ti+1 ti
ti+1 ti
=
i

= diam((n) )T 0.

(3)

ii) t
t = t mt. ,
2
X 
(n)
(n) 
D
t(n) + mti+1 t(n) mti 

0.

i+1

!2

D( + ) 2D + 2D
(x + y)2 2x2 + 2y 2 .
: E 2 = 1, E 4 = 3,
D 2 = 3 1 = 2, Et2 = t, Et4 = 3t2 , D(t2 ) = 2t2 .
:


2
D (t + mt) = D t2 + 2mtt .
:
Xh

(t(n) t(n) ) +

X
i

(n)
2m(ti+1

(n)
ti )(t(n)
i+1

i
t(n) )

!
=



(n)
(n)
D (t(n) t(n) )2 + 2m(ti+1 ti )(t(n) t(n) )
i

i+1

i+1

i+1




X 
(n)
(n)
D (t(n) t(n) )2 + 2
D 2m(ti+1 ti )(t(n) t(n) )
i+1

i+1

176

(n)

(n)

2 2 2 (ti+1 ti )2 + 2

(n)

(n)

(n)

(n)

4m2 (ti+1 ti )2 (ti+1 ti ).

(3).
. m
. 2
, .
,
nt /nt m, n .
t ()/t m, t , . , , t . ,
.
8. .
, t , Pt1 ,t2 ,...,tn
{t1 , t2 , ..., tn }.
.
t {t1 , t2 , ..., tn }. , , t1 < t2 < ... < tn .
t ,

P{t1 = k1 , t2 = k2 , ..., tn = kn }.

()

, k1 k2 ... kn . (*) :
P{t1 = k1 , t2 = k2 , ..., tn = kn } =
= P{t1 = k1 , t2 t1 = k2 k1 , ..., tn tn1 = kn kn1 }.
. :
P{t1 = k1 , t2 t1 = k2 k1 , ..., tn tn1 = kn kn1 } =
= P{t1 = k1 }P{t2 t1 = k2 k1 }...P{tn tn1 = kn kn1 } =
P{t1 = k1 }P{t2 t1 = k2 k1 }...P{tn tn1 = kn kn1 } =

(t1 )k1 t1
e
k1 !

((t2 t1 ))k2 k1 (t2 t1 )

((tn tn1 ))kn kn1 (tn tn1 )
e

e
.
(k2 k1 )!
(kn kn1 )!
, t ,
pt1 , t2 , ..., tn (x1 , x2 , ..., xn ).
, (m = 0).
, :
pt1 , t2 t1 , ..., tn tn1 (x1 , x2 , ..., xn ) =

=

n

1
p

t1 (t2 t1 ) (tn tn1 )

177

e 2


x21
x22
x2n
+ 2
+ + 2
2 t1
(t2 t1 )
(tn tn1 ) .

pt1 ,t2 ,...,tn (x1 , x2 , ..., xn ).
, :
Z
Z
P{(t1 , t2 , ..., tn ) B} = ...
pt1 ,t2 ,...,tn (x1 , x2 , ..., xn )dx1 ...dxn .
B

{(t1 , t2 , ..., tn ) B} t1 , t2
t1 , ..., tn tn1 , ,

{(t1 , t2 , ..., tn ) B} = {t1 , t2 t1 , ..., tn tn1 B},

: (x1 , x1 + x2 , ..., x1 + x2 + + xn ) B
B B
:
, (x1 , x2 , ..., xn ) B.
Z
Z
...
pt1 ,t2 ,...,tn (x1 , x2 , ..., xn )dx1 ...dxn =
B

=
= P{(t1 , t2 , ..., tn ) B} = P{t1 , t2 t1 , ..., tn tn1 B}
Z
Z
= ... pt1 ,t2 t1 ,...,tn tn1 (x1 , ..., xn )dx1 ...dxn =

Z
pt1 ,t2 t1 ,...,tn tn1 (x1 , x2 , ..., xn )dx1 ...dxn =
(x1 ,x1 +x2 ,...,x1 ++xn )B

Z
=

pt1 ,t2 t1 ,...,tn tn1 (y1 , y2 y1 , ..., yn yn1 )dy1 ...dyn .

(y1 ,y2 ,...,yn )B

yk = x1 + x2 + + xk .

pt1 ,t2 ,...,tn (x1 , x2 , ..., xn ) =
n

1
1

p
=
2
t1 (t2 t1 ) (tn tn1 )
x21
(x2 x1 )2
(xn xn1 )2

1 2
+ 2
+ + 2
2 t1
(t2 t1 )
(tn tn1 ) .
e

9. .
, . , . ,
. , ,
t . , : Pt1 ,...,tn
Pt1 ,...,tn ,t , :
Pt1 ,...,tn (B) = Pt1 ,...,tn ,t (B R).
178

 . , . w(t) (. ) . ,
Pw(s),w(t),w(u)
Pw(s),w(u) , s < t < u. ,
Z
pw(s),w(t),w(u) (x, y, z)dy = pw(s),w(u) (x, z).

, , x z
. , :
(z y)2
x2
z2
(u s)y 2
xy
zy
(x y)2
+
=
+
+
+2
+2
=
ts
ut
t s u t (u t)(t s)
ts
ut
=

x2
z2
us
+
+
t s u t (u t)(t s)


y

ut
ts
x
z
us
us

2

ut
ts
1
x2
z2 2
xz.
(u s)(t s)
(u s)(u t)
us

ut
us x

ts
us z

x2
z2
ut
ts
1
+

x2
z2 2
xz =
t s u t (u s)(t s)
(u s)(u t)
us




ut
1
ts
1
1

+ z2

2
xz =
= x2
t s (u s)(t s)
u t (u s)(u t)
us
=

(z x)2
,
us

. ( .)
10. .
. T {t1 , ..., tn } T Pt1 ,...,tn - Rn (
R{t1 ,...,tn } ), ( ). RT -,
P, (xt ) xti , i n,
Pt1 ,...,tn {t1 , ..., tn } T .
() P - Rn . P , B > 0 , F , , G,
, ,
F B G, P(G \ B) < , P(B \ F ) < .
()
B,
(*) > 0 , - .
, F .
( !),
\
F = {x : d(x, F ) < 1/n}, P{x : d(x, F ) < 1/n} & P(F )
n

179

 {x : d(x, F ) < 1/n} .

. ,
S
S :
Bn , Bn . G Bn : Gn
n
n
S
Bn P(Gn \ Bn ) < /2n , G Gn . F (
n

):
n,
!
n
[
[
P
Bn \
Bi < /2,
n

i=1

i n Fi Bi ,
P(Bi \ Fi ) < /2i+1 .
F =

n
S

Fi .

i=1

, .
, F , ,
{x : kxk n} , P({x : kxk n}) % 1.
. RT ,
RT = R{t1 ,...,tn } RT \{t1 ,...,tn } .

C(t1 , ..., tn ; B) = B RT \{t1 ,...,tn } ,
B R{t1 ,...,tn } . ,
B , RT \{t1 ,...,tn } . , , ,
C(t1 , ..., tn ; B1 ) C(s1 , ..., sm ; B2 ) = C(t1 , ..., tn , s1 , ..., sm ; B3 ).
( ) P
P(C(t1 , ..., tn ; B)) := Pt1 ,...,tn (B).

,
:
C(t1 , ..., tn ; B1 ) = C(t1 , ..., tn , s1 , ..., sm ; B1 R{s1 ,...,sm } ),
C(s1 , ..., sm ; B2 ) = C(s1 , ..., sm , t1 , ..., tn ; B2 R{t1 ,...,tn } ),
Pt1 ,...,tn ,s1 ,...,sm .
, P, , ,
. Cn & ,
Cn = C(t1 , ..., tn ; Bn ). :
P(C(t1 , ..., tn ; Bn )) & > 0.
Bn Kn
,
P[C(t1 , ..., tn ; Bn ) \ C(t1 , ..., tn ; Kn )] < /2n+1 .

180

 Kn . :
\
n ) :=
C(t1 , ..., tn ; K
C(t1 , ..., ti ; Ki ).
in

:
n )]
P[C(t1 , ..., tn ; Bn ) \ C(t1 , ..., tn ; K

P[C(t1 , ..., tn ; Bi ) \ C(t1 , ..., tn ; Ki )]

in

/2i+1 /2.

in

n )] > /2, , C(t1 , ..., tn ; K

n ) .
P[C(t1 , ..., tn ; K
, , (n)
n (x(n)
. K
t1 , ..., xtn )
{t1 ,...,tn }
T
R
. R , T
n.
0. x(m) , m n, {t1 , ..., tn } K
(n)

K1 , (xt1 ) (n )
(n )
(n )
(xt1 k ), (xt1 k , xt2 k ) (nk )

(nk )

(xt1 l , xt2 l ).
, ,
(x(ns ) ), {t1 , ..., tn }
. x.
n , x C(t1 , ..., tn ; K
n ) n.
K
11. . . .
n n- .
1 , 2 1 ,..., n n1 . , n n1
. .
p1 ,2 . = 1. :
P({1 > x, 2 > y}) = P[{x = 0}{y = 0} + {y = 1}] =
= P[{y = 0}] + P[{x = 0}({y x = 1})] = ey + ex (y x)e(yx) =
= ey (1 + y x).

p1 ,2 (x, y) =

2 y
e (1 + y x)I{0<x<y} = ey I{0<x<y}
xy

1 2 1 ,
p1 ,2 1 (x, y) = e(x+y) I{x>0} I{y>0} = p1 (x)p2 1 (y).
1 2 1 .
, k k1 .
, .
t ( 1
, t
, k k1 . , t
181

( 0, ). , t
. k k1 . ,
( t ).
, t.
31.
1. . .
pn (t) n , .
pn (t)0 = ( + )pn (t) + pn1 (t) + pn+1 (t), n = 0, 1, 2, ..., ()
,
mu . t n. pn (t)
. , .
(*)
, .
2. .
P ,
Z
P () =
ex dP(x).
[0.)

, .
,
() = Ee .
: i) (0) = 1, ii) (
), ,
, iii)
.
, [0, ) i), ii) [0, )
.
. , [0, 1] ?
( ( = 1 1 e ),
, 12- , .

P (z), [0, 1) :
P (z) =

P{n}z n .

n=0

z = e . ( ) iii),
P (0) = P{0}, lim P (z) = 1 ( ).
z&1

182


p
g (z) = p + p(1 p)z + p(1 p)2 z 2 + ... =
.
1 (1 p)z
3. .


pn (t)0 = n( + )pn (t) + (n 1)pn1 (t) + (n + 1)pn+1 (t), n = 0, 1, 2, ...,
, . , n
. , , 1 3
( ).

X
pn (t)z n , 0 < z < 1.
(z, t) =
n

(z, t) = ( + )z + z 2
(z, t).
t
z

()

(z, t) = (t)(z). :


(t)0
(z)0
= C,
( + )z + z 2 = C.
(t)
(z)
,
, C, C
C. , pn (t)
n z. , (, )
n.
. ,

f (x, y) =
f (x, y)
x
u

()

u = x + y, v = x y. f (x, y) = g(u, v)
v
g(u, v) = 0, g(u, v) = h(u), f (x, y) = h(x + y). , ,
, h(x + y) =
(C1 eC2 (x+y) . (*) (**) : (t, z) =
(t, w), w = w(z)

1
, (z )(z 1) z
(z, t) = w

(z, t).
, w0 (z) = (z)(z1)
, , :


z ()t
(z, t) =
e
.
z1
. , t = 0
n0 , (z, 0) = z n0 . ,

z
z1
z
z1

183

= z.



(u) =

u
u

n0
.

:
(z, t) =

z ()t
z1 e
z ()t
z1 e


=

!n0


=

(z ) (z )e()t
(z ) (z )e()t

(e()t 1) + z( e()t )
(e()t ) z(e()t 1)

 n0
=

 n0
.

n0 = 1, p1 (t)
p2 (t). p1 (t)
g (z) = 1(1p
1 (t))z
b (z) = (1 p2 (t)) + p2 (t)z
. 6= . C,
C(e()t 1) + C( e()t ) = 1.
:
C=

(e()t
1
e()t , p2 (t) =
,

(z, t) (1 p2 (t)) + p2 (t)z g (z),

p1 (t) =

( )e()t
.
e()t

n t:
pn (t) = p2 (t)p1 (t)(1 p1 (t))n1 + (1 p2 (t))p1 (t)(1 p1 (t))n =

n1
(e()t ( )e()t
( )e()t
pn (t) =

+
1

e()t
e()t



n
(e()t ( )e()t
( )e()t
+ 1
1
.

e()t
e()t
32.

m = 0 = 1. ( t)
wt , w(t).
1. .
,
.
. t

E |t s | C|t s|1+ t, s, > 0, > 0.

(1)

t , t , ..
.

184

: t t ().
, ,
, 1. t
, t t
0. , ,
.
. [0, 1], [0, 1], .

t = 0, 0 t 1.
, . t () = I{t} (). [0, 1] ,
t = . , . ,

t () = I[0,1]tQ ().

t 0,
t. t
t .
, , ..
Pt1 ,t2 ,...,tn = Pt

,t2 ,...,tn .

, t1 , t2 , ..., tn ,
. , t [0, 1].
. : t t = kn , k, n . t 2
-, S.

: s s (), s S.
S. , 1 , P1 = 1,
S.
[0, 1],
t t () (
t). , t
1 . ,
n
o
P t = t = 1 t,
(2)
t . sn S,
t. (1)
P
sn t .
, sn . ,
..
sn t .
185

 , sn () t () 1 1.

sn () t () 2 ,
2 1. , t () = t ()
1 2 .
S. , PAn 1 An .
(2) , :



P (k+1)/2n k/2n  q n C 2nn q n .
q = 2/2 < 1,



P (k+1)/2n k/2n  q n C 2n rn ,

(3)

r = 2/2 < 1.
(3) , n
(
)

[ 




n
n




P max (k+1)/2n k/2n q = P
(k+1)/2n k/2n q

k
n

2X
1




P (k+1)/2n k/2n  q n 2n C 2n rn = C rn .

k=0

, 1,
c n = n()


(k+1)/2n () k/2n () < q n .
(4)
, , (4), P
t t () t. q < 1, q n 0,
,
q n . > 0,
n

> 0 , |s t| |s () t ()| < .

n, n > n()
X
q i < /4.
in
n

= 1/2 , |s t| 1/2 . s t
k/2n , s = t, s = m/2n , t = (m + 1)/2n ( t > s), (4)

|s () t ()| < q n < /4.
, s t l/2m r/2p , m > n p > n.
s s1 2m ,
u/2m1 , 2u = l 1 ( |s () s1 () < q m |), s1 s2
v/2m2 . ., s k/2n . , |s s| < 1/2n (s = s0 )
|s () s()|

X

 X
si () si1 ()
q i < /4.
i=1

i=n

t t: |t t| < 1/2n |t () t()| /4.

|
s t| 2/2n .
|s () t ()| |s () s()| + |t () t()| + |s() t()|
186

 /4 + /4 + /2 = ,
. .
. ( w) .
(1) w. ,
2
4
= 2, E |w(t) w(s)| = |t s|. = 4 : E |w(t) w(s)| = 2|t s|2 ,
(1) .
2. m
t /t m
t .
w(t) .. w(t)/t 0 (t ).
, .. 0! ,
w(t) tw(1/t).
, . ,
:
E(tw(1/t)sw(1/s)) = ts min{1/t, 1/s} = min{t, s}.
(. ),
. , , w().
. tw(1/t) , , , . tw(1/t)
t 0 (. . 1/t ).
1. t m. ,
m
E(t1/t ) = t
= m 6= mt = Et .
t
2. , ..
. ,
.
3. , , . t , , 2
E |(t) )| = |t s|, ,
.
3. 2 .
4. .

: tw 1t w(t).
, .
w(t)() s,
|w(t) w(s)| < C(s)|t s|
t (s, s+(s)) s. , ,
n , 1/n /5. l = l(s) > C(s),
( ),
i
n s :
  

 

 









w i w(s) l , w i + 1 w(s) 2l , w i + 2 w(s) 3l ,






n
n
n
n
n
n
187

 




w i + 3 w(s) 4l .


n
n
,
 

 


w j + 1 w j  7l ,

n
n 
n
j = i, i+1, i+2. ,
[0, 1]:

 


[ [ \ [
\   j + 1 
 7l
j
w

M= :
w


n
n 
n
lN mN nm 0<i<n iji+2

,
P(M ) = 0. ,
P(Ml,m ) = 0 l, m N,

Ml,m

\
= :

nm 0<i<n iji+2

[
\
P :

0<i<n iji+2


 

 


w j + 1 w j  7l
.

n
n 
n

 

 


 7l
j
+
1
j
w

w
0 (n ).

n
n 
n

0<i<n iji+2

nP :

\
iji+2


 

 


w j + 1 w j  7l


n
n 
n

 

 



w j + 1 w j  7l
=

n
n 
n

3
 
3
  

7l
1  7l


= nP : |w(1)|

= nP : w
n 
n
n


Const
0,
n3/2

.
5. w.
, w, 0 t 1 w()()
C[0, 1]. Pw
- C[0, 1].
- , - . , Pn
P ,
Z
Z
f (x)dPn (x)
f (x)dP(x)
C[0,1]
C[0,1]

188

 f C[0, 1].
,
. ni ,
i k(n), .
2) Eni = 0 n k;
k(n)
P
2
3)
Eni
= 1 n;
i=1

S (n) [0, 1], .

(n)

tk

k
X

2
Eni
, k k(n),

i=1
(n)

k
X

ni .

i=1

S (n) :
( (n)
(n)
k , t = tk , k = 0, 1, ...,h k(n)
(n)
i
S (t) =
(n) (n)
tk , tk+1 .
, f [a, b],
(0, 1)
f (a + (1 )b) = f (a) + (1 )f (b).
, , , C[0, 1]. .. :
S (n) C[0, 1] . , {0, 1, ..., n}
[0, 1], ,
0 1, , , k k/n,
. , . ,

P{ max w(t) x} = 2P{w(1) x}.

(1)
0t1

6. .
,
.

w(t)
:= E{w(t)|w(1) = 0}.
0 0.
:
pw(t),
(x, y) =

w(s)

pw(t),w(s),w(1) (x, y, 0)
.
pw(1) (0)

189

 3. w.
,
w(t) tw(1).

max |w(t)|.
0t1

( , ).
7. .
(5.1) .
, .
, 14.2 , .
, . [0, ).
{0} N c , (, ).
1. t 0 - Ft A, Ft Fs
t s. - .
2. t (Ft ),
t t Ft .
3. (Ft ) t , Ft t -, s (s t).
4. : [0, ) (Ft ), { t} Ft t 0.
. .
+ . -
, , (, , ..., rm...),
n , .
n- 1/2n . 1, RN ,

S
-, Fn .
n

1. : (, A, P) [0, ) (Ft ) wt , 0 t < . w :

w () () , .. - A.
. (n) (. 7. .1). ,
(n) =

Xk
) .
I( h
n nk , k+1
n

kZ

(n) . , w (n) :


X
k
(n)
A,
{w (n) B} =
{wk/n B}
=
n
k

.
. 1 , : t wt () .
w (n) () w () n .

190

. ,
.
2. w [0, )
y > 0

inf{t : wt () y}, t > 0 ,
y () =
,
t > 0 .
. ,
{y t} = {supst ws y} = {sup{ws : s Q [0, t]} y} Ft
t 0. , P{y = } = 0.

: P{y = } = > 0.
P
n n < /2.
tn xn . xn
tn1 tn ,
P{wtn wtn1 xn } < n ,
S

tn+1 |x1 | + ... + |xn | + y < tn+1 tn . A = n {wtn wtn1

xn }, P(A) < /2. ,
\
{sup wt y} {sup wtn y} A {wtn+1 wtn |x1 | + ... + |xn | + y}.
t

P{y = } P(A) +

P{wtn+1 wtn |x1 | + ... + |xn | + y} P(A) +

P(A) +


Y  wtn+1 wtn
<1
P
tn+1 tn
n

P{w1 < 1} < /2,

.
,
.
(n) k/n.
1. wt , 0 t < ,


wt (),
t (),
w( )t () =
2w () wt (), t > ().
.
( )
. , wt , w( )t1 , ..., w( )tm , .
( (n) )

( )

w .. wt
wt
t.
(n) . {t1 , ..., tm } k/n tm ,
S = {s1 , ..., sp }, . ,



ws1 , ws2 ws1 ..., wsp wsp1 ,


(n)
(n)
(n)
(n)
(n)
ws(1 ) , ws(2 ) ws(1 ) ..., ws(p ) ws(p1 ) .

191

 Ak = { (n) = nk }.
R - (. 6.4) .
2.
.
p

33.
1. . .
, (t) ,
. , (t), {(t + h) B}, P {(t + h) B|(t) = x}.
, .

P {(t + h) B|(t) = k} =

P {(t + h) B, (t) = k}
= f (t, x, t + h, B).
P {(t) = k}

,
P {(t) = x} = 0 x.
. . p, (x, y) , .
, :
Z
p (x) =
p, (x, y)dy.
R

, :
p (y| = x) =

p, (x, y)
.
p (x)

, (t) ,
0 t . (
(t) ,
i = 1, 2, 3, ...).
P (s, i; t, j) = P {(t) = j|(s) = i} .
i j
s t. , (t) (
, )
x y s t:
p(s, x; t, y) = p(t) (y|(s) = x).
2. .
s < u < t.
Z
p(s, x; t, y) =
p(s, x; u, z)p(u, z; t, y)dz.

192

 .
( 28.1):
X
P (s, i; t, j) =
P (s, i; u, k)P (u, k; t, j).
( )
k

, :
Z
p(s, x; u, z)dz = 1.

( )

3. .
, a(t, x) b(t, x),
, > 0 :
Z
p(t, x; t + t, z)dz = o(t),
(1)
|zx|>

Z
(z x)p(t, x; t + t, z)dz = a(t, x)t + o(t),

(2)

(z x)2 p(t, x; t + t, z)dz = b(t, x)t + o(t).

(3)

|zx|

Z
|zx|

,
a(t, x) = m, b(t, x) = 2 .
,
, .
4.

p

1 2
= [a(t, y)p(s, x; t, y)] +
[b(t, y)p(s, x; t, y)].
t
y
2 y 2
, - , ( .. ). (. .
)
1
(z) = (y) + 0 (y)(z y) + 00 (y)(z y)2 + o(z y)2 .
(4)
2
,
f f = 0. (
):
Z
p(s, x, t + t, y) =
p(s, x; t, z)p(t, z, t + t, y)dz.
()

,
:
Z
1
lim
((y))[p(s, x; t + t, y) p(s, x; t, y)]dy =
t0 t

193

( )
Z
Z Z
1
(y)p(s, x; t, z)p(t, z; t + t, y)dydz
(y)p(s, x; t, y)]dydz =
= lim
t0 t

R
( y z , p(t, y; t +
t, z)dz = 1)
Z Z
1
[(z) (y)]p(s, x, t, y)p(t, y; t + t, z)dydz =
= lim
t0 t
( (1) , z |z y| < , o(z y)2 (4))

Z Z y+ 
1
1
= lim
0 (y)(z y) + 00 (y)(z y)2 + o(z y)2 p(s, x, t, y)p(t, y; t+t, z)dzdy =
t0 t y
2

Z 
1 00
0
=
(y)a(t, y) + (y)b(t, y) p(s, x; t, y)dy.
2

,
. , . ,
. ,


Z
Z

1 2
(y) p(s, x; t, y)dy =
(y)
[a(t, y)p(s, x; t, y)] +
[b(t,
y)p(s,
x;
t,
y)]
dy.
t
y
2 y 2

, .

p(s, x; t, y)
p(s, x; t, y) 1
2 p(s, x; t, y)
.
= a(s, x)
+ b(s, x)
s
x
2
x2
.. . ( ).
, , (1-3). .
Z
p(s, x; t, y) =
p(s, x; s + s, z)p(s + s, z; t, y)dz.
(5)

p(s + s, z; t, y) (s, z = x) s z x.
:
p(s + s, z; t, y) =
p
p
1 2p
(s, x; t, y)s +
(s, x; t, y)(z x) +
(s, x; t, y)(z x)2 .
s
z
2 z 2
(5), ( !):
Z
p(s, x; t, y) =
p(s, x; s + s, z)p(s, x; t, y)dz+
= p(s, x; t, y) +

p(s, x, s + s, z)

p
+
p(s, x; s + s, z) (s, x; t, y)(z x)dz +
x

p
(s, x; t, y)sdz+
s

p(s, x; s + s, z)

194

1 2p
(s, x; t, y)(z x)2 dz.
2 x2

 ( !), (
(***)):
p(s, x; t, y) = p(s, x; t, y)+
p
2p
p
(s, x; t, y)s +
(s, x; t, y)a(s, x)s +
(s, x; t, y)b(s, x)s + o(s).
s
x
x2
p(s, x; t, y) s,
.
. , .
+

34.

. (, , )
. (),
. .
.
, w(t) m = 0
= 1. .
(t)
1. .
, (t), :
ZT
{g(t) + f (t)(t)} dt,
0

ZT
f (t)d(t),
0

f (t) ,
ZT
(t)d(t),
0

.
, , .
. , , , (T ).
RT

f (t)w(t)dt :
0

f (ti )w(ti )(ti+1 ti ),

195

 0 = t0 < t1 < < tn1 < tn = T .

f
. ( n , |E|n |2 0).
. lim
.
RT
f (t)w(t)dt 0

. ,
. , ,
.
,
!
ZT
X
(g(ti ) + f (ti )w(ti ))(ti+1 ti ) =
E (g(t) + f (t))w(t)dt = lim E
i

= lim

ZT
g(ti )(ti+1 ti ) =

g(t)dt.
0

. , g(t) .
T

ZT
Z

E
f (t)w(t)dt h(t)w(t)dt =

= lim E

= lim

f (ti )w(ti )(ti+1 ti )

XX
i

= lim

h(sj )w(sj )(sj+1 sj ) =

E (f (ti )w(ti )(ti+1 ti )h(sj )w(sj )(sj+1 sj )) =

XX
i

f (ti )h(sj )K(ti , sj )(ti+1 ti )(sj+1 sj ) =

j
T

f (t)h(s)K(t, s)dtds.
0

, K(t, s) = min(t, s). ,

T

Z
Z TZ T
D f (t)w(t)dt =
f (t)f (s) min(t, s)dtds.
0

,
T

Z
D f (t)dw(t) =
0

Z
ZT
= E f (t)dw(t) f (t)dw(t) =
0

196

= lim

XX
i

= lim

XX
i

E (f (ti )(w((ti+1 ) w(ti )f (tj )(w(tj+1 ) w(tj ))) =

E (f (ti )(w((ti+1 ) w(ti )f (tj )(w(tj+1 ) w(tj ))) =

= lim

f (ti )2 (ti+1 ti ) =

f 2 (t)dt.

. w
w.
RT
. , f (t)dw(t)
0

, w(t)
w(t)(),
RT
f (t)w0 (t)()dt. , . , t w(t)()
0

,
t ( 1). , RT
, f (t)w(t)dt.
0

2. .
,

RT

(t)dw(t),

(t) .
. , ,
. .

ZT
(t)dw(t)
(3)
0

(t) . ,
(t) w(s) t , w(s) , s > t.
, (t) w(t) , .
Rt
(t) = w(s)ds.
0

ZT
(t)dw(t)
0

n
X

(ti )(w(ti+1 ) w(ti )),

i=0

, , 0 = t0 < t1 < < tn1 < tn = T [0, T ].

, , ,
n
X

(ti+1 )(w(ti+1 ) w(ti )).

i=0

197

 , , . ,

. , ,
ZT
w(t)dw(t).
0

n
X

w(ti+1 )(w(ti+1 w(ti ))

i=0

n
X

w(ti )(w(ti+1 w(ti )).

i=0

n
X

(w(ti+1 w(ti ))

()

i=0

, 29.4 ( ) 0, T .
3. .
ZT
w(t)dw(t).
0

. , , , ,


w2 (T ) w2 (0) /2.
:
w2 (T ) w2 (0) = w2 (tn ) w2 (t0 ) =

 


 

= w2 (tn ) w2 (tn1 ) + w2 (tn1 ) w2 (tn2 ) + w2 (t2 ) w2 (t1 ) + w2 (t1 ) w2 (t0 ) .
w2 (ti+1 ) w2 (ti )
2

2w(ti )[w(ti+1 ) w(ti )] + (w(ti+1 w(ti )) .

.
(**), . ,
w2 (T ) =

n1
X

2w(ti )[w(ti+1 ) w(ti )] +

i=0

n1
X
i=0

0 ,
2

ZT

w (T ) = 2

w(t)dw(t) + T.
0

198

(w(ti+1 w(ti )) .

ZT

w(t)dw(t) = w2 (T ) T /2.

4. .

ZT
(t)dw(t)
0

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

n
X

(ti )(w(ti+1 ) w(ti )),

i=0

0 = t0 < t1 < < tn1 < tn = T [0, T ].

-
(t) =

n1
X

I[ti ,ti+1 ) (t)(ti ).

i=0

.
. w
w, (t).
( n
)
n
n
X
X
X
E
(ti )(w(ti+1 ) w(ti )) =
E(ti )E(w(ti+1 ) w(ti )) =
E(ti ) 0 = 0.
i=0

i=0

i=0

( n
X

)
(ti )(w(ti+1 ) w(ti ))

(
=E

i=0

n
X

)2
(ti )(w(ti+1 ) w(ti ))

i=0
n X
n
X

E [(ti )(w(ti+1 ) w(ti ))(tj )(w(tj+1 ) w(tj ))] .

i=0 j=0

: i = j i 6= j. i = j,






E 2 (ti )(w(ti+1 ) w(ti ))2 = E 2 (ti ) E (w(ti+1 ) w(ti ))2 =


= E 2 (ti ) (ti+1 ti ).
i 6= j, , i < j.
E {((ti )(w(ti+1 ) w(ti ))((tj )(w(tj+1 ) w(tj ))} =
= E {[((ti )(w(ti+1 ) w(ti ))(tj )] (w(tj+1 ) w(tj ))} =
199

= E [((ti )(w(ti+1 ) w(ti ))(tj )] E [w(tj+1 ) w(tj )] =

= E [((ti )(w(ti+1 ) w(ti ))(tj )] 0 = 0.
,
( n
)
n
X
X


D
(ti )(w(ti+1 ) w(ti )) =
E 2 (ti ) (ti+1 ti ).
i=0

i=0

, ?
, :
T

Z
ZT
D
(t)dw(t) = E[(t)]2 dt.

, , (t), ,
, (t), ,
2
tn t E [(tn ) (t)] 0.
, (, ,
) (t) , > 0 > 0 ,
2

|t s| < E [(t) (s)] < .

: 0 = t0 < t1 < < tn1 < tn = T
,
n
X

(ti )(w(ti+1 ) w(ti )).

i=0

(t) =

n1
X

I[ti ,ti+1 ) (t)(ti ).

i=0

.

2

E [ (t) (t)] < ,

2

E [
(t) (t)] < .

(x y)2 2(x z)2 + 2(y z)2

2

E [ (t)
(t)] < 4,
T
2
Z
ZT
E (t)dw(t)
(t)dw(t) =
0

200

 T
2
Z
ZT
2

E
{ (t)
= E { (t)
(t)} dw(t)
(t)} dt 4 T.
0

(t)
(t) :
,
.
( ), .
, , , ,
, .
Lawrence G. Evans. An Introduction to Stochastic Differential Equations. Version1.2. Berkeley
University.
5.
.
dw
dt ( 1 ), .
X
dX = F (X)dt + G(X)dw(t)
() X,
Z t
Z t
X(t) = X(0) +
F (X(s))ds +
G(X(s))dw(s).
0

, , , . , ,
. ,
.
6.
X ,
dX = F dt + Gdw,

(4)

F G .
.
Y (t) = u(X(t), t)?
:
dY (t) =

u
u
1 2u
(X, t)dt +
(X, t)dX +
(X, t)G2 (t)dt.
t
x
2 x2

:
u
u
u
1 2u
(X, t)dt +
(X, t)F (t)dt +
(X, t)G(t)dw +
(X, t)G2 (t)dt.
t
x
x
2 x2
,
. , .
dY (t) =

201

 u ,
x
dY (t) =

1 2u
u
(X, t)dX +
(X, t)G2 (t)dt.
x
2 x2

. ,

Z
u0 (X)dX

1 2u
(X, t)G2 (t)dt.
2 x2

?
, . X(t):
X(t + t) X(t) = F (t)t + G(t)[w(t + t) w(t)].
u(X) .
u(X(t + t)) u(X(t)) u0 (X(t))(X(t + t) X(t))+
1
+ u00 (X(t))(X(t + t) X(t))2 =
2
= u0 (X(t))(F (t)t + G(t)[w(t + t) w(t)])+
1
+ u00 (X(t))(F (t)t + G(t)[w(t + t) w(t)])2 =
2
1
= u0 (X(t))(F (t)t + G(t)[w(t + t) w(t)]) + u00 (X(t))
2
(F 2 (t)t2 + 2F (t)G(t)t[w(t + t) w(t)] + G2 (t)[w(t + t) w(t)]2 ).
,
(F 2 (t)t2 + 2F (t)G(t)t[w(t + t) w(t)] + G2 (t)[w(t + t) w(t)]2 )
.
(, 14), F 2 (t)t2 = o(t)
( F 2 ),
. , G2 (t)[w(t + t) w(t)]2 .

E[w(t + t) w(t)]2 = t,


2
E [w(t + t) w(t)]2 = 2t2 .
, [w(t + t) w(t)]2
t , . ,
[0, T ] ,
0, T . ,
G2 (t)[w(t + t) w(t)]2
, G2 (t)t. 2F (t)G(t)t[w(t +
t) w(t)].
E(t[w(t + t) w(t)]) = 0, E(t[w(t + t) w(t)])2 = t3 .
202

 .
. , .
7. .
1. ,
ZT
w(t)dw(t).
0

1
dw2 (t) = 2w(t)dw(t) + 2dt.
2

ZT

ZT

dw (t) = 2

ZT
w(t)dw(t) +

w2 (T ) = 2

dt,
0

ZT
w(t)dw(t) + T,
0

.
.
. , :

dX1 = F1 dt + G1 dw,
dX2 = F2 dt + G2 dw,

d(X1 X2 ) = X2 dX1 + X1 dX2 + G1 G2 dt.

,
d(X1 X2 ) =

1
{d(X1 + X2 )2 d(X1 )2 d(X2 )2 }.
2

8.
dX(t) = g(t)X(t)dw(t),
g (, ) , X(0) = 1.

X(t) = e

1
Y (t) =
2

1
2

Zt

Rt 2
Rt
g (s)ds+ gdw
0
.

Zt

g (s)ds +
0

gdw,
0

1
dY (t) = g 2 (t)dt + g(t)dw(t).
2

203

 X(t) = u(Y ) = eY
u
1 2u
(Y )g 2 dt =
(Y )dY +
x
2 x2


1 2
1 2
Y
=e
g (t)dt + g(t)dw(t) + g dt = gXdw.
2
2
dX =

35.

. , (, A, P) (.. - A),
E, - B A. B- E(|B), :
Z
Z
dP = E(|B)dP B B.
(1)
B

. , - A (. .
R), P, . . ,
P(A) = 0 (A) = 0.
,
f = d ,
dP
f :
Z
(A) = f ()dP() A A.
A

?
B :
Z
(B) = dP, B B.
B

P.
. , ,
B, .
- B, B1 , ..., Bk , -
. , -
A1 + ... + An = - .
B, IB ?
, , :
E(IB |B)() = P(B|Ai ), Ai ,
0.
4. , - B. ,
E(|B) = .
204

1. .
, ( Ai
Ai ).
, ,
E(a + b|B) = aE(|B) + bE(|B).
:
i) E(E(|B)) = E(),
ii) - B , ,
E(|B) = E(|B).
= IB B B,
, IB E(|B) (1). :
ii) , .
( .)
iii) , . . (0, 1)
(x + (1 )y) (x) + (1 )(y),

(E(|B)) E(()|B).

()

(E()) E(()).

()

, , :
p1 + ... + pn = 1, pi > 0,
(p1 x1 + ... + pn xn ) p1 (x1 ) + ... + pn (xn ).
(**) , ( ). : - B,
. -



E(|B). ( -, nk , k+1
,
n




N


N
N k N 1, , n
, n , ).
.
2. .
. t 0 - Ft A, Ft Fs
t s. - . t , t t
Ft t s
E(s |Ft ) = t .
{0} N.
, , F1 , , {...}
( 1/2), {...}
( 1/2). F2
{...}, {...}, {...}, {...} ( 1/4 ). Fn
205


n. n 1 n-
1 n- . P - Fn |n | 1. =
n /2n . ,
n

.
n = E(|Fn )
, (n ) , . ,
n =

n
X

..

i /2i .

i=1

, .
3. . (n ) (Fn ), supn E|n | < . (n ) .
.
.
+ = max{, 0}.
. 1 ,..., N a < b.
N (n )
[a, b], i (), i+1 (), ..., j (),
i < j, i () a, j () b, k () < b i < k < j.
E(N a)+
.
ba

EN

(2)

. i = (i a)+ . ,
i i = 0 j b a, i < j
k < b a i < k < j, .. j i.
Ak , , i () = 0 i < k
m () < b a i m < k. Ak
k. (!) i () = 0
j () b a, Ak , i < k j. ,
i j ,
ba

j1
X
(k+1 k )IAk+1 .
k=i

,
(b a)N

N
1
X

(i+1 i )IAi+1 .

(3)

i=1

, i () = 0,
. Ak , k > i.
(3) , ,

N
X
k () k1 () = N i 0.
k=i+1

206

. {x1 , ..., xn }. xi , i j(i) i xi + ... + xj(i) 0. ,

.
, : x max{x a, 0} , i =
(i ). iii)
E (i |Fi ) = i = (i ) = (E(i+1 |Fi )) E ( (i+1 ) |Fi ) = E (i+1 |Fi ) i.
, (3) IAi+1
i Fi . (2) (3),
i), ii), iii) :
"N 1
#
X
(b a)EN E
(i+1 i )IAi+1 =
i=1
N
1
X

1

 NX



E (i+1 i )IAi+1 =
E E (i+1 i )IAi+1 |Fi =

i=1

i=1

( i))
=

N
1
X



E IAi+1 E(i+1 i |Fi )

i=1

( ii); , iii) , E (i+1 i |Fi )

0, IAi+1 1, )

N
1
X

E[E(i+1 i |Fi )] =

i=1

( i) )
=

N
1
X

E(i+1 i ) = EN E1 EN .

i=1

( 1 ).
. , (n )()
A ( , ).

lim infn n () < lim supn n () A.
:
lim infn n () < a() < b() < lim supn n () A.
, a < b
Aa,b = { : lim infn n () < a < b < lim supn n ()}, A =

Aa,b .

a<b

, a b,
. ,
, PA > 0
a < b, PAa,b > 0. Aa,b Aa,b
(n ()) (a, b).
lim EN = PAa,b = .
N

207

 (2) E|n |.
, .
n .
4. .
, - Ft , t 0.
,
{ t} Ft t.
, t , .
. 1. S1 ,...,Sn ,
. , ES .
2. t , , .
, , .
3. , E(|Ft ) E(|Ft ) ?
5. .
. - F.

E(|F) = E. ..
( , -:
B A F { inB} A ).
, |E(|F)| Const,
|| Const . . , , ,
,
. , A B F. ,
P(A) E(IA |F).
, w(t)

Ft = -, w(s), s t.
, u t,
E(w(t)|Ft ) = w(t), E(w(u) w(t)|Ft ) = E(w(u) w(t)) = 0.
, w .
36.

( ). N . .
, , .
, ,
A B, B C, A C.
,
. , ,
.
1. .
208

 N . ,
, 1- (), 2, 3, ..., N - (), .
. ( , .)
n- ,
, .
n, ( ) ,
.
2. .
,
. .
. ,
N N ! , , || = N !. ,
= (1 , ..., N ) {1, 2, ..., N },
- - A .
.
-
A: , . - ( -).
- . : n- - (1 , ..., n ) = (1 , ..., N ),
n n . ,
- N !/(N n)! (
, (1 , ..., n ), (N n)!).
, 1 , ..., n .
.
, An n- n . (1 , ..., n ) {1, 2, ..., n}. An , (1 , ..., n )
(1 , ..., N ) , :
i, j
leqn o i < j , i < j . , An n!, N !/n!
.
3. .
.
(, A, P) -
{A1 , A2 , ..., AN = A} {1 , ..., N }, i
- Ai i. T {1, ..., N }. ,
:
{ n} An n {1, ..., N }.
( ). Ai , ,
.
209

 , i. ,
i ,
() i+1.
, i
(i)
= i.
, ,
V = sup {E : T} .
, ,
, n = 1, , n = N . Tn T,
{n, ..., N }. , T1 = T.
Vn = sup {E : Tn } .
TN N . N 1
TN 1 . ,

N,
N 1 () < E(N |AN 1 )(),
N 1 () =
N 1 N 1 () E(N |AN 1 )().
n , N =
N , n = max{n , E(n+1 |An )}.
n () = inf{i n : i () = i ()}.

(1)

n = 1 , - .
1) , n .
, .
, n = i , j < i
i () < i (), i i () = i ().
2) E (n |An ) = n E ( |An ) Tn .

n .
, 2). ,
E (|F) E (|F)

Z
Z
E (|F) dP E (|F) dP
A

A F. , A F,
Z
Z
dP = E (|F) dP.
A

. , 2) n
n 2) n = n 1. , A An1 , Tn1 .
0 = max{, n}.
Z
Z
Z
dP =
dP +
dP =
A

A{ n}

A{ =n1}

210

n1 dP +

0 dP =

A{ n}

A{ =n1}

( A An1 , { n} An1 (, ?),

An1 )
Z
Z
=
n1 dP +
E (E ( 0 |An ) |An1 ) dP
A{ n}

A{ =n1}

( n = n = 0 Tn )
Z
Z

n1 dP +
E (n |An1 ) dP
A{ n}

A{ =n1}

( , n1 n1 , E (n |An1 ), )
Z
n1 dP.
A

, n = n ,
n1 n {n1 n} , = n1
. ,
Z
Z
 


0
E E n1
|An |An1 dP =
E (E (n |An ) |An1 ) dP =
A{ n}

A{ n}

Z
E (n |An1 ) dP.

=
A{ n}


n1 =

n1
E(n |An1 )

{n1 = n 1}
{n1 n}.

4.
. , (1 , ..., N ) 1 N . i = 1 , i- .
, V = P{ = 1} . , i ,
, . V :
V = E( ),
n = P{n = 1|An }. , { = n} An .
:
V = P{ = 1} =

N Z
X

I{n =1} dP =

n=1 =n

N Z
X

E I{n =1} |An dP =

n=1 =n

N Z
X
n=1 =n

211

n dP = E .

 n - An -,
m n m , = (1 , ..., m ) i , i m, m . , ,
m , m n, (1 , ..., n )
An .
, n . , 1
n n, P{n = i} = 1/n i n,
P{1 = i1 , 2 = i2 , ..., N = iN } = 1/N !.
, n n . ,

n/N, n = 1,
n =
0,
n > 1.
. n > 1, n 1 i
n . An . I{n =1} 0 . 0
I{n =1} . n = 1. n
n . , n n/N . ,
n . n
. ,

1, N = 1,
N = N =
0, N > 1.
N AN 1
E (N |AN 1 ) = 1/N,
 N 1
N , N 1 = 1
N 1 = max{N 1 , E(N |AN 1 )} =
1/N, N 1 > 1,


1
N 2
N 2
1
1
E (N 1 |AN 2 ) =
+
=
+
.
N
N 1
N
N 1 N 2
,

1
1
1
+
+ ... +
.
N 1 N 2
N i

1
1
, , i1
N
N 1 + N 2 + ... +
E (i ) ==

i1
N

1
N i

i/N . , .
37. .
1. .
. t ( ),
,
Pt1 ,...tn = Pt1 +h,...tn +h
h, t1 ,...,tn . , [0, ),
(, ).
212

. t ,
() ,

Et = E0 t,
E[(t+h Et+h )(t Et )] = K (h) t h.

(1)

, . . , ( ), ,
.
.
w(t) , :


t := et w e2t .
, , , .
:




E(t t+h ) = et et+h w e2t w e2t2h = et et+h min{e2t , e2t2h } = eh , h > 0.
,

t = Z cos t, Z , R.
, (1), :
E[(t Et )(t Et )] = cos2 (t)EZ 2 ( t).
, t t :
t = Zeit .
(1)
E[(t+h Et+h )(t Et )] = K (h) t h.

(10 )

,
K (h) = Et t+h = eit ei(t+h) EZ 2 = eih EZ 2 .
, i :
X
t =
Zk eik t ,
k

Zk . (
, ,
t :
Z
t = eit dZ(),
()
R

213

 Z - R,
, A B
Z(A) Z(B) ( ) Z(A + B) = Z(A) + Z(B).
(*) .
2. .
,
K .
. K R ,

X
K(tj tk )j k 0
j,k

{tj } R {j } C. Z,
{tj } Z.
A. i) K : R C ,
. K
Z
K(t) = eit d(),
R

- R, (R) = K(0).
ii) K : Z C . K

Z
K(n) =
ein d(),
[,)

- [, ), ([, )) = K(0).
. , A B K(0).
B,
.
B. : R C
P (..
Z
eitx dP(x))

(t) =

(1)

,
i) (0) = 1,
ii) ,
iii) 0.
B,
.
A. K t
.
. ,
( ). (10 ) t = tk , t + h = tj . :
X
j,k


2



X 
X

K(tj tk )j k =
E tj tk j k = E 
tj j  0.
 j

j,k

214

 B. .
.
2


X

X
X  it


(tj tk )j k =
eitj j  0.
E e j eitk j k = E 

 j
j,k
j,k
B. . i) iii)
. . ii) B.
K,
C(K) C(K) ,
. , K , , .
1. t s R
a) (t) = (t),

b) |(t)| (0)

= 1,
2
c) |(t) (s)| 1 |(t s)|2 2<[(t)(s)(1

(t s))].
) iii) (!).
(2).
a) {t1 , t2 } = {0, t}, {1 , 2 } :
{1, 1} {1, i}. a) (t) (t),
. (!)
b) {t1 , t2 } = {0, t}, (2)
{1 , 2 } . (!)
) {t1 , t2 , t3 } = {0, t, s} (2) {1 , 2 , 3 }
((!)


 1
(t)
(s) 

 (t)
1
(t s)  0.

 (s)


(t
s)
1
2 ().
D = {. . . 3c, 2c, c, 0, c, 2c, 3c . . .}, c > 0,
, G [/c, +/c):
Z
(mc) =
eimcx dF (x).
(3)
[/c,+/c)

. [nc, nc] D (3):

G0n (x)

1
:=
2

n1
X
m=n+1

|m|
1
n

215

(mc)eimx = (?)

1 XX
((j k)c)ei(jk)x 0.
2n j=1
k=1

imx

e
m [, +), (?)


Z
Z
|m|
imx 0
(mc) =
e Gn (x)dx =
eimcx dFn (x),
(4)
1
n
[,+)

[/c,+/c)

Fn , Fn (/c) = 0, Fn (/c) = 1.(!)

dFn

dFnk dF . k (4),
(1). (!)
. ,
R. Qn Q
,
k/2n , k , n . Qn Q.
R
Qn .
2 n [2n , 2n )
dFn ,
Z
n
n
ei(k/2 )x dFn (x) k.
(5)
(k/2 ) =
[2n ,2n )

n dFn . (5) , n Q.
(n ) 0. ( ,
(!)),
(dFn ).
R
.
|(t) (t + h)|2 2|1 <(h)|.
R
. , (t) = eitx dP(x), P
R

R. :

2
Z 

Z

2
itx
i(t+h)x
|(t) (t + h)| =
e e
dP(x)
=

 itx 2
e  dP(x)



1 eihx 2 dP(x) = 1




eitx 1 eihx dP(x)



1 eihx eihx + 1 dP(x) =

Z
[2 cos(hx)] dP(x) = 2(1 <(h)).

=
R

. [0, 1/2n ]. cos [0, ] :

Z
1 <n (/2n ) =
(1 cos(x)dFn (2n x)
[,)

216

(1 cos xdFn (2n x) = 1 <(1/2n ).

[,)

h n h = (kn + n )/2n
(0 n < 1, kn ) |1 n (h)|2 :
|1 n (h)|2 2|1 n (kn /2n )|2 + 2|n (kn /2n ) n (h)|2
2|1 n (kn /2n )|2 + 4(1 <n (n /2n )2 2|1 n (kn /2n )|2 + 4(1 <n (1/2n )|2 =
= 2|1 (kn /2n )|2 + 4(1 <(1/2n )|2 .
,
h. ,
(n ) .
Fnk , F .
, , , . ,
n ,
.
. ,
, , . 0. , Fn , F
Fnk , ,
w
= F , Fn F .
, :
A. i) t R ( Z),
K : R C ( K : R C) .
Z
K(t) = eit d (),
R

- R, (R) = K(0) (
Z
K(n) =
ein d (),
[,)

- [, ), ([, )) = K(0).
,
d () = f ()d,
f .
4. .
,
.
. t (t R)
:
Z
t = eit dZ(),
()
R

Z - R,
, A B
Z(A) Z(B) ( ) Z(A + B) = Z(A) + Z(B).
217

 (*) . ,
Z. , t
eit L2 (R, B(R), ),
Lin{t : R} L2 ((, A, P).
. , Lin{ eit : t R}
L2 (R, B(R), ). Z(B) := 1 (IB ).
, eit L2 (R, B(R), ). , eit
L2 (R, B(R), ) . ,
I(,a] [b, c].
.
, ( ?)
I(,a] .
5.
{n bf N }.
[, ) ,
. n ,
K(n) I{0} (n). n ,
0 1. ,
Z
1
1 en d,
K(n) =
2
1
2
.
, ,
(
. [4]).
, n n , :
n = a0 n + a1 n1 + ... + am nm ,

,
. , n
ein , n
a0 ein + a1 ei(n1) + ... + am ei(nm) . K :
K (n) = E[0 n ] =
Z

(a0 ei0 + a1 ei + ... + am eim )(a0 ein + a1 ei(n1) + ... + am ei(nm) )f ()d =

=
Z

ei0 ein (a0 ei0 + a1 ei + ... + am eim )(a0 ei0 + a1 ei + ... + am eim )f ()d =

ei0 ein f ()d.


2
f () = f () a0 (ei0 + a1 ei + ... + am eim  .
, : n

n = a0 n + a1 n1 + ... + am nm ,
218

 n
n = b0 n + b1 n1 + ... + bm nk .

()

:
f () =

2
1
1
1 
a0 (ei0 + a1 ei + ... + am eim  , f () =
.
2
2 |b0 (ei0 + b1 ei + ... + bk eik |2

, ,
, n
n , (*) n , (*)
.

2
1 a0 (ei0 + a1 ei + ... + am eim 
.
(1)
2 |b0 (ei0 + b1 ei + ... + bk eik |2
, , .
n 1 Lin{0 , 1 , ...} ( L2 ), E(1 1 )2 .
, 1 Lin{0 , 1 , ...}, 1 1 Lin{0 , 1 , ...}, 1 1 n
n {0, 1, 2, ...}.
H = L2 ([, ), f ()d), f . n , n Z, Z
, ein , Lin{0 , 1 , ...}
H = L2 ([, ), f ()d), 1
g Lin{1 = ei0 , ei ei2 , ...},
ei g ein H n = 0, 1, 2, ...,
Z
(ei g())ein f ()d = 0 n = 0, 1, 2, ....

()

, f () =
(2 + ei )(2 + ei ). , f = f1 f2 ( f1 = 2 +
ei , f2 = 2 + ei ), f1 f11
ein , n = 0, 1, 2, ... ( f1 ),
f2 f21 ein , n = 0, 1, 2, ....
:
. u Lin{ei , ei2 , ...},
X
u() =
an ein , L2 ([, ), d),
()
n>0

v
X
v() =
bn ein , C([, )),
n0

uv
X
u()v() =
cn ein , L2 ([, ), d).
n>0

219

 d .
. v - .
L2 ([, ), d). ,
.
, .
L2 ([, ), d):

X
X
H+ := u|[, ) : u =
an ein ,
a2n < ,

n0

(
+ :=
H

u[, ) : u =

an ein ,

a2n < ,

n>0

X
X
H := u|[, ) : u =
an ein ,
a2n < ,

n0

(
:=
H

u[, ) : u =

an ein ,

a2n < .

n>0

,
H H+ , L2 ([, ), d) = H+ H
= H H
+,
H+ H
. (*)
(ei g())f1 ()f2 () ein n = 0, 1, 2,

( )

+ .
( ) (ei g())f1 ()f2 () H
(1)

(ei g())f1 () = (ei g())f1 ()f2 ()f2

+.
() H

, (***). : ei f1 ()
, H , g())f1 (), g
g())f1 () f11 ().
,
ei f1 () = 2ei + 1,
g())f1 () = 1,

( )

g()) = 1/f1 () = 1/2e0i 1/4ei + 1/8e2i 1/16e3i + ....

,
1 = 0 /2 1 /4 + 2 /8 3 /16 + ....
, (****) 1, . ,
, 0,
.
, , f = f1 f2
(1 + 2ei )(1 + 2ei ). 1
ein .
, , 1 + 2ei ei , 1 + 2ei ei ,
. ,
(1).
220

3. . n , n Z,
.
Z ,
Z
n =
ein dZ().
(1)
[,)

K(n) = E0 n .

!
XX
m

K(m n)m
n = E

XX
m

m n m
n


2
X



m m  0.
= E
m

, F [, )
Z , , F () =
EZ 2 (). .
H 2 Lin{n : n Z} ,

(, ) := E( ).
F (),

Z
Z
K(n) =
ein dF (), E(m n ) = K(m n) =
ei(mn) dF ().
[,)

[,)

: n ein , H 2
L2 ([, ), dF ). (??1), , .
I[0,) Z(). Z() Z(), Z(), 0 < < I[0,)
I[,) L2 ([, ), dF ).
F f , . , , ? n , N (0, 1) .

1, n = 0,
K (n) =
0, n 6= 0.
, n f () = 1/2,
, ein n d.
, n . ,
, ,
.
, f
n . , n n = a0 n + a1 n1 + ... + ak nk .
221

 n a0 ein + a1 ei(n1) + ... + ak ei(nk) , , 0 a0 ei0 + a1 ei(1) + ... + ak ei(k) ,

n
Z
K (n) =
ein f ()d =
[,)

Z
=

(a0 ein + a1 ei(n1) + ... + ak ei(nk) )(a0 ei0 + a1 ei(1) + ... + ak ei(k) )f ()d =

[,)

Z
=
[,)

2



ein a0 ei0 + a1 ei) + ... + ak eik  f ()d.

f f :

2


f () = a0 ei0 + a1 ei) + ... + ak eik  f ().
, n ,
.
n = a0 n + a1 n1 + ... + ak nk .
(n = n , n = n ),
f () =

2
1  i0

a0 e + a1 ei) + ... + ak eik  .
2

n , n : n = a0 n + a1 n1 + ... + ak nk . n = n , n = n .
f () =

1
1

 .
2 a0 ei0 + a1 ei) + ... + ak eik 2

(2)

. (an ) n . , a0 = 1,
a1 = 1, an = 0 n > 1, n n + ... + 1 = n 0 ,
D(n 0 ) = n . f () (2)(??2)
n , n = a0 n + a1 n1 + ... + ak nk , n =
b0 n + b1 n1 + ... + bs ns . ,

2
1 a0 ei0 + a1 ei) + ... + ak eik 
f () =

 .
2 b0 ei0 + b1 ei) + ... + bs eis 2

(3)

.
. ( ) 1
0 , 1 , .... , , , . c0 0 + c1 1 + .... :
0 (), 1 (), ...
c0 0 () + c1 1 () + .... .
0 < C1 f ()
C2 < . (??3 (3))?). (??4 ?). ,

222

L2 ([, ), f ()d), ei ei0 , ei(1) , ei(2) ,...,

g() = c0 1 + c1 ei(1) + c2 ei(2) ci , i = 0, 1, 2, ....
. L2 ([, ), f ()d) L2 ([, ), f ()d), ,
eik k.
L2 ([, ), d):
h0 ein , n 0, h>0 ein , n > 0. ein ,
h0 h>0 . , L2 ([, ), d) h0
h>0 .
L2 ([, ), d) ( L2 ([, ), f ()d));
C0 (, C0 ) , ein , n 0 (,
n 0). , L2 ([, ), d). , , . , ein , n 0, ein , n 0,
. C0 .
C0 C0 kf k = maxt |f (t)|
(??5).
: i) h0
C0 h0 , ii) h>0 C0
h>0 . , i). (??6),
fn f h0 , gn g C0 , fn gn f g h0 .
(??7).
: n n , n 0, . L2 ([, ), f ()d),
, n , n 0, ein , n 0, , , g, 1
ei g(). ,
ei g() ein n 0.
L2 ([, ), f ()d). :
Z
 i

e g() ei(n) f ()d) = 0n 0.
[,)

L2 ([, ), d) (??8):
 i

e g() f () h>0 ,
g() h0 .

(4)
(5)

:
f = f1 f2 , f1 C0 , f11 C0 , f2 = f1 C0 , f21 = C0 .
(4) i) (??9) (4)


h() := ei g() f1 h>0 .
,
ei f1 = g()f1 () + h(), g h0 , h h>0 .
223

(6)

 , i) (??10)
gf1 h0 , h h>0 .
, (?11):
ei f1 ein , n Z. ,
h0 , gf1 , f1 , g.
, , (3) . , ,
(3) [, ). (??12), (3)
f () = C

(z1 ei )(z1 ei ) (zn ei )(zn ei )

,
(u1 ei )(u1 ei ) (um ei )(um ei )

C , zk , uj (??13) ,
1. , zk , uj
1 (??14 ?). , |zk | < 1,
( C), :
(zk ei )(zk ei ) = (zk ei 1)(zk ei 1)ei ei = (ei

1
1
)(ei )|z k |2 .
zk
zk

(??15. ? ,
.) ,
f1 f2 :

f1 () =

(z1 ei ) (zn ei )
z1 ei ) (zn ei )
,
f
()
=
C
.
2
(u1 ei ) (um ei )
(u1 ei ) (um ei )

1
f1 C0 , (um e
i )
ik
e
, k 0,
. , C0 .
1
. n = n 2n1 . : f () = 2
(1 2ei )(1 2ei ),

f () = 2 1 12 ei 1 12 ei , f1 () = 2 1 21 ei , ei f1 () = 2 ei 12 , g()f1 () =

2 1
2



1
2
1 1
1

g() =
(f1 ())1 = ei e2i .
2
2 4
8

1 :
1
1
1
1 = 0 1 2 .
2
4
8
( ).
f (x) + t , t
.
. cos(at) . i sin(at),
eiat . , a [0, 2). f (x). . ?
3.
1. P
, n 1 ,..., n ,
P = P1 +...+n .
224

 :

Z 
itx
1 + x2
eitx 1
dG(x)
(6)
log G, (t) = it +
2
1+x
x2

G , , x = 0 t2 /2.
. G,
.
.

n
G, = G/n,/n ,
, G, G
. , ,
.
(6)
, .
,

Z 1/ 
n1
X
itx
1 + x2
dG(x)
=
lim
Tnk ,
eitx 1
2
2
n
1+x
x

k=0


Tnk =

eitk 1

itk
1 + k2

1 + k2
(G(xk+1 ) G(xk ),
k2

= x0 < ... < xn = 1/, xk k xk+1 , max |xk+1 xk | 0(n ).

k

Tnk


Tnk = itank + nk eitbnk 1 .
, eTnk ank
nk bnk ( 1, ).
2. {Xnk : k kn } ,
max P{|Xnk | } 0 n > 0.

kkn

(7)

2. {Xnk : k kn } , . Fnk Xnk ,

Z
ank =
xdFnk (x); Fnk (x) = Fnk (x + ank );
|x|<

Z
kn

X
x
nk (x) ;
d
F
n =
ank +

1 + x2
k=1

Gnk (x) =

kn Zx
X
k=1

y2
dFnk (y).
1 + y2

225


kn
X

Xnk

k=1

,
L

Gn G, n .
. Xnk nk , kn
kn
P
P
Xnk Pn .
Xnk n ,

k=1

k=1

|G, n | |G, Gn ,n | + |Gn ,n n |

, :
a) Gn ,n (t) G, (t) t R,
b) |Gn ,n (t) n (t)| 0 t R.
. ,
{Pn }.

226

-









- -


, -











.
.

227


, ,

1. .. . . , 1976.
2. .. . . . . , 1984.
3. .. , .. . . , 2003.
4. .. . . , 1975.
5. .. . . -
. 2006. 271 .
6. .. , .. , .. . . , 2006. 163 .
7. .. . . . , 1969.
8. .. , .. . . . 1967. 567
.
9. .. , .. . . - . 1984,
248 .
10. .. . . - . 1983. 328
.
11. .. , .. . . . , 1987.
12. .. . , 1976.
13. .. . . .: . . 2007. 472 .
14. ( .. ). - . 2006. 96 .
15. .. . , , . . Site KGU: http//www.ksu.ru. 188 .
16. .. . , .
- , 1985.
17. .. . . . ,
1982.
18. .. . . - , 1972.
19. .... . , 1980.
20. R. Bhattacharya, E.C. Waymire. A Basic Course in Probability theory. Springer. Universitext.
2007. ix+211.
21. L.C. Evans. An Introduction to Stochasstic Differential Equations. Version I,2. University
Berkeley. 139 p.
22. Jun Shao. Mathematical Statistics. Springer. 2003. xvi+591.
23. D. Kannan. An Introduction to Stochastic Processes. North Holland, 1979. xiii + 296 p.
24. O. Knill. Probability. 1994. 227 p. ( ).
25. L.B. Koralov, Ya.G. Sinai. Theory of Probability and Random Processes. Springer. Universitext.
2007. xi + 353 p.

26. .. . . . .
27. .. . . . . 1963.

228

28. (.. , .. ). . . , 1989. 38 c.

29. .. , .. , .. . . . 1986.
30. .. , .. , .. . .
. 1983.
31. .. , .. , .. .
. . . . 1980. 94 .
32. .. , .. . . .
. 1990. 171 .
33. Jun Shao. Mathematical Statistics: Exercises and Solutions. Springer. 2005.xxviii+359.

34. .. , .. . . . , 1983.
35. (. . .. ).
. , 1999.

36. .. . . - . 1973. 186 .

37. . . . . . . . . . 1967. 144 .
38. .. . . 1. . ,
2. . . . 1998.

229

. .
( ).
. . . k n
. () . .
. . .
. . .
.
. . . . :
.
. .
. . - .
. . (
), . - . ( , ).
(, , , , , ). .
. .
. ( ). . .
.
. . ( , , ). . .
, : ,
- ( ), .
( ).
.
.
. ( . ).
. .
(, , , , 2 , ). . .
.
. . . {0, +1, 1}
. ( ,
, ).
. . . . . .
. .

230

. . .
p .
. ( ). .
( , ..),
(, , , ,
, ,
).
, :
1) . , , , ,
. ,
, .
2) , .
.
3) , . ,
A B P(A B) = P(A) + P(B) ( , , P(A + B) = P(A) + P(B)). ,
. (
) P(A B) = P(A) + P(B) P(A)P(B).
, P(A + B) = P(A) + P(B) .
, P(A) = P() P(A) P(A) = P(A + B) P(B). ,
( )
, ( ).
4) .
5)
. (, ).
X
P{(, ) = (xi , yi )} = pi ,
pi = 1.
i

, P{(, )}, pi , (xi , yi ) B. ,

P{ = x} pi , xi = x (
B = {x} R).
, B . , .
(,
,
)
Z
p (x) =

p, (x, y)dy.
R

, B:
Z
P{ B} = p (x)dx =
B

Z
= P{(, ) B R} =

p, (x, y)dxdy.
BR

6) : :
P{(, ) B1 B2 } = P{ B1 } P{ B2 }.
231

 , x y

P{ = x, = y} = P{ = x} P{ = y}.

(1)

x B1
y B2 .

p, (x, y) = p (x) p (y)
(2)
x y, .
7) 1 ,
2 ,...,n , p.
8)
X
E =
xi P{ = xi },
i

xi . ,
(, ),
X
E =
xi P{ = xi , = yi },
i

(xi , yi ) (, ).
9)
Z
E = xp (x)dx.
R

, (, ),
Z Z
E =
xp, (x, y)dxdy.
R R

10) , ,
, E(E) = E ( ).
11) .
12) :
D = E( E)2 = E 2 (E)2 .
13. (D = D( + c)), , , ,
.
14) : m , 2 .
15) , .
. ,
,
. ,
, . .

232


:
. . , .
. . , .
. . . . .
. . . .
.
. , , . . . .
. , .
? (
)

. . . .
.
. . .
.
. . (
). 2 .

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

233

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

. , (
), (!) .

234


:
. , .
. . . . . . .
. , . . . .
. . . .
. . . ( ).
?
( )
1. .
2.
3.
4.
5. .

6. .
7.
8. .
9. .
10. , ?
11. ?
12. ?
13. ?

. .
. . .
p .
. .
. . . , , .
. .
. . .
.
.
: , , ,
. . .
. . .
. .
. .
. . . .

235

RT
. . 0 wt dwt .
.
. . . -. .
. . . : .

236

 (. [30])
1. :
Zx
(x) =

x2
1
e 2 dx.
2

x. 104 .


 x
0
1
2
3
4
5
6
7
8
9 

 0.0 5000 5040 5080 5120 5160 5200 5239 5279 5319 5359 


 0.1 5398 5438 5478 5517 5557 5596 5636 5675 5714 5753 


 0.2 5793 5832 5871 5910 5948 5987 6026 6064 6103 6141 


 0.3 6179 6217 6256 693 6331 6338 6406 6443 6480 6517 


 0.4 6554 6591 6628 6664 6700 6736 6772 6808 6844 6879 


 0.5 6915 6950 6985 7019 7054 7088 7123 7157 7190 7224 


 0.6 7257 7291 7324 7357 7389 7422 7454 7486 7517 7549 


 0.7 7580 7611 7642 7673 7703 7734 7764 7794 7823 7852 


 0.8 7881 7910 7939 7967 7995 8023 8051 8078 8106 8133 


 0.9 8159 8186 8212 8238 8264 8289 8315 8340 8365 8389 


 1.0 8413 8437 8461 8485 8508 8381 8554 8577 8599 8621 


 1.1
864 8665 8686 8708 8729 8749 8770 8790 8810 8831 

 1.2 8849 8869 8888 8907 8925 8944 8962 8980 8997 9015 


 1.3 9032 9049 9066 9082 9099 9115 9131 9147 9162 9177 


 1.4 9192 9207 9222 9236 9251 9255 9279 9292 9306 9319 


 1.5 9332 9345 9357 9370 9382 9394 9406 9418 9429 9441 


 1.6 9452 9463 9474 9484 9495 9505 9515 9525 9535 9545 


 1.7 9554 9564 9573 9582 8591 9599 9608 9616 9625 9633 


 1.8 9641 9649 9656 9664 9671 9678 9686 9693 9699 9705 


 1.9 9713 9719 9726 9732 9738 9744 9750 9756 9761 9767 


 2.0 9772 9778 9783 9788 9793 9798 9803 9808 9812 9817 


 2.1 9821 9825 9830 9834 9838 9842 9846 9850 9854 9857 


 2.2 9861 9864 9868 9871 9875 9878 9881 9884 9887 9890 


 2.3 9893 9896 9898 9901 9904 9906 9909 9911 9913 9915 


 2.4 9918 9920 9922 9925 9927 9929 9931 9932 9934 9936 


 2.5 9938 9940 9941 9943 9945 9946 9948 9949 9951 9952 


 2.6 9953 9955 9956 9957 9959 9960 9961 9962 9963 9964 


 2.7 9965 9966 9967 9968 9969 9970 9971 9972 9973 9974 


 2.8 9974 9975 9976 9977 9977 9978 9979 9979 9980 9981 


 2.9 9981 9982 9982 9983 9984 9984 9985 9985 9986 9986 


 3.0 9987 9987 9987 9988 9988 9989 9989 9989 9990 9990 

237

 2. (1 p)- q 2 : P{2n > q} = p.


n\p

 2

 3

 4

 5

 6

 7

 8

 9

 10

 11

 12

 13

 14

 15

 16

 17

 18

 19

 20

 21

 22

 23

 24

 25

 26

 27

 28

 29

 30

 31

 32

 33

 34

 35

 36

 37

 38

 39

 40

0.995
0.0100
0.0717
0.207
0.412
0.676
0.989
1.344
1.735
2.156
2.603
3.074
3.565
4.075
4.601
5.142
5.697
6.265
6.844
7.434
8.034
8.643
9.260
9.886
10.520
11.160
11.808
12.461
13.121
13.787
14.458
15.134
15.815
16.501
17.192
17.887
18.586
19.289
19.996
20.707

0.99
0.0201
0.115
0.297
0.554
0.872
1.239
1.646
2.088
2.558
3.053
3.571
4.107
4.660
5.229
5.812
6.408
7.015
7.633
8.260
8.897
9.542
10.196
10.856
11.524
12.198
12.879
13.565
14.256
14.953
15.655
16.362
17.073
17.789
18.509
19.233
19.960
20.691
21.426
22.164

0.975
0.0506
0.216
0.484
0.831
1.237
1.690
2.180
2.700
3.247
3.816
4.404
5.009
5.629
6.262
6.908
7.564
8.231
8.907
9.591
10.283
10.982
11.688
12.401
13.120
13.844
14.573
15.308
16.047
16.791
17.539
18.291
19.047
19.806
20.569
21.336
22.106
22.878
23.654
24.433

0.95
0.103
0.352
0.711
1.145
1.635
2.167
2.733
3.325
3.940
4.575
5.226
5.892
6.571
7.261
7.962
8.672
9.390
10.117
10.851
11.591
12.338
13.091
13.848
14.611
15.379
16.151
16.928
17.708
18.493
19.281
20.072
20.867
21.664
22.465
23.269
24.075
24.884
25.695
26.509

0.9
0.211
0.584
1.064
1.610
2.204
2.833
3.490
4.168
4.865
5.578
6.304
7.042
7.790
8.547
9.312
10.085
10.865
11.651
12.443
13.240
14.041
14.848
15.659
16.473
17.292
18.114
18.939
19.768
20.599
21.434
22.271
23.110
23.952
24.797
25.643
26.492
27.343
28.196
29.051

238

0.1
0.05
4.605
5.991
6.251
7.815
7.779
9.488
9.236 11.070
10.645 12.592
12.017 14.067
13.362 15.507
14.684 16.919
15.987 18.307
17.275 19.675
18.549 21.026
19.812 22.362
21.064 23.685
22.307 24.996
23.542 26.296
24.769 27.587
25.989 28.869
27.204 30.144
28.412 31.410
29.615 32.671
30.813 33.924
32.007 35.172
33.196 36.415
34.382 37.652
35.563 38.885
36.741 40.113
37.916 41.337
39.087 42.557
40.256 43.773
41.422 44.985
42.585 46.194
43.745 47.400
44.903 48.602
46.059 49.802
47.212 50.998
48.363 52.192
49.513 53.384
50.660 54, 572
51.805 55.758

0.025
7.378
9.348
11.143
12.832
14.449
16.013
17.535
19.023
20.483
21.920
23.336
24.736
26.119
27.488
28.845
30.191
31.526
32.852
34.170
35.479
36.781
38.076
39.364
40.646
41.923
43.194
44.461
45.722
46.979
48.232
49.480
50.725
51.966
53.203
54.437
55.668
56.895
58.120
59.342

0.01
9.210
11.345
13.277
15.086
16.812
18.475
20.090
21.666
23.209
24.725
26.217
27.688
29.141
30.578
32.000
33.409
34.805
36.191
37.566
38.932
40.289
41.638
42.980
44.314
45.642
46.963
48.278
49.588
50.892
52.191
53.486
54.776
56.061
57.342
58.619
59.892
61.162
62.428
63.691

0.005
10.597
12.838
14.860
16.750
18.548
20.278
21.955
23.589
25.188
26.757
28.300
29.819
31.319
32.801
34.267
35.718
37.156
38.582
39.997
41.401
42.796
44.181
45.558
46.928
48.290
49.645
50.993
52.336
53.672
55.003
56.328
57.648
58.964
60.275
61.581
62.882
64.181
65.476
66.766

 3. (1 p)- q
tn : P{tn > q} = p.


n\p

 1

 2

 3

 4

 5

 6

 7

 8

 9

 10

 11

 12

 13

 14

 15

 16

 17

 18

 19

 20

 21

 22

 23

 24

 25

 26

 27

0.05
6.3138
2.9200
3534
1318
4759
1.9432
8946
8595
8331
8125
1.7959
7823
7709
7613
7530
1.7459
7396
7341
7291
7247
1.7207
7171
7139
7109
7081
7056
1.7033

0.025
12.7062
4.3027
3.1824
2.7764
5706
2.4469
3646
3060
2622
2281
2.2010
1788
1604
1448
1314
2.1199
1098
1009
0930
0860
2.0796
0739
0687
0639
0595
0555
2.0518

0.01
31.8205
6.9646
4.5407
3.7469
3649
3.1427
2.9980
8965
8214
7638
2.7181
6810
6503
6245
6025
2.5835
5669
5524
5395
5280
2.5176
5083
4999
4922
4851
4786
2.4727

0.005
63.6567
9.9248
5.8409
4.6041
0321
3.7074
4995
3554
2498
1693
3.1058
0545
0123
2.9768
9467
2.9208
8982
8784
8609
8453
2.8314
8188
8073
7969
7874
7787
2.7707

239


 n\p

 28

 29

 30

 32

 34

 36

 38

 40

 42

 44

 46

 48

 50

 55

 60

 65

 70

 80

 90

 100

 120

 150

 200

 250

 300

 400

 500

0.05
1.7011
6991
6973
6939
6909
6883
6860
6839
1.6820
6802
6787
6772
6759
2.6730
6706
6686
6669
6641
6620
1.6602
6577
6551
6525
1.6510
6499
6487
1.6479

0.025
2.0484
0452
0423
0369
0322
0281
0244
0211
2.0181
0154
0129
0106
0086
2.0040
0003
1.9971
9944
9901
9867
1.9840
9799
9759
9719
1.9695
9679
9659
1.9647

0.01
2.4671
4620
4573
4487
4411
4345
4286
4233
2.4185
4141
4102
4066
4033
2.3961
3901
3851
3808
3739
3685
2.3642
3578
3515
3451
2.3414
3388
3357
2.3338

0.005
2.7633
7564
7500
7385
7284
7195
7116
7045
2.6981
6923
6870
6822
6778
2.6682
6603
6536
6479
6387
6316
2.6259
6174
6090
6006
2.5956
5923
5882
2.5857

 4. 0.95- q
Fm,n =


 n\m
1


1
161.45


2 18.513


3 10.128


7.7086
4


5
6.6079


6
5.9874


7
5.5914


8
5.3177


9
5.1174


10
4.9646


11
4.8443


12
4.7472


13
4.6672


14
4.6001


15
4.5431


16 4.4940

2
199.50
19.000
9.5521
6.9443
5.7861
5.1433
4.7374
4.4590
4.2565
4.1028
3.9823
3.8853
3.8056
3.7389
3.6823
3.6337

3
215.71
19.164
9.2766
6.5914
5.4095
4.7571
4.3468
4.0662
3.8626
3.7083
3.5874
3.4903
3.4105
3.3439
3.2874
3.2389

n2m
, P{Fm.n > q} = 0.05.
m2n

4
224.58
19.247
9.1172
6.3883
5.1922
4.5337
4.1203
3.8378
3.6331
3.4780
3.3567
3.2592
3.1791
3.1122
3.0556
3.0069

5
230.16
19.296
9.0135
6.2560
5.0503
4.3874
4.9715
3.6875
3.4817
3.3258
3.2039
3.1059
3.0254
2.9582
2.9013
2.8524

6
233.99
19.330
8.9406
6.1631
4.9503
4.2839
3.8660
3.5806
3.3738
3.2172
3.0946
2.9961
2.9153
2.8477
2.7905
2.7413

7
236.77
19.353
8.8868
6.0942
4.8759
4.2066
3.7870
3.5005
3.2927
3.1355
3.0123
2.9134
2.8321
2.7642
2.7066
2.6572

8
238.88
19.371
8.8452
6.0410
4.8183
4.1468
3.7257
3.4381
3.2296
3.0717
2.9480
2.8486
2.7669
2.6987
2.6408
2.5911

9
240.54
19.385
8.8123
5.9988
4.7725
4.0990
3.6767
3.3881
3.1789
3.0204
2.8962
2.7964
2.7144
2.6458
2.5876
2.5377

,
(x1 , ..., xn ) :
n

x1 + ... + xn
1X
x
=
(xi x
)2 .
, s2 =
n
n i=1
5. (1 p)- q
(x1 , ..., xn )
n
1X
(xi x
)4
n i=1
[30] b2 =
.
s4
q P {b2 > q} = p.

 n\p


50

 100

 150

 200

 250

0.01
4.92
4.40
4.14
3.98
3.87

0.05
4.01
3.77
3.66
3.57
3.51

0.95
2.13
2.35
2.45
2.51
2.55

0.99
1.95
2.18
2.30
2.37
2.42

6. (1 p)- q
g1 (x1 , ..., xn )
n
1X
(xi x
)3
n i=1
.
[30] g1 =
s3
q P {g1 > q} = p.
240


 n \ p 0.05
0.01


25
0.711
1.061


30 0.661 0.982


35 0.621 0.921


40 0.587 0.869


45 0.558 0.825


50 0.533 9, 787


60 9.492 0.723


70 0.459 0.673


80 0.432 0.631


90 0.409 0.596

 100 0.389 0.567

Dg1
0.4354
0.4052
0.3804
0.3596
0.3418
0.3264
0.3009
0.2806
0.2638
0.2498
0.2377

7. (1 p)- q
d (x1 , ..., xn )
n
1X
|xi x
|
n i=1
d=
.
s
q P {d > q} = p.

 n\p


11


16


21


26


31


36


41


46


51


61


71


81


91

 101

0.01
0.05
0.1
0.9359 0.9073 0.8899
9137
8884
8733
9001
8768
8631
8901
8686
8570
8827
8625
8511
8769
8578
8468
8722
8540
8436
8682
8508
8409
8648
8481
8385
0.8592 0.8434 0.8349
8549
8403
8321
8515
8376
8298
8484
8353
8279
8460
8344
8264

0.9
0.95
0.99
0.7409 0.7153 0.6675
7452
7236
6829
7495
7304
6950
7530
7360
7040
7559
7404
7110
7583
7440
7167
7604
7470
7216
7621
7496
7256
7636
7518
7291
0.7662 0.7554 0.7347
7683
7583
7393
7700
7607
7430
7714
7626
7460
7726
7644
7487

Dd
0.05784
0.04976
0.04419
0.04011
0.03697
0.03447
0.03241
0.03068
0.02919
0.02678
0.02487
0.02332
0.02203
0.02094

. 6 7 n, , [30] .

n,

Dg1 6

Dd 7. :
Dg1 =
1
Dd =
n

6(n 2)
(n + 1)(n + 3)

"

#2


2 p
1
n 1 n1
2

1+
n(n 2) + arcsin

n1

n2

8.
(x1 , ..., xn )
241

 n p(n) = P{ r(n)},
r(n) ( ), n .

r(4)
15
25
35
45
1

p(4)
0.458
0.375
0.208
0.167
0.042

r(5)
p(5)
12
120
0.475
24
120
0.392
36
120
0.342
48
120
0.258
60
120
0.225
72
120
0, 175
84
120
0.117
96
120
0.067
108
120
0.042
1 0.0083

r(6)
90
210
102
210
114
210
126
210
138
210
150
210
162
210
174
210
186
210
198
210

p(6)
0.210
0.178
0.149
0.121
0.088
0.068
0.051
0.029
0.017
0.0083

r(7)
116
336
128
336
140
336
152
336
164
336
176
336
188
336
200
336
212
336
224
336

242

p(7)
0.249
0.198
0.151
0.118
0.083
0.055
0.033
0.017
0.0062
0.0014

r(8)
144
504
180
504
216
504
252
504
288
504
324
504
360
504
396
504
432
504
468
504

p(8)
0.250
0.195
0.150
0.108
0.076
0.048
0.029
0.014
0.0054
0.0011

r(9)
216
720
264
720
312
720
360
720
408
720
456
720
504
720
552
720
600
720
648
720

p(9) r(10)
p(10
0.218 258
0.235
990
0.168 318
0.184
990
0.125 378
0.139
990
0.089 438
0.102
990
0.060 498
0.072
990
0.038 558
0.048
990
0.022 618
0.030
990
0.011 678
0.017
990
738
0.0041 990 0.0087
0.0010 798
0.0036
990