chapter2随机过程的基本概念

分布函数的定义

对于给定的$[X(t_1),X(t_2),.....,X(t_n)]$的联合分布函数:
F ( t 1 , t 2 , ⋯   , t n ; x 1 , x 2 , ⋯   , x n ) = P { X ( t 1 ) ≤ x 1 , X ( t 2 ) ≤ x 2 , ⋯   , X ( t n ) ≤ x n } \begin{array}{l} F\left(t_{1}, t_{2}, \cdots, t_{n} ; x_{1}, x_{2}, \cdots, x_{n}\right)= \\ \quad P\left\{X\left(t_{1}\right) \leq x_{1}, X\left(t_{2}\right) \leq x_{2}, \cdots, X\left(t_{n}\right) \leq x_{n}\right\} \end{array} F(t1​,t2​,⋯,tn​;x1​,x2​,⋯,xn​)=P{X(t1​)≤x1​,X(t2​)≤x2​,⋯,X(tn​)≤xn​}​
称为过程的n维分布函数,记:
F ≜ { F ( t 1 , t 2 , ⋯   , t n ; x 1 , x 2 , … , x n ) : t i ∈ T , x i ∈ R i , i = 1 , 2 , ⋯   , n , n > 0 } \begin{aligned} F \triangleq &\left\{F\left(t_{1}, t_{2}, \cdots, t_{n} ; x_{1}, x_{2}, \ldots, x_{n}\right):\right.\\ &\left.t_{i} \in T, x_{i} \in R_{i}, i=1,2, \cdots, n, n>0\right\} \end{aligned} F≜​{F(t1​,t2​,⋯,tn​;x1​,x2​,…,xn​):ti​∈T,xi​∈Ri​,i=1,2,⋯,n,n>0}​
称F为$X_T$的有限维分布函数族,在这个过程中,n维特征函数定义为:
φ ( t 1 , t 2 , ⋯   , t n ; θ 1 , θ 2 , ⋯   , θ n ) = E { e i [ θ 1 X ( t 1 ) + ⋯ + θ n X ( t n ) ] } 称 为 : { φ ( t 1 , t 2 , ⋯   , t n ; θ 1 , θ 2 , ⋯   , θ n ) : t 1 , t 2 , ⋯   , t n ∈ T , n ≥ 1 } \begin{array}{l} \varphi\left(t_{1}, t_{2}, \cdots, t_{n} ; \theta_{1}, \theta_{2}, \cdots, \theta_{n}\right) \\ \quad=E\left\{e^{i\left[\theta_{1} X\left(t_{1}\right)+\cdots+\theta_{n} X\left(t_{n}\right)\right]}\right\} \end{array} \\ 称为: \begin{array}{r} \left\{\varphi\left(t_{1}, t_{2}, \cdots, t_{\mathrm{n}} ; \theta_{1}, \theta_{2}, \cdots, \theta_{n}\right):\right. \\ \left.t_{1}, t_{2}, \cdots, t_{n} \in T, n \geq 1\right\} \end{array} φ(t1​,t2​,⋯,tn​;θ1​,θ2​,⋯,θn​)=E{ei[θ1​X(t1​)+⋯+θn​X(tn​)]}​称为:{φ(t1​,t2​,⋯,tn​;θ1​,θ2​,⋯,θn​):t1​,t2​,⋯,tn​∈T,n≥1}​
随机过程的有限维分布函数满足一下的两个性质:

对称性:$F\left(t_{j_1},\cdots ,t_{j_n};x_{j_1},\cdots ,x_{j_n}\right)=F\left(t_1,t_2,\cdots ,t_n;x_1,x_2,..,x_n\right)$

相容性:对于任意固定的自然数m<n,均有:
$$\begin{array}{l}F\left(t_1,t_2,\cdots ,t_m;x_1,x_2,\dots ,x_m\right)\\ =F\left(t_1,t_2,\cdots ,t_m,\cdots ,t_n;x_1,x_2,\dots ,x_m,\infty \cdots \infty \right)\\ ={\lim }_{x_{m+1},,x_n\to \infty }F\left(t_1,t_2,\cdots ,t_n;x_1,\dots ,x_m,\cdots x_n\right)\end{array}$$
注意:联合分布函数可以完全确定边缘分布函数!!!

题目:
设随机过程
$$X(t)=Y+Zt,t>0$$
其中Y,Z相互独立,服从正态分布,求$X(t)$的一,二维概率密度.
$$\begin{gathered} \left(\begin{array}{l}Y\\ z\end{array}\right)\sim N\left(0,I_2\right)X(t)=\left(\begin{array}{ll}1& t\end{array}\right)\left(\begin{array}{l}Y\\ Z\end{array}\right)\sim N\left(0,1+t^2\right) \\ (X(s),X(t){)}^T=\left(\begin{array}{ll}1& s\\ 1& t\end{array}\right)\left(\begin{array}{l}Y\\ Z\end{array}\right)\sim N(0,\Sigma )\text{, 其中 }\Sigma =\left(\begin{array}{cc}1+s^2& 1+st\\ 1+st& 1+t^2\end{array}\right) \end{gathered}$$

随机过程的数字特征

定义一

给定随机过程$X_T=X(t),t\in T$,称
$$m(t)\triangleq E[X(t)]={\int }_{-\infty }^{+\infty }xdF(t,x),t\in T$$
为过程$X_T的均值函数$

定义二:

给定随机过程$X_T=X(t),t\in T$,称
$$D(t)\triangleq D[X(t)]=E[X(t)-m(t){]}^2$$
为过程$X_T$的方差函数
$\text{ 称 }\sigma (t)=\sqrt{D(t)}\text{ 为过程 }{X}_T\text{ 的均方差函数. }$

定义三:

给定随机过程$X_T=X(t),t\in T$,称
C ( s , t ) ∧ Cov ⁡ ( X ( s ) , X ( t ) ) = E { [ X ( s ) − m ( s ) ] [ X ( t ) − m ( t ) ] } C(s, t)^{\wedge} \operatorname{Cov}(X(s), X(t))=E\{[X(s)-m(s)][X(t)-m(t)]\} C(s,t)∧Cov(X(s),X(t))=E{[X(s)−m(s)][X(t)−m(t)]}
为过程$X_T$的协方差函数
$$\begin{array}{c}C(s,t)=E(X(t)X(s))-m(s)m(t)\\ D(t)=C(t,t)=E[X(t)-m(t){]}^2\end{array}$$

定义四

给定随机过程$X_T=X(t),t\in T,称R(s,t)\triangleq E[X(s)X(t)]$
为过程$X_T$的自相关函数

随机过程的分类

马尔可夫过程

定 义 随 机 过 程 { X ( t ) , t ∈ T } , 如 果 对 于 任 意 取 定 参 数 t 1 < t 2 < … < t n , 有 定义 随机过程 \{X(t), t \in T\} , 如果对于任意取定 参数 \boldsymbol{t}_{1}<\boldsymbol{t}_{2}<\ldots<t_{n} , 有 定义随机过程{X(t),t∈T},如果对于任意取定参数t1​<t2​<…<tn​,有
P { X ( t n ) ≤ x n ∣ X ( t 1 ) = x 1 , X ( t 2 ) = x 2 , ⋯   , X ( t n − 1 ) = x n − 1 } = P { X ( t n ) ≤ x n ∣ X ( t n − 1 ) = x n − 1 } \begin{aligned} & P\left\{X\left(t_{n}\right) \leq x_{n} \mid X\left(t_{1}\right)=x_{1}, X\left(t_{2}\right)=x_{2}, \cdots, X\left(t_{n-1}\right)=x_{n-1}\right\} \\ =& P\left\{X\left(t_{n}\right) \leq x_{n} \mid X\left(t_{n-1}\right)=x_{n-1}\right\} \end{aligned} =​P{X(tn​)≤xn​∣X(t1​)=x1​,X(t2​)=x2​,⋯,X(tn−1​)=xn−1​}P{X(tn​)≤xn​∣X(tn−1​)=xn−1​}​
称 { X ( t ) , t ∈ T } \{X(t), t \in T\} {X(t),t∈T}为马氏过程
马尔科夫性:在已知系统现在所处状态下, 系统将来的演变与过去无关, 称为无后效性.等价于:
$$F\left(x_n;t_n\mid x_1,\cdots ,x_n;t_1,\cdots ,t_{n-1}\right)=F\left(x_n;t_n\mid x_{n-1};t_{n-1}\right)$$
若条件密度存在:
$$f\left(x_n;t_n\mid x_1,\cdots ,x_{n-1};t_1,\cdots ,t_{n-1}\right)=f\left(x_n;t_n\mid x_{n-1};t_{n-1}\right)$$

1.  独立过程  { X ( t ) , t ∈ T }  是马氏过程;  \text { 独立过程 }\{X(t), t \in T\} \text { 是马氏过程; }  独立过程 {X(t),t∈T} 是马氏过程; 

证明:
证 1 ） 对 于 t 1 < t 2 < … < t n ∈ T , 因 X ( t 1 ) … X ( t n ) 相 互 独 立 , P { X ( t n ) < x n ∣ X ( t 1 ) = x 1 , X ( t 2 ) = x 2 , … , X ( t n − 1 ) = x n − 1 } = P { X ( t n ) < x n , X ( t 1 ) = x 1 , ⋯   , X ( t n − 1 ) = x n − 1 } P { X ( t 1 ) = x 1 , ⋯   , X ( t n − 1 ) = x n − 1 } = P { X ( t n ) < x n } = P { X ( t n ) < x n ∣ X ( t n − 1 ) = x n − 1 } 证 1） 对于 \boldsymbol{t}_{1}<\boldsymbol{t}_{2}<\ldots<\boldsymbol{t}_{n} \in \boldsymbol{T} , 因 X\left(t_{1}\right) \ldots X\left(t_{n}\right) 相互独立,\\ \begin{array}{l} P\left\{X\left(t_{n}\right)<x_{n} \mid X\left(t_{1}\right)=x_{1}, X\left(t_{2}\right)=x_{2}, \ldots, X\left(t_{n-1}\right)=x_{n-1}\right\} \\ =\frac{P\left\{X\left(t_{n}\right)<x_{n}, X\left(t_{1}\right)=x_{1}, \cdots, X\left(t_{n-1}\right)=x_{n-1}\right\}}{P\left\{X\left(t_{1}\right)=x_{1}, \cdots, X\left(t_{n-1}\right)=x_{n-1}\right\}} \\ =P\left\{X\left(t_{n}\right)<x_{n}\right\}=P\left\{X\left(t_{n}\right)<x_{n} \mid X\left(t_{n-1}\right)=x_{n-1}\right\} \end{array} 证1）对于t1​<t2​<…<tn​∈T,因X(t1​)…X(tn​)相互独立,P{X(tn​)<xn​∣X(t1​)=x1​,X(t2​)=x2​,…,X(tn−1​)=xn−1​}=P{X(t1​)=x1​,⋯,X(tn−1​)=xn−1​}P{X(tn​)<xn​,X(t1​)=x1​,⋯,X(tn−1​)=xn−1​}​=P{X(tn​)<xn​}=P{X(tn​)<xn​∣X(tn−1​)=xn−1​}​

泊松过程

定义一:如果取非负整数值的计数过程 { N ( t ) , t ≥ 0 } \{N(t), t \geq 0\} {N(t),t≥0}满足
(1) N(0) = 0
(2) 具有独立增量；
(3)$\text{ 对任意 }0\le s<t,N(t)-N(s)\text{ 服从参数为 }\lambda (t-s)\text{ 的泊松分布 }$
P { N ( t ) − N ( s ) = k } = [ λ ( t − s ) ] k k ! e − λ ( t − s ) , k = 0 , 1 , 2 , ⋯ P\{N(t)-N(s)=k\}=\frac{[\lambda(t-s)]^{k}}{k !} e^{-\lambda(t-s)}, \quad k=0,1,2, \cdots P{N(t)−N(s)=k}=k![λ(t−s)]k​e−λ(t−s),k=0,1,2,⋯