文章讨论了随机过程中的期望值和协方差计算，包括离散随机变量序列的线性组合、连续随机变量的线性函数以及特定条件下的概率求解。还涉及中心极限定理在实际问题中的应用。
随机过程Hw2
1、设
ξ
1
,
ξ
2
,
⋯
,
ξ
n
\xi_1,\xi_2,\cdots,\xi_n
ξ1,ξ2,⋯,ξn独立同分布，
ξ
i
\xi_{i}
ξi~
U
(
0
,
1
)
U(0,1)
U(0,1),对
0
≤
t
≤
1
0\leq t\leq1
0≤t≤1定义
X
(
t
)
=
1
n
∑
i
=
1
n
1
ξ
i
≤
t
X(t)=\frac{1}{n}\sum_{i=1}^n1_{\xi_{i}\leq t}
X(t)=n1∑i=1n1ξi≤t
求EX(t)，cov(X(s),X(t)).
solution
(1)
E
(
x
)
=
E
(
1
n
∑
i
=
1
n
1
ξ
i
≤
t
)
=
1
n
∑
i
=
1
n
P
(
ξ
i
≤
t
)
=
t
\begin{align} E(x)&=E(\frac{1}{n}\sum_{i=1}^n1_{\xi_{i}\leq t})\notag\\ &=\frac{1}{n}\sum_{i=1}^nP(\xi_{i}\leq t)=t\notag \end{align}
E(x)=E(n1i=1∑n1ξi≤t)=n1i=1∑nP(ξi≤t)=t
c
o
v
(
X
(
s
)
,
X
(
t
)
)
=
E
X
(
S
)
X
(
t
)
−
E
X
(
S
)
E
X
(
t
)
=
E
(
1
n
2
∑
i
=
1
n
∑
j
=
1
n
1
ξ
i
≤
s
1
ξ
j
≤
t
)
−
s
t
=
(
n
2
−
n
)
s
t
−
n
(
s
∧
t
)
n
2
−
s
t
=
s
∧
t
−
s
t
n
\begin{align} cov(X(s),X(t))&=EX(S)X(t)-EX(S)EX(t)\notag\\ &=E(\frac{1}{n^2}\sum_{i=1}^n\sum_{j=1}^n1_{\xi_{i}\leq s}1_{\xi_{j}\leq t})-st\notag\\ &=\frac{(n^2-n)st-n(s\wedge t)}{n^2}-st\notag\\ &=\frac{s\wedge t-st}{n}\notag \end{align}
cov(X(s),X(t))=EX(S)X(t)−EX(S)EX(t)=E(n21i=1∑nj=1∑n1ξi≤s1ξj≤t)−st=n2(n2−n)st−n(s∧t)−st=ns∧t−st
2、令
{
Z
n
;
n
∈
Z
}
\{Z_n;n\in Z\}
{Zn;n∈Z}是两两不相关随机变量序列，
E
Z
n
=
0
,
V
a
r
Z
n
=
1
EZ_n=0,VarZ_n=1
EZn=0,VarZn=1,令
X
n
=
∑
i
=
0
r
α
i
Z
n
−
i
,
n
∈
Z
X_n=\sum_{i=0}^r\alpha_iZ_{n-i},n\in Z
Xn=i=0∑rαiZn−i,n∈Z
这里
r
≥
1
r\geq 1
r≥1,
α
0
,
α
1
,
α
2
,
⋯
,
α
r
\alpha_0,\alpha_1,\alpha_2,\cdots,\alpha_r
α0,α1,α2,⋯,αr为常数.
求
E
X
n
和
C
o
v
(
X
n
,
X
m
)
EX_n和Cov(X_n,X_m)
EXn和Cov(Xn,Xm).
Solution
E
X
n
=
0
EX_n=0
EXn=0
C
o
v
(
X
n
,
X
m
)
=
E
X
n
X
m
−
E
X
n
E
X
m
=
E
(
∑
i
=
0
r
α
i
Z
n
−
i
∑
j
=
0
r
α
j
Z
n
−
j
)
(
不妨设
n
≤
m
)
=
{
0
∣
m
−
n
∣
>
r
∑
k
=
0
r
−
∣
m
−
n
∣
α
k
α
k
+
∣
m
−
n
∣
∣
m
−
n
∣
≤
r
\begin{align} Cov(X_n,X_m)&=EX_nX_m-EX_nEX_m\notag\\ &=E(\sum_{i=0}^r\alpha_iZ_{n-i}\sum_{j=0}^r\alpha_jZ_{n-j})(不妨设n\leq m)\notag\\ &= \begin{cases} 0 & |m-n|>r\notag\\ \sum_{k=0}^{r-|m-n|}\alpha_k\alpha_{k+|m-n|} & |m-n|\leq r\notag \end{cases} \end{align}
Cov(Xn,Xm)=EXnXm−EXnEXm=E(i=0∑rαiZn−ij=0∑rαjZn−j)(不妨设n≤m)={0∑k=0r−∣m−n∣αkαk+∣m−n∣∣m−n∣>r∣m−n∣≤r
3、设
X
(
t
)
=
A
t
+
(
1
−
∣
A
∣
)
B
,
t
≥
0
X(t)=At+(1-|A|)B,t\geq 0
X(t)=At+(1−∣A∣)B,t≥0,这里A和B独立同分布，
P
(
A
=
0
)
=
P
(
A
=
1
)
=
P
(
A
=
−
1
)
=
1
3
P(A=0)=P(A=1)=P(A=-1)=\frac{1}{3}
P(A=0)=P(A=1)=P(A=−1)=31
(1)写出{
X
(
t
)
X(t)
X(t)}的所有样本函数
(2)计算
P
(
X
(
1
)
=
1
)
,
P
(
X
(
2
)
=
1
)
,
P
(
X
(
1
)
=
1
,
X
(
2
)
=
1
)
P(X(1)=1),P(X(2)=1),P(X(1)=1,X(2)=1)
P(X(1)=1),P(X(2)=1),P(X(1)=1,X(2)=1).
Solution
(1)
X
(
t
)
=
{
0
A
=
0
,
B
=
0
,
1
A
=
0
,
B
=
1
,
−
1
A
=
0
,
B
=
−
1
,
t
A
=
1
,
−
t
A
−
−
1.
X(t)= \begin{cases} 0 & A=0,B=0,\\ 1 & A=0,B=1,\\ -1 & A=0,B=-1,\\ t & A=1,\\ -t & A--1. \end{cases}
X(t)=⎩
⎨
⎧01−1t−tA=0,B=0,A=0,B=1,A=0,B=−1,A=1,A−−1.
(2)
P
(
X
(
1
)
=
1
)
=
4
9
P
(
X
(
2
)
=
1
)
=
1
9
P
(
X
(
1
)
=
1
,
X
(
2
)
=
1
)
=
1
9
P(X(1)=1)=\frac{4}{9}\\ P(X(2)=1)=\frac{1}{9}\\ P(X(1)=1,X(2)=1)=\frac{1}{9}
P(X(1)=1)=94P(X(2)=1)=91P(X(1)=1,X(2)=1)=91
4、设
Z
(
t
)
=
A
X
t
+
1
−
A
,
t
≥
0
Z(t)=AXt+1-A,t\geq 0
Z(t)=AXt+1−A,t≥0,这里A和X相互独立，
P
(
A
=
0
)
=
P
(
A
=
1
)
=
1
2
P(A=0)=P(A=1)=\frac{1}{2}
P(A=0)=P(A=1)=21,X~ N(1,1).
(1)计算
P
(
Z
(
1
)
<
1
)
,
P
(
Z
(
2
)
<
2
)
,
P
(
Z
(
1
)
<
1
,
Z
(
2
)
<
2
)
;
P(Z(1)<1),P(Z(2)<2),P(Z(1)<1,Z(2)<2);
P(Z(1)<1),P(Z(2)<2),P(Z(1)<1,Z(2)<2);
(2)计算
μ
Z
(
t
)
,
R
Z
(
s
,
t
)
\mu_Z(t),R_Z(s,t)
μZ(t),RZ(s,t)
Solution
(
1
)
P
(
Z
(
1
)
<
1
)
=
1
4
P
(
Z
(
2
)
<
2
)
=
3
4
P
(
Z
(
1
)
<
1
,
Z
(
2
)
<
2
)
=
1
4
(1)P(Z(1)<1)=\frac{1}{4}\\ P(Z(2)<2)=\frac{3}{4}\\ P(Z(1)<1,Z(2)<2)=\frac{1}{4}
(1)P(Z(1)<1)=41P(Z(2)<2)=43P(Z(1)<1,Z(2)<2)=41
(2)
R
Z
(
s
,
t
)
=
E
(
Z
(
s
)
Z
(
t
)
)
=
E
[
A
2
X
2
s
t
+
A
(
1
−
A
)
X
(
s
+
t
)
+
(
1
−
A
)
2
]
=
s
t
E
A
2
E
X
2
+
(
s
+
t
)
E
[
A
(
1
−
A
)
]
E
X
+
E
(
1
−
A
)
2
=
s
t
+
1
2
\begin{align} R_Z(s,t)&=E(Z(s)Z(t))\notag\\ &=E[A^2X^2st+A(1-A)X(s+t)+(1-A)^2]\notag\\ &=stEA^2EX^2+(s+t)E[A(1-A)]EX+E(1-A)^2\notag\\ &=st+\frac{1}{2}\notag \end{align}
RZ(s,t)=E(Z(s)Z(t))=E[A2X2st+A(1−A)X(s+t)+(1−A)2]=stEA2EX2+(s+t)E[A(1−A)]EX+E(1−A)2=st+21
5、独立重复投掷一颗均匀的骰子，用
Z
n
Z_n
Zn表示前n次中掷出6点的次数
(1)计算
P
(
Z
2
=
1
,
Z
5
=
3
,
Z
7
=
5
)
P(Z_2=1,Z_5=3,Z_7=5)
P(Z2=1,Z5=3,Z7=5)；
(2)求
P
(
Z
18000
>
2900
)
P(Z_{18000}>2900)
P(Z18000>2900)的近似值
(3)若掷骰子一直到刚好出现20次6点为止，问需掷多于180次的概率近似为多少.
Solution
(1)
P
(
Z
2
=
1
,
Z
5
=
3
,
Z
7
=
5
)
=
P
(
Z
7
=
5
∣
Z
5
=
3
,
Z
2
=
1
)
P
(
Z
5
=
3
∣
Z
2
=
1
)
P
(
Z
2
=
1
)
=
P
(
Z
2
=
2
)
P
(
Z
3
=
2
)
P
(
Z
2
=
1
)
=
25
46656
\begin{align} &P(Z_2=1,Z_5=3,Z_7=5)\notag\\ &=P(Z_7=5 |Z_5=3,Z_2=1)P(Z_5=3 |Z_2=1)P(Z_2=1)\notag\\ &=P(Z_2=2)P(Z_3=2)P(Z_2=1)\notag\\ &=\frac{25}{46656}\notag \end{align}
P(Z2=1,Z5=3,Z7=5)=P(Z7=5∣Z5=3,Z2=1)P(Z5=3∣Z2=1)P(Z2=1)=P(Z2=2)P(Z3=2)P(Z2=1)=4665625
(2)
E
Z
18000
=
3000
,
V
a
r
Z
18000
=
2500
P
(
Z
18000
>
2900
)
=
P
(
Z
18000
−
3000
2500
>
2900
−
3000
2500
)
≈
1
−
Φ
(
−
2
)
≈
0.9772
\begin{align} &EZ_{18000}=3000,VarZ_{18000}=2500\notag\\ &P(Z_{18000}>2900)\notag\\ &=P(\frac{Z_{18000}-3000}{\sqrt{2500}}>\frac{2900-3000}{\sqrt{2500}})\notag\\ &\approx1-\Phi(-2)\notag\\ &\approx0.9772\notag \end{align}
EZ18000=3000,VarZ18000=2500P(Z18000>2900)=P(2500Z18000−3000>25002900−3000)≈1−Φ(−2)≈0.9772
(3)
将问题转化为，投掷180次后点数等于6的次数小于等于19，类似第二题由中心极限定理可得：
P
(
Z
180
>
19
)
=
P
(
Z
180
−
30
25
≤
19
−
30
25
)
≈
Φ
(
−
2.2
)
≈
0.0139
\begin{align} &P(Z_{180}>19)\notag\\ &=P(\frac{Z_{180}-30}{\sqrt{25}}\leq\frac{19-30}{\sqrt{25}})\notag\\ &\approx\Phi(-2.2)\notag\\ &\approx0.0139\notag \end{align}
P(Z180>19)=P(25Z180−30≤2519−30)≈Φ(−2.2)≈0.0139
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