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4 1

E.Parzen Stochastic Process 2

10
S. Ross Stoshastic Process
3 7
Shunji Osaki Applied Stochastic System
Modeling1993 4

Ross Stochastic Process

1. 1

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2.

3.

4.

5.

X condition on r.v. X

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1 1
1.1

1.2

1.3

1.4

58

1.5

61

17

45

2 73
2.1

74

2.2

2.3

2.4

2.5

2.6

86
96
103
107

112

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 3 117
3.1

118

3.2

3.3

Laplace-Stieltjes

125

132

3.4

3.5

142

150

3.6

167

3.7

175

4 187
4.1

188

4.2

4.3

Chapman-Kolmogorov 198

4.4

4.5

190
211
229

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 5 245
5.1

5.2

246

261

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2.4

Ntt 0 l Ykk 12
2.4-1 Yk Nt
N (t )

Xt / Ykt 0 Xtt 0
k=1

compound Poisson process

2.4-1

Ntt 0 l Yj
m s2 Nt Yk
N (t )

Xt / Yk
k=1

EXt ltEY VXt ltEY2

1. EXt ltEY:
N (t )

E c / Yk N ( t ) = n m
k=1

k=1

k=1

= E c / Yk m = / E ( Yk ) = nm

EXt| Nt Nt m
EXt EEXt| Nt
ENt m ENt m ltm

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103

ltEY
2. VXt ltEY2:
EX2t| Nt n
=E
ee

/Y

k=1
n

o N ( t ) = no
n

E c / Yk m = V c / Yk m + = E c / Yk m G
k=1
k=1
k=1
1 44 2
44 3
nm
2

ns2 n2m2
EX2t| Nt Nts2 Nt2m2
EX2t EEX2t| Nt
ENts2 Nt2m2
s2ENtm2VNtE2Nt
s2lt m2lt lt2
VXt EX2t [ EXt]

s2lt m2lt lt2ltm2

s2 m2lt
VXt ltEY 2

1. Ntt 0 2 Y
1
1
1
PY 0 PY 1 PY 2
6
3
2
N (t )
Xt / YiNt
i=1

Yi

(a) EX6 (b) VX6

2
4
7
E (Y) = 3 , E (Y ) = 3
4
EX6 EN6EY 2 6 EY 12 3

104

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16
VX6 EN6EY2 2 6 EY2
7
12 3 28
2. 20 /
3
123 0.20.50.3
1

Yi i i 123
N (t)

Xt / Yi
i=1

EXt ltEY
201[ 10.2 20.5 30.3 ]
202.1 42
3. t l
p
Xt
0t] (a) PXt k
k 012 (b) EXt

Ntt 00t ]
Yi = ' 1 i
0 i

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105


N (t )

Xt / Yi
i=1

(b) EXt ltEY lt p

(a) Xt lp
e- lpt ( lpt ) k
PXt k
k 012
k!

2-4
1. Ntt 0 l T

Nt

T  Exp (a) (a) PNT n (b) ENT

l
ln a
Ans. (a)
(b)
( l + a ) n+1
a
2. a
Zj Ua , b

Ans. ( a + b ) a
2
3. Ntt 0 l
N (t)

' X ( t ) = / Yi , t $ 01 Yi Ua , b
i=1

Yi

Nt

(a) EXt (b) VXt

2
2
Ans. (a) ` b + a j lt (b) c b + ab + a m lt
3
2

4. X1X2Xn N
N

N X1X2Xn Y / Xi
i=1

(a) fYt(b) EY (c) VY

106

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Ans. (a) EfXt (b) ENVX EN2E2X

(c) E2X VN ENVX
5.

Ntt 0 l
N (t)

' X ( t ) = / Yi , t $ 01 fXtv Nt Yi
i=1

Ans. expltfYv 1 (a)

2.5

N1t, t 0 lN2t,
2.5-1 t 0 mN1t N2tN*t N1t

N2tN*t, t 0 l m

PN*t n
PN1t N2t n
n

/ PN1t kN2t n k
k=0
n

/ PN1t kPN2t n k
k=0

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107


n-k
- mt
k
n
- lt
/ e ( lt ) : e ( mt )
k!
(n-k)!
k=0
n

k=0

e- ( l + m ) t ( lt ) k ( mt ) n - k
n!
:
k! ( n - k )!
n!

n
e- (l + m ) t t n / n l k m n - k
c m
n!
k=0
k
- (l + m ) t

n!

tn : ( l + m ) n

n
( ( l + m ) t ) e- ( l + m ) t n 012
n!

N*tt 0 l m

Nitt 0i 12 n l1
2.5-2 l 2 l n N i t Nt

N 1 t N 2 t NntNtt 0
l1 l2 ln

Ntt 0 l
2.5-3 s Ps

1 Ps s
Niti 12 0t]

108

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N1tN2t
lpl1 p p = 1
t

# P ( s ) ds
t

PN1t kN2t n k
PN1t kN2t n k | Nt nPNt
n

# P ( s ) ds

1
p = t

0t ] s
I Ps0
t ]
P (s) 1 ds = 1 # P (s) ds
t
t 0
0
PN1t kN2t n k | Nt n
n
c m pk1 pn k
k
p=

PN1t kN2t n k | Nt nPNt

n
n
- lt
n
c m pk1 pn k e ( lt )
n!
k
n
- lt
n!
p k ( 1 - p ) n - k e ( lt )

k! ( n - k ) !
n!
k - lpt
e- l (1 - p ) t ( l ( 1 - p ) t ) n - k
(lpt ) e
:
k!
( n - k )!

N1t lp N2t
l 1 p N1t

N2t

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109

1. ABC
546

0.1

0.5

0.4

0.3

0.2

0.5

0.6

0.4

A l1 5

0.1 l1

0.5 l1

0.4 l3

B l2 4

0.3 l2

0.2 l2

0.5 l2

C l3 6

0.6 l3

0.4 l3

l1 5.3

l2 3.3

l3 6.4

A 5.3 /
B 3.3 /
C 6.4 /
1

110

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2-5
1.

N1tt 0N2tt 0
1.2 0.8N*t N1t N2t
(a) PN*t 1
(b) fs1|N*t 1

1
1 t 0
t
2.
Ans: (a) 1 e 2t (b)

16

24

(a) 32 3 36
2
(b)

(c) 2 32
3 -7
48
Ans (a) 2 e 2 (b) 5 (c) 3e 2

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111

2.6
conditional Poisson process
l Gxx 0

Ntt 0
2.6-1 Gxx 0 s 0t 0l 0
n
PNt s Ns n | l ( lt ) e ltn 0
n!
12 Ntt 0 l

Ntt 0 l
n - lt
2.6-1 PNt s Ns n| l ( lt ) e

n!

Gxx 0
Z 3 - lt
n
]] # e ( lt ) dG ( l )
n!
0
PNt s Ns n[
n
-l t
]]/ e ( li t ) P ( / = li )
n!
\ i
i

112

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r.v.
PNt s Ns n
# PNt s Ns n| ldGl
3

#
0

e- lt ( lt ) n dG ( l )
n!

PNt s Ns n s

1. Ntt 0 l
Gl
PNt s Nt n | Nt k

PNt s Nt n | Nt k
=

=
=

P( N (t+s)-N (t) = n,N (t) = k)

P( N (t) = k)

P ( N ( t + s ) - N ( t ) = n , N ( t ) = k |/ = l )dG ( l )

P( N (t) = k)
0

P ( N ( t + s ) - N ( t ) = n |/ = l ) P ( N ( t ) = k | / = l ) dG ( l )

P ( N ( t ) = k | / = l ) dG ( l )

#
0

e- ls ( ls ) n : e- lt ( lt ) k dG ( l )
n!
k!
3 e- lt ( lt ) k
dG ( l )
#0
k!

s
Nt s Nt n | l Nt
k | l Nt s Nt n Nt k

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113

2. Ntt 0 l l
Gxx 0
PSNt 1 t s | Nt n

PSNt 1 t s | Nt n

s
t

SNt 1

P tt s ] | Nt n
PNt s Nt 0 | Nt n
=
=

P ( N (t+s)-N (t ) = 0, N (t ) = n)
P( N (t) = n)

P ( N ( t + s ) - N ( t ) = 0 , N ( t ) = n | / = l ) dG ( l )

P ( N ( t ) = n | / = l ) dG ( l )

P ( N ( t + s ) - N ( t ) = 0 | / = l ) P ( N ( t ) = n | / = l ) dG ( l )

P ( N ( t ) = n | / = l ) dG ( l )

n
- lt
e- ls : e ( lt ) dG ( l )
n!
3 e- lt ( lt ) n
dG ( l )
#0
n!

l n e- l ( t + s ) dG ( l )
3

l n e- lt dG ( l )

2-6
1.
l1l2 P l1
114

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pP l2 1 p0t
Nt| l
P l1 | Nt n
pl1n e- l t
Ans.
pl1n e- l t + (1 - p ) l2n e- l t
1

2. Gma
a ( la ) m - 1 e- la
gl
l 0
( m - 1)!
(a) PNt n

(b) | Nt n Gm na t
n
m+n-1
m
Ans. (a) c
m` a j ` t j
a+t
a+t
n
Nt| l  l 3 4

3. PXi s | Xj tj it s
Ans.

e- l ( s + t ) dG

e- lt dG

4. lim P ( N ( h ) $ 1) =
h"0
h

P (/2 a) da

5. r.v. P lk | Nt n
e- l t ( l k t ) n P ( / l )
= k
n!
Ans.
l
t
n
/ e (nl! j t ) P ( / = l j )
j
k

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115

. .
, 2013.06

ISBN 978-957-11-7136-4 ()
1.
319.1

102009673

5Q28

Basic stochastic process

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