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设 X ( t ) X(t) X(t)， t ∈ T t \in T t∈T为二阶矩过程，若干对任意的 t 1 < t 2 ≤ t 3 ≤ t 4 t_1<t_2\leq t_3\leq t_4 t1<t2≤t3≤t4， ∈ T \in T ∈T有
E = [ X ( t 2 ) − X ( t 1 ) ] [ X ( t 4 ) − X ( T 3 ) ] ‾ = 0 E={[X(t_2)-X(t_1)]\overline{[X(t_4)-X(T_3)]}}=0 E=[X(t2)−X(t1)][X(t4)−X(T3)]=0
则为正交增量过程 -
设 X ( t ) , t ∈ [ a , b ] {X(t),t\in[a,b]} X(t),t∈[a,b]是正交增量过程，且 X ( a ) = 0 X(a)=0 X(a)=0，则其相关函数 R ( t 1 , t 2 ) R(t_1,t_2) R(t1,t2)为：
R ( t 1 , t 2 ) = { R ( t 1 , t 1 ) ， t 1 ≤ t 2 R ( t 2 , t 2 ) ， t 2 ≤ t 1 R(t_1,t_2) =\left\{ \begin{aligned} \ R(t_1,t_1) ， t_1\leq t_2 \\ R(t_2,t_2)， t_2\leq t_1\\ \end{aligned} \right. R(t1,t2)={ R(t1,t1)，t1≤t2R(t2,t2)，t2≤t1
证明： 当 t 1 < t 2 t_1<t_2 t1<t2时
R ( t 1 , t 2 ) = E [ X ( t 1 ) X ( t 2 ) ‾ ] = E { X ( t 1 ) [ X ( t 1 ) + ( X ( t 2 ) − X ( t 1 ) ) ] ‾ } = E [ X ( t 1 ) E ( t 1 ) ‾ ] + E [ X ( t 1 ) ( X ( t 2 ) − X ( t 1 ) ‾ ] = E [ X ( t 1 ) E ( t 1 ) ‾ ] + E { [ X ( t 1 ) − X ( a ) ] [ ( X ( t 2 ) − X ( t 1 ) ‾ ] } \begin{aligned} R(t_1,t_2) &= E[X(t_1)\overline{X(t_2)}]\\ &= E{\lbrace X(t_1)\overline{[X(t_1)+(X(t_2)-X(t_1))]}\rbrace}\\ &= E[X(t_1)\overline{E(t_1)}]+E[X(t_1)\overline{(X(t_2)-X(t_1)}]\\ &=E[X(t_1)\overline{E(t_1)}]+E\lbrace [X(t_1)-X(a)][\overline{(X(t_2)-X(t_1)}]\rbrace\\ \end{aligned} R(t1,t2)=E[X(t1)X(t2)]=E{X(t1)[X(t1)+(X(t2)−X(t1))]}=E[X(t1)E(t1)]+E[X(t1)(X(t2)−X(t1)]=E[X(t1)E(t1)]+E{[X(t1)−X(a)][(X(t2)−X(t1)]}
∵ X ( t ) , t ∈ [ a , b ] \because {X(t),t\in[a,b]} ∵X(t),t∈[a,b]是正交增量过程， E = [ X ( t 2 ) − X ( t 1 ) ] [ X ( t 4 ) − X ( T 3 ) ] ‾ = 0 E={[X(t_2)-X(t_1)]\overline{[X(t_4)-X(T_3)]}}=0 E=[X(t2)−X(t1)][X(t4)−X(T3)]=0
∴ R ( t 1 , t 2 ) = E [ X ( t 1 ) E ( t 1 ) ‾ ] = R ( t 1 , t 1 ) \therefore R(t_1,t_2) = E[X(t_1)\overline{E(t_1)}] =R(t_1,t_1) ∴R(t1,t2)=E[X(t1)E(t1)]=R(t1,t1)
当 t 2 < t 1 t_2<t_1 t2<t1时同理。
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