:1

)(tomhengmail. om
15 2013

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

) (. . . . . . . . . . . . . . . . . :

. . . . . . . . . . . . . . . . . . . . . . . . . . . :

1.2

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

1.3

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

1.4

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

10

). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :(Dis rete

12

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

15

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

21

). . . . . . . . . . . . . . . . . . . . . . :(Compound Experiments

27

. . . . . . . . . . . . . . . . . . . :

27

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

31

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

40

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

46

5.1

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

49

5.2

. . . . . . . . . . . . . . . . . . . . . . . . :

54

5.3

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

59

5.4

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

61

5.5

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

65

5.6

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

66

. . . . . . . . . . . . . . . . . . . . . . . . . . . :

67

5.7

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

74

5.8

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

80

) (. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

84

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

86

fX . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :FX

90

6.2

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

90

6.3

. . . . . . . . . . . . . . . . . . . . . . . . . . :

91

6.4

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

95

6.5

. . . . . . . . . . . . . . . . . . . . . :

97

6.6

102 . . . . . . . . . . . . . . . . . . . . . . . . . . :

6.7

106 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

1.1

1.1.1

2.1
3

3.1

3.1.1
3.2

5.6.1

6.1

6.1.1

107 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :
7.1

111 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :

7.2

116 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :
7.2.1

7.3

. . . . . . . . . . . . . . . . . . . . . . . :

117

122 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . :
2

 1:

30/10/2011

1
1.1

) (:

A, B, C (universal set) U , , :
.1:
AB = BA
AB = BA
.2:
)(A B) C = A (B C

)(A B) C = A (B C

.3:
)A (B C) = (A B) (A C

)A (B C) = (A B) (A C

.4 A U:
=A

; A=A

AU =A ; AU =U
= A Ac = U ; A Ac
.5 :
c

(A B) = Ac B c
c
(A B) = Ac B c
.6 :
c

(Ac ) = A
= c = U ; U c

1.1.1 :
P (Ac ) = 1 P (A) .1
P (A B) = P (A) + P (B) P (A B) .2
P (A B) = P (A|B) P (B) = P (B|A) P (A) .3
.4

)P(AB
)P(B

= )P (A|B

.P (Ac B) = P (B\A) = P (A B) P (A) .5

P (B c |A) = 1 P (B|A) .6

 1.2 :

1.2

1:

1.1 : " ,
"" , '.
1.2 X, Y Y X .{f : Y X} = X Y
1.3 :
.1 ,H=head, T=tail } . = {H, T
3

.2 . = {(x1 , x2 , x3 ) , xi {H, T }} = {H, T } :

.3 :
N

}} = {H, T } = {x : N {H, T
) (xi .xi {H, T } i
i=1
.4 , H , T :
} = {(x, y) , x (H, T ) , y {H, T } if x = H, y {1, .., 6} if X = T

.5 , 7 , 6 6 37
7 7 .
}} = {(x1 , ..., x7 ) | (x1 , ..., x6 ) = series of numbers from 1 to 37, x7 {1, ..., 7
.6 0 ,T ) . = [0,
.7 "" ,
.


= (p, u, v, w) | p, u, v, w R3
u, v, w p .

1.4
}. = {1, ..., 6
1.5 , 3
3
} = {H, T .

1.3

1.6 ) ( :
.
1.7 :
2

}} = {1, ..., 6} = {(x1 , x2 ) x1 , x2 {1, ..., 6

}A = {(x1 , x2 ) , x + y mod 2 =0

 1:

1.3 :

1.8
.
1.9 } { .
1 , 2 } {1 , 2 1 .2 A
. A
1.10 A, B A B A B ,"
A B A .B
1.11 3 A = {(H, ?, ?)} : H
})? B = {(?, T, T . A B : H
T })? .A B = {(H, T,
1.12 :
A Ac = \A , .A
1.13 ) ( : A A
) A .(A
1.14
.
1.15 : , )( F :
. F .1
.2 A F:
Ac = \A F
.3 A1 , A2 , A3 , .. F:
An F

n=1

!
1.16 !
1.17 F :
A F =A

1.18 )( :
}2 = {A | A
. :
. = 2 .1
.2 A 2 A \A .\A 2
5

1.3 :

.3 .
1.19 } F = {, :
. F .1
.2 A F A = Ac = F = A:
Ac = F
.3 An F = An:
An = F

n=1

n An = :
An = F

n=1

1.20 A } F = {, A, Ac , .
1.21 :
F :
. F .1
.2 A1 , ..., AN F:
An F

N
[

n=1

.3 A1 , A2 , ... F:
An F

n=1

:N N
An F

N
\

n=1

.4 A, B F .B\A F
:
F .1 1 2 . = c F
.2 A1 , ..., AN n > N = An 3 :
An F

n=1

= An

N
[

n=1

 1:

1.3 :

.3 n N An F 1 n Acn F 3:
Acn F

n=1

1 :
F

!c

An

= An

n=1

n=1

2 .
.4 B\A = B Ac A, B F Ac F 3 B Ac F
.

1.22 : ) (, F F ,
F " ".
1.23 : A1 , A2 , .. = Ai Aj .i 6= j
1.24 : ) (, F , P An n
.An F
1.25 : ) (, F , P ) (, F :
P:F R
) ( , :
.1 A F:
0 P (A) 1
) P (A .A
.P () = 1 .2
.3 A1 , A2 , ... F :
!

X
[
) P (An
= An
n=1

n=1

1.26 ,

S
F
. P An
n=1

1.27 " " F ,

"" ) ,(
) A " A"( ) P (A
.A

 1:

1.3 :

1.28 :
) (, F , P :
.P () = 0 .1
.2 A1 , ..., AN F :
) P (An

N
X

n=1

An

N
[

n=1

.3 A F :
)P (Ac ) = 1 P (A
.4 A, B F A B:
)P (A) P (B

.1 : = An n N An
:

n=1

{ |} z
X
P () = P () = 0
= ) P (An
n=1

= = Ai Aj ,i 6= j

n=1

An

P () = P

n=1

.2 A1 , ..., AN F = An ,n > N
:
An

N
[

= An

n=1

n=1

:
) P (An

n=N +1

P (An ) +

N
X

= ) P (An

n=1

n=1

N
X
= )( P
) P (An
| {z } n=1
=0

An

=P

n=1

P (An ) +

n=N +1

N
X

An

n=1

.3 A F = A Ac A, Ac 2:
)1 = P () = P (A) + P (Ac ) = P (Ac ) = 1 P (A
.4 A B B = A B\A A, B\A :
)P (B) = P (A) + P (B\A) P (A
} | {z
0

N
[

n=1

 1:

1.3 :

1.29 1 .
} = {(x, y) D D . P
.P (A) = A ""
A ,A D " .
P .[a, b] [c, d] D
1.30 ) (:

F P :
)P ([a, b] [c, d]) = (b a) (d c
F" ) (Borel :R2
\
= F
}{G : G is a sigma algebra that ontains all re tangles
}= {A D | A belongs to any sigma algebra that ontains re tangles

F 6= 2D P 2D ] 2[a,b
] [a, b.
, (x, y) D )}) .P ({(x, y ) (x, y:
 


\
1
1
1
1
y ,y +
x ,x +
n
n
n
n
n=1

= )(x, y

1.31 ) ,(x, y F

.
:
 


1
1
1
1
y ,y +
n N {(x, y)} x , x +
n
n
n
n
:

 

1
1
1
1
4 n
P ({(x, y)}) P x , x +
y ,y +
= area of re tangle = 2 0
n
n
n
n
n
,P ({(x, y)}) = 0 .
1.32 "
3 . :
!
X
[
P
) P (Ai
= Ai
iI

iI

A F :
!
[
X
X
P (A) = P
= )}({
= )P (
0=0
A

1.4

1.4 :

1.33 : , )(, F , P
F = 2 :
||A
||

= )P (P

:
1
||
=
||
||

= )}P ({

1.34
, P .
: :
.1
||
=1
||

= )P (

.2
||A
] [0, 1
||

= )A = 0 |A| || = P (A

.3 A1 , A2 , ... :

X
|An | X
=
) P (An
||
n=1
n=1

| |An

n=1

||



S



A
n

n=1

||

An

n=1

1.35 6 , H #2 T #3
?
:

}} = {(x1 , ..., x6 ) | xi {H, T

:
}} A = {(x1 H, T, x4 , x5 , x6 ) | xi {H, T
:
1
24
||A
= = 6
||
2
4

10

= )P (A

1.4 :

1.36 H ,T BH H
.BT
" BH BT" H T | |BH | = |BT:
| |BT
| |BH
=
) = P (BT
||
||

= ) P (BH

= BH BT :
) P (BH BT ) = P (BH ) + P (BT ) = 2P (BH
1
) = P (BH ) = P (BH BT
2
) P (\BH BT :

C
z
|}
{
1
1

P (BH ) = P (BH BT ) = 1 P \BH BT

2
2
| |C H T 3 6
:H
 
!6
6
= ||C
=
= 20
3
!3! 3
|| = 26 = 64

:


20
1
20
1
= ) = P (BH
= )P (C
64
2
64
1.37 :
}} = {(x1 , ..., x6 , y) | xi {1, ..., 37} , ; i 6= j = xi 6= xj y {1, ..., 7
|| . 6
= {x1 , ..., x
}6 , y
7 :
1
1, 673, 844, 480

( || = 37 36 ... 32 7 = P
= )

! 6 !. 6

1.38 :
n , )
365 (.
}} = {(d1 , ..., dn ) | di {1, ..., 365
:
} A = { i 6= j | di = dj
:
}Ac = {(d1 , ..., dn ) | di 6= dj i 6= j

11

 2 ):(Dis rete

"
)|Ac | = 365 364 ... (365 n + 1
|| = 365n :
365 364
)365 364 ... (365 n + 1
365 n + 1
| |Ac
=
=

...
n
||
365
365 365
365
n2
365
n = 23

1
2

k
1

n1
X
k=0

365n

n1
Y

k
1
365

= ) P (Ac

k=0

< ) P (Ac
1
2

> ) P (A) = 1 P (Ac

1.39 ,F = 2
.
1.40 H
F = 2:

=A
}A = {H
} A = {T
} A = {H, T

3
1

2
3

T , 13 } , = {H, T

= )P (A

)Dis rete

(:

2.1 ,"
.
"
.
2.2 : , (q )
:
.1 :
0 q 1

.2 :1
q = 1

12

 2 ):(Dis rete

1 1 1
2, 4, 4, 0

2.3
" .

. 4 } {1 , 2 , 3 , 4

2.4 q = (q ) , A
:
X
= )Pq (A
q
A

2.5
Pq

. , 2

:
.1 ) (q :
X
= )Pq (
q = 1

.2 :
X
= )Pq (A
q 0
A

A :
X
X
q
q = 1

.3 A1 , A2 , ... :
!
1

X
X
z}|{ X X
) Pq (An
= q
= q
n=1

An

n=1

An

n=1

.1 : A1 , .A2 , ....

2.6 0 :
= 0

otherwise

(
1
= q
0

:
0 = A
0
/A

1
0

= q

Pq .0

13

= )Pq (A

An

n=1

Pq

 2 ):(Dis rete

2.7 n H

2
3

= {H, T }n

(x1 , ..., xn ) =

} ; x1 , ..., xn {H, T
:

} #{xi =H : 1in}  #{xi =T : 1in

2
1
= q

3
3
(q ) Pq .
2.8


, 2 , P P = Pq q.
: P = Pq 0 :

X
{|}z
q = q0
= )} P ({0 }) = Pq ({0
} {0

: .
) q = P ( :
.1 q = (q ) .
.2 . P = Pq
:
.1 :
q = P ({}) 0
:

[ z}|{
= P () = 1
P ({}) = P
}{

} | {z
X

= q

.1 : .
.2 A :

[
) = P (A
P ({}) = P
}{

A
A
} | {z
X

= q

=A

) Pq (A) = P (A A P = Pq.

14

= )Pq (A

 2 ):(Dis rete

2.1 :

2.9 "
.
, P ({}) = 0 .
:
[  X
) P (An
P
= An
, P ({}) = 0

:
=0

2.1

}{

P () = P

2.10 ) (, F , P A, B F:
)= P (A) + P (B) P (A B

)P (A B

P (A B) 0 :
)P (A B) P (A) + P (B
2.11
An :
) P (An

n=1

: Ak

n1
S
k=1

An

n=1

\ ,Bn = An :
An

N
[

= Bn

n=1

N
[

n=1

:
An

n=1

An

n
[

k=1

n=1

Bn

n
[

k=1

= Bn

n=1

n=1

:
!

Bn

=P

n=1

An

n=1

Bn Bn An k < n ,Bn An \Bk :

!
!

X
[
[
P
) P (Bn
An = P
= Bn
n=1

n=1

15

n=1

 2 ):(Dis rete

2.1 :

Bn An ) P (Bn ) P (An:
) P (An

n=1

) P (Bn

n=1

An

n=1

2.12 \ : An , :
An .1 n An An+1
An .2 n .An An+1
2.13 An )( Acn )(.
An ) (, F An
2.14T
An .
2.15 :

.1 An :
) = lim P (An
n

An

n=1

.2 An :
) = lim P (An
n

An

n=1

: ,:
Ak = An \An1
Bn :

n1
[
k=1

\ Bn = An

1
N
N
[
[ {|}z
= An
Bn
= AN
n=1

:
) P (Bn

n=1

) = lim P (AN
N

{|}z
=

Bn

n=1

Bn

N
[

n=1

=P

n=1

An

n=1

P (Bn ) = lim P
N

N
X

n=1

.1 :" Bn .2 . .
:
[ \ c
Acn
= An
An Acn.

16

= lim

 2 ):(Dis rete

2.1 :

2.16 : An F ,:
}lim sup An = { | An for innite many n

}lim inf An = { | An for any large enough n

:
= lim sup An .1 .
= lim inf An .2 .
2.17 :
lim inf An lim sup An

, ,F
. lim sup An:
[
}{ An , if and only if n I

Aci

iN\I

Ai

iI

= |I N, |I
[

= |I N, |I

.
I N = | |I .
lim sup An ) (.
lim sup An :
An n N N n > N An":
} { : n > N : An
!

An

n=N +1

N =1

N =1

: lim sup An An .
:lim inf An

lim inf An

m
N n > N : An
m

} { | n > N : An
!

An

n>N

N =1

: lim inf An An.

17

N =1

 2 ):(Dis rete

2.1 :

2.18 :2
(An )nN ) (, F , P:
!

\
.P
.1 P (An ) = 1 n An = 1
n=1

.2 P (An ) = 0 n .P (lim sup An ) = 0

2.19 : A A :
}1 : {0, 1
(
1 A
= )1 (
0
/A
2.20 } f : {0, 1 1 :
}A = { : f () = 1


: An:
) (lim sup An )c = lim inf (Acn


n

f : R R 2.21 x0 xn x0:
) f (x0

) f (xn

2.22 :
F P : F R : P A F:
n

)An A = P (An ) P (A

2.23 : ) (An ) (, F , P A
n
,F An A :
An A n .
Acn Ac n .
, A " An n . An
An n Acn n.
2.24



.1
An = 1 + n1 , 1 n1 :

})An { (1, 1

18

 2 ):(Dis rete

2.1 :

n
/ An
) (1, 1 n An )/ (1, 1
n .
.2 }] A2n = { [1, 0 }] ,A2n+1 = { [0, 1 :
n

}An { = 0
n

6= 0 An A , A > 0 n / An
.
< 0 A / An
2.25 :
n

An An A":
A = lim sup An = lim inf An

= : An A lim inf An lim sup An :

A An : n , lim inf An : .A lim inf An

lim sup An An n Acn .

, Ac A lim sup An A :
A lim inf An lim sup An A = A = lim inf An = lim sup An
= An , .lim sup An 6= lim sup An
An An n
:
n lim sup An / lim inf An
lim sup An 6= lim sup An
2.26 :
An :
An

= lim An = lim sup An = lim inf An

n=1

An :
An

= lim An = lim sup An = lim inf An

n=1

2.27
2.15 :
.1 An :


lim An

=P

An

lim P (An ) = P

n=1

19

 2 ):(Dis rete

2.1 :

.2 An :


2.28

lim An

=P

An

lim P (An ) = P

n=1

Fatou

An:
) P (lim inf An ) lim inf P (An
{z
}
|
{z
}
|

limit of groups

limit of numbers

) P (lim sup An ) lim sup P (An

: , :
Ak

= lim inf An

n=1 k>n

} | {z
Bn

Bn :
Ak

k>n

Ak \An+1

= Ak

k>n

k>n+1

:
) P (lim inf An ) = lim P (Bn
n

n:
1

{|}z
}) inf {P (Ak
k>n

Ak

P (Bn ) = P

k>n

.1 : .
:

) P (lim inf An ) = lim P (Bn ) lim inf P (Ak ) = lim inf P (An
n k>n

2.29 P F

) (, F , P {An }n=1 An F .n
n
An A : A F:
n

)P (An ) P (A
20

 3 :

:


lim An

lim P (An ) = P

: .An A " :
A = lim sup An = lim inf An
A F :
) lim inf P (An ) P (lim inf An ) = P (A) = P (lim sup An ) lim sup P (An ) lim inf P (An
}|{z
}|{z
Fatou
Fatou

)lim P (An ) = P (A

3.1 2 , .
:
}} = {(i, j) | i, j {1, ...6
:
}}A = {(i, j) | i, j {1, 3, 5
:
1
32
||A
= = 2
||
6
4

= )P (A

,5 ,B
A ,B :
})B = {(1, 5) , (2, 5) , (3, 5) , (4, 5) , (5, 5) , (6, 5) , (5, 6) , (5, 4) , (5, 4) , (5, 2) , (5, 1
|B| = 11 | |A B| = |5 B :
||A B
5
=
||B
11

= )P (A

3.2 : ) (, F , P B F .P (B) > 0

A B:
)P (A B
)P (B

= )P (A|B

3.3 :
)P (A B) = P (B) P (A|B

21

 3 :

3.4 ) ,P (B c |A) = 1 P (B|A :

) P (A B c
)P (A B) P (B
=
)P (A
)P (A

= )P (B c |A

:
)P (A B) = P (A) + P (B) P (A B
)= P (A B) P (B) = P (A) P (A B
:
)P (A B
)P (A) P (A B
=1
)= 1 P (B|A
)P (A
)P (A

3.5 6 4 2.
A B .
) P (B|A . :
}} = {(i, j) | i 6= j, i, j {1, .., 6
1, .., 4 5, 6:
A = {(i, j) | i 6= j, i {1, ..., 4} , j {1, ..., 6}} = |A| = 4 5
}}B = {(i, j) | i 6= j, i {1, ..., 6} , j {5, 6
A B = {(i, j) | i 6= j, i {1, ..., 4} , j {5, 6}} = |A B| = 4 2
:
 = 42 = 2
45
5


||AB|/|

||A|/|


= )P (B|A

3.6 :
) (, F , P B F P (B) > 0 : A F
)PB (A) = P (A|B
PB : ) .(, F
:
.1 A :
)A B B = P (A B) P (B
:
)P (B
)P (A B

=1
)P (B
)P (B

22

= )0 PB (A

 3 :

.2 B = B :
)P ( B
)P (B
=
=1
)P (B
)P (B

= )PB (

.3 An , An = An B i 6= j:

= Ai Aj = (Ai B) (Aj B) = B (Ai Aj ) = B

:

An

}| {
z

S
(B

An )
P
B

n=1

)P (B




S
P B
An
n=1

)P (B


P A
X
n

X
P (B An ) X
=
=
) PB (An
)P (B
)P (B
n=1
n=1

n=1

An

An

n=1

S
n=1

)P (B

PB
P
=

3.7 } FB = {C B | C F FB B PB
) .(B, FB
3.8
n
S

B1 , ..., Bn ,B Bi

i=1

= B i 6= j = Bi Bj

P (Bi ) > 0 ) i P (Bi ) = 0 ( ,:

n
X

) P (A|Bi ) P (Bi

i=1

= )P (A B

B1 , .., Bn :
) P (A|Bi ) P (Bi

n
X

= )P (A

i=1

: :
A Bi

n
[

AB

i=1

Bi :
) P (A|Bi ) P (Bi

n
X
i=1

= ) P (A Bi

n
X

i=1

3.9 B = .A = A
23

A Bi

n
[

i=1

P (A B) = P

 3 :

3.10 A, B, C
:

1000
20%

2000
10%

3000
5%

, :
.1 .C
.2 .C
.3 .
.4 A .
A,B,C A,B,C R
:

3000
1
=
6000
2
)P (C c R
= )P (R|C
) P (C c
= ) P (C c

C c = A B :


)P (C c R
2
)P (R|A) P (A) + P (R|B) P (B
1 1
2 1
= )P (R|C
=
=
+

=2
1
) P (C c
10
6
10
3
15
2
:
11
120

= )P (R) = P (R|A) P (A) + P (R|B) P (B) + P (R|C) P (C

A R = R A ::
)P (R|A) P (A

= )P (A R

:
2
1
10 6
11
120

)P (A R
)P (R|A) P (A
=
=
)P (R
)P (R

= )P (A|R

3.11 )(Bayes Theorem

.1 A, B ) P (A) , P (B) > 0 ( :
)P (A
)P (B

)P (A|B) = P (B|A

24

 3 :

.2 = ni=1 Bi P (Bi ) > 0 i:

) P (A|Bi ) P (Bi
P (Bi |A) = P
n
) P (A|Bj ) P (Bj
j=1

:
:
)P (B) P (A|B) = P (A B) = P (A) P (B|A
)P (A) P (B|A
)P (A B
=
)P (B
)P (B

= )= P (A|B

:
1

) P (A|Bi ) P (Bi ) z}|{ P (A|Bi ) P (Bi

= P
n
)P (A
) P (A|Bj ) P (Bj

= )P (Bi |A

j=1

: .

3.12 1 : 100000 :
) 95% 5% .(False Negative

) 0.5% 0.5% .(False Positive

:

s
+

h
+
|} z}|{ z
{ z }| { z }| {
= si k , healthy positive, negative

})S = {(s, +) , (s,

})T + = {(s, +) , (h, +

})T = {(s, ) , (h,

:
1
100000


P T 1 |S = 0.95


P T + |S c = 0.005
= )P (S

= S S C :

0.002

1
100000

1
0.95 100000
1
10000 + 0.005 1

)P (T + |S) P (S
=
+
) P (T |S) P (S) + P (T + |S c ) P (S c
0.95

= P S|T +

.
25

 3 :

3.13
:
B = ni=1 Bi
i ,P (A|Bi ) :
P (A|B)

: :

n
{ |} n z
X
X
)P (Bi ) = P (B
P (A|B) P (Bi )
i=1

i=1

= )P (A B

)P (A B
)= P (A|B
=
)P (B

3.14 : x, y tx + (1 t) y .0 t 1
1 +yw2
xw :
w1 +w2
xw1 + yw2
w1
w2
=x
+y
w1 + w2
w1 + w2
w1 + w2

3.15 :: "

.
:

10
100

(1%) 1
(20%) 20

100
10

(50%) 50
(7%) 7

"

110
110

(46%) 51
(24%) 27

:
} = {m, w} {a, b} {+,

M = {m, ?, ?} = appli ant is male
W = {f, ?, ?} = appli ant is female

A = {?, a, ?} = appli ant signed to fa ulty A

B = {?, b, ?} = appli ant signed to fa ulty B
U = {?, ?, +} = appli ant a epted

= A B:
)P (U M A) + P (U M B
) P (U M
=
) P (M
)P (M A) + P (M B

han e for male to be a eted to B

)P (M B

z
|}
{
P (M A) +
)P (U |M B
)P (M A) + P (M B

26

= ) P (U |M

han e for male to be a eted to A

z
|}
{
)P (U |M A

 ):(Compound Experiments

3.1

3 :

han e for male to be a eted to B

)P (W B

z
|}
{
P (W A) +
)P (U |W B
)P (W A) + P (W B

han e for male to be a eted to B

z
|}
{
)P (U |W A

= ) P (U |W

"
.
.
3.16 .Sibling Paradox

3.1

)Compound Experiments

(:

3.17 H p T .1 p H
, . A H B
H :
1
2
P (A) = p, P (Ac ) = 1 p

= ) P (B|A) = p, P (B|Ac

} , = {H, T :
P ({(H, H)}) = P (B A) = P (B|A) P (A) = p p = p2

P ({H, T }) = P (A B c ) = P (B c |A) P (A) = (1 P (B|A)) p = (1 p) p

1
)P ({T, T }) == P ({T, T }) = (1 p
2

p
1:
1
1
+ (1 p) = 1
2
2

3.1.1

)p2 + (1 p) p + (1 p

1 , 2 . .
n n N :
} 1 2 . . . N = N = {(1 , . . . , N ) : i i
:
} = 1 2 . . . = {(1 , 2 , . . .) : i i

3.18 N < N |n | = 1
. 2 :
}}{0, 1} = {(x1 x2 , . . .) : xi {0, 1

27

3.1

):(Compound Experiments

3 :

3.19 ) N ( n:

= (1 , . . . , N ) N : n =


An,

3.20 1 1 , . . . , N N : :


}) Ai,i = N : i = i i {1, ...N } = {(1 , ..., N

N
\

i=1

3.21 N = 3:
} 1 = 2 = 3 = {H, T
:
3

}} = {(x, y, z) : x, y, z {H, T
:
}) A2,H = {The Result was H in se ond toss} = {(H, H, H) , (H, H, T ) , (T, H, H) , (T, H, T
3.22
B1 , . . . , Bk :
!
!
k1
k
\
\
Bi
| Bi = P (B1 ) P (B2 |B1 ) P (B3 |B2 B1 ) . . . P Bk
i=1

i=1

: . :
!
k
\
) P (B1 B2 ) P (B1 B2 B3
) P (B1 .... Bn
) Bi = P (B1

...
P
P
(B
)
P
(B

B
)
P
) (B1 .... Bn1
1
1
2
i=1
.k = 2, 3 :k = 2
) P (B1 B2 ) = P (B1 ) P (B2 |B1
" :
) P (B1 B2
) P (B1

= ) P (B2 |B1

:k = 3
) P (B1 [B2 B3 ]) = P (B1 ) P (B2 B3 |B1
:
) P (B2 B3 |B1 ) = PB1 (B2 B3 ) = PB1 (B2 ) PB1 (B3 |B2
} | {z
) P(B2 |B1

) PB1 (B3 |B2 ) = P (B3 |B1 B2

28

3.1

3 :

):(Compound Experiments

3.23 :n
1 n N (1 , ..., n1 ) 1 ... n1 .Q1 ,...,n1


N
N , 2 P = PN :
.1 < N
)} = Q1 ,...,n1 ({n

Ai,i

n1
\
i=1

| P An,n

.2 = N F n n An, F
P = P ) ( , F :
!
n1
\
)} Ai,i = Q1 ,...,n1 ({n
| P An,n
i=1

3.24 k = 1 1 , ..., k1 k = 1 Q
0
T
Ai,i = N
:
i=1

)} P (A1,1 ) = Q ({1

3.25 P
= (1 , . . . , N ) N :
!
!
N
n1
N
N
Y
\
Y
\
=
)} Q1 ,...,n1 ({n
|
A
P ({}) = P
P
A
=
An,n
k,k
n,n
}|{z
n=1

previous llema n=1

k=1

n=1

P" .
:
< .N
N N , 2N "
. (q )N":
)} Q1 ,...,n1 ({n

N
Y

= q1 ,...,N

n=1

P":
qb

= )P (B

bB

3.26
q = (q )N .
: q 0 Q1 ,...,n , :
X
q = 1
N

29

3.1

):(Compound Experiments

3 :

:
)} Q1 ,...,n1 ({n

N
Y

N N n=1

)} Q1 ,...,N 1 ({N
}

...

{z

= q1 ,...,n

1 1 2 2

N N

=1

)} Q1 ,...,n1 ({n

3.27 1 :
!

N
1
Y

...

1 1 2 2

N N

...

N 1 N 1 n=1

} {N

= Q1 ,...,N 1 (N ) = 1

= q

1 1 2 2

Q1 ,...,N 1

N N

Q1 ,...,N .N
)( :
X
q = 1
N

q .

3.28
n N i i 1 i n:
)} Q1 ,...,n1 ({n

N
Y

(n+1 ,...,N )n+1 ...N n=1

An,n

N
\

n=1

: ...
:
)} = Q1 ,...k1 ({k

Ai,i

k1
\
i=1

| Ai,i

k
\

() P

i=1

:
} Q1 j1 {j

N
Q

k+1 N j=1

} Q1 j1 {j

N
Q

k N j=1

=

Ai i

k
T

i=1

Ai i

k1
T
i=1

=
P

Ai,i

k1
\
i=1

| Ai,i

k
\

i=1

Q
)} ({k
)} = Q1 k1 ({k
= $#!JFDjf4k3$# = X 1 k1
)}Q1 k1 ({
k

{z

, ..

30

 3 :

3.2:

3.29 :
n

.1 ) P (A|B A ,B Bn B An A:
) P (A|B) = lim P (An |Bn
n

.2 ) P (A|B P (B) > 0 .P (B) = 0

3.2:
3.30 : ) (, F , P A, B )"(
:
)P (A B) = P (A) P (B

3.31 P (B) > 0 :

)P (A B
)= P (A
)P (B

= )P (A|B

B .A
3.32 A " A = A : = A:
)P (A ) = P (A) = P (A) 1 = P (A) P (
)( P (A ) = P () = 0 = P (A) 0 = P (A) P

3.33 ,:
}A = {the ard is an a e

}B = {the ard is a spade

} = { ards || = 52:

|A| = 4, |B| = 13, |A B| = 1

:
1
1 1
=
)= P (A) P (B
52
4 13
A, B .

= )P (A B

3.34 :
}} = {(i, j) | i, j {1, ..., 6
:
A = {the result was 4 in the rst roll} = A1,4
}B = {the sum of rolls was 6

}) A B = {(4, 2:

1
1 5
=6
)= P (A) P (B
36
6 36
.
31

= )P (A B

 3 :

3.2:

3.35
C

A, B " A , B".
: :
)Ac B = B\A = B\ (B A

)B = (B A) (B\B A

)P (B) = P (B A) + P (B\B A
:
)P (Ac B) = P (B) P (B A
)= P (B) P (B) P (A

) = P (B) (1 P (A)) = P (B) P (Ac

3.36
c

) (A, A ) .(B, B
3.37 , = {H, T }2:
A = {First throw is H} = A1,H

B = {Se ond throw is H} = A2,H

})C = {The throws were dierent} = {(H, T ) , (T, H
" , :
1
2

= )P (A) = P (B) = P (C

:
})A B = {(H, H
}) A C = {(H, T
})B C = {(T, H

:
1
4

= )P (A B) = P (A C) = P (B C

:
P (C|A B) = 0
P (C A B) = 0
A, B .C
C" A, B " .
3.38 :4
.1 (An )nN (Bn )nN n An" .Bn
32

 3 :

An

nN

3.2:

= A Bn

= B A, B .

nN

.2 (An )nN An

= A B An

nN

,n B : .A

3.39 :: A1 , ..., An " }I {1, ..., n

:
!
Y
\
P
) P (Ai
= Ai
iI

iI

3.40 A1 , ..., An" } I {1, ..., n {Ai }iI".

3.41 3 :
) P (A1 A2 A3 ) = P (A1 ) P (A2 ) P (A3

3.42 :: B1 , ..., Bn .
3.43 :: A1 , ..., An
:

\
\
}Acj : I {1, ..., n
= ) (A1 , ..., An
Ai

iI

j{1,...,n}\I

3.44 : :
)

Axi | Axi = Ai Aci

n
\

= ) (A1 , ..., An

i=1

" Ai " ,
.
(A1 , ..., An ) 3.45 :

: ) ,B, B (A1 , ..., An B 6= B B } I {1, ..., n B

j .
} I {1, ..., n .I 6= I j I / I

,j :
j I / I
\
\
Ack
=B
Ai
iI

k{1,..,n}\I

Aj . Acj ,B B Aj B Acj:

= B B Aj Acj

33

 3 :

3.2:

. :
[

C=

) C(A1 ,...,An

:
} I = {1 i n : Ai
i Aci :
/ I
\
\
) Acj (A1 , ..., An
Ai
j{1,..,n}\I

) C(A1 ,...,An

iI

" :
[

) C(A1 ,...,An

:
C

) C(A1 ,...,An

3.46 : B " A1 , ..., An :

) C (A1 , ..., An
:
)P (B|C) = P (B
:
)P (B C) = P (B) P (C

3.47 }) = {(H, T ) , (H, H) , (T, H) , (T, T:

}A1 = {First toss H

}A2 = {Se ond toss H

:

A1
Ac1

) (H, T
) (T, T
Ac2

)(H, H
)(T, H
A2

=I

}I = {1
}I = {2
}I = {1, 2


 T
c
c
c

i=1,2 i = A1 A2

A1 Ac2
= ) (A1 , A2

A2 Ac1

(A1 A2 ) = A1 A2
34

 3 :

3.2:

3.48 ) (A1 , A2 :
(
0
/C
= )}P (C| {
1 C
C" A1 , A2" P (C) = 0 .P (C) = 1
3.49 A, B A B A
) ).(P (A|B) = P (A
3.50 :
B1 , ..., Bk A " Bi:
A .1" Bi

k
S

= .B

i=1

A .2" Bi

k
T

= .B

i=1

:
.1 A B = i A Bi:
) P (A) P (Bi

independen e X
k
i=1

{|}z
=

) P (A Bi

)P (Bi ) = P (A) P (B

k
X

k
X
i=1

= )P (A B

)= P (A

i=1

.2 i 6= j = Bi Bj :
= (A Bi ) (A Bj ) = A (Bi Bj ) = A
A Bi , A Bj . :
) (A Bi

k
\

= Bi

i=1

k
\

i=1

:
) P (A Bi

k
Y

i=1

) (A Bi

)P (Bi ) = P (A) P (B

k
\

i=1
k
Y

i=1

3.51 :
A1 , ..., An" Ac1 , A2 , ..., An".

35

=P

Bi

k
\

i=1

P (A B) = P A

)P (A) P (Bi ) = P (A

k
Y

i=1

 3.2:

3 :

3.52 .A1
} " xi = {c nothing Ax1 1 , ..., Axnn .

: Ai = B

n
\

i=2

) Ac1 B = B\A1 = B\ (B A1

) B = (B A1 ) (B\B A1

) P (B) = P (B A1 ) + P (B\B A1
:
) P (Ac1 B) = P (B) P (B A1
) = P (B) P (B) P (A1

) = P (B) (1 P (A1 )) = P (B) P (Ac1

:
) P (Ac1

Ai

n
\

=P

i=2

Ai

n
\

i=2

P Ac1

3.53 :
A1 , ..., An " " } i0 {1, ..., n Ai0" } ,{Ai | i 6= i0 Ai0"
) .C (Ai | i 6= i0
: :
A1 , ..., An" , An" ) .C (A1 , ..., An1
3.54 " "
.An :
)P (An C) = P (An ) P (C
Bj

j6=i

= C i Bi = Ai .Bi = Aci 3.51 An , B1 , ..., Bn1

)Bj = P (An ) P (C

j6=i

Bj = P (An ) P

j6=i

P (An C) = P An

: A1 , ..., An } i0 {1, ..., n Ai0" } {Ai | i 6= i0

. .n
: n = 2 " A1" ) (A2 ) A2 (A2
A1" A2 A1 , A2 ".
: ,n 1 } i0 {1, ..., n 1 Ai0" :
) C (Ai | .i {1, ..., n 1} , i 6= i0 A1 , ..., An1 . A1 , ..., An
.

36

 3 :

3.2:

: } ,I {1, ..., n :
) P (Ai

iI

Ai

iI

3.55 } I J {1, ..., n ) C (Ai | i I

) . (Aj | j J :
!
!
n1
n1
n1
\
\
\
c
Ai An
Ai An
= Ai
i=1

i=1

i=1

i0 I Ai0 " } {Ai |i 6= i0 " } .{Ai |i I\i0

)} C (Ai |i I\ {i0 ) (Ai |i 6= i0
Ai" ) (Ai |i 6= i0 C .3.50
|I| < n " } {Ai , ..., An1 .
} I = {1, ..., n i0 I :

) Ai (Ai | i 6= i0

=C

i6=i0

} I\ {i0 n 1 :

Y
\
) P (Ai
P (C) = P
= Ai
i6=i0

i6=i0

Ai0" C :

)Ai = P (Ai0 C) = P (Ai0 ) P (C

) P (Ai

n
Y

= ) P (Ai

i=1

i6=i0

i6=i0

= P Ai0

Ai

n
\

i=1

) = P (Ai0

3.56" ) (Aj | j 6= i )A (Aj | j 6= i

} .{Aj | i 6= j , , .
:
) (B1 , ..., B1 ) A (B1 , ..., Bn
) C A (B1 , ..., Bn ) (B1 , ..., B1
.
3.57 :
A1 , ..., An " Ak" .A1 , ..., Ak1
= : A1 , ..., An k n A1 , ..., Ak
Ak" .A1 , ..., Ak1
= .

37

 3.2:

3 :

3.58 :5
) (, F , P A1 , .., An F B1 , ..., Bm F .
) (Ai ) (Bj ) A (A1 , ..., An ) B (B1 , ..., Bn A, B
.
.1 A1 , ..., An "
.
.2 A1 , ..., An " } Bi {Ai , Aci:
!
n
n
Y
\
) P (Bi
= Bi
P
i=1

i=1

3.59 :: A1 , A2 , ... "

".
3.60 ) (H, T H:
0 pH 1
T:
pT = 1 pH
) N ( ) A1 , ..., AN (A1 , A2 , ..
An,H H n:
.1 A1,H , A2,H , ...".
P (An,H ) = pH .2 .n
3.61 ":
.
: N ) ( ,
:

} = {H, T F = 2

}An,H = {(x1 , ..., xN ) | xi {H, T } , xn = H

:
px i

N
Y

= )) P ((x1 , ..., xN

i=1

3.62
Ai,xi

N
\

i=1

= }) {(x1 , ..., xN

P (Ai,xi ) = pxi :
!
N
N
N
Y
Y
\
px i
= ) P (Ai,xi
= Ai,xi
i=1

i=1

i=1

38

P ((x1 , ..., xN )) = P

 3.2:

3 :

} xi {H, T P (Ai,xi ) = pxi:

[
X
P (Ai,xi ) = P
= {}
)) P ((x1 , .., xi ., xN
Ai,xi

px i

N
Y

xj {H,T } i=1

} xj {H, T
}j {1, ..., N } \ {i

X
= P ((x1 , .., xi ., xN ))

}j{1,...N }\{i

} xj {H,T

}j{1,...N }\{i

X
X
X


...

p
p
= pXi
xN 1
x1
XN

= pXi

x1
xN 1
 xN

{z }
|


=P(H)+P(T )=1


|
{z
}
=P(H)+P(T )=1

{z

=1

P . 0 pxi 1
1 i N 0 P ((x1 , ..., xN )) 1 . (x1 , ..., xN ) F )
( :
X
P ({(x1 , ..., xn )}) = 1
(x1 ,...,xn )

} {A1,H , ..., An,H "

. 3.53 1 i N Ai,H" } . {Aj,H | j 6= i
Acj,H = Aj,T Aj,H Acj,H Aj,xj xj = H .xj = T
i H = xi } xj {H, T j 6= i:
) P (Ai,xi

N
Y

i=1

Ai,xi

N
\

i=1

:
) P (Ai,xi

N
Y

i=1

= px i

by denition Y
N

i=1

{|}z
=

)}) = P ({(x1 , ..., xN

Ai,xi

N
\

i=1

3.63 ,0 p 1 H N
?
An ) An H (n P (An ) = p A1 , . . . , An
, :
!
N
\
N
c
)(1 p
) An = P (Ac1 ) . . . P (AcN
=
P (H ame out in 0 tosses) = P
}|{z
n=1
P (A1 )=pP (Ac1 )=1p

39

 4 :

4.1 : ) (n = 1, 2, 3, ... n
H:
)}pH = P ({H
T:
P ({T }) = 1 pH
. " ) (, F , P An
H n P (An ) = pH A1 , A2 , ..." ) n A1 , ..., An"(.
.1
4.2 ::
"" .
.2 ,
.
.3 , = {H, T }N
. .
: k H :
} xm , xn {H, T m n :

! independen e n
Y
{|}z
) P (Ai,xi
Ai,xi
=
i=m

n
\

P (For all i {m, ..., n}The result in the i'th toss was xi ) = P

i=m
} #{i{m,...,n}| xi =T
pT

}#{i{m,...,n}| xi =H
pH

,0 < pH < 1 n k ,H:


  
n k
By time n there were
P
=
p pnk
exa tly k tosses of H
k H T
Bk,n n k H :
! disjoint union X
  k
 k
[
n m nk
{|}z
By time k there were
pH pT
P (Bk,n ) = P
=
exa tly m tosses of H
m
m=0
m=0

) n n ( k ,H :
!

\
P (Ek ) = P
Bk,n
n=1

Bk,n+1 Bk,n n + 1 k H n
, :
!

\
P (Ek ) = P
) Bk,n = lim P (Bk,n
n

n=1

:
m

{ |} z
m
   k
X
n
pH
) 0 P (Bk,n
PTn

pT
m
m=1

40

 4 :

= c

pH
pT

" , :

nm cm pnT k nk Dk PTn

k
X

m=1

) 0 P (Bk,n

D c . k :

0 P (Bk,n ) k nk Dk PTn = D nk PTn

D nk ,k n pnT n
:

lim D nk PTn = 0

) ( k :
= lim P (Bk,n ) = 0
n

Bk,n

P (Ek ) = P

n=1

H:
=0

{ |} z
X
P (Ek ) = 0

k=1

Ek

k=1

H .
N

4.3 } = {H, T i = H
0 .
. 1 "
" A " " ) (Almost surely .P (A) = 1
.H
: H :n
4.4 :Borel-Cantelli
Cn :
< ) P (Cn
:
=0
: Ck

Ck

k>n

n=1

P (lim sup Cn ) = P

n=1

= , Dn n :

kn

) = lim P (Dn
n

Dn

n=1

:
n

P (Ck ) 0

k=n+1

41

) 0 P (Dn

 4 :

) ( :
!

\
n
Dn = 0
P (Dn ) 0 = P (lim sup Cn ) = P
n=1

4.5
0 < < 1 :
n n n .H
4.6 n pH n pH n .
: :
}Bn,k = {There were at most k tosses of H till time n
1 , Bn,n = Cn:
P (lim sup Cn ) = P (There was a nite number of Cn ) = 1
c

:
P (lim sup Cn ) = 0
< ) P (Cn

, :

n=1

n
!

 n
[
pH
By time n there were
) (n
PTn
n n

P (Cn ) = P
exa tly k times H
}|{z
pT
k=0
|
{z
} n
0
n

pnT
.

) ( . .

4.7 , :
= ) P (Cn

1 Cn ).(P (lim sup Cn ) = 1

C :
0 < P (C) < 1
Cn = C ,n N C Cn n :
= )P (C

n=1

= ) P (Cn

n=1

Cnc .n N
n N / Cn
/ C
P (lim sup Cn ) = 1 = 1
.
) .P (lim sup Cnc

42

 4 :

4.8 :
Cn :
= ) P (Cn

n=1

1 Cn ,:
P (lim sup Cn ) = 1

: k :
!

}{Cm did not o ur

m=k

Bk
|}
{
z

0 P {Cn did not o ur after k} = P

! indepdenden e
T
Y
{|}z
c
P (Cm
)
=
lim
k=m

c
Cm

)) (1 P (Cm

T
\

= lim P
T

m=k
T
Y

k=m

c
Cm

=P

m=k

= lim

1 x ex x 0 :
( T
)
T
T
Y
Y
X
) P(cm
)) (1 P (Cm
e
= exp
) P (Cm
m=k

k=m

k=m

T :
) P (Cm

m=k

P (Cm )

T
X

m=k

k " . :
( T
)
X
lim exp
P (Cm ) = 0
T

m=k

k:
)
=0

) P (Cm

T
X

m=k

c
P (Cm
) lim exp
T

T
Y

k=m

= P (Bk ) = 0

0 P (Bk ) = lim

k Cn k :
!

X
[
P
P (Bk ) = 0
Bk
k=1

!c

Bk

k=1

= lim sup An :

k=1

P (lim sup Cn ) = 1

43

 4 :

4.9 .
l n n, ..., n + l 1 .H

4.10
:

.1 1 n n .log2 n
.2 > 0 0 n n .(1 + ) log2 n

: , log2 n n ,Bn

1 .Bn

Bn
n.
Bk k 2k1 2k ) 2k1
(.

Bk . .Bk B2k

Bn . Bk
:
= ) P (Bk

k=1

.
) .P (Bk
k 2k1 2k ) k
(.
t1 , t2 , ...ts:
   k1
2
2k 2k1
=
=s
k
k


Bk,j k tj :
Bk,j Bk

s
[

j=1

c
Bk,j

s
\

Bk,j = 1 P

j=1

s
[

Bk,j = 1 P

j=1

s
[

P (Bk ) P

j=1

i 6= j Bk,i Bk,j :

c
P Bk,j

s
Y

j=1

P (Bk ) 1



c
= 1 2k
P Bk,j H k :



2k
1 2k = 1 1 2k 2k

44

s
Y

j=1

P (Bk ) 1 1

 4 :

1
e

1 x
x

1/2k


2k

1 1 k

2
|
{z
}

) P (Bk

k 1
e

k :

2k r

1
1
<
<1
1 k
2
e
:
r !1/2k
1
e

y

1
e

P (Bk ) 1

= ) f (y :
r !1/2k
Ck
 
 
1
1
1
1
1

= f (0) f
= ln
e
}2k |{z
e
2k
e
1

 1

.Ck 0, 2k k Ck 0:

Ck
1

1
e
:
1
4k

) P (Bk

1X1
=
) P (Bk
4
k
k=1

k=1

4.11
Cn :
P ({An innite number of Cn o urs}) = 0 1
:
4.12 0 1 :
Cn A } .{Cn A
,:
P (A) = 0 1

4.13 lim inf :lim sup

} A = { Cn | o ures innite times but the distan e between o uren es goes to innity
4.14 " ."Gambler's ruin .
45

 5 :

5 :
5.1 : X : ) (, F , P
.
2

5.2 . = {1, . . . , 6} :

} X : {1, . . . , 6 .X (i, j) = i : ) X ( .
) y (i, j) = i + j (

, } {2, . . . , 12 .N

}}{ | X () {1, 2, 3}} = { | = (i, j) i {1, 2, 3

:
}}{ : X () {1, 2, 3
:
}{1 X 3
5.3 N H p .

} = {H, T P .:
(
1 i = H
= )Xi (
0 i = T

} .{0, 1 :
S = X1 + X2 + . . . + XN
} {0, . . . , N :

} { : # {1 i N : Xi = H} > N

:
} {S > N
:

} { : S () > N

A :

}{ X () A
.
5.4 : ) (, F (, G ) : ) F G
(
X : ) ( A G:
}X 1 (A) = { | X () A
,:
X 1 (A) F
5.5 " f
.
46

 5 :

5.6 : X
.2
5.7 :
X : , :
X 1 () = .1
.2 A

c
)X 1 (Ac ) = X 1 (A
.3 A, B = A B:


= )X 1 (A) X 1 (B
.4 A1 , A2 , . . .:
!

An

An

n=1

X
X

) (An

= ) (An

n=1

n=1

n=1

: 1,2,3 4 :
.1

re ieves values in
{|}z
=

denition

{|}z
=

} ){ | X (

)( X 1

.2
)= {| X () A}c = {| X (
}/ A
) X ( " :

c

)X 1 (A

) {| X () \A} = X 1 (Ac
.3 = A B:
) X 1 (A) = X () A = X (
/B
=
)/ X 1 (B

.4

47

 5 :

5.8 " :: ) (, F , P (, G ) , X :
.
X Px : G R ":


)}PX (A) = P X 1 (A) = P ({ : X () A
5.9 || 0 G = 2 Px
:
a :

)}pX (a) = PX ({a

X
= )= PX (A
)pX (a
aA

5.10 :
PX ) .(, G
: :
.1 P :


]PX (A) = P X 1 (A) [0, 1
.2


)= 1 P X 1 (A) = 1 PX (A

 c

)X 1 (A

 previous llema

{|}z
=

) PX (Ac ) = P X 1 (Ac

5.11 , ...
.3 :

PX () = P X 1 () = 1
} | {z

.4 A1 , A2 , . . . ) = Ai Aj (i 6= j :
= ) i 6= j : X 1 (A1 ) X 1 (Aj
X 1 (A1 ) , X 1 (A2 ) , . . . :
!

) X 1 (An

n=1

!! previous llema
{|}z
An
=
P
) PX (An

n=1

n=1

= ) P X 1 (An

48

= P X 1

disjoint X

{|}z
=

n=1

An

n=1

PX

 5.1 :

5 :

.1 X 1 (A) F A G Px

5.12::
.
P ) X 1 (A ) X 1 (A .
.2 :
= P0 X 1

PX

X .
.3 \ F = 2 .
, X : ) (, G
A G
}X 1 (A) = { | X () A

04/12/2011

" .2
5.13 :: X, Y ) (, G ) (, F
A G PX = PY X, Y .
X Y .

5.1 :
5.14 : X " p X
} {0, 1 :
pX (1) = p
pX (0) = 1 p
) X B (p ".
5.15 ) (, F .P A F
:
(
1 A
= )X () = 1A (
0
/A
X ,0, 1 , :
X 1 ({0, 1}) = F
:
X 1 () = F
:
(1) = A F

(0) = Ac F

} G = {0, 1 :


)pX (1) = PX ({1}) = P X 1 (1) = P (A


) pX (0) = PX ({0}) = P X 1 (0) = P (Ac

1A " ). P (A

49

 5.1 :

5 :

5.16 } = {1, .., 6 } A = {1, 2 :

(
}1 {1, 2
= )1A (
0 else
:


1
2
= = )}pX (1) = P X 1 (1) = P ({1, 2
6
3

"

1
3

= .p

5.17 : X } N {0 :

(
nk
n k
kn
)k p (1 p
= )pX (k
0
k>n
] p [0, 1 n N:
)X B (n, p
5.18 :
  n
X
n k
nk
n
)p (1 p
= (p (1 p)) = 1
k
k=0

px .N
5.19 n H .p


n
} = {H, T , 2 , P :

) P ({}) = p#{i : i =H} (1 p)#{i : i =T } : = (1 , ..., n

X : N :
}X () = {i : i = H


X . , 2 :
 
X
n k
= )P (
p (1 p)nk
= )pX (k) = PX ({k}) = P ( : X () = k
k

there are k H in

n
k

n k H .

X : " .n, p
5.20
) X B (n, p ) pX (k 0 (n + 1) p 1 .
" H ) ( .n p

50

5.1

5 :

: 0 k n 1 :
?

{|}k + 1 1 p z
1
=

nk
p

nk

) pk (1 p

(1 p)nk1
?

!n
!)k!(nk

!n
k+1
(k+1)!(nk1)! p

)pX (k
=
)pX (k + 1

{|}z
k kp + 1 p np kp

{|}z
k + 1 (n + 1) p

)pX (k
< 1 k + 1 (n + 1) p k (n + 1) p 1
)pX (k + 1
k < (n + 1) p 1 k > (n + 1) p 1:
)pX (k
> 1 k > (n + 1) p 1
)pX (k + 1

5.21 :
! n :
 n n
e

2n

!n

!n
n

n 1
2n ne
5.22 2n )
:H


X B 2n, 21:

1
2

= , (p n

2n
   n  n
 2n
22n 2n
2n
1
1
1
(2n)! 1
e
= )P (X = n
2n
=





2
2
n
n
2
2
2
2
)!(n
2n ne

2n
22n ne
22n 1
22n
1 n
0
=
=
=
n
2n 2n


2
2
n
2n
2n
e

5.23
.
) (
X, Y " PX = PY .

51

5.1

5 :

5.24 : , > 0 X N
:
k
e
!k

= )px (k

).x Poi (
5.25 :

X
X
k
k
e = e
= e e = 1
!k
!k
k=0

k=0

px .
5.26 ::
t . t
" Z 0
.1
.Z ] [0, 1:


i i+1
= Ii
i = 0, ...n 1
,
n n

:
}Z := # {su essful experiment

p
{|}z

Z B n, :

n

n
n

(n (n 1) ... (n k + 1)) 1
  k
k
1
} n
{z
|n
k

1
!k

   
nk
n
k
1
=
= )p (k
n
n
k

=( n
)

 k
)) n (n (n 1) ... (n k + 1
1
!k
n
)(n ) ... (n

n :
n i n
1
n

0 i 1

:
n

e
k :
k
e
!k

n
n

pX (k)

. = np
t 0 .
5.27 .
52

5.1

5 :

5.28 n 1, ..., n .
) W (n :
}W (n) = # {i : The it'h ball remained in pla e
5.29
k N k :
1 1
e
!k

pW (n) (k)

"
. = 1
5.30 :: ,0 < p < 1 X } {1, 2, 3.... :
k1

)pX (k) = p (1 p

p ) .X Geo (p :
1
=1
p

(1 p) =p

=p

k1

)p (1 p

k=0

k=1

.
5.31 " Y = X 1
"
} {0, 1, 2, ..:
k

)PY (k) = p (1 p

5.32 p H .
+

) = {H, T }N ( :
} Ai,xi = {In the i'th toss the result was xi } , xi {H, T
.:
}= min {i | i = H

)(
}|{z

)(1 ,2 ,...

.H
5.33 = ) X (T, T, T, ... .
:
p

k1

)= (1 p

Ai,T Ak,H

).X Geo (p

53

i<k

pX (k) = P

5.2

5 :

5.34 :: X " ) Geo (p k N

n > k:
}An = {X = n
}Bk = {X k
An Bk :
) pX (An
) pX (An Bk
=
) pX (Bk
) pX (Bk

= ) P (X = n| X k) = pX (An |Bk

p (1 p)n1
p (1 p)n1
=
)= p (1 p)(nk)1 = P (X = n k

k1
X
(1

)p
p (1 p)m1

m=k

" ) Geo (p n k . k
n n k .
:
)P (X = n + k| X k) = P (X = n

05/12/2011
5.35 :
)pX ({i}) = P (X = i) = P ({ : X () = i}) = P ( | X () = i


)pX (A) = P (X A) = P ( | X () A) = P X 1 (A

5.2

5.36 X, Y :
)P (X A, Y B
" , :
)P ( : X () A, Y () B
X, Y ...
, X, Y " :
X : 1 , Y : 2
) (, F , P ) (1 , G1 ) , (2 , G2 A G, B G2
:


)P (X A, Y B) = P ( : X () A, Y () B) = P X 1 (A) Y 1 (B
PX , PY
. ..

5.37 :1 p , H } = {0, 1:
(
1 =H
= )Y () = X (
0 =T

54

 5 :

5.2 :

:
P (X {1} , Y {1}) = P (X = 1, Y = 1) = P ( : X () = 1, Y () = 1) = P {H} = p
:2 p ,H :

} = {0, 1} {0, 1
:
1 2 = H
0 2 = T

1 1 = H
= ) , X (1 , 2
0 1 = T

= ) Y (1 , 2

:
2

P (X = 1, Y = 1) = P ({H, H}) = p

.
5.38 : ) (1 , G1 ) (2 , G2 ,
G1 G2 1 2 A B
.A G1 , B G2
5.39 ) (B R ].[a, b
B B R2 R2
.
5.40 1 , 2 ) ( G1 = 21 G2 = 22 G1 G2
:
}{(i, j)} = {i} {j
1 2 G1 G2 .1 2
G1 G2 .

G1 G2 1 2:

G1 G2 = 21 2

5.41 :: X, Y " :
X : 1 , Y : 2
X, Y "
Z : 1 2

)) 7 (X () , Y (
:
) (1 2 , G1 G2
PXY ":


)(A B) = P X 1 (A) Y 1 (B

PXY

5.42 PXY.
55

 5 :

5.2 :

5.43 X, Y PXY :
)pXY (i, j) = P (X = i, Y = j

(i, j) 1 2 :

5.44 X = Y :
pY (0) = pX (0) = 1 p
pY (1) = pX (1) = p

:
})1 2 = {0, 1} {0, 1} = {(0, 0) , (0, 1) , (1, 0) , (1, 1
:
pXY (0, 0) = P (X = 0, Y = 0) = 1 p
pXY (1, 1) = P (X = 1, Y = 1) = p
pXY (1, 0) = P (X = 1, Y = 0) = 0
pXY (0, 1) = P (X = 0, Y = 1) = 0
" ) (.
' X, Y" :






)(i, j) = P (X = i, Y = j) = P X 1 (i) Y 1 (j) = P X 1 (i) P Y 1 (j

PXY

) X 1 (i ) Y 1 (j } .(i, j) {0, 1 :
pXY (0, 0) = P (X = 0, Y = 0) = P (X = 0) P (Y = 0) = (1 p)2
pXY (1, 1) = P (X = 1, Y = 1) = P (X = 1) P (Y = 1) = p2

)pXY (1, 0) = P (X = 1, Y = 0) = P (X = 1) P (Y = 0) = p (1 p
pXY (0, 1) = P (X = 0, Y = 1) = P (X = 0) P (Y = 1) = (1 p) p
5.45 "
X, Y " X 1 Y 2 PXY
PX :
) PX (A) = PXY (A 2
PY :
)PY (B) = PXY (1 B

: :






)(A 2 ) = P X 1 (A) Y 1 (2 ) = P X 1 (A) = P X 1 (A) = PX (A
5.46
X, Y X 1 Y 2:

[
X
pX (i) = PXY ({i} 2 ) = PXY
= {(i, j)}
)pXY (i, j
j2
56 j2

PXY

5.2

5 :

:
)pXY (i, j

= )pY (j

i1

5.47 : X, Y" ,
A, B X, Y :
)P (X A, Y B) = P (X A) P (Y B
A, B" ) X 1 (A ) Y 1 (B .

12/11/2011

5.48 X1 , X2 , ...
Ai1 , ..., Aik

Aij Xij Aij
Xi1 .
j
5.49 :
) (, F , P , ) (2 , G2 ) ,(1 , G1 :
X1 : 1

X2 : 2

PX1 ,X2 " ) Z = (X1 , X2:

)) 7 (X1 () , X2 (
5.50 1 2 . G1 G2
5.51 X1 , X2 ) 1 , 2 21 , 22 = Z
) (X1 , X2 1 2 .21 2 PX1 ,X2
1 2
)pX1 ,X2 (i, j) = P (X1 = i, X2 = j

5.52 } = {0, 1 ) "(

:
}X (i, j, k) = i + j + k = # {results that were 1
:

if both rst tosses were 1

else


X Bin 3, 21:

1
0

= Y (i, j, k) = i j

1
= )pX (0) = pX (3
8
     2
1
3
3
1
=
= )pX (1) = pX (2
2
2
8
1

57

 5 :

5.2 :

:
1
2
=
8
4

= })pY (1) = P {(1, 1, 0) , (1, 1, 1

3
1
=
4
4

pY (0) = 1

" ) (X, Y } = {0, 1, 2, 3} {0, 1 pX,Y ,

:

3
0
1
8

X/Y

2
8
1
8

3
8

1
8

0
1

i ) pX (i j ) , pY (j .
X, Y " :

[
pX (i) = P ( : X () = i) = P { : X () = i, Y () = j}
)pX,Y (i, j

= )P (X = i, Y = j

disjoint union X
j

{|}z
=

:
)pX,Y (i, j

= )pY (j

) (.


5.53 } = 3X = # {number of zeros
X Bin 3, 1
X
2
Y
X,:
3

1
8

3
8

2
8
1
8

0
0
1
8

X
/Y

0
1

0 0


X, X ) (X, Y Y

X, .
5.54
X, X ! :
}){X = 0} = {(0, 0, 0
n
o
}) = 0 = {(1, 1, 1
X

58

 5 :

5.3 :

5.55 : i = 1, ..., n Xi : i
:
PX1 ,...,Xn ) ) Z = (X1 , ..., Xn (
Z : 1 .... n
5.56 ,1 ... n .
Xi 1 ... n PX1 ,...,Xn
.
,
i:
X
) pX1 ,...,Xn (j1 , j2 , ..., i, ..., jn
= )pXi (i
j1 ,j2 ,...,jn

i.

5.3

5.57 : " X : 1 Y : 2 "

A 1 , B 2 ) X 1 (A ) Y 1 (B . :
)P (X A, Y B) = PX,Y (A B) = PX (A) PY (B) = P (X A) P (Y B
" :
)P (X A, Y B) = P (X A) P (Y A

5.58
X, Y " X, Y (i, j) 1 2:
) pXY (i, j) = pX (i) pY (j

= : X, Y" } A = {i} , B = {j:

)pXY (i, j) = pX,Y ({i} {j}) = pX (i) pY (j
= .(i, j) 1 2 ,A 1 , B 2 :

[
{ : X () = i, Y () = j}
P (X A, Y B) = P ( | X () A, Y () B) = P
(i,j)AB

)pX (i) pY (j

(i,j)AB

{|}z
= )pX,Y (i, j

)pY (j) = P (X A) P (Y B

= )P (X = i, Y = j

(i,j)AB

jB

)pX (i

.
59

disjoint

(i,j)AB

X
iA

= pX (i) pY (j)

jB

X
iA

{|}z
=
=

 5 :

5.3 :

5.59 X, Y
.

5.60 " = {1, ..., 6} , .

(
0 X2 is odd
= ,Y ":
Xi i
1 X2 is evn
(1 X1 , X2 :
1
1
= )pX (j
6 2
6
1 1
1
)= = pX1 (i) pX2 (j
= )pX1 ,X2 (i, j
36
6 6
(2 X2 , Y " :
= )pX1 (i

(3 X1 , Y

1
2

1
12

= )P (X2 = 5, Y = 0) = 0 6= pX (2) pY (0

3
6

= ) pY (0) = pY (1 :

1
| |(i, k) i,k of the same parity
36

= )pX1 ,Y (i, j) = P ({u, v} | X (u, v) = i, Y (u, v) = j

1 1
1
) 3 = = pX (i) pY (j
36
6 2

5.61 X, Y , ) ,P (X Y
:
i1

)pX (i) = (1

j1

)pY (j) = (1

:
j1

)(1

i1

)pX,Y (i, j) = (1

{ | X () = i , Y () = j}

P ({ : X () Y ()}) = P

<1ij

" :

X
X

= (1 )i1 (1 )j1 = ...

= )P (X = i, Y = j
+
i=1
j=i

<1ij

5.62 :
.1 " X, Y "
.
.2 ) P (X A, Y B) = P (X A) P (Y B .A, B


.3 , (X) = X 1 (A) | A ,X
) F X( . " X, Y " A
) (X) , B (Y A, B ) ) (X) , (Y (
.
60

5.4

5 :

5.63 : Xi : i i = 1, ..., n
)( n Ai i:
n
Y
) P (Xi Ai
= ) P (X1 A1 , ..., Xn An
|
{z
}
i=1
n
\
) Xi1 (Ai
i=1

" (i1 , ..., in ) 1 ... n

:
) pXk (ik

n
Y

= ) pX1 ,...,Xn (i1 , ...in

k=1

5.64 X1 , ..., Xn A1 , A2 X1 , X2 :
?= ) P (X1 A1 , X2 A2
Ai = i i = 3, ..., n " Xi1 (i ) = :
n
\

) XJ1 (Aj
|
} {z
j=3

} {Xi Ai : i = 1, ..., n} = {X1 A1 } {X2 A2

} = {X1 A1 } {X2 A2 } = {X1 A1 } {X2 A2

:
) P (Xj Aj

independen e Y
n

j=1

{|}z
=

)}P (X1 A1 , X2 A2 ) = P ({Xi Ai : i = 1, ..., n

n
{ |} z
Y

) 1 = P (X1 A1 ) P (X2 A2
) P Xj Aj = P (X1 A1 ) P (X2 A2
j=3

n
Y

j=3

) = P (X1 A1 ) P (X2 A2

.X1 , ..., Xn

5.65
{Xi Ai } , ..., {Xn An }
." } I {1, ..., n X1 , .., Xn:
Y
= )P (Xi Ai , i I
) P (Xi Ai
iI

.
5.66 X1 , ..., Xn A1 , ..., An ) X11 (A1 ) , ..., Xn1 (An
" .

5.4

5.67
X : " f : :
Z =f X :
61

5.4

5 :

:
)P (X = i

)if 1 (A

= )P (Z A

:
)pX (i

= )P (X = i

= )pZ (j) = P (Z = j

)if 1 (j

)if 1 (j

: Z :
[
}{ | X () = i
= }{ | Z () A} = { | f (X ()) A
)if 1 (A

) X( . } { | X () = i X
.
" Z :

[
X
pZ (A) = P
= { | X () = i}
)P (X = i
)if 1 (A

)if 1 (A

5.68
X1 , X2 i f : 1 2 :
) Z = f (X1 , X2
" :
X

)pX,Y (i, j

= )pZ (k

)(i,j)f 1 (k

) .Z = f (X1 , ..., Xn
: " , ) W = (X1 , X2 W ) f (w:
X
= )pZ (k
)pW (i, j
)(i,j)f 1 (k

:
)pW (i, j) = pX1 ,X2 (i, j
.
5.69 " :: X, Y : R Z = X +Y
:
f (X, Y ) : R
(x, y) 7 x + y ) ,Z = f (X, Y :
X
X
= )pX,Y (i, j
)pX,Y (i, j

)(i,j)f 1 (k

i+j =k
)(i, j

62

= )pZ (k

5.4

5 :

pX,Y (i, j) = 0 i j :
X
= )pZ (k
)pX,Y (i, k i
i

X, Y :
)pX (i) pY (k i

= )pX+Y (k) = pZ (k

" .pX , pY
5.70 ) X Pois ( ) Y Pois ( , :pX+Y
)pX (i)py (k i

= )pX+Y (k

i=0

X } {1, 2, ... k i k i 0 :


! k1 k
e
!)(k i
!k

k  i
X

!i

i=0

= )pX (i) pY (k i

k
X
i=0

= )pX (i)py (k i

)Binomial Formula (+
  k
e
e(+) X k i ki
{|}z
=

( + )k
k! i=0 i
!k

= )pX+Y (k

i=0

!k
i ki
!)i! (k i

e(+b) X
k! i=0

).Z = X + Y Pois ( +
5.71 ":

X, Y ) ,Z = f (X Z, Y .
: :
)pZ (i

{
|} z X
)pX (u) = pY (j) pZ (i
)pX (u) pY (j) = pY (j
)uf 1 (i

independen e X
{|}z
=

)pX,Y (u, j

)uf 1 (i

5.72 1 ..

5.73 :
X1 , ..., Xn Y1 , ..., Ym " :
) Z = f (X1 , ..., Xn
Z, Y1 , ..., Ym .
: :
5.74
X ) Y = (Y1 , ..., Ym Y
) = (X1 , ..., Xn
X,".

63

)uf 1 (i

{|}z
= )(i, j

pZ,Y

5.4

5 :

a ) b = (b1 , ..., bm Y
, X, :
: ) = (a1 , ..., an


=a
)} , Y = b = P ({X1 = a1 , ..., Xn = an , Y1 = b1 , ..., Ym = bm
P X
m
Y

) P (Yi = bi

j=1

) P (Xi = ai

| }

{z

= P(Y
)b

{z

independen e Y
n
{|}z
=

i=1

) a
=P(X

.5.65
 
:
Z = f X 5.71
Y
X," Z, Y" . ) b = (b1 , ..., bm :



 independen e
{|}z
=
P (Z = k) P Y = b
P (Z = k, Y1 = b1 , ..., Ym = bm ) = P Z = k, Y = b
) P (Yi = bi

m
Y

independen e of Yi
{|}z
=

)P (Z = k

i=1

) = P (Z = k) P (Y1 = b1 , ..., Ym = bm

Z, Y1 , ...., Ym.

5.75 X1 , X2 , X3 " ) Xi Pois (i:

) X1 + X2 + X3 Pois (1 + 2 + 3

12/12/2011

Y = X1 + X2 .Y + X3
5.76 0 < p < 1 0 < c Xn n
).Xn Geo (p
: ) Xn > c log (n .n

: }) ,An = {Xn > c log (n " " .

:
X
X
p (1 p)j1 = D (1 p)c log(n)+1
= )P (xn = j
= ))P (An ) = P (Xn > c log (n
)j>c log(n

)j>c log(n

D .p D , D :

logn P (A ) D (1 p)c log n

n

)D (1 p

)= nc log(1p

c log n

) (1 p :

)nc log n(1p

n=1

) P (An

n=1

X
An .1
1 < ) P (An
X
An
2 An" ) ( = ) P (An
.1
:
nc log n(1p) < log (1 p) < 1
c.

64

n=1

< ) P (An

n=1

5.5

5.5

5 :

)P(AB
)P(B

= ) .P (A|B " X, Y" :

)}P ({X A} {Y B
)P (Y B

= )P (X A|Y B

5.77 X, Y PX,Y ":

3
0
1
8

X/Y

2
8
1
8

3
8

1
8

0
1

:
1/8

)pX,Y (2, 1
1
= = 2
)pY (1
2
/8

= )pX|Y (2|1

5.78:
.1 :
)pX,Y (i, j) = PX|Y (i|j) PY (j
.2 j :
)PX|Y (i|j) PY (j

= )pX,Y (i, j

= )pX (i

.
.3 {Y B} = E {X A} = F ) Q (F ) = P (F |E
.F " X : Q :
)Q (X A) = P (X A|E) = P (X A|Y B

5.79 X ) ,X Pois ( " .p

Y , .Y
: " :
 
n k
nk
= )P (Y = k| X = n
)p (1 p
k n
k
k > n 0 .
:
  n


e
!n

nk

)p (1 p

 
X
n

= )P (Y = k|X = n) P (X = n

= )P (Y = k

n=0

n=k

pk k X nk
pk k (1p) (p) p
nk
e
)(1 p
e e
=
e
=
!k
!)(n k
!k
!k
n=k
|
{z
}
)e(1p

). Y Pois (p

65

5.6

5 :

18/12/2011

5.6

5.80 : , 2 , P :
R

}|{z

ountable

X :

)P ({}) X (

X:

= )E (X

" ,:
< |)|P ({}) X (

.
5.81 (P ({})) 1
) X ( .
5.82 } = {1, .., 6 :
(
i i = 1, 2, 3
= )X (i
1 i = 4, 5, 6
:
1
9
1
1
(1 + 2 + 3) + (1 + 1 + 1) = = 1
6
6
6
2

= )E (X

5.83 " N . ""

)} N P ({ ) X ( )} N P ({ ) .E (X
.X
5.84 " :
X " ) ( :
X
= )E (X
)a pX (a
aR

pX (a) = 0 a .X
X

5.85 )a pX (a
aR

. X .

66

5.6

: :

P ({})

5 :

)X 1 (a

)}X () P ({

aR

= )a P ( : X () = a
1

z}|{ X
= )}a P ({

)aR X 1 (a

aR

= )a pX (a

aR

)aR X 1 (a

z}|{ X
=
)X () P ({}) = E (X

.1" ) X 1 (a . X () = a
.2" :

{} =

X 1 (a)R

aR

" ) X 1 (a
).a = X (
a R X
.

5.86 N
N
} = {H, T" . N N
) E (N
.
5.6.1

5.87 X" } = {1, ..., 6:

i
1

i = 1, 2, 3

else

= )X (i

} X {1, 2, 3:
}k = 1 X {1, 4, 5, 6
k=2
k=3
:
1
1
9
4
= +2 +3
6
6
6
6

1
16

= )pX (k

= )E (X) = 1 pX (1) + 2 pX (2) + 3 pX (3

5.88 " :
) X Ber (p
}pk k {0, 1

1k

)pX (k) = (1 p

67

5.6

5 :

:
E (X) = 1 pX (1) + 0 pX (0) = 1 p + 0 (1 p) = p

5.89 A :
1 A
0 Ac

= )1A (

)P (1A = 1) = P ( ; A) = P (A
:
)E (1A ) = P (A

5.90 " :
) X Bin (n, p
 
n
X
n k
nk
k
)p (1 p
= ... = np
k

= )E (X

k=0

.
5.91 " :
) X Pois (:

X k1
k
e = e
!)(k 1
} |k!{z

k=1

)pX (k

= )E (X

k=0

m = k 1:

= e e =

X
m

!m
m=0

E (X) = e

5.92 .


Xn Bin n, 0 k
5.93 " n
k
e
!k

= )pXn (k) pX (k

E (Xn ) = n Xn :
n N n
E (X) = lim E (Xn ) =
n

" .

68

5.6

5 :

5.94 :
) X Geo (p ,0 < p < 1 :

X
d
k
)(1 p
dp

=p

k1

k=1

0 < 1 p < 1 )(1 p

:
1
1
=
p2
p

=p

1p
p

d
dp

=p

)k p (1 p
|
{z
)pX (k

= )E (X

k=1

) (1, 1

k=1

)(1 p
)1 (1 p

d
dp

=p

)(1 p

k=1

d
dp

E (X) = p

5.95 X : " ) y = f (X f : :
X
= )P (f (X) = b
)pX (a
)af 1 (b

5.96 ":
X " . f : R
" ) Y = f (X " ,:
X
= ) E (f (X)) = E (Y
)f (a) pX (a
a

X )) E (f (X
" )) .E (f (X f (X) 0
X 5.97
.
, )|f (a)| pX (a
)f (a) pX (a
a

: :

X
X

= pX (a)
b pX (a)
)af 1 (b

)af 1 (b

z}|{ X
= f (a) pX (a)
)f (a) pX (a
a

X
b

= py (b) b

)af 1 (b

= ) E (Y

.1 :" .5.84
5.98 " :
i = 1, 4, 5, 6
i=2
i=3
Y = X 2 :
1
1
17
4
= +4 +9
6
6
6
6

1
X (i) = 2

E (Y ) = 1 pX (1) + 22 pX (2) + 32 pX (3) = 1

69

5.6

5 :

5.99 :
X, Y R ,:
.1 X Y ) .E (X) E (Y
.2 c R ,E (c) = c X c
.E (X) c
.3 c R ).E (cX) = cE (X
.4 ) .E (X + Y ) = E (X) + E (Y
.5 4 :
) E (X1 + ... + Xn ) = E (X1 ) + ... + E (Xn

.6 |).E (|X|) |E (X
.7 )| .E (|X + Y |) E (|X|) + E (|Y
5.100 \ ,:



X
X


|)P ({}) X () = |E (X
= )|E (|X
 |)P ({}) |X (



: 4 : ) Z = (X, Y . Z : R2

f : R2 R :" ,f (a, b) = a + b :
)X + Y = f (Z

pZ = pX,Y :
XX
= )f (a, b) pZ (a, b
)(a + b) pX,Y (a, b
aR bR

= ))E (f (Z

(a,b)R2
1

X X
X
X
z}|{ X X
=
a
PX,Y (a, b) +
b
= )pX,Y (a, b
apX (a) +
) bpY (b) = E (X) + E (Y
bR

aR

aR

bR

bR

aR

.X + Y
| g (a, b) = |a + b :
)| E (|X + Y |) E (|X|) + E (|Y
" X, Y .
)
2 (.

5.101 : ) .E (XY ) = E (X) E (Y

) X Ber (p 0 < p < 1 X 2 = X:


E X 2 = E (X) = p 6= p2 = E (X)2
70

5.6

5 :

5.102 :
) ,hX, Y i = E (XY
:




2
E (XY ) E X 2 E Y 2
.
2

: " ) (aX + bY ) (aX bY :

i
h




2
) 0 E (aX + bY ) = a2 E X 2 + b2 E Y 2 + 2abE (XY
h
i




2
) 0 E (aX bY ) = a2 E X 2 + b2 E Y 2 2abE (XY




a2 = E Y 2 b2 = E X 2 :

0 2a2 b2 + 2abE (XY ) = 2abE (XY ) 2a2 b2 = E (XY ) ab

0 2a2 b2 2abE (XY ) = 2abE (XY ) 2a2 b2 = E (XY ) ab

:
p
p
) |E (XY )| E (X 2 ) E (Y 2

E (XY ) E X 2 E Y 2
2

5.103 " :
) ,X Bin (n, p X1 , ..., Xn" ) Ber (p
)X1 + ... + Xn Bin (n, p

) E (X ) X1 + ... + Xn = X( :
p = np

n
X

= ) E (Xi

i=1

n
X

= ) E (X) = E (X1 + ... + Xn

i=1

5.104 n 1, ..., n . 1, ..., n

N , ) .E (N
)! (|| = n:
1 if in the i'th ball is in the orre t spot
0 else
Xi :

n
X

= )Xi (

= .N :

i=1



)E (Xi ) = E 1{the i'th ball is in it's spot} = P (the i'th ball is in it's spot
!)(n 1
1
}# {Orders in whi h the i'th ball is in it's spot
=
=
=
||
n
n
:
1
=1
n

E (Xi ) = n

n
X

i=1

71

Xi

n
X
i=1

E (N ) = E

5.6

5 :

" Xi ,

5.105 .n
X1 , ..., Xn1 = 1 .Xn = 1

5.106 n .v1 , ..., vn Rd

5.107
} i {1 :


n
X



i vi n



i=1

} i {1 :

n

X


i vi n



i=1

: X1 , ..., Xn i:
(
1
k=1
pXi (k) = 12
k = 1
2
:
* 2

+
n
n
n
n

X
X
X
X


Xi Xj hvi , vj i
= Xi Vi
Xi Vi ,
= Xi vi
=R


i,j=1

i=1

i=1

i=1

) hvi , vj i E (Xi Xj
i 6= j:
1
2
1
2

k=1
k = 1

n
X

= )E (R

i,j=1

= )pXi Xj (k

i 6= j
1
1
1 + (1) = 0
2
2

= ) E (Xi Xj

:
1

{ |} n z
n
X
X
= )E (R
= ) hvi , vi i E (Xi Xi
) E (Xi Xi
i=1

i=1

Xi Xi = Xi2 (1) = 1

1
2

1=n

(1) +

n
X

1
2

= )E (R

i=1



R () n . R n


i ) i = Xi ( i .i = Xi
72

5.6

5 :

19/12/2011
5.108 A ta R a A ta
}) A = {a1 , a2 , ... ,(A :
| |tan

n=1

tan
:
tan

= ta

n=1

. ta

aA

aA

} A = {ai,j ta
5.109 i,j

taij

X
j=1

aA

X
i=1

.
5.110 :
)f (a) pX (a

aA

n=1

= ))E (f (X

aR

" ) ( . :
X
= )|)E (|f (X
< )|f (a)| px (a
aR

5.111 X, Y :
P (X = Y ) = P ( : X () = Y ()) = 1
" :
) E (X) = E (Y
" .pX = pY
5.112
X ) pX (k:

lim pX (a) = lim pX (a) = 0

73

5.7

5 :

:
lim P (X a) = lim P (X a) = 0

:
)0 pX (a) P (X a
} | {z
)P(X=a

lim P (X a) = 0

an .P (X an ) 0
an } An = {X an ) (An+1 An:
X an+1 = X an
:
= P (X an n) = 0

An

lim P (An ) = P

n=1

} {X an n an X
.
5.113 " :
X } ,{1, ..., n:
(
1
}a {1, ..., n
pX (a) = n
0 else
:
1
=n

n
n
{ |} z
X
n+1
1X
)1 n (n + 1
= )E (X
= )k pX (k
=
=k
n
n
2
2
k=1

5.7

k=1

,
.
5.114 ) :(Varian e X X
":


Var (X) = E (X )2
) = E (X .

5.115 (X ) 0 X ) Var (X .
" )
(.
2

74

5.7

5 :

5.116 :
Var (X) 0 .1 " X = .


2
.Var (X) = E X 2 E (X) .2
.Var (aX + b) = a2 Var (X) .3

:
2

.1 ) ,Y = (X Y 0 :

Var (X) = E (Y ) 0

X 6= a > 0 pY (0) > 0:

Y 0

z}|{ X
= )bpY (b
bpY (b) apY (a) > 0
b0

= ) E (Y

" .Var (X) > 0

.2 :

{ |} z
2 E (X) +2

=E X

) E (X

= E X 2X +

2

22 + 2 = E X

)Var (X) = E (X

2

E X

.3 ,Var (X) = E X 2 E (X)2 :
E (aX + b) = aE (X) + b

) E (X1 + X2 ) = E (X1 ) + E (X2

:




= E a2 X 2 + abX + b2 = a2 E X 2 + abE (X) + b2
2

)E (aX + b

E (aX + b) = [aE (X) + b] = a2 E (X) + abE (X) + b2

:
i




2
2
2
E (aX + b) E (aX + b) = a2 E X 2 + abE (X) + b2 a2 E (X) + abE (X) + b2






2
2
)= a2 E X 2 a2 E (X) = a2 E X 2 E (X) = a2 Var (X
h

5.117 ) X Ber (p X = X 2 :


E (X) = E X 2 = p
:

) E (X) = p p2 = p (1 p

75

2

Var (X) = E X

5.7

5 :

5.118 :
.1 ) X Bin (n, p ).Var (X) = np (1 p

.2 ) Y Pois ( .Var (X) =

.3 ) Z Geo (p

1p
p2

= ).Var (Z

5.119 :
X ) (X 0 t > 0 :
)E (X
t

)P (X t

: :
0

z }| { X
X
X
)apX (a) + apX (a
)apX (a
a<t

at

at

= )apX (a

X
tpX (a) = t
)pX (a) = tP (X t
at

)E (X
t

= )E (X

aR

X
at

)P (X t

: } A = {X t :
X X 1A t1A
} 1A {0, 1 1A = 1 ,X t :
)E (X) E (t1A ) = tE (1A ) = tP (A) = tP (X t

5.120 :
)|E (|X
t

)P (|X| t

26/12/2011
5.121:
1
2
1
2

a
=P
= a P

=X

:
1
1
a + (a) = 0
2
2

= )E (X

:

Var (X) = E (X 0)2 = E X 2 = a2

a " "
.a " .
76

5.7

5 :

5.122 :
t

P (|X | > t) 0
:
)P (|X | > t) = P (X > t) + P (X < t
5.123 '' ):(Cheby hev
X" ,t > 0:

)Var (X
t2

)P (|X | t

5.124 ."
.
2

: " ) Y = (X :

)E (Y ) = Var (X

:



{|X | t} = (X ) t2 = Y t2

VarX
) E (Y
=
s
s

)P (Y s

:

VarX
P (|X | t) = P Y t2
t2
5.125" :
t

P (|X | > t) 0

5.126 : " X:
p
) = (X) = Var (X
'' :
1
n2

)Var (X
2

)(n

)P (|X | > nq

5.127 ) :(Covarian e " X, Y:

]) Cov (X, Y ) = E [(X EX) (Y EY

77

5.7

5 :

5.128 ::Covarian e Covarian e " :

.1 :

)Cov (X, X) = Var (X

.2 :

)) Cov (X, Y ) = E (XY XE (Y ) Y E (X) + E (X) E (Y

) = E (XY ) E (X) E (Y ) E (Y ) E (Y ) + E (X) E (Y
) = E (XY ) E (X) E (Y

.3 X, Y " Cov (X, Y ) > 0 " X, Y

.
5.129
X, Y ,:


2
.1 )) E (X a a ( ).E (X

.2 Var ) .Cov (X, Y

:



X

2
.1" ,  )(an a

n=1

| |an

n=1

.2" U, V " :
p
p
) E (U V ) E (U 2 ) E (V 2

) U = X E (X ) V = Y E (Y .

5.130 : X, Y " Cov (X, Y ) = 0

).(Un orrelated
5.131 " :
.1 X, Y :
) E (XY ) = E (X) E (Y
.2 X, Y .

.1 : :
) bpY (b) = E (X) E (Y

X
b

)apX (a

X
a

= )ab pX (a) pY (b

78

independen e X
a,b

{|}z
=

)ab pX,Y (a, b

X
a,b

= ) E (XY

5.7

5 :

XY | |X| , |Y :
)| E (|XY |) = E (|X| |Y |) = E (|X|) E (|Y
| |X| , |Y " .
.2 :
)X = X E (X
) Y = Y E (Y

:

E X =E Y =0
X, Y X, Y :

1

from




{|}z
= E X E Y =0

Cov (X, Y ) = E X Y

5.132 Cov (X, Y ) = 0 ,X, Y " pXY

:
1

0
0

1
3

1
3

1
1
3

X\Y
0
1

" Cov (X, Y ) = 0 ".

5.133 " :
X, Y" ,:

) Var (X + Y ) = Var (X) + Var (Y

: :



Var (X + Y ) = E (X + Y )2 E (X + Y )2


2

E (X + Y )2 = E X 2 + 2XY + Y [E (X) + E (Y )]2

i

h


2
2
) = E X 2 + 2E (XY ) + E Y 2 E (X) + 2E (X) E (Y ) + E (Y
h
i h
i




2
2
]) = E X 2 E (X) + E Y 2 E (Y ) + 2 [E (XY ) E (X) E (Y

X, Y :

) E (XY ) = E (X) E (Y
:
i
i h
h




E (X + Y )2 = E X 2 E (X)2 + E Y 2 E (Y )2
) = Var (X) + Var (Y

79

Var (X + Y ) = E (X + Y )2

5.8

5 :

5.134 :
X, Y" , :

) Var (X + Y ) = Var (X) + Var (Y ) + 2Cov (X, Y

5.135 :
n
p 7 (pi )i=1 i
.pi > 0:
V = {X : R} = Rn
" Rn :
pi ui vi

n
X
i=1

= hu, vi

" X, Y :
)pi X (i) Y (i

n
X
i=1

= hX, Y i

Var (X) = hX, Xi = kXk2

:


Cov (X, Y ) = X, Y

: Cov (X, Y ) > 0 " X, Y ".

"
.

01/01/2011

5.8

5.136 : X, Y" b Y ,P (Y = b) > 0:

X
= )E (X|Y = b
)apX|Y (a|b
aR

" . :
)pX|Y (a|b) = P (X = a| Y = b) = P (X = a, Y = b) P (Y = b

80

5.8

5 :

5.137 :
.1 B P (B) > 0:
)P ({X = a} , B
)P (B

aR

= )a P (X = a|B

= )E (X|B

aR

.2 Y = 1B :
)a P (X = a|B

= )E (X|B) = E (X|Y = 1

aR

.3 B :
)X () P ({} |B

= )E (X|B

}.B = {Y = b
5.138
Q }: B = {Y = b
)P (A B
)P (B

= )Q (A

:
)E (X|Y = b) = EQ (X
) (, F , Q X : R EQ .Q
: :
X P ({x = a} |Y = b) X
=
)apX|Y (a|b) = E (X|Y = b
a
)P (Y = b
aR

= )aQ (X = a

aR

5.139
:
)E (X1 + X2 |Y = b) = E (X1 |Y = b) + E (X2 |Y = b
|
{z
| }
{z
| }
{z
}
) EQ (X2

) EQ (X1 +X2

) EQ (X1

5.140 :
X, Y, Z , :
.1 ):(Law of Total Expe tation
)E (X|Y = b) P (Y = b

= )) E (X) = E (E (X|Y

bR

81

aR

= )EQ (X

 5.8 :

5 :

.2
)E (X| {Y = b, Z = c}) P (Z = c|Y = b

= )E (X|Y = b

cR

.3 k " Y:
E (k|Y = b) = k

(1 : )) E (E (X|Y :
)E (X|Y = b) P (Y = b

X
bR

:
)apX|Y (a|b) pY (b
|
{z
}
)pX,Y (a,b

XX

= )E (X|Y = b) P (Y = b

X
bR

bR aR

X
X

X
=
)apX (a) = E (X
a
p
(a,
)b
X,Y

a
aR b
{z
}
|

)pX (a

)
(.
(2 Q } ,B = {Y = b :
)EQ (X|Z = c) Q (Z = c

from 1 X
cR

{|}z
=

)E (X|Y = b) = EQ (X

)EQ (X|Z = c) P (Z = c|Y = b

cR

) ,EQ (X|Z = c) = E (X|Y = b, Z = c" :

)Q (X = a|Z = c) = P (X = a| Y = b, Z = c
:
)P(X=a,Y =b,Z=c)/P(Y =b
)Q (X = a, Z = c
)= P(Y =b,Z=c
)/P(Y =b
)Q (Z = c
)P (X = a, Y = b, Z = c
=
)= P (X = a| Y = b, Z = c
)P (Y = b, Z = c

= )Q (X = a|Z = c

(3 :
E (k|Y = b) = EQ (k) = k

5.141 X1 , X2 , ... " :

}N = min {n 1 Xn = 6, Xn+1 = 5

82

5.8

5 :

) ,E (N .6, 5 ) (2
:
)E (N ) = E (N |X1 = 6) P (X1 = 6) + E (N |X1 6= 6) P (X1 6= 6

5


1
= E N |1{X=6} = 1 + E N |1{X=6} = 0
6
6
5.142
.E (N |X1 6= 6) = E (N ) + 1
: " :

N = min {n 2 | Xn = 6, Xn+1 = 5} N + 1
:
= E (N ) + 1

N = N |X1 6= 6 .

E N

:
1
1
1
)E (N |X1 = 6) + (E (N ) + 1) = ( + 1
6
6
6

= ) = E (N

:
1

:
: + 1
z
|}
{








 P (X2 = 5|X1 = 6) +E (N
 |X1
)= 6, X2 = 6) P (X2 = 6|X1 = 6
E (N |X1 = 6) = E N |X
1 = 6, X2 = 5
}
{z
  }
{z
}
|
|
|  {z

1
1
N =1
6


: + 2


=
)6, X2 6= 5, 6) P (X2 = 5| X1 6= 5, 6
+E (N |X
 1
{z
}
|

4
6

4
1 1
)+ ( + 1) + ( + 2
6 6
6

1
) = (10 + 4
5

:

1
(10 + 4) = = 35
5

5
1
( + 1) +
6
6

5.143 " :
X, Y" ).E (X|Y = a) = E (X
:" ) pX|Y (a|b) = pX (a:
X
X
= )E (X|Y = a
= )a pX|Y (a|b
)a pX (a) = E (X
aR

aR

83

 6 ) (:

5.144 :: X, Y ) .E (X|Y
) E (X|Y = b ) .b = Y (
) Y ( ) E (X|Y ) ( X :
))E (X|Y ) () := E (X|Y = Y (
Y "
} B = {Y = b ) E (X|Y = b .
" .

) (:

6.1 ) (B R .R
\
=B
G
G R .

6.2 : ) (, F , P X : R
X X 1 (B) F .B B
B B ) .(X 1 (B) F
6.3
X (I) F

X .I R

6.4 : )) P (a X b
( .a b
6.5 :
) P (a X b a b PX ) (R, B:


)PX (A) = P X 1 (A
6.6
.R

)Distribution Fun tion

:(Commulative

6.7 "
FX : R R :


) FX (t) = P (X t) = P X 1 (, T

6.8
.


6.9 " ,X Bin 3, 12
a=0
a=1
a=2
a=3

else

   3
8
3
1
= )pX (a
= 38

a
2

84

) (:

:
t<0
0t<1
1t<2
2t<3
3t

8
3

3
8
8
3

6.10 :

81

1
8 +

8 +

= )FX (t

FX .1 ) ( s t } {x s} {x t:
)FX (s) = P ({x s}) P ({x t}) = FX (t
.2 t:
)FX (t) = 1 P (X > t
" } {X > t }.{X t
.3:
lim FX (t) = 0

.4:
lim FX (t) = lim (1 P (X > t)) = 1

FX .5 .
n

(3 : tn :
} .... {X tn+1 } {X tn
:
}{x t

tR

:
) = lim FX (tn
n

}{x t

0 = P () = P

tR

" tn " .t
(5 t tn t } {X tk } {X tk+1:
} {X tn

n=1

85

= }{X t

6.1

:
!
)= P ((, t]) = FX (t

} {X tn

n=1

) (:

lim FX (tn ) = lim P (X tn ) = P

n

6.11 X Bin 3, 21 .

6.12 :
X FX .pX
: FX ) P (a X b , a b :

)P (a < X b) = P ({X b} \ {X a}) = P (X b) P (X a) == FX (b) FX (a

:






\
1
1
= lim FX (b) FX a
x a ,b
= )]P (X [a, b
n
n
n
n=1
FX .
6.13 :
] F : R [0, 1 , :
lim F (t) = 0, lim F (t) = 1

: X .F = FX
6.14
" .
6.15 : X x0 R:
P (X = x0 ) = 0
" FX .

6.1

6.16 : ) f : R [0, X
a b:
f (x) dx

b
a

= )P (a X b

6.17 f " . f
. f

. fX"" .
86

6.1

6 ) (:

6.18 :
X :
.1
fX (x) dx

= fX (x) dx

1 = P ( < X < ) = lim P (n x n) = lim

n

n
n

) .(,
.2 X fX x0 R ) P (X = x0 ) = 0 X (.
.2 : fX ,x0 M " , :
1

x
0+ n


1
1
fX (x) dx
= lim
P (X = {x0 }) = lim P x0 X x0 +
n
n
n
n
1
x0 n

:
2
=0
n

1
x0 + n

fX (x) dx lim M
n

0 lim

n
1
x0 n

. P (X = {x0 }) = 0
6.19 .
6.20 :
) f : R [0, f (x) dx = 1
X f .

6.21:
.1 ] :[0, 1 X fX :
(
]1 x [0, 1
= )fX (x
0 else
] ,[0, 1 :
1dx = 1

1
0

]1dx = b a = length of [a, b

87

b
a

= )P (a X b

6.1

) (:

.2 : > 0 ) X Exp ( :
(
ex x > 0
= )fX (x
0
x0
:
fX (x) dx = 1

6.22
, s < t:
)P (X > t | X > s) = P (X > t s

: ) X exp ( ,b > a > 0 :

t
e dt
)P (X > b, X > a
)P (X > b
= )P (X > b|X > a
=
= b t
)P (X > a
)P (X > a
d
a e
ebt
)= e(ba)t = P (X > b a
eat

.3 \ : R 0 X N , 2:
1
) (x)2/22
= )fX (x
(e
2
2

02/01/2011
6.23 X : R ] PX : B [0, 1 :
)]FX (t) = P (X t) = PX ((, t
] FX : R [0, 1 . "
,:
)PX ((a, b]) = P (a < a b) = FX (b) FX (a
X PX pX :
)PX ({i}) = P (X = i) = pX (i
:
PX ([x, x + x]) f (x) x
X ) ( x0 R:
P (X = x0 ) = 0
" X .

88

6.1

6 ) (:

6.24 " " : " X fX :

) R [0, ) ( :
)]fX (x) dx = P (X [a, b]) = PX ([a, b

b
a

6.25
.
6.26 X :
}PX (A) = inf {PX (U ) | A U, U is a union of intervals
A ) PX (A) PX (U .A U
. fX X A " "
:
bi

fX (x) dx

i a
i

fX

=
}|{z

] i ,bi
A=[a

= )P (X A) = PX (A

,A = Q fX
1Q f (x) dx

= fX

,:

1Q .Q" ) 1Q f (x ) (
) (.
6.27 ] ,X U [0, 1:
]x [0, 1

else

1
0

= )fX (x

:
t0
1dx
0t1
1dx = 1 t 1

t
0

= fX (x) dx

= )FX (t) = P (X t

0 t 0
= t 0t1

1 t1

6.28 ):X exp (

x0
x>0

0
ex

= )fX (x

:
t0
t>0

0 = 0dx
t x
e
dx = 1 et
0

89

= )FX (t

 6 ) (:

6.1.1

6.2 :

fX :FX

X " fX :
t

fX (x) dx

= )FX (t

t0 fX :

) FX (t0 ) = fX (t0

fX FX ... < t1 < t0 < t1 < .."

fX ) (.
6.29 X FX )

b a ] ([a, b FX .
.

6.2

6.30 X ,fX X:
xfX (x) dx

= )E (X

,:
< |x| fX (x) dx

: Y" fX = 0 ]:[a, b
)P(Y =y

{ |} X z
= ) E (Y
)y pY (y
yR

:
)] P(X[xi ,xi +xi

{ |} z
f (xi ) xi
{z
}

xi

xfX (x) dx

Weighted average of xi

xi ].[a, b

= )E (X

6.31 ] :[a, b:
]x [a, b

else

1
ba

= )fX (x

:
b

1
x =1
 ba
a

= 0dx
b

1
dx +
ba

90

b
a

0dx +

= fX (x) dx

 6 ) (:

6.3

] [a, b ] , X U [a, b :
b
b 2 a2
 1 x2
b+a
1
=
= dx
=
x

ba
ba 2
)2 (b a
2

= xfX (x) dx

= )E (X

.
6.32 ) X exp (:

x
xex dx
= lim
xfX (x) dx = xe
n

= )E (X

0

 n
>



1
1
: 0 1 n



1
= lim xex ex  = lim
= 0e0 + e0
nen e
n
n


0

6.33 X N , 2 :

(x)2
1
= )fX (x
e 22
2
} | {z

:
dx

(x)2
22

ce

dx +

(x)2
22

fX (x) dx
}

08/01/2012

{z

=1

dx +

(x ) ce

2
) (x
22

== dx

(x)2
22

(x ) ce
{z

=0

xce

= )E (X

R
.
6.34 :
.1 .
.2 ) P (X = x0 .x0 R
.3 " " ) (.
6.35
P (X = x0 ) > 0" FX .x0
6.36 ) FX( = ) P (X = x0
0 .x0 R

6.3 :
14

91

6.3

) (:

6.37 X" ) fX( ,Y = X 2 fy .Fy :


 
 



FY (t) = P (Y t) = P X 2 t = P t X t = FX
t FX t

1
1
)fX (t) = fX (t) + fX (t
2 t
2 t

d
1
1
FY (t) = fX (t)
dt
2 t
2 t

= )fY (t

6.38 :
X" fX
) .Y = g (X : Y
y Rangeg

else

g : R R , g (x) 6= 0
":

(





) g 1 (y) fX g 1 (y
= )fY (y
0

: g :




)FY (t) = P (Y t) = P (g (X) t) = P X g 1 (t) = FX g 1 (t

g :




)FY (t) = P (Y t) = P (g (X) t) = P X g 1 (t) = 1 FX g 1 (t

:


1

" :

)(t) fX g 1 (t
fY (t) = g




) fY (y) = g 1 (t) fX g 1 (t






)fY (t) =  g 1 (t) fX g 1 (t

fY
.
6.39

X" fX g .g (x) 6= 0
) Y = g (X:

 X



= )fY (y
) gx1 (y) fX (x
)xg1 (y

6.40 " g (x) = 0

R g .

6.41 ) Y = g (X )pX (i

)ig1 (j

)g (i) pX (i

X
iR

:
92

= ) E (Y

= ) pY (j :

6.3

) (:

6.42 :
X fX g : R R
):Y = g (X
g (x) fX (x) dx

= ) E (Y

6.43
.

6.44 f : R2 R ] D = [a, b] [c, d , )

(3:

d b
b d
f = f (x, y) dx dy = f (x, y) dy dx
c

6.45
X" ) ( :

)P(Xt
) z P(X>t
|}
{ |} { z

E (X) = (1 FX (t)) FX (t) dt

0

: :

P (X > t) dt = fX (x) dx dt = fX (x) dt dx = fX (x) dt dx

0

< )|x| fX (x) = E (X

= xfX (x) dx

P (X > t) dt

) E (X .

xfX (x) dx

P (X t) dt =

P (X > t) dt P (X t) dt = xfX (x) dx +

= xfX (x) dx
)xfX (x) dx = E (X

6.46
) (.

93

6.3

) (:

6.47 :
X ) fX ( g : R R
) Y = g (X ) g ( :
g (x) fX (x) dx

= ) E (Y

: Y :

E (Y ) = P (Y > t) dt P (Y t) dt
0

) P (Y t) = P (g (X) t ) P (Y > t) = P (g (x) > t :

fX (x) dx
fX (x) dx dt
E (Y ) =
}{x: g(x)t

}{x: g(x)>t

g } {x : g (x) t } {x : g (x) > t

.
:
}){0 t < , x : g (x) < t} = {x R | t : 0 t g (x
:
}){0 t < , x : g (x) t} = {x R| t : 0 g (x
:

= fX (x) [max {0, g (x)} max {0, g (x)}] dx

{z
}
|
)g(x

})max{0,g(x

= fX (x) dt dx

6.48 < |g (x)| fX (x) dx

) E (Y.

6.49 :

Z N:
)P (Z i

X
i=1

94

= )E (Z

})max{0,g(x

fX (x) dt dx

((1 FX (t)) Fx (t)) dt

= )E (X

6.4

6.4

) (:

6.50 " : X fX
) = E (X:


Var (X) = E (X )2
" . 6.47 :
2

(x ) fX (x) dx

= )Var (X

6.51 :




Var (X) = E X 2 E X 2
6.52 ) ,X N (0, 1 :
1 2
1
fX (x) = e 2 x
2

" ,E (X) = 0 :
2

x2 e 2 x dx

1
= )Var (X
2

:
dx

x2
2

x2
2

x2 e 2 x dx = xe

:
)fX (x

{ |} z
  1
x2
 +
e 2 dx = 1

2

2
x2

1
xe
2
|
{z

= )Var (X

=0

6.53 X N , 2 ) N (0, 1
1
Var (x) = Var (X) = 2
2

= Y :

= Var (Y ) = 1

6.54 :
X, Y" :
.Var (aX + b) = a2 Var (X) .1
.2 X, Y :

) Var (aX + bY ) = a2 Var (X) + b2 Var (Y

95

 6 ) (:

6.4

.3 :

) Var (aX + bY ) = a2 Var (X) + b2 Var (Y ) + 2abCov (X, Y

09/01/2012
6.55 :
f ] [a, b . F ] [a, b
][a, b:
)f (x) dx = F (b) F (a

b
a

: ) c (a, b f \ F . :
f (x) dx

f (x) dx + lim

tc+

s
a

f (x) dx = lim

sc

b
a

F ] [a, s] , [t, b F f " :

))lim (F (s) F (a)) + lim (F (b) F (t)) = lim F (s) lim (F (t)) + (F (b) F (a
tc+

tc+

sc

sc

F c :
)lim F (s) = lim+ (F (t)) + F (c

sc

tc

)f (x) dx = F (b) F (a

b
a

6.56
f.

6.57 ":
X" fX g : R R ," X
g 1 : ) Y = g (X :

fX g 1

fY = g 1

6.58 :

fX g 1

fY = g 1

96

 6.5 :

: fY )fY = P (Y t
:

) (:

a < b

)fY = P (Y b) P (Y a) = P (a < Y b

fY

= fY

b
a

:


)P (Y t) = P (g (X) t) = P (X) g 1 (t

" FX ) FX g 1 (t
:


d
FX g 1 = g 1 fX g
dt

"
. :



) fX g (x) dx = FX g 1 (t

g 1

fX g

 t

1

= )(t

P (Y t) = P (X) g

fY = g

6.59 g :

b
b
 X




fY =
 gx1  f gx1
)xg1 (y

.

.

6.5

X, Y : R PX,Y R
.Z = (X, Y ) : R2
" PX,Y
.R2

97

6.5 :

6.60 :
) FX,Y (s, t:

) (:

X, Y ,

)R2 [0,

|}
{
z
)](s, t) = P (X s, Y t) = PXY ((, s] (, t

FX,Y

X, Y fX,Y A R2:

)fX,Y = P ((x, y) A
A

a < b c < d:
)fX,Y (x, y) dxdy = P (a X b, c Y d

b d
a c

" . FX,Y
.R2

98

6.5 :

) (:

6.61:
.1 fX,Y " " "":
P ((X, Y ) [x + x, y + y]) fX,Y (x, y) xy

.2 :
))P (a < x b, c < y d) = FX,Y (b, a) FX,Y (a, d) (FX,Y (b, c) FX,Y (a, c
{z
| }
{z
}
|
)P(a<xb, ya

)P(a<Xb, yc

FX,Y PXY ) (
PXY.
.3 :
)FX (s) = P (X s) = lim P (X s, Y t
| t
{z
}
)FX,Y (s,t

FX,Y X .Y
.4 fX,Y ) ) ((x, y ":
fX,Y (x, y) dxdy

s t

= )FX,Y (s, t

s t :
2
)FX,Y (x, y) = fX,Y (x, y
yx

.5 I, J :

fX,Y
= )P (X I, Y J
J

P (X I) = fX,Y (x, y) dy dx
I

fX,Y (x, y) dy

X " .
.6 Y ":
fX,Y (x, t) dx

= )fY (t

.7:
fX,Y 99
=1

R2

6.5

6 ) (:

6.62
X, Y" fX,Y " " ) C (R2:

= )P ((X, Y ) C
fX,Y dxdy
C

6.63 :13
X, Y " :
.1 X, Y" ) (X, Y :x, y R
)fX,Y (x, y) = fX (x) fY (y
) fX (x) , fY (y X, Y
.
.2 X, Y fX,Y g, h x, y R:
)fX,Y (x, y) = g (x) h (y
X, Y c1 , c2 c1 c2 = 1 .fY = c2 h , fX = c1 g
6.64 :
) f : R2 [0, fX,Y = 1

R2

" X, Y f .

6.65 n .
6.66" X, Y R
)fX,Y (x, y) = C 1{(u,v)| u+v2 R2 } (x, y

.1 C . fX,Y = 1
R2

.2 .fX
.P ((x, y) dis of radius R) .3
:
.1 :
C 1 (x, y) dxdy = C 2R

R2

.R

1
2R

= .C

.2 fX,Y ,:
n
o
p
p
(x, y) : R2 x2 y R2 x2
:

R2 x2
C 1dy = 2
R2

R
2 x2

R2 x2

100

= fX,Y (x, y) dy

= )fX (x

 6 ) (:

.3 :

cdxdy

6.5

= fX,Y (x, y) dxdy

} {(u,v)| u2 +v 2 a2

} {(u,v)| u2 +v 2 a2


= P (x, y) (u, v) | u2 + v 2 a2

a R R " f
.1 a < R:

a2
cdxdy = ca2 = 2
R
} {(u,v)| u2 +v 2 a2

15/01/2012
6.67 " X, Y:
fX,Y (x, y) dxdy

b d
a c

= )P (a X b, c Y d

a b . c d
= A R2.

1A fX,Y
= )P ((X, Y ) A
= fX,Y
R2

6.68 " : g : R2 R " X, Y ) .Z = g (X, Y

6.69 Z " , ) Z 1 (A A .g
g )) g 1 ((, t ) t g (.
6.70 "
) Z = g (X, Y " :
< |g (x, y)| fX,Y (x, y) dxdy

R2

" :
g (x, y) fX,Y (x, y) dxdy

= ]) E [Z] = E [g (X, Y

R2

) Z = g (X1 , ..., Xn
6.71
X, Y ) E (X + Y ) = E (X) + E (Y " X + Y .
: ,g (x, y) = x + y g (X, Y ) = X + Y "
:

< |g (x, y)| fX,Y (x, y) dxdy

R2

101

6.6 :

) (:

:
(|x| + |y|) fX,Y (x, y) dxdy

|x + y| fX,Y (x, y) dxdy

R2

(|x| fX,Y (x, y) + |y| fX,Y (x, y)) dxdy

fX,Y (x, y) dx dy
}

{z

)fY (y

|y|

fX,Y (x, y) dy dx +
}

)| |y| fY (y) dy = E (|X|) + E (|Y

{z

|x|

)fX (x

|x| fX (x) dx +

X, Y . :

) (x + y) fX,Y (x, y) dxdy = E (X) + E (Y

R2

6.72 " : " X, Y ) (:

]) Cov (X, Y ) = E [(X X ) (Y Y

) X = E (X ) .Y = E (Y :

) Cov (X, Y ) = E (XY ) E (X) E (Y

6.73
:

) Var (X + Y ) = Var (X) + VarY + 2Cov (X, Y

:

) Var (aX + bY ) = a2 Var (X) + b2 VarY + 2abCov (X, Y

6.6

6.74 X, Y ":
)P (X A, Y B) = P (X A) P (X B
.A, B R A, B X, Y.
6.75 " :
X, Y " :

102

 6.6 :

) (:

(x, y) .1 fX,Y
x .2 . fX
y .3 .fY
:
)fX,Y (x, y) = fX (x) fY (y

6.76 " .

6.77 n " :
fX1 ,...,Xn = fX1 ... fXn

: :

independen e
{|}z
=

)P (X s, Y t) = FX,Y (s, t
s t:

)FX (s) FY (t) = P (X s) P (Y t

2
)FX,Y (s, t) = fX,Y (s, t
ts
:

)fX (s

z }| {

2
)FY (t) Fx (s) = fX (s) fY (t
= )FX,Y (s, t

ts
t
6.78 ] X, Y, Z U [0, 1 , ) .P (X > Y Z :
]fX = fY = fZ = 1[0,1
:
)fX,Y,Z (x, y, z) = 1[0,1] (x) 1[0,1] (y) 1[0,1] (z
(
1 0 x, y, z 1
)= 1[0,1]3 (x, y, z
=
0 else
:

1[0,1]3 (u, v, w) dudvdw


 1
2

v
 dw
vw
 2
0

= )P (X > Y Z

}{(x,y,z): x>yz

1
0

= (1 vw) dvdw

1 1
0 0

= 1[0,1]3 (u, v, w) dudvdw

} | {z
=1

 1


 1
1
w2  3
1 w dw = w
=
=
2
4  4
0

103

1 1 1
0 0 vw

 6 ) (:

6.6

6.79 :
X, Y :
) E (XY ) = E (X) E (Y

6.80 " :
X, Y" , Z = X + Y :
fX (u) fY (z u) du

= fX (z u) fY (u) du

= )fZ (z

: :
fX,Y (u, v) dudv

= )FX+Y (s) = P (X + Y s

}{(x,y): x+ys

) fX,Y (u, v) = fX (u) fY (v :

sv

= fX (u) fY (v) dudv
fX (u) fY (v) , dudv

= fX,Y (u, v) dudv

}{(x,y): x+ys

sv

=
= fY (v) fX (u) , du dv
fY (v) FX (s v) dv

s:
fX (s v) fY (v) dv

d
= (FX (s v) fY (v)) dv
ds

{z

)=FX (sv

{|}z
= FX (s v) fY (v) dv

}{(x,y): x+ys

d
d
= )FX+Y (s
ds
ds

.
.
6.81 ] X, Y U [0, 1 ,Z = X + Y :
fX (z u) fY (u) du

= )fZ (z

:
0 z u 1, 0 u 1

else

1
0

= )fX (z u) fY (u

] X + Y [0, 2 z < 0 z > 2 . 0 z 1:

(
1 0uz
= )fX (z u) fY (u
0 else

104

 6.6 :

) (:

:
1du = z

z
0

= fX (z u) fY (u) du

1 z 2:
1 z1u1
0 else

= )fX (z u) fY (u

:
1du = 2 z

1
1z

= fX (z u) fY (u) du

:
0z1
1z2

z
2z 1

= )fX+Y (z

6.82 " :
X, Y " ,:

) Var (X + Y ) = Var (X) + Var (Y

: :

) Var (X + Y ) = Var (X) + Var (Y ) + 2Cov (X, Y

X, Y Cov (X, Y ) = 0 .

6.83 X, Y ) X = g (X ) Y = h (Y" X , Y :

independen e





{|}z
)P X A, Y B = P X g 1 (A) , Y h1 (B
=
P X g 1 (A) P Y h1 (B) = P X A
6.84
X1 , .., Xn Y1 , ...Ym :
 Y
\
Y
= } {xi Ai } {Yi Bi
) P (Xi Ai
) P (Yi Bi
g" g (X1 , ..., Xn ) , Y1 , ..., Ym .

6.85 :




X N 1 , 12 Y N 2 , 22 , Z = X+Y :

2

.Z N 1 + 2 , 12 + 2

: .

105

\

 6 ) (:

6.7

6.7 :
6.86 : X, Y" X Y = y:
)fX,Y (x, y
)fY (y

= )fX|Y (x|y

6.87 :
)P (X A|Y = y
Y .P (Y = y) = 0
6.88
:
: :
1
fY (y) = 1
)fY (y

= fX,Y (x, y) dx

1
)fY (y

= fX|Y (x|y) dx

: " ,
:
)P (X A, y Y y +
)P (y Y y +

y+
y+

fX,Y (u.v) dv
fX,Y (u.v) dv

y
y

du
=
lim

du

y+
y+
+

fY (v) dv
fY (v) dv

P (X A | Y = y) = lim P (X A| y Y y + ) = lim
0+

0+

= lim+

0
A

y+

fX,Y (u.v) dudv

y
y+

fY (v) dv
y

" ' " " :

fX|Y (u, y) du

denition
A

{|}z
=

)fX,Y (u.v
du
)fY (v

6.89 :
0 u, v 1

else

c u2 v
0

106

= )fX,Y (u, v

= lim+
0

 7 :

c fX,Y = 1

) .(c = 6

2
2 1

cu 3
du
du =

1
0
fX,Y v, 3 dv

1
2

1
3

= ,P 0 X 21 | Y :

1

3

cu
fY 13

 2



2
1
1
1
|= fX|Y u
= du
= P 0 X |Y
2
3
3
0

1
u2 du

2 1
2
2

cu 3

1
du = u
du = 0
=
=

1
1
1

2
0
0
c v3 dv
v 2 dv
v 2 dv
0

16/01/2012

1
2

) (, F , P Xn : R n = 1, 2, 3, ...
.X : R
7.1 " " : Xn X
a.e
) (almost surely, almost everywhere Xn X 0 P (0 ) = 1
0:
n

)Xn () X (
:
n
o
)lim Xn = X = P | lim Xn () = Xn (
=1


7.2 Xn X
n
0 .1 ) Xn () X (
) (surely ).(everywhere
7.3 : Xn X )(In probability
p
Xn X > 0:
n

P ({ | |Xn () X ()| > }) = P (|Xn X| > ) 0

7.4 :
.1 , > 0 N n > N:
P (|Xn X| > ) <
.2 > 0 N n > N:
P (|Xn X| > ) <

107

 7 :

7.5 )
( Xn .X
n Xn X
.
.n
7.6 ,n
1 n
1
n

1
n

.Xn = 1 :

Xn () = 1

a.e

.Xn 1 0 .
7.7 ] = [0, 1 . ,Xn () = n Xn 0
.
n

: 0 < 1 ) n 0 ) .([0, 1
P ([0, 1)) = 1 .P ({1}) = 0 Xn (1) 6 0 .almost everywhere
: > 0 :

}{|Xn 0| > } = { [0, 1] | | n 0| > } = { [0, 1] | n >

n
o  1 i
1
= [0, 1] | > n = n , 1
n

= 1 n 0

i

n , 1



P (|Xn 0| > ) = P

7.8 :

a.e

Xn " X" ,Xn X.Xn X :

: , > 0 :
n

P (Bn ) = P (|Xn X| > ) 0

:
}Bk = { | |Xk () X ()| > for some k n

= Cn

kn

Bn Cn :
) 0 P (Bn ) P (Cn
n

,P (Cn ) 0 Cn+1 Cn :
!

\
lim P (Cn ) = P
Cn
n

n=1

a.e

Xn X 0 1:
n

)Xn () X (
,n > N
0 |Xn () X ()| < N / Cn

\
. 0 P (0 ) = 1 :
/
Cn
n=1

Cn \0

108

n=1

 7 :

:
P (\0 ) = P ( 0 ) P (0 ) = P () P (0 ) = 1 1 = 0
.

7.9 Bk

= Cn :

kn

Bk = lim sup Bn

[
\

= Cn

n=1 kn

n=1

lim sup Bn = B:
n

)P (Bn ) P (B
" :
P (lim sup An ) = 0 = lim (P (An )) = 0
n

7.10 Xn 0, 1 :
1
n
1
n

= )P (Xn = 1

P (Xn = 0) = 1

> 0 } {|Xn 0| > } = {Xn = 1:

1 n
1
n

P (Xn = 0) = 1

p
a.e
.X 1 X = 1 
0
0
 .Xn
n
n

X
" .
= )P (Xn = 1
n=1

7.11
X1 , ..., Xn" ) , (, F , P :
W = lim sup Xn .1
n

V = lim inf Xn .2
n

Y = sup Xn .3
n

Z = inf Xn .4
n

.5 : lim Xn () exists
n

7.12 ":

109

 7 :

.1 Yn " Yn c c R f : R R :

)f (Yn ) f (c

.2 Yn " Yn c M R |Yn | M:
n

E (Yn ) c

a.e

.3 Xn " Xn X n P (Xn 0) = 1 .P (X 0) = 1
7.13 " :
.1 Xn " > 0 N n > N P ({|Xn | < }) = 1
a.e
.Xn 0
.2 Xn " > 0 N n > N P ({|Xn | > }) = 0
a.e
.Xn 0

a.e

.3 Xn " > 0 P ({lim sup |Xn | > }) = 0 .Xn 0

7.14 :
P (lim Xn = 0) = 1

7.15 ':
.1 X" , t > 0:
)|E (|X
t

)P (|X| t

.2 Y" ) , = E (Y t > 0:

) Var (Y

)P (|Y | t

t2

(1 : " X 0 :

t>0

{|}z
{|}z
xfX (x) dx
tfX (x) dx
xfX (x) dx
} | {z
t

X0
0

{|}z
= xfX (x) dx

)= t fX (x) dx = t P (t X < ) = t P (X t
t

.
110

= )E (X

7.1

7.16 ) (t, .x t
(2 :

) Var (Y
t2



E (Y )2
t2

}|{z

markov



2
P (|Y | t) = P (Y ) t2

7.17 \
:
.1.E (aX + bY ) = aE (X) + bE (Y ) :
.2 .E (|X + Y |) E (|X|) + E (|Y |) :
.3 : X Y ) .E (X) E (Y
.4.E (1A ) = P (A) :

7.1 :
7.18 :i.i.d X1 , X2 , .. "
) (independant identi ally distributed " ,
i, j .FXi = FXj
7.19 Xi ," .
7.20 :
X1 , X2 , .. i.i.d ) Var (Xi E (Xi ) = Xi

n
X

1
n

= Sn:

i=1

Sn
7.21 :
! i.id
n
n
1X
1
z}|{ 1 X
= ) E (Xi
= n =
=
n i=1
n i=1
n

1X
Xi
n i=1

E (Sn ) = E

: > 0:
n

P (|Sn | ) 0
' :

) Var (Sn
2

)P (|Sn |

n ) n
. Var(S :
0
2

! independant
i.i.d
n
1
{|}z
1X
z}|{ 1
Var
(X
)
=
) = 2 n Var (X1 ) = Var (X1
i
n2 i=1
n
n

111

n
X
1
Xi
= 2 Var
n
i=1

1X
Xi
n i=1

Var (Sn ) = Var

7.1

" , :
1 Var (X1 ) n

0
} n | {z2

)P (|Sn |

onstant

7.22
Xn ) Ber (p" E (Xi ) = p ::
n

1X
1
}Xi = # {1 i n : Xi = 1
n i=1
n

= Sn

. :
1
n
# {1 i n : Xi = 1} p
n
.


7.23 : Y" , k Y E Y k " .
. k
Y n k .0 k n
7.24:
.1 ) .1 = E (Y

.2 k k .k k
.3 Y ) M R |Y ()| M .
.4 n n n + 1 .
7.25 :1
Y" } {Yn , > 0:

a.e

}A = { : |Yn () Y ()| > , for innite many n

Yn Y :" > 0 .P (A ) = 0

a.e

= : Yn Y 0 P (0 ) = 1 0:
n

)Yn () Y (
0
> 0 0 / A
n |) .|Yn () Y ( A \0 :
P (A ) = 1 P (0 ) = 0
= > 0 . P (A ) = 0
Yn , Y | |Yn Y . } {|Yn Y | >
:
}A = lim sup {|Yn Y | >

112

7.1

. k A k1 ) ( :
A k1

=A

k=1

0 = \A :

  X
X
0=0
= P A k1
k=1

k=1

)P (A

0 ,P (0 ) = 1 :
n
o
n


 ) : Yn (

Y () A

n


 ) Yn ( > 0 :

)Y (

|Yn () Y ()|
.n"

1
k

= ) k ( k1 < :
A k1 A

a.e

: 0 ) Yn () Y ( .Yn Y
7.26 :2
} {Xn i.i.d E (Xn ) = 0:

c .X1

c
E Sn4 2
n

: :

!4

n
n
X
X
= 1 E
= 1
) E (Xi Xj Xk Xl
X
X
X
X
i
j
k
l
n4
n4
i,j,k,l=1

i,j,k,l=1

:i, j, k, l

n


1X
E Sn4 = E
Xi
n i=1

i = j = k = l .1 :


4

E (Xi Xj Xk Xl ) = E Xj = 4

.2 :




2
) E X12 E X22 = (2

independent
{|}z
=

i.i.d
{|}
z


= E X12 X22

Xi2 Xj2

E (Xi Xj Xk Xl ) = E

.3 :

i.i.d


{|}
z
= E X13 E (X2 ) = 3 1 = 0
}|{z
=0

113

E (Xi Xj Xk Xl ) = E Xi3 Xl

7.1

7 :

type3

22 +

n 1

type2

4 n

i.j,k.l

type1

i,j,k,l

1
E Sn4 = 4
n

c cn2

4 +

c
1
4 n4 + c22 2
n
n

Sn4

4 n
2

7.27 :

a.e

X1 , X2 , ..." i.i.d ) = E (X1 .Sn

: 1 > 0:
P ({|Sn | > | for innite many n}) = 0

n o

= 0 Xn = Xn Xn i.i.d E Xn = 0
:

a.e

n
X

Xi 0

= Sn

i=1

a.e

a.e

Sn = Sn 0 = Sn
= 0 :
P ({|Sn | > | for innite many n}) = 0
:
< )P (|Sn | >

n=1

llema2
z}|{ c 1

4 n2

E Sn4

c X 1
<
4 n=1 n2

Sn4

P (|Sn | ) = P

)P (|Sn | >

n=1

7.28 2 "
, :
7.29 :

a.e

Xn " i.i.d E (X1 ) = .Sn

114

7.1

7 :

7.30 ]:[0, 1
X1 , X2 , X3 , ..." } {0, ..., 9 i = 0, ..., 9
:

1
10

= ),P (Xn = i

N
X
X
Xn
Xn
=
= 0.X1 X2 X3 ...
n
N
10
10n
n=1
n=1

X = lim

.X U [(, 1)] :
7.31 " .

: x [0, 1] : P (X = x) = 0:
} {Xn = xn

n=1

= }{X = x

x = 0.x1 x2 x3 ... :
!

} {Xn = xn

N
\

n=1

! ontinuity
{|}z
} {Xn = xn
=
lim P
N

N
\

lim

n=1

=P
N
Y

} {Xn = xn

N
Y
1
1
lim
P {Xn = xn } = lim
=0
= lim
N
N
N 10N
10
n=1
n=1

P (X = x) = P

n=1

independen e
{|}z
=

7.32
0 k 10n 1:
1
10n

k+1
k
X
10
10

: ) (0" :
n

1
10

independen e
{|}z
=

= ) P (X1 = k1 ) ... P (Xn = kn

) P ({X1 , ..., Xn } = k1 , ..., kn

) P (X I) = P (U I ] U U [0, 1 I ".
: ) [0, t I1 , I2 , ..." t:
)P (U Ii ) = P (U < t

n
X
i=1

= ) P (X Ii

n
X
i=1

= ) P (X [0, t)) = P (X ni=1 Ii

X ] U U [0, 1 ] [0, 1 .
7.33
] ,U U [0, 1

U = 0.U1 U2 ....Un ...

115

 7 :

7.2 :

: } k {0, ..., 9
1
1
= }# {1 i n : Ui = k
n
10

lim

k n 0 1
n .

1
10

:" 1i Ui = k
" :
1
10

= )}E (1i ) = P ({Ui = k

:
n

1
1X
1i
= }# {1 i n : Ui = k
n
n i=1
:
n

1
1 X n
= ) 1i E (1i
n i=1
10

23/01/2012

7.2

7.34 : " X1 , X2 , ... " X t

P (X = t) = 0:
n

)P (Xn t) P (X t
: FX:
n

)FXn (t) FX (t

"Xn X :
7.35 .
7.36 ) Xn Ber (pn

n 1
2

pn

1
2

X Ber .

Xn X 1, 0 :
t < 0 P (Xn t) = 0 = P (X t) :
t > 1 P (Xn t) = 1 P (X t) :
0 < t < 1 :
1
)= P (X = 0) = P (X t
2

P (Xn t) = P (Xn = 0) = 1 pn 1

t 6= 0, 1 ) P (Xn t) = P (X t .Xn X

116

7.2 :

7.37 Xn Ber 21" ,
:
1
2

.Xn X Ber

1
2

= ) P (Xn = Xn+1

" ".


X Ber 21 Xn X , Xn X" , .

7.38:

1
2
1
2

1
2

=P
=P

1
n

(
0
= Xn
1+

.X Ber 0 6= t < 1 :
(
0 t<0
P (Xn t) = P (X t) = 1
0<t1
2

t = 1 :
1
)6= 1 = P (X 1
2

= )P (Xn 1

.
t > 1 n P (Xn t) = 1:
n

)P (Xn t) P (Xn t

Xn Bin n, ) ,X Pois ( k:
7.39 > 0 n
n

)P (Xn = k) P (X = k

.Xn X Z .FX t < 0:

)P (Xn t) = 0 = P (X t
t > 0 k N k < t < k + 1:
)P (X = i) = P (X t

k
X
i=0

P (Xn = i)

7.2.1 :
7.40

Xn X t FX:
n

)P (Xn < t) P (X < t

117

k
X
i=0

= )P (Xn t

 7 :

7.2 :

: , > 0 :
}{Xn t } {Xn < t} {Xn t

)}P ({Xn t }) P ({Xn < t}) P ({Xn t

:
?

{|}z
)P (Xn t ) = lim inf P (Xn t ) lim inf P (xn < t
n

t is a ontinuity point
{|}z
=

)P (X t

) lim sup P (Xn < t) lim sup P (X t

n

t .
7.41
G : R R
.
" t :
)P (Xn t ) lim inf P (xn < t) lim sup P (Xn < t) P (X t
n

n 0 t n :
n

)P (Xn t n ) P (Xn t
:

t is a ontinuity point
{|}z
=

)P (X < t

)lim P (Xn < t) = P (X t

29/01/2012
D

7.42 Xn X t FX:
n

)P (Xn t) P (X t
:
n

)FXn (t) FX (t
7.43
n

An , Bn P (Bn ) 1 ) P (An ) , P (An Bn

,:
n

|P (An ) P (An Bn )| 0

: An Bn An :
) 0 P (An ) P (An Bn ) = P (An \ (An Bn )) = P (An \Bn

An \Bn Bnc :
n

P (An \Bn ) P (Bnc ) = 1 P (Bn ) 0

118

7.2 :

7.44 :

Xn X .Xn X
: t ) > 0 ( , :
n
o
^
n
) P (X t
P Xn t |Xn X| <
{z
}
|
n,

Xn X:

P (|Xn X| < ) 1
:
C

zn
|}
z
|}
|}
o{ n
o{ zn
{o
^
^
^
X t
|Xn X| < Xn t |Xn X| < X t + ,
|Xn X| <

)lim inf P (A) lim inf P (B) lim sup P (B) lim sup P (C
n

P (|Xn X| < ) 1 :
n
o
^
lim inf P X t
|Xn X| <
)= lim inf P (X t ) = P (X t
n

:
n
o
^
lim sup P X t + ,
|Xn X| <
)= lim sup P (X t + ) = P (X t +
n

n, ) n = P (Xn t
:
)P (X t ) lim inf n lim sup n P (X t +
n

0 t
FX :
)lim P (X t + ) = P (X t) = lim+ P (X t

0+

:
)P (X t) lim inf n lim sup n P (X t
n

:
)lim n = lim P (Xn t) = P (X t
n

,.
7.45
"
.
7.46 } = {1 , 2 :

119

7.2 :

2
1
0

1
0
1

X1
X2

X1 (1 ) = 0 X2 (2 ) = 1 X1 , X2 ) 0, 1
.( 12
,X1 , X2 , X1 , X2 , ... X "
x :


1
> ||X1 X
} {X = x
2
:


1
} {X = x
> ||X2 X
2
P (X = x) > 0 :


1 n


> |P (X = x) P |Xi X

0

2
.n
7.47:
}Cc (R) = {f : R R : f is ontinuous,f = 0 ex ept for inside one intevral
7.48 :
Xn , X a < b FX:
n

)P (a Xn b) P (a X b

.Xn X
7.49 :

Xn X" ) f Cc (R:
n

))E (f (Xn )) E (f (X

= : " a < b FX :
)1[a,b] Cc (R
:

n


)E 1[a,b] (Xn ) E 1[a,b] (X

n
) E 1{aXb} = P (a X b

Xn X .

120

}P (a xn b) = E 1{aXn b

 7 :

7.2 :

.
a < b" :
)lim sup P (a Xn b) P (a X b
)lim inf P (a Xn b) P (a X b

lim sup :
ba
2
)) Cc (R ( :

<0<

]1[a+,b] 1[a,b
:

))P (a + Xn b ) = E 1[a+,b] E ( (Xn )) E ( (X

:

))P (a Xn b) = E 1[a,b] E ( (Xn )) E ( (X

n N :

)P (a + Xn b ) E ( (X)) P (a Xn b
lim sup :
)lim sup P (a + Xn b ) P (a Xn b
n

:
)P (a Xn b) = P (a + Xn b ) + P (a Xn a + ) + P (b Xn b
:
)P(aXn b

|}
{
z
)lim sup P (a Xn b) lim sup P (a + Xn b ) + lim sup P (a Xn a +
n

)+ lim sup P (b Xn b
n

. ) Cc (R :
]1[a,a+] 1[a,a+2
:
0

lim sup P (a Xn a + ) P (a X a + 2) 0
n

lim sup P (b 2 Xn b + ) P (b 2 X b + ) 0
n

a, b , FX :
)lim sup P (a Xn b) P (a X b
n

lim inf :
)lim inf P (a Xn b) P (a X b
n

:
n

)P (a Xn b) P (a X b
.

121

7.3

7 :

7.50 14 :

.1 Xn " Xn c R Xn c : ".
.2

1
2

> t Xn " i.i.d E (Xi ) = 0 ,:

X1 + ... + Xn D
0
nt

7.3 :
7.51 :

Yn , Y" , Yn Y":
)) E (f (Yn )) E (f (Y
) f Cc (R 3 ).f (3) Cc (R
7.52 :
X1 , X2 , .." i.i.d 2 > 0:
)(X1 + ... + Xn n

1
n 2

= Wn

)Wn W N (0, 1

122

7.3

7.53 :.

.1

t < 21" . n
.

1
2

> t Xi 0

n
X

1
nt

i=1

.2 Var (Xn ) = 0 Xn x0 1
1:
X1 + ... + Xn = nx0
Wn = 0 " .
.3 :
1
D
)Wn = (X! + ... + Xn n) N (0,
n

.4 ":
Wn.
.Xn
.

U, V
2
U , U V , V2 :

U + V N U + V , V2 + V2
) Xi N (0, 1 ) X1 + ... + Xn N (0, n:

1
n
)Wn = (X1 + ... + Xn ) N (0, 1) W N (0, 1
n
Xi .i.i.d
: Xn 3 .7.51
f " )"( Xn i.i.d = 0 . = 1
2

i.i.d
7.54" " ) Xn F (0, 1 Xn + F , 2 :

)Xn W N (0, 1

:

Xn + W + N , 2

i.i.d

" ) Y1 , ..., Yn N (0, 1 Xn

7.55 Yn .
:
n

)) E (f (Wn )) E (f (W

123

7.3

Wn,0 = Wn 0 k n:
Y1 + ... + Yk + Xk+1 + ... + Xn

= Wn,k

:
Y1 + ... + YN

) W N (0, 1
n

= Wn,n

" Yk" 0 .1
:
)) E (f (Wn )) = E (f (Wn,0 )) = E (f (Wn,0 ) f (Wn,1 ) + f (Wn,1 ) f (Wn,2 ) + ... f (Wn,n ) + f (Wn,n
" :

{|}z
E (f (Wn,k ) f (Wn,k1 )) = E (f (W )) + An
n

{z

An

n
X

E (f (Wn,n )) +

k=1

An 0 . 1 k n ,k :
)) E (f (Wn,k ) f (Wn,k1
:
Y1 + ... + Yk1 + 0 + Xk+1 + ... + Xn

=Z

:
Xk
Wn,k = Z +
n
Yk
Wn,k1 = Z +
n
Z Xk+1 , ..., Xn Y1 , ..., Yk1 " X .Yk
2 f ) Z = Z ( u R:
f (Z) 2 f (3) (VZ,u ) 3
u +
u
2
6

f (Z + u) = f (Z) + f (Z) u +

VZ,u Z Z + u Z, u )
" Z .( u = Xk u = Yk:




Xk
Yk
f Z +
f (Wn,k ) f (Wn,k1 ) = f Z +
n
n





f (Z) Yk2
Xk
X2
Yk
+
k +
= (f (Z) f (Z)) + f (Z)
n
n
2
n
n
f (3) (VZ,Yk ) Yk3
f (3) (VZ,Xk ) Xk3
3/2
3/2
6
6
n
n

" Z" Yk , Xk ) f (Z ) f (Z " :






 Y

Xk
Xk
Yk
k
= E f (Z) E
E f (Z)
n
n
n
n


)E f (Z

(E (Yk ) E (Xk )) = 0
=
n

124

7.3

7 :

:
E (Xk ) = E (Yk ) = 0
:




1
= E f (Z) E Yk2 Xk2
2n







1
E f (Z) E Yk2 E Xk2 = 0
2n
=



Yk2
X2
k
n
n

)f (Z
2

2

2

E Xk = Var (Xk ) = 1 = Var (Yk ) = E Yk

:
)  (3


 f (3) (VZ,Xk ) Xk3
f (VZ,Yk ) Yk3

3/2
 3/2
|E (f (Wn,k ) f (Wn,k1 ))| = E
6
6
n
n


) (3
) (3
  f (VZ,Xk ) Xk3
  f (VZ,Yk ) Yk3
 3/2  + E
 3/2
 E
6
6
n
n




3
3





Y
X
M
E M 3k/2 + E M 3/k2 = 3/2 E Yk3 + E Xk3
n
n
n
 ) (3
M  f
Xn

3
3
Yn E Yk , E Xk k:
C
n3/2

)|) E (|f (Wn,k ) f (Wn,k1

C ) f (3 Xn , Yn ,k :

 n
n
 X
X


)) E (f (Wn,k ) f (Wn,k1
|)) |E (f (Wn,k ) f (Wn,k1



k=1

k=1

n
X
nC
C n
C
= 3/2 = 0

3/2
n
n
n
k=1

30/01/2012

125

7.3

7 :

7.56 :
,
.1  Xn

3
E |Xk | M M .k

.2 )
( .
" .

.3




2

U N u , U V N v , v2 :


1
1
(X1 + ... + Xn nu ) +
) (Y1 + ... + Yn nv
U + V = lim
n
nu
nv




1
Y1 v
Yn v
X n u
X 1 u
= lim
+ ... +
+
+
n
u
v
u
v
n
X1 , ..., Xn " u u2 Y1 , ..., Yn" v v2
.
7.57
....
.4 : :
FX : = FaX+b.

" FX , FY : = FX+Y.
.

7.58 :
X1 , X2 , ..." " " E (Xi ) = 0:
n

1X
p
Xn 0
n i=1
: , > 0 :
 n

!
1 X



n


 n =P
Xn  > 0
> | P |Wn
n


i=1

,M > 0 n n > M n :


n
) n P (|Wn | > M ) P (|W | > M
> | P |Wn

.W N 0, 2 M > 0:
 n

!
1 X

M


 0 lim sup P
Xn  > P (|W | > M ) 0
n

n
i=1

" .

126

7.3

7.59 : X ) .X (t) = E (etx

" .t X :
etx fX (x) dx

= )X (t

7.60 :
.1 (t) |t=0
:
)xfX (x) dx = E (X

d
dtn X

n X .

t0

tx

xe fX (x) dx

d tx
= e fX (x) dx
dt

tx

= e fX (x) dx

d
d
= )X (t
dt
dt

.2 U, V ,U+V = U V t U, V
etU , etV :








)U+V (t) = E et(U+V ) = E etU etV = E etU E etV = U (t) V (t


.3 W N , 2:



2
t+ 2 t2

W (t) = e

7.61
X, Y X , Y 0 X = Y 0 X, Y .
7.62
X, Xn Xn , X t
n

) Xn (t) X (t .Xn X
7.63 :
Xn " i.i.d 3 ) 3(.
" E (Xi ) = 0 .Var (Xi ) = 1:
n

1 X
= Wn
Xi
n i=1

) W N (0, 1 .Wn W
: :

 independen e Y
  i.d
n



Xi
n
t
t
t
{|}z
{|}z

=
=

X1 +...+Xn
Xi
X

n
n
n
i=1

127

n
X
i=1

t 1n

Wn (t) = E e

7.3

7 :

X 3 :

(0) 2
t + o t2
+ X (0) t +
} | {z
} 2
| {z
2
2

)= W (t

2
2

=E(X)=0

!n

tn
n

+o

128

)X (0
} | {z

= )X (t

=E(e0x )=E(1)=1

2

2
1+
2

= )Wn (t

03/11/2011

7.3

:1
:
7.64 : r j nj
n1 n2 ... nr .
7.65 .r
7.66 : n !.n
7.67 4 3 , 3 , .
: .
: , ! 4.
" ,
:
)4! (4! 3! 3! 1

j = 1, ..., r nj .j
: nj

r
X

= n ? j

j=1

" !
: ,K K".
:1 , ! n
.
:2 ) ( ,
K , ,
j ! nj " , ! K n1 ! n2 ! ... nr
, :


!n
n
=K
=
= multinomial oe ient
! n1 ! ... nr
n1 , ..., nr
7.68 " " .
7.69 : n r:
 
!n
n
=
!)r! (n r
r

129

7.3

7 :

n r n1 , ..., nr :
nj = n

r
X
j=1

: n1 n ,

n
n1

n2 ) (n n1 ,

nn1
n2

nr ) (n n1 ... nr1 ,

nn1 ...nr1
nr

:




n
!n
n n1 ... nr1
n n1
=
...
nr
n2
n1
! n1 ! ... nr

nj < n

r
X

" :

j=1

nj

r
X
j=1

!n

n1 ! ... nr ! n

: n r ) (.
:
x1 + ... + xr = n
: n r 1
.
:

 
 

n1 + n2
n+r1
n+r1
=

n1 , n2
n
r1

n r :
: n r ).(r n
:
x1 + ... + xr = n

: n r :

 

(n r) + r 1
n1
=
r1
r1

130

7.3

7 :

7.70 : f :
)A B 6= = f (A B) = f (A) + f (B
A, B f :
)f (A B) = f (A) + f (B) f (A B
:

f (Ai1 ... Aik )

1i1 <i2 .<..<ik n

k+1

)(1

n
X

k=1

= ) f (A1 A2 ... An

i1 < ... < ik : f (Ai1 ... Aik ) = ck

:
 
n
X
k+1 n
ck
= ) f (A1 A2 ... An
)(1
k
k=1

n r ) (:
: rn L Aj }
j{ :
K = |A1 ... Ar | = L = rn K
:
n

|Ai1 ... Aik | = (r K) = ck

:
 
 
n
X
r
k r
n
= ck
)(1
)(r k
k
k

k+1

k=0

10/11/11

)(1

n
X

k=1

L = rn K = rn

2
:
, F 2 :
. F .1
.2 A F .Ac F
.3 A1 , .., An F Aj F

n
S

j=1

131

7.3

.4 A1 , A2 , ... F Aj F

j=1

7.71:
.1 4 3 = Ak .k > n
.2 3 A, B F A B F
.
7.72\ :: F 2 1, 2, 3
.1, 2, 4
7.73 : ) 1 , ..., n ( ,
i , .
" .
7.74 P P : F R ) (, F:
.P () = 1 .1
.2 A1 , A2 , ... F :
) P (Aj

X
j=1

= Aj

j=1

7.75 " " :: ,:

} < | F = {A | |A| < |Ac
F 6= 2
= N E = 2N F .2N
F , 1 2 A, B F
A B F :
(A B)c = Ac B c Ac , B c
.A B F
7.76 :: "
" , f : F R ) (, F f () = 1
A1 , .., An F :

n
n
X
[

) f (Aj
= Aj
f
j=1

j=1

:
< | |Ac
< ||A

1
0

132

= )f (A

7.3

.1 " f () = 1 = .c
.2 A, B F , A B
::
f (A B) = f (A) = f (B) = 0
," A :
f (B) = 0, f (A B) = f (A) = 1
< | |Ac < | |B c .
.
f" = N :
)f ({j}) = 0 6= f (N

X
j=1

F F:
}{2n

=B

n=1

7.77 2 :: )
,( = R:
}F = {A | A is ountable Ac is ountable
:
1 2 A1 , A2 , ... F Aj
.
j Aj Aj

j=1

j=1

F ,2 = R ) R+ = [0, F
.
:
Ac is ountable
A is ountable

1
0

= )P (A

:
.1 = c .P () = 1
.2 A1 , A2 , ... , Ai

i=1

) P (Ai

X
i=1

=0

X
i=1

==0

Ai

i=1

Aj Aj
Aj Acj = Aj Acj .

133

7.3

S
Ai
Ai F
i=1
i=1
 c
S
:
Ai

i=1

=1

Ai

i=1

i 6= j = Ai Aj:
c

= (Ai Aj ) = Aci Acj

Aj , Ai i 6= j Aci , Acj
Aci Acj " .
j
P (Aj ) = 1 P (Ai ) = 0:
!

[
X
Ai
P (Ai ) = 1= P
i=1

i=1

" ) .(, F

:
7.78
) (, F P F:

P (A B) = P (A) + P (B) .1 A, B F.
.P () = 1 .2
T
.3 ) An A1 B2 ... = ( An F
n

P (An ) 0

(, F , P) : . : {An }nN
:
!

X
[
P
) P (An
= An
n=1

Ak

n=1

= An )(.

k=n

,An x An ,n N {An }nN :

k 1 / An+k
x An
x / lim sup An
n

n=1

.lim sup An
n

x An n N / lim sup An
x = lim sup An
n

.An

134

7.3

7 :

lim P An = 0 :
n

An Ak+1

k
[

= An

n=1

n=1

:

+ P Ak+1

An

k
[

=P

n=1

An

n=1

k X
P (An ) + 0
P (An ) + P Ak+1
n=1

k
X

n=1

17/11/11

3
:
P (A) > 0:
)P (B A
)P (A

=P (B|A) :

: 7.79
)P (B c |A) = 1 P (B|A

:
) (X, F , P , A1 , . . . , An Aj

n
S

= X:

j=1

) P (B|Aj ) P (Aj

n
X

= )P (B

j=1

0 < P (A) < 1:

) P (B) = P (B|A) P (A) + P (B|Ac ) P (Ac

Bayes
P (A) , P (B) > 0:
)P (A|B) P (B
)P (A

135

= )P (B|A

7.3

7 :

7.80 3 50% . 30% .1 20% . 2 .2

1 .10%
2 .20%
3 .15%
:
}Tj = { omputer of type j was bought
}B = {the omputer broke during the rst year
, ? ::
1
5

= ) P (T3

3
,
10

= ) P (T2

1
,
2

= ) P (T1

, :
P (B|T3 ) = 0.15

P (B|T2 ) = 0.2,

P (B|T1 ) = 0.1,

:
1
3
1
+ 0.2
+ 0.15 = 0.14
2
10
5

P (B|Tj ) P (Tj ) = 0.1

3
X

= )P (B

j=1

, .1 ?2:
) P (T2
0.3
)) P (T2 (T2 T3
=
=
= 0.6
) P (T2 T3
) P (T2 ) + P (T3
0.3 + 0.2

= ) P (T2 |T1c ) = P (T2 |T2 T3

. ?1 : :Bayes
0.1 0.5
) P (B|T1 ) P (T1
=
0.36
)P (B
0.14

= )P (T1 |B

7.81 :: . 4:
}{bb, bg, gb, gg
g b.
, :
2
3

1
4
1
4

2
3

= )}P ({bg, gb} | {bb, bg, gb

136

7.3

, ?
1
2

= )}P ({bg} | {bb, bg

" .
: ! ?
2
3

1
4
1
4

2
3

= )}P ({bg, gb} | {bb, bg, gb

: , H T , .
:
} {bb, bg, gb, gg} {H, T
. A :
}) A = {(bb, H) , (bb, T ) , (bg, H) , (gb, T
?
1
2

21/11/11

1
4
1
2

)}) P ({(bg, H) , (gb, T

)P (A

)P ({(bg, H) , (bg, T ) , (gb, H) , (gb, T )} |A

, , !
, ,
!

4
:
7.82 : ) (, F , P , S F

A1 , ..., Ak , Ak+1 , ..., An S
:
n
k
Y



Y
) P (Aj
P Acj
= P A1 ... Ak Ack+1 ... Acn
j=k+1

j=1

7.83 :: , 1 p
2 .p 1
N 100 ) (.
N 1 N r 2 N s
.
. Pr,s 1.

137

7.3

1 Pr,s 100 2 (1 Pr,s ) 100.

r| +{z :
, }s 1
n

}Ht = {player 1 wins at the t'th round

}G = {player 1 wins at least r times out of n

:
)Pr,s = P (player 1 wins at least r times out of n
1 j r :
}Hj = {player 1 wins at the j'th round
1 z n z z } {1, ..., n T z:
}GT = {player 1 wins in all the rounds of T
:
[

GT

= GT

[ [

=G

zr T z

T z
zr
:
!

Htc

Ht

tT
/

P (GT ) = P

tT

H1 , ..., Hn :
Y
Y
| (1 P (Ht )) = p|T | (1 p)n|T
) P (Ht
tT
/

tT

} T 6= T {1, ..., n = GT GT G
:
XX
XX
nz
= )P (G
= ) P (GT
)pz (1 p
zr T z

zr T z

n

z n |z | = z :
X n
X nr + s 1
|n|z
r+s1z
= )Pr,s = P (G
) pz (1 p
=
) pz (1 p
z
z
zr

zr

:
:
}}Gr1,s = {player 1 wins at least r-1 rounds out of rounds {2, ..., n

}}Gr,s1 = {player 1 wins at least r rounds out of rounds {2, ..., n

:



H1c Gr,s1

Gr,s = H1 Gr1,s

138

7.3

1 r n :





P (Gr,s ) = P H1 Gr1,s + P H1c Gr,s1

Gr1,s , Gr,s1 ,H2 , ..., Hn

H1 H1c :




P (Gr,s ) = P (H1 ) P Gr1,s + P (H1c ) P Gr,s1
= p Pr1,s + (1 p) Pr,s1

:
Pr,s = p Pr1,s + (1 p) Pr,s1
r Pr,0 = 0 ,
s .P0,s = 1
) (
.
.

:
1 :2 .

28/11/2011

:
7.84

An < ) P (An

n=1

P (lim sup An ) = 0

.
7.85
1 n C log2 n n : .
)(n > 2

139

: 7

7.3

: :
An = {In the rst n tosses there was a series identi al tosses of lengthC log2 n}
:
P (lim sup An ) = 0
:k n
Tn = {k.k + 1, . . . , k + c log2 n 1}
.k ,
An

P (Tk )

2clog2 n

X
i=1

P (An ) = 2

n=1

n
[

P (An )

n
2c log2 n

Tj

j=1

n
X

P (Tj )

j=1

2 n

1
2clog2 n

X
X
n
1
=2
=2
<
c
c1 |{z}
n
n
n=1
n=1
c1>1

: . S = {A1 , . . . , AN } ,
(S) = {Ax1 1 . . . , Axnn | xi {1, 1}}
: .A1 = A,

A1 = Ac

| (S)| 2N

: A (S) ::S 7.86

[
Bj | n N, B1 , . . . , Bn S
1 (S) =

j=1

1 (S) = 1 (S) {B c |B 1 (S)}

n
[

n+1 (S) =
Bj | n N, Bj n (S)

j=1

n+1 (S) = n+1 (S) {B c |B n+1 (s)}

1 (S) 1 (S) 2 (S) 2 (S) . . .

7.87
T (n) ",u T : x u (s) : x T ,T n n
140

7.3

7 :

: :
: T 1 x T ).x u (x
x T Aj S x Aj:
u Aj T
uAxi i :

.u = Aj

i6=j

: 1 , 1 , . . . , n .n , n+1
: ,T n x T ) .x u (s T n.

.x
y y B u B / B
T = B c : B n y u / T

x T n+1 .x u r B T u B T
7.88
n T n T n T ) (s:
N

|n | , |n | 22



N
n
n 22 :

05/12/2011

n = n = n+1 = . . .

" S.A (S) :

6
7.89 {A1 , ..., AN } = S 2:
)

Bk | n N B1 , ..., Bn S

n
[

k=1

o
[n
X
Bc : B
)1 (S
)

)(S

= )1 (S

= )(S

nN

..
.

Bk | n N B1 , ..., Bn

o
[n
X
Bc : B
)n (S

n
[

k=1

= )(S

= )(S
n+1

nN

)= .... = A (S

n+1

S .

7.90
) , (S :
)(S

) (S

141

n+1

n
=

7.3

7 :

:
) (S) A (S
) A (S .S
: ) ,u (S :
c

[
[
\
\
Y

c

A

Aci =
A
=u
Ai
i
3
i

iI

iI
i
I
/
iI
/
| {z } | {z }
X
X

A (S) : ). (S
) A (S ). (S
7.91

} S = {A1 , ..., An ) k Ak C:
)} C ({A1 , ..., An } \ {Ak
" k Ak U:
)} U A ({A1 , ..., An } \ {Ak

= : )} C ({A1 , ..., An } \ {Ak )} .A ({A1 , ..., An } \ {Ak

= )} U A ({A1 , ..., An } \ {Ak :
U = U1 ... Um
U1 , ..., Um :
)} ({A1 , ..., An } \ {Ak
:
) P (Ak ) P (Uj

m
X
j=1

= ) P (Ak Uj

m
X
j=1

) = P (Ak ) P (U

= (Ak Uj )

Ui

m
[

m
[

j=1

= P

P (Uj ) = P (Ak ) P

i=1

Ui

m
X
j=1

142

m
[

i=1

P (Ak U ) = P Ak

) = P (Ak

7.3

7 :

:
7.92 :
p .1 p
r 2 , r " .:
}Y = {numer of trials till r su esses
} Y {1, 2, 3....,
:
P {Y = } = 0

.
n r n r:
)PX ({n}) = P (Y = n

An

|}
{ z
|}
{
z
}{Y = n} = {su ess at the n'th trial} {there were r-1 su eses in the previous n 1trials

P (A) = p


n 1 r1
)(n1)(r1
= )P (B
p
) (1 p
r1
:
) B A (A1 , ..., An1
A1 , ..., An B An :




n1 r
n1 r
)(n1)(r1
nr
= )PX ({n}) = P (A B) = P (A) P (B
)p (1 p
=
)p (1 p
r1
r1
X
: r, p
)Y N B (r, p

7.93 ) Y Geo (p ).Y NB (1, p

143

7.3

7.94 : N m N m
.
n X , :
}}X {max {0, n (N m)} , ..., min {n, m
:


N m
nk

12/12/2011

N n,
n
n k.

N
n

n
k

n
k

= )}PX ({k

N m
nk

:8
:
n 7.95
.
X " , ) E (X
.X
1 j n Aj j :
X j = 1 Aj
:
1
!)(n 1
=
!n
n

= )}E [Xj ] = P ({Xj = 1

:
Xj

n
X

=X

j=1

:
n
X
1
= ) E (Xj
=1
n
j=1
j=1

n
X

= Xj

n
X
j=1

E [X] = E

7.96 :
)X NB (r, p
" " n r:


n1 r
nr
= )pX (n
)p (1 p
r1
) Y1 , ..., Yr Geo (p :

)Yj NB (r, p

144

r
X
j=1

7.3

r
r
r
X
X
X
r
1
=
= ) E (Yj
E (X) = E
= Yj
p
p
j=1
j=1
j=1
7.97 :
N "
" . k.
.
.
X k Aj
) j .(1 j N :
X j = 1 Aj
Xj

N
X

= X :

j=1

N
X



1 P Acj

= ) P (Aj

j=1

)(N 1
1
Nk

N
X

= ) E (Xj

j=1

N
X
j=1

= Xj

N
X
j=1

E [X] = E

N
N
k
X
X



)(N 1
P Acj = N
=N
=N
Nk
j=1
j=1

, Y N .
i 1 , Yi "
, :


)N (i 1
Yi Geo
N
:


N
N
N
X
X
X
N
1
1
= ) E (Yi
= ) Yj = E (Y
= N 1 + + ... +
= Y
)N (j 1
2
N
j=1
j=1
j=1
N ln N

7.98 H p " n .
. " .Xn Aj
j, j + 1 :
Yj = 1Aj
1 j n 1:
2

)E [Yj ] = E [Y1 ] = P ((H, H) , (T, T )) = p2 + (1 p

:


2
)= (n 1) p2 + (1 p

n1
Xh

)p2 + (1 p

145

j=1

n1
X

= ) E (Yj

j=1

= ] E [Xn

7.3

7 :

7.99 :

. X
.X
:


1
5
1
1
(2X) +
X = X
2
2
2
4

.

146