Stochastic Process 2nd (Sheldon M.Ross)_(stochastic processes sheldon ross-CSDN博客

本文链接：https://blog.csdn.net/SQBbone/article/details/109181312

本文介绍了概率论的基础知识，包括概率的三个公理、事件的简单推论、递增和递减序列事件以及博雷尔-坎特利引理。通过对事件序列的极限操作，阐述了概率的性质和计算，如独立事件的无限序列及其概率极限。

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1 Probability

For each event $E$ of the sample space $S$ a number $P (E)$ is de fined and satisfies the following three axioms:

Axiom 1 $\leqslant P(E) \leqslant 1$
Axiom 2 $P (S) = 1$
Axiom 3 For any sequence of events $E_1$ , $E_2$ , … that are mutually exclusive, that is, events for which $E_iE_j=\varPhi$ when $\ne j$ (where the $\varPhi$ is the null set),
$P\left( \bigcup_{i=1}^{\infty}{E_i} \right) =\sum_{i=1}^{\infty}{P\left( E_i \right)}$

We refer to $P (E)$ as the probability of the event of E, and we can deduce some simple consequences of three axioms.

If $E\subset F$ , then $\leqslant P(F)$ .
$P(E^c) = 1- P(E)$ , where $E^c$ is the complement of E.
$P\left( \bigcup_{i=1}^{n}{E_i} \right) =\sum_{i=1}^{n}{P\left( E_i \right)}$ , when the $E_i$ are mutually exclusive.
$P\left( \bigcup_{i=1}^{\infty}{E_i} \right) \leqslant \sum_{i=1}^{\infty}{P\left( E_i \right)}$

If $\left\{ E_n,n\geqslant 1 \right\}$ is an increasing sequence of events, then we define a new event, denoted by $\underset{n\rightarrow \infty}{\lim}E_n$ by
$\underset{n\rightarrow \infty}{\lim}E_n=\bigcup_{i=1}^{\infty}{E_i}\,\,\,\,when\,E_n\subset E_{n+1},n\geqslant 1$
If $\left\{ E_n,n\geqslant 1 \right\}$ is a decreasing sequence of events, then we define a new event, denoted by $\underset{n\rightarrow \infty}{\lim}E_n$ by
$\underset{n\rightarrow \infty}{\lim}E_n=\bigcup_{i=1}^{\infty}{E_i}\,\,\, when\,E_n\supset E_{n+1},n\geqslant 1$