Lý Thuyết Xác Suất - Ng.D.Tiến, Vũ.V.Yên

NGUYN DUY TIN - v VIT YN
L THUYT XC SUT
(Ti bn ln th nht)
00501
NH XUT BN GIO DC
L I NI U
Xc sut l mt b phn ca ton hc nghin cu cc hin t ng ngu nhin. Ni mt cch i khi th hin t n g ngu nhin l hin t n g ta khng t h ni tr c n xy ra hay khng xy ra khi thc hin mt l n quan st. Tuy nhin, nu t i n h n h quan st k h nhi u ln mt hin t ng ngu nhin trong nhng hon cnh n h nhau, th trong nhi u tr ng hp ta c t h rt ra c nhng k t lun khoa hc v hin t ng ny. Chng hn, ta khng t h ni tr c mt ht ging c ny mm hay khng khi gieo xung t canh tc, n h n g nu gieo nhi u ht th ta c t h rt ra c cht l ng t t hay x u ca ht ging. L thuyt xc sut nhm tm ra nhng quy lut trong nhng hin t ng "t ng chng" n h khng c quy lut. L thuyt xc sut ra i vo na cui t h k t h 17 n c Php. Hai n h ton hc v i ca n c P h p l Blaise Pascal (1623-1662) v Pierre de Ferraat (1601-1665) trao i t h t vi nhau d bn v mt s bi ton lin quan n tr chi may r i . Nhng bi ton ny v cc phng p h p gii chng c t h xem l nhng nghin cu u tin ca l thuyt, xc sut. Tuy nhin, tr c . Italia cc nh ton hc Cardano (1501-1576), Pacioli (1445-1509), Tartaglia gii mt s bi ton ring l trong tr chi may r i . Nhng bi t o n kiu Pascal v Fermat nh h ng v khch l cc n h t o n hc tr (thi by gi) nh Huygens, Bernoulli v De Moivre tip tc nghin cu xc sut. y l nhng n g i c cng u tin sng to ra c s ton hc ca l thuyt xc sut. C l Cardano v Huygens (1629-1695) l nhng n g i u tin vit sch v xc sut (sch ca Cardano xut bn nm 1663, tc l 100 nm sau khi ng vit xong tc phm ny; sch ca Huygens cng b n m 1657).
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Lch s thc s ca l thuyt xc sut bt ngun t cc cng trnh James Bernoulli (1654-1705). ng l ng i pht minh ra Lut S Ln. Chnh v l do , ngy nay Hi Xc Sut Thng K Th Gii mang tn Bernoulli. De Moivre (1667-1754) l tc gi ca nh L G i i H n Trung T m (tr ng hp i xng), mt trong nhng thnh tu quan trng nht ca xc sut. Nm 1812, P. s. Laplace (1749-1827) cng b cun sch "Theorie Analytique des Probabilities" (L Thuyt Gii Tch ca Xc Sut). Cun sch ny c xem l mt ng gp rt to ln ca Laplace trong xc sut. Ong l tc gi ca nh l gii hn trung tm (tr ng hp khng i xng), v l ng i u tin p dng l. thuyt xc sut vo cc vn lin quan ti sai s quan st. s. D. Poisson (1781-1840) v c . F. Gauss (1777-1855) l nhng hc gi tip thm sc mnh cho xc sut ng dng. Poisson l tc gi ca Lut B i n c Him ni ting; Gauss l tc gi ca l thuyt sai s v c bit sng to ra P h n g Php Bnh P h n g T i Thiu. P. L. Chebyshev (1821-1894), A. A. Markov (1856-1922). A. M. Liapunov (1857-1918), A. Ya. Khinchin l nhng nh ton hc: ng i Nga c rt nhiu dng gp cho s pht trin ca l thuyt xc sut. H s dng cc phcrng php moment, hm c. trng nhn irc nhng nh l gii hn quan trng. c bit Markov l ng i da ra m hnh Markov; Khinchin l tc gia ca Lut Loga Lp. L thuyt xc sut hin i i theo h ng tin d ha. Cc nh ton hc c cng ln trong hng ny l Berstein (1880-1968), von Mises (1883-1953), Borel (18871-1956), p. Levy. Tuy nhin, phi ch n s ra i cun sch "Foundations of the. Theory of Probability, 1933" ca Kolmogorov, gii ton hc mi cng nhn
x c sut l mt lnh vc ton hc cht ch. H tin v xc sut ca Kolraogorov c hu ht cc n h ton hc tha nhn. Ngy nay l thuy t xc
STit
l lnh vc ton hc c c s l
t h u y t cht ch v c nhiu ng dng trong cc lnh vc hot ng k h c nhau ca con n g i t m n h c t i vt l, t vn hc t i thng k x hi, t c hc t i th t r n g chng khon, t d bo t h i t i t t i kinh t, t nng hc t i y hc. n c ta xc sut c dy u tin t i tr ng i Hc Tng H p H N i t nhng nm u 1960 t h k 20, v ngy nay c ging day t i hu ht cc t r n g i hc. C l cun sch xc sut n c ngoi u tin c dch ra ting Vit l: "The Theory of Probability " ca Gnedenko. (do Nguyn Bc Vn, H Qunh x Nguyn Q u M dch t nguyn bn ting Nga). qu, gip n g i Vit hc xc sut bng ting V i t . Trong hem bn mi nm qua, s sch v xc sut thng k n c ta c xut bn kh nhiu. c bit l nhng nm gn y (1990-2000) c nhiu tc gi vit sch xc sut thng k d i h n h thc ph bin i tr nhng kt qu c b n nht ca xc sut v thng k, nhng thiu c s ton hc cht ch t i mc cn t h i t . Mc ch chnh ca cun sch ny l cung cp cho c gi nhng kin thc ton hc c b n nht lm nn tng cho xc sut thng k. V th cun sch ny s c ch cho cc sinh vin v nhng ai mun i su nghin cu xc sut thng k. Ni dung cun sch ny c vit theo h tin Kolrnogorov. C h n g ti ly cc sch [1]- [22] lm ti liu tham kho. Cun sch ny c lo chng. C h n g trnh by v n t t cc k t qu c bn nht ca xc sut c i n . Ch ng 2 trnh by cc khi nim c bn ca xc sut da trn l thuy t o v tch p h n Lebesgue. y l ti liu
Chng 3 trnh by bin ngu nhin v hm phn phi, tnh c lp. Chirang 4 trnh by cc s c trng ca bin ngu nhin nh k vng, phng sai v cc tnh cht c bn nht ca chng. Chng 5 dnh cho cc khi nim hi t ca bin ngu nhin: hi t theo xc sut, hi t hu chc chn, hi t trung bnh. hi t theo phn phi,... Chng 6 trnh by gii tch Fourier: hm c trng, mt trong nhng cng c quan trng ca gii tch e nghin cu l thuyt xc sut. Chng 7 dnh cho nhng nh l gii han ca tng cc bin ngu nhin c lp: lut s ln, nh l gii hn trung tm. Chng 8 nghin cu s hi t ca chui cc bin ngu nhin c lp, lut mnh s ln l mc ch chnh ca chng ny. Trong xc sut c i n, khi nim c lp chim v tr trung tm. Nh ta s thy, cc kt qu quan trng trong cc chng 1-8 th ng c mt gi thit c lp. Trong hai chng 9-10 ca ti liu ny khi nim ph thuc theo ngha no s c xt ti. Chng 9 dnh cho l thuyt martingale vi thi gian ri rc. Ni dung chnh ca chng 9 l Cc bt ng thc; Cc nh l hi t; Thi i m dng. Bt, ng thc Doob v nh l Doob v s hi t ca martingale l mc ch chnh ca chng 9. Chng 10 trnh by cc nh ngha c bn v nu mt s m hnh ng dng quan trng ca xch Markov. Trong chng ny bn cn c k cc khi nim v nm vng cc kt qu nh: tnh Markov, xc sut chuyn, phirng trnh Chapman-Kolmogorov, phn phi dng, nh l ergodic, phng php phn tch birc th nht v ba bi ton lin quan.
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Ni dung ca cun sch ny c cc tc gi v cc bn ng nghip ging dy trong nhiu nm tr ng HTH v tr ng HSP H Ni. Chng ti xin chn thnh cm n cc bn ng nghip t b mn xc sut thng k ca hai tr ng i hc ni trn. Chng ti by t lng bit n i vi Nh xut bn Gio dc v T.s Nguyn Huy oan, T.s Trn Phng Dung ng vin chng ti vit ti liu ny. c bit ng Nguyn Trng B ng gp cho chng ti nhiu kin v ni dung ca cun sch ny. Cm n nhng ng i c bn tho v cho nhng nhn xt qu bu. Cm n Nguyn Th Vn Hoa , Phm Th , D c Thng cng chng ti nh my bn tho d i dng Tex. D rt c gng, song chc cn mt s sai st, chng ti rt mong nhn c cc kin ng gp, ph bnh ca bn c. CC TC GI
Mc LC Li ni u Chcmg 1. M hnh xc sut ri rc 1.1 Khng gian xc sut ri rc 1.2 nh ngha c i n ca xc sut 1.3 Xc sut i u kin. S c lp 1.4 Dy cc php th 1.5 Phn phi gii hn Bi tp Chng 2. Khng gian xc sut tng qut 2.1 H tin 2.2 Khng gian o 2.3 Phn t ng
u nhin 2.4 Tch cc - i s 2.5 Xy dng khng gian xc sut Bi tp Chng 3. B i n ngu nhin v hm phn phi 3.1 Bin ng
u nhin 3.2 Phn t ng
u nhin 3.3 Hm phn phi xc sut ca bin ng
u nhin 3.4 Phn phi ca vc t ng
u nhin 3.5 Phn phi ca hm ca bin ng
u nhin 3.6 Tnh c lp 3.7 Phn phi ca tng cc bin ng
u nhin c lp Bi tp 73 78 79 85 89 91 96 loi 45 52 55 58 59 70 12 17 23 28 36 40 3
. -V
C h n g 4. Cc s c trng ca bin ngu nhin 4.1 K vng ton 4.2 Khi nim hu chc chn 4.3 T n h k vng 4.4 M t s v d 4.5 K h tch u 4.6 K vng ca hm ca bin ngu nhin 4.7 Khng gian C? 4.8 Quan h vi tnh c lp 4.9 K vng ca hm ca vc t ngu nhin 4.10 Tch cc o 4.11 K vng i u kin 4.12 Xc sut i u kin chnh quy Bi tp C h n g 5. phi 5.1 S hi t ca cc bin ngu nhin 5.2 S hi t ca cc p h n phi 5.3 Compact t n g i Bi tp C h n g 6. Hm c trng 6.1 nh ngha v cc tnh cht ca hm c t r n g 6.2 M t s tnh cht ca hm c t r n g 6.3 Cng thc ng c 6.4 nh l v tnh cht lin tc 6.5 nh l Bochner 6.6 Mt, vi nhn xt v hm c t r n g ca p h n phi nhiu chiu 202 187 189 193 196 -200 158 169 178 183 : 104 112 113 115 116 122 124 129 133 135 141 li) 152 S hi tu ca dy bin ngu nhin v phn
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6.7 Phn phi chun nhiu chiu Bi tp
203 209
C h n g 7. C c i n h l gi*! han theo p h n p h i ca t n g cc b i n n g u n h i n d c lp 214 7.1 Mt s bt ng thc 7.2 nh l Poisson v tc hi t 215 7.3 Lut s ln vi cc bin ngu nhin c lp tuy . . . . 219 221 7.4 nh l gii hn trung tm 7.5 Phn phi chia c v hn 233 236 7.6 Phn phi n nh Bi tp 241 C h n g 8. T n g cc b i n n g u n h i n d c lp v L u t s ln 8.1 S hi t ca chui cc bin ngu nhin c lp 8.2 Lut mnh s ln Bi tp C h n g 9. Martingale v i t h i gian r i rc 9.1 Khi nim tng thch v d bo c 9.2 Thi i m Markov v thi i m dng 9.3 Martingale 9.4 Cc bt ng thc c bn 9.5 Cc nh l hi t 9.6 Martingale chnh quy 9.7 Martingale bnh phng kh tch 9.8 Lut s ln 9.9 Hng ng thc Wald Bi tp 274 275 281 301 306 310 317 320 324 326 246 256 266
I ]
C h n g 10. Xch M a r k o v v i t h i gian r i rc 10.1 Tnh Markov 10.2 Xch Markov ri rc v thun nht 10.3 Mt s m hnh xch Markov 10.4 Xch Markov c hu hn trng thi 10.5 M hnh phn chia th tr ng 10.6 M hnh tr chi hai u th 10.7 Phn tch b c th nht Bi tp Bng k hiu Ti liu tham kho 329 333 338 344 356 360 365 374 390 393
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Chng M H N H X C S U T R I R C
Mc ch ca chng ny l trnh by vn tt cc khi nim c bn ca xc sut c i n. 1.1 Khng gian xc sut ri rc 1.1.1 Php th v bin c
Trong ton hc c nhng khi nim khng c nh ngha m ch c th m t chng bng nhng hnh nh hoc t duy trc gic. Chng hn, trong hnh hc cc khi nim i m, ng thng, mt phang l nhng khi nim khng c nh ngha. Trong xc sut, khi nim php th l khi nim c bn khng c nh ngha. Ta hiu php th l mt th nghim hay quan st no . Php th c gi l ngu nhin nu ta khng th d bo tr c kt qu no s xy ra. Th ng trong mi php th (th nghim) c nhiu kt qu xy ra. C kt qu n gin, v cng c nhng kt qu phc hp. Chng hn, khi quay x s, nu ta ch quan tm ti hai s cui, th mi s xut hin mt trong cc s t 00,01,..., 98,99 l nhng kt qu om gin nht; trong khi , s xut hin cc s chn. l, u 5. ui 2,... l nhng kt qu phc hp (gm nhiu kt qu n gin nht hp thnh). K t qu n gin nht
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c g i l b i n c s c p ( g i n g n h k h i n i m
im
t r o n g h n h hoe, n k h n g c n h ngha c h n h x c ) . T p h p g m t t c c c b i n c s c p c g i l k h n g g i a n mu ( s a m p l e space) hay k h n g g i a n c c b i n c s c p . g i l b i n c. Ta c t h hnh dung khng gian m u l mt phn no c a mt phang; bin c s cp l mt i m ca phn ny v m i tp con ca phn ny c gi l mt bin c. Ta th ng dng SA) k hiu bin c s cp; fi k hiu khng gian mu; A, B, c,... k hiu bin c.
U,u>2,... .
M i t p c o n c a k h n g g i a n m u c
minh ha ta xt mt php t h r khng q u m c cc k t qu n gin nht: Theo trn, mi

u>k
c gi l
mt bin c s cp, cn t p hp
fi = {u>i,u>2,. . }
l khng gian cc bin c s cp hay khng gian mu. Ta cng c the dng cc s 1,2,... thay cho
U>1,U>2,.
.. chi cc bin c s
cp. Bn cht cc bin c s cp khng c vai t r c bit g trong l thuyt xc sut, i u quan trng l m i k t qu ca php t h c miu t b i mt v ch mt i m ca khng gian m u . V d 1. Gieo mt ng tin (xu) mt ln. Khng gian cc bin c s cp l:
n^{s,N}
y 5' ( t n g ng N) ch k t qu: " ng tin xut hin mt "sp" (tcmg ng "nga")". Cng c t h miu t Q, bi t p hp = {1,0}.
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V d 2. Gieo m t n g t i n (xu) hai l n . K h n g g i a n m u l:
n =
y SN
{SS,SN,NS,NN}
', l n t h hai
l kt, q u l n gieo u x u t h i n m t N.
xut hin mt V d 3.
M t con x c x c c gieo lin t i p n l n .
l m t
p h p t h v i k h n g gian m u c m t b i t p :
o = { C = {a a ..
u 2
... ,a )
n
:a
{1,2,... ,6}}.
D t h y gom V d 4-
= 6
phn t.
M t n g t i n c gieo lin t i p cho n k h i l n u
t i n x u t h i n m t sp t h d n g l i . i v i p h p t h n y k h n g gian m u c dng:
{S. .v.v.... ,N
ri
...NS,...}.
T r o n g k h n g gian m u v i k h n g q u m c p h n t , s g i m i t p con A c l m t b i n c . N h v y n u t h s b i n c s l 2". ca A x y ra.
ta
= ri.
B i n c A x y ra k h i c m t k t q u n o
r c g i l b i n c chc c h n , c n t p 0 c . g i l b i n c khng. B i n c Au t n g ) ca A. v B i n c An t c h ) ca A v B. B i n c A\B v B -- {u> : u) A hoc U) B} B. B {co : L 6 A v L e B} c g i l giao (hay AB. c g i l h p (hay
B i n c n y c n c k h i n l {LO : UI 6 A v L B}
c g i l h i u c a J4
B.
B i n c = {c : c ^ J 4 } c g i l b i n c i c a A.
L5
V i n g n n g x c s u t , c c i u t r n c ngha l: Au B x y ra x y ra -xy ra x y ra N u AB <=> hoc A hoc x y ra . A v c n g x y ra ; <=> / x y ra v B k h n g x y ra, <=> A k h n g x y ra . Cc php ton
nB A\B
= 0 t h A v JB c g i l x u n g k h c .
h p v g i a o c c b i n c c t n h c h t giao h o n v k t h p . C t h l:
AUB=BUA (A B ) U C = U ( / n B = B n A (AnB)nC = An ( n). C);
V v y i v i h h u h n c c b i n c { A ; , i / } c c t p
iG/
G/
l h o n t o n x c n h ' T r o n g v d 2, x t / = B = {NS, A ( t n g n g B) sp" {SS,SN,NS}, SN, NN}.
l b i n c : "c t n h t m t l n x u t h i n m t Ta c: A u B = 0 , ,45 = {NN} {SN.NS} cn
( t n g n g "nga").
l b i n c: i4\5
"c n g m t ln x u t hin m t sp",
/ -
= {55}.
16 1.1.2 Xc sut ca bin c
Gi s A l bin c ca php th no . Mc d, khi tin hnh php th mt ln, ta khng th ni tr c bin c A c xut hin hay khng, nhng ta tha nhn rng: c m t s (k hiu l (A), tn tai khch quan) o kh nng xut hin . S ny phi bng (100%) nu A l bin c chc chn, bng 0 nu A l bin c khng, v nu A, B l hai bin c xung khc, th (AUB) = (A)+(B). Ty tng tr ng hp c th, ta tm cch xc nh (A) mt cch hp l. V vy, bc tip theo ca vic xy dng m hnh xc sut, (ri rc) l: phi gn cho mi bin c mt s gi l xc sut ca bin c theo cch sau. Gi s o = {uj,uJ2, ,u>k,. .. } l khng gian mu cho. Mi bin c s cp u>k c gn vi mt "trng s" Pk = Pfc(cjfc) sao cho
a) Pk
l
> 0, V ;
2
>
(1.1)
(1.2)
b)
p + p + ...+P* + ... = l .
Khi vi mi bin c A c n ta nh ngha PM)=
PK).
(1-3)
S P(y4) c gi l xc sut ca bin c yi. TT (1.1) v (1.2) suy ra chui trong v phi ca (1.3) l hi t v ta c cc tnh cht sau ca xc sut: 1) P(0) = 0, P() = , 0 < F(A) < 1.
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2) i vi hai bin c A, B b t k F(A U B ) =

k
k:w UB
::u;fc6/1
fc:u/jtB
fc:u>jt/lB
= P(i4) + P ( ) - P U S ) . T nu i4 v B xung khc th P(i4 U B ) = F(A) + 3) P ( i ) = -P (i4). 4) i v i h khng qu m c cc bin c b t k {/, : / } ta c bt ng thc Boole sau: (B).
c b i t nu cc Ai i mt xung khc (hay xung khc tng cp), ngha l AA th = 0, (i )
By gi ta trnh by cch xy dng m hnh xc sut cho nhng p h p t h "cn i " , nh tung m t ng t i n hoc mt con xc sc cn i . 1.2 i n h ngha c i n ca xc sut 1.2.1 nh ngha. Gi s = {u>i ,u>jv} l khng gian mu
m cc kt, qu c cng kh nng xut hin' ngha l: P M = P M =...=nN)

= -
00501
18
Khi , theo (1.3) xc sut ca bin c A c xc nh bng c.ri thc

P ( > 4 )
- ||
t y |v4| = ra l s phan t ca tp A. chnh l nh ngha c i n ca xc sut. nh ngha nay cho ta mt m hnh ton r t t t i v i cc hin t ng ngu nhin lin quan n php t h c tnh i xng v do cc kt, qu ca n c coi l c cng k h nng xut hin. 1.2.2 Cc v d
V d . M t ci hp cha N qu cu c n h s bi cc s ca tp hp X = { 1 , 2 , . , . , N } . R t l n l t tng qu l l n sao cho, mi ln r t m t qu, qu c hon t r l i hp l i m i r t ln tip theo. Hy tnh xc sut ca bin c A = {cc qu c rt l i mt khc nhau}. Khng gian m u c t h m t n h sau: n. = [ui ( a i , a , . . . , Un) ' k X, k ---- 1.2
2
ri).
Vi cc i u kin c nu, ta c t h xem cc bin c s cp u> c cng k h nng xut hin. Do c hon l i , Ui c N cch r t , U, c N cch rt,...,UN dng
/4 = {c = ( o i , 0 2 , . . . . t n ) : A- x , k = 1.2 n;
C N cch rt. V y
= N.
T p h p .4 c
r; . ^
A
Ui
vifc/ } .
19 N h vy, Ui c N cch rt, (12 c N cch rt,..., a cch rt. T \A\ = A

( A ] n N n
c N ri -
= N(N
- )(N
- 2 ) . . . (N - n 4 1) v ( N - n + 1)
N ( N - l ) .
F [ A )
im
AT"
A'"
Ta xt mt vi dng c bit ca bi ton trn. a) Ln cu thang: Cu thang my bt u chuyn ng vi 7 n g i v n s dng li c 10 tng. Hy tnh xc sut p sao cho khng c hai ng i no cng vo mt tng. p dng (1.4) vi N = 10, T = 7 ta c
47
p = I M
(10.9.8.7.6.5.4)l(r = 0,06048.
b) Ngy sinh: Trong Tut lp c n hc sinh. G i s rng ngy Kinh m i hc sinh c th ri vo ngy bt k trong 365 ngy vi cng kh nng. Hy tnh xc sut sao cho-hai hc sinh bt, k c ngy sinh khc nhau (T < 365). p dng m hnh tng qut vi N 365 ta c xc sut. p can tm l:
= ( ! ) ( ! - 4 ) - 0 - ^ )
Vi
T
kh nh ta c '
~ 1
i 2 - . . . I ( n - 1 ) 365
n(n-l) 730
V d 2. Trong mt ci hp cha M qu cu en v N M qu cu trng. Chn ngu nhin n qu (chn cng mt, lc, hoc chn. ln l t nhng khng hon l i ) . Tnh xc sut sao cho trong n qu chn c n g m qu m u en. K hiu A
m
l bin c cn tm xc sut.
20 m h n h hoa. c c q u c u e n c n h s , . . . . M c n c c q u t r n g c n h s t M 4 n N. T r o n g bi t o n ny. phn T q u c c h n l k h c n h a u . v k h n g p h n b i t t h t . V v y k t q u c a s l a c h n l mt, t p con n p h n t c a t p N t. K h n g gian m u c dng

{ (ai, 02, . . . , o
n
: (l 6
X \ k
, T I ,
(l
<
(12
<
...
<
v i m = c% = L
n(
n)
cn
2 n
Am = {t = ( a ! , a , . . . , a ) Vky\A \=C%.C Z^.

ni N n
r : a
< M, a
m +
>
M).
-mm
PMm)
c b i t k h i A/ n
= C-T^ 1
0-
/V
* > - ( I - > <

2
- J T > - <
- ] 7 3 7 7 T ) -
N u JV = T oo t h P M o ) - 0,368. e C7m . T r o n g c n g t h i c (1.5) s rn c n t h o a m n max(0 ,7? + M - N) < m < rain(M, n).
V t 3. X p n g u n h i n TI q u c u p h n b i t v o N c i h) p h n b i t . T n h xc. sunt sao cho
a) H p t h n h t c V qua, h p t h i ! h a i c r 2 q u ' p t h AT c TIN q u ; h) H p . t h c chrc n g m q u .
21
Gii.
a) M i cch x p l mt b ( 1 , 0 2 : <n) trong
lift
- vo. N h vy l s thir t ca hp m ta phn hi qu t h = {u/ = (i., 2 , . . . . ) : fr X, k - , 2 * v = {1,2.... jV". ,N) T},
||
Gi s .4 l b i n c cn tnh xc sut v u > 6 A N h vy trong dy hu hn ui = ( a i , . . . , a ) c ng T! s 1,...,JV s Af. T

n
suy ra _ 141= f7> T* va

2
1
_ /7"
w
n!
ni!n2!... n/v!
*M)=||
|S2|
- T - T *~"
7 J t ! n 2 ! . . .TAi!
- )
1)) G i B l b i n c: hp t h - c h a m I\\\k. G i s a;
(1....
,(In)
6 B . K h i trong dy ( 1
) phi c n g
n
V s k chitn m v t r trong ) v tr. Cn cc v tr cn l i l cc s / 6 { N}\{k}. T | | = C.(N - ) " - ' " , v do

m
=
7m .
Cn'^^r"' = - C7() (l
-r
(1.7)
1) N u cc q u cn khng c p h n bit th s cch x p TI q u C H U v o N h p p h n bit l s c c nghim nguyn khng m r a phcmg t r n h

t>\ + ri2 f . . . f "Ai
22
S A(n, N) ny chnh l h s ca x ly tha ca hm sinh sau:

oe oo
trong khai t r i n t h n h chui
oo
/(*)
(/'')('''-')(/'\)
ni = 0 = (l + X +
N
712=0 X
2
n/v = 0 X
n
... +
...)
y V
= ( x)~ , Do
1
\x\ < 1.
, ( > _ (n + N - 1 ) i4(n ,J\r) = f / W ( 0 ) = 7i!(iV - 1)! '

r
Trong A(n, N) k t qu cng k h n n g ch c m t k t qu thun l i cho bin c A (ngha l \A\ = 1). Vy F(A) n\(N 1)!
(n + i V - 1 ) ! '
2) N u qu cu khng p h n bit th s cch x p n qu cu vo N hp khc nhau sao cho mi hp cha k h n g q u mt q u l h s ca, x

n
trong khai t r i n chnh tc a thc:
/(')
=
( - ' - " X E ' " ' ) ( -' " )

Til0 ( +x)(l n20 I . / : ) . . . ( + x ) ri/V' ~ ( J = ( . ./-)
A
v l Cfl: Ch . K h i php t h khng i xng, ta xc n h gn n g theo cch sau: T i n h n h n php t h . Gia s n(A) hin trong n php t h ny. Ta gi n(A) C J 4, v gi n(A)/n ln ta d n g t n sut n(A)/n (A)
l s l n ,4 xut V i / kh
l t n s x u t hin bin l t n g ca
l t n s u t x u t hin b i n c A. x p x (A).
nh ngha xc sut theo quan i m thng k. C t h l ta tha
23
n h n t n t i F(A)
sao cho t n s u t n{A)/n
dao n g q u a n h rng
{A).
Sau n y , v i n h n g g i t h i t h p l t a c h n g m i n h lim
n00
^
71
= P (i4).
iu k h n g n h n y l L u t s l n B e r n o u l l i , mt trong nhng k t q u q u a n t r n g n h t ca l t h u y t x c s u t . C t h ni b i t o n i n h n h n h t c a x c s u t v t h n g k l n g h i n c u s a i s c a v i c x p x x c s u t ( c h a b i t ) c a b i n c A b n g t n s u t ( t n h c nh* c c q u a n s t ) tng ng. Lch s t h c s c a x c sut bt ca 0 <e < 1. ngun t
vic nghin cu dng iu
P { | ^ ^ - { A ) \ <e},
T.
B y g i t a c h u y n sang m t k h i n i m q u a n t r n g k h c . 1.3 X c suat i u kin. S dc lp
l $ i i nghin c u cc hin tng ngu nhin xut hin mt vn sau: x c s u t c a m t b i n c s t h a y i t h n o k h i m t b i n sau.
c k h c x y ra. m u ta x t m t v d
V d . G i e o m t con x c xc c n i v n g c h t hai l n . A l b i n c " l n u gieo x u t h i n m t c h m " , B l b i n c " t n g s c h m t r o n g hai l n gieo k h n g v t q u 3". Ta =- {(>../) : < i,j A -- U M ) , (, 2),... ,(1,6)}, < ti}. thy
B = { ( 1 , 1 ) , ( , 2 ) , ( 2 , 1 ) } . Theo n h
ngha c i n c a x c s u t F(A) = 6/36,
(B)
= 3/36,
(AB)
2/36.
24
Nu bit rng B xy ra th A xy ra khi mt trong hai kt qu (1,1) v (1,2) xy ra. Do , xc sut ca A vi iu kin B l
V d trn a ta ti nh ngha sau. 1.3.1 nh ngha. Xc sut c iu kin ca bin c A vi iu kin B l mt s xc nh theo cng thc PA\B) = ^n P(B)>0.
U
(1.8)
T nh ngha, d dng nhn c a) P(i4 B) > 0, b) P ( n I B) = P(J3 \B) = l, c) nu (Ai) l dy cc bin C4,ng di xung khc th P(î4 |B) =
i
P(i4 |B).
i
t 1
, *
y v sau ny, ta vit 53 < 4 i thay cho A khi cc Ai i tut xung khc. 1.3.2 Cng thc nhn xc sut T (1.8) suy ra rng P(AB) = P(B)P(,4 I B) = F{A)F(B I ), (1.9]
nu P (4 )P (B) ^ 0. Bng quy np, ta c cng th

c nhn tng qut sau: Gi SI Ai, A2,... , An l cc bin c bt k sao cho P(i4i A-2 - . A -1) > 0
n
25
Khi , ta c:
(A A
l 2
...A )
n
= (A )F(A
l
A )..
x
.P(A
AA
X
...
A ^)
n
(1.10)
y A1A2... An = A n Ai n . . . n ,4 .
n
V d. T mt hp cha a qu cu trng v b qu cu en, ng i ta rt ngu nhin khng hon li tng qu mt hai ln. Tnh xc sut ln th hai mi rt c qu cu trng. K hiu Ak l bin c: "ln th k rt c qu trng", k = , 2,... Theo cng thc nhn xc sut ta c xc sut cn tm l P(AM = P ( i i ) P ( i 4 I ,) = -Aa + 0 a -t 0
a a
1.3.3
Cng thc xc sut ton phn H cc bin c { B i , 2?2> ) B } gi l h y nu

n
a) xung khc tng i mt,

b)
Bx + B
... +
. ). l h y cc bin c vi
n
V d om gin v h y l h {B, Gi s { B i , F(B )

k
?2,...
B)
n
> 0, Vfe. Khi vi bin c A bt k ta c P(i4) = J > ( f t ) P ( i 4 | f l i ) .

=1
(1.11)
Cng thc ny c gi l cng thc xc sut ton phn. N cho ta mt cng c hu hiu tnh xc sut. Tht vy, t (b) suy ra A = AB
X
+ AB
+ ... + AB .
n
Nn
P(i4) = ^riABi)
^riBiMABi).
26
V d 2. V i cc gi t h i t trong v d , hy t n h xc sut qu ly ln t h hai l trng. Ta s tnh (A2) trong h i u kin {A\, }. Theo cng thc xc sut ton phn ta c
(A )
2
=P(A )F(A
l
Ar) + P ^ O P M a a
I ,)
a
=
b a +
a b'a--b-1'
a + b'a + b -
1.3.4
Cng
thc
Bayes.
G i s (A) > 0 v {B, B , . . . . Bu)

2
l h y cc bin c vi (B) > 0, V i . K h i ta c
M ) - , B ^ g ^ - - p g ^
- J > ( B ) P U Bi)
1=1
(1.12,
(- = 1,2.... , n ) . T h t vy theo (1.9) ta c P(i4 I fc) = P ( A ) P ( f l . I .4). t d

A
c (1.12). V d 3. Cng vi cc gi thit trong v d . h y t n h xc sut d ln u r t c q u trng bit. l n g l n t h hai cng r t d c qu trng. Theo bi ra cn tnh (Ai A ). Theo (1.12) c
2
P(i4i I A )
2
P ( A
) f { A Ai) P(-4 )
2 2
( - ) u(a - ) - - f i b '
By gi ta trnh by khi nim c lp. H u h t cc k t qu ca xc sut c i n u c g i t h i t c lp. Bn cn <1<K- k cc mc d i y.
27 1.3.5 Dinh, S c lp ca hai bin c
ngha.
Hai bin c A v B gi l c lp nu (AB) =P(>4)P(B). (1.13)
Nu F(B)
> 0 th d thy rng A v B c lp khi v ch khi P(A li) - F().
1.3.6 Dinh
l
lp
nhii
bin
c (trong
ngha.
H cc bin c Ai, A'2,. .. , An gi l c lp
ton th ) nu vi mi 2 < k < n v mi b k ch s < i\ < . .. < < n ta c ?(,1, /t,,...,l,,)

;
?(,l )P(.4,J...?(,l ).
M n
(1.11)
('h
R r n g t s c ]) (trong ton th) suy ra tng cp } v i cc kt qu cng kh nng. Cc bin c

, UJ'2 } , B ----- { j j \ . a j } . c ----- { L 1.^4}
c lp. n h n g i u ng c li khng n g . thy i u . xt --- {uj. u>2. ^3,

A -uJ\
c lp tng cp n h n g khng c lp trong ton th v {ABC) = - ( == P(A)P(B)(C).
Trong nhiu t r n g hp, xc sut ch c tnh trn mt lp. c th A gm cc b i n c

thoa m n cc i u kin sau: a) 0 , o
e , h) A e A = e ,
28
c) A. B e A {2,0}, {, <b,A,}
Au B e Av i A c , hay l p "P() gm t t c cc t p
L p A n h t h ir c gi l i s cc b i n c. Cc lp sau: con ca fi u l v d v cc i s cc b i n c m vic k i m t r a cc tnh cht a, b, c khng kh khn g. Trong tr ng hp f2 gm m c phn t i khi n g i ta cn i hi i s A tho m n thm i u k i n d) Ai e A: i = 1,2,. .. => U i Ai e A. i s thoa m n thm diu kin d) gi l Tut - i s c c bin c. 1.3.7 inh S c lp ca cc -ai ngha. s , An c gi l c lp
Cc i s bin c A\,...
(trong ton th) nu h bt k Ai,... = , . : . ,n l c lp.
.An sao cho Ai 6 Ai, , Bn l ci- bin c b t
D d n g k i m tra c rng v i Bi,...
k. i u kin cn v cc i s (ri, 0, B], Bi), (i, 0, B. #2)> (f, 0. B , B ) dc lp l h cc bin c B , . . . , B c lp.

n n
.4 D y cc php th
L. mu: fi = {u/ = (a.a-,:.. ,u ) : Oi e {,..
n
M hnh
xc stint
ca dy php
th.
Xt k h n g gian
,N},i
--
,n).
Trong thc t Jj d c hiu l tut d y cc- kt q u r a cc pip t h ring l . cho xc sut ca bin c s cp. ta u a vo l i cc s J>(a\),p(u-2\a) p(fi \ayU2
n
. . . U n - i thoa m n cc in k i n
N
p(a )>
k
tt,
p(a .)
k
= ;
2!) va
pkaia-2 N
. . . fc-1 )
> 0
(1.15) (1.16)
2J
Ofc = l
p(ofe|ai2 .. .flfe-i) =
,N)
vi
T=
2,... ,n, O i , . . . , * _ ! e {1,2,... Vi > (cu,... , a ). t

n 2
p(t) = p ( a i ) p ( u | i ) . . .p(on|i 2 f l n - i ) . D dng thy rng 7;(u>) > 0 v 5 > M

>en
(1.17)
(1.18)
Tht vy,
JV ^
ijj
p(uj)
^2
p ( l ) p ( 2 l a i ) . . . p ( n I "2 n - 1 )
a i ,a-2,... ,0.11 = 1
N = T
x
^ 2
ai,02,... , a _ i =
p ( l ) p ( 2 I O i ) p ( n - l I 12 n - 2 X
X]
a = l
(" N 22
"
'
i n _ 1
p{ui)p(u
n
a i ) . . . p ( a _ i I a i 2 - 2 )
n
a i , a j , . . . , a -1 = 1 .V
= ... a
- .
30 T i p theo t a t
F(A)=Y p(u),
t
A e n .
(1.19)
C p ( f , p ) c x c n h n h vy l m h n h t o n ca d y t h . D y p h p t h m c c x c s u t i u k i n p(k k h n g p h t h u c v o -ai,.. xch Markov; (l.. .. . (Ik-I . , cik-2

2
php
a\(i2 f c - i ) . T c g i l thuc vo
vi k
2,...
c n n u p(fifc I ai(i
. . .fe_i) k h n g p h
v i mi k ta c dy p h p t h c l p . nht trng en.
V d.
C ba h p c h a c c q u c u t r n g v e n . H p t h
c h a hai q u t r n g v ba q u e n , h p t h h a i c h a h a i q u v hai q u e n , h p t h b a c h a ba q u t r n g v mt qu
T hp t h n h t l y n g u n h i n m t q u cu b v o h p t h hai, sau l y n g u n h i n m t q u t h p t h hai b sang h p t h c u i c n g l y m t q u t h p t h ba b v o h p t h n h t . ba, Nh
v y t a c ba p h p t h c t h c h i n lin t i p . T a h y x y d n g m h n h t o n ca d y p h p t h n y . n = 3, JV = 2 t r o n g s: l k h i u cho k t q u r t c q u trng, p dng kt qu trn vi
2 l k h i u cho k t q u r t c q u e n . N h vy ta c cc xc sut i u k i n v k h n g i u k i n p ( l ) = p ( 2 | l ) = p(l\2) = p(2|12) = p(2|22) = =p(l|22) = 2/5, 3/5, 1/5. sau:
p(2) = p ( l | l ) = p ( 2 | 2 ) = p ( l | 1 2 ) p ( l | l l ) = p ( l | 2 1 ) = 4/5,
p ( 2 | l l ) = p(2|21) =
3J
Ta t h y r n g
p(i\jk)
khng ph thuc vo
i u chng t
r n g dy p h p t h ca ta l xch Markov. Theo (1.17) la c:

' A 94 lo
p((l.l.l)) =
u
5 5
- . 125
P((2.2.2)) --. . ' ' " 125

u
p((2,l,l)) = ^ , P((l,2 l)) = ~ .

;
P((1,2,2)) = P((2,1,2)) =
p ( (
^ A
P((1.1,2)) = A
2,2,l))=^.
Xt b i n c /t- = { sau qu trnh chuyn cc qu cu, hp t h nht c k q u t r n g } . Ta c: /, = { ( 1 . 1 . 2 ) , (1,2,2)} => P(.4,) .4, A, {(1.1,1),(2,2.2).(1.2,1).(2.1,2)}^>P( 4 )
J 2
{(2..l).(2.2.1)}->P(,l )
:
1.4.2
Dy
cc php
th
lp
Dy p h p t h i ! c lp ng vai tr quan trng trong l thuyt xc sut v c nhiu ng dng thc tin. Nh bit trn, dy
cc php th m cc xc sut iu kin . (Jk-1 p ( A - | i " 2 A) khng
ph thuc v o cc i u kin
1,...
c gi l dy p h p t h u
c lp, h n na chng li khng ph thuc vo k. tc l khng ph thuc vo t h t ca php th. Dy nhu t h c gi l dy
;V2
p h p t h c l p t h u n n h t . i v i d y p h p t h n h vy. r n g t h c 1.2,3 c d n g p('ik) > 0,

N
1/2....
.N.
PM
=p(o )p(o )...p(a).

l 2
D y p h p t h c- l p t h u n nht, v i N = 2 c n d t : g i l y p h p t h Bernoulli. L.3 Dy php th Bei~noulli (lc nhi thc)
a) N h n i , d y p h p t h B e r n o u l l i l d y p h p t h c l p t h u n n h t . m i p h p t h ch c h a i k t q u c k h i u b i hai s 0 v . K t q u ( t n g n g 0) c n c g i l t h n h c n g ( t n g n g " t h t b a r ' ) . S

t h u n nht. c n g c ngha l xc sut t h n h c n g p -- p() '/ - ~ p k h n g p h t h u c v o t h t h
ph*]) t h ( l . p(0) cng n h vy.
Trong m hnh n y 2 = { 0 , 1 } "

p(u>)
= {C = ( ! , . . . ,
Un) : , - 0 . 1 } , =- p
S a <
- p(, )p( ) . . . p(n)

2
7 "
S a i
n g t h c 5^P(w) - c n g c t h c suy r a t h t h c
Mn
(a, , . . . , a ) n
n
A-=0
33
N u ta a v o h m i : > R c = (ai,.
n
cho ng
2
.. , a ) H - * i{u>) = ai + a
+ ... +
a.
n
l s " t h n h cng" trong dy kt qu OI "ca T. php t h Bernoulli. Xt b i n c

A
k
{to : /L(c) = ai + a
+ + a
= k},
k = 0, , . . .
, l.
Theo v d 2 (1.3.3) ta thy \Ak\ = P(J) = p q ~ . {A )

k k n k
Ngoi ra nu UJ Ak th
Vy = P/X = k = C
k n V k
q - \ k = 0, , . . . , n.
(1.20)
B cc s Ffi = 0|,P[/i = 1 | , . . . ,P/x = n] c cho bi (1.20) gi l p h n p h i nh thc B(n,p). k hiu l b(k, sao cho (m,n,p)= max
0<fc<n
i khi xc sut P/i = /c cn c
n,p).
b) S t h n h c n g c k h n n g n h t . S m {0, , . . . , n } b(k,n,p)
c gi l s t h n h cng c k h nng nht. xc n h m, ta xt t s b(k, n , p )

l,n,p)
_ ( n + l)p - k
1
(n + )p
fc
/ c < 7
/cg
T
nu k < (n + l ) p th b(k,n,p) fc > ( n + 1)/^ th b(k,n,p) 1.4.4 b(k,n,p) nh thc
> (fc - l , n , p ) v
nu
< b(k - l , n , p ) . Nh vy, ta c: th s c kh nng v
l. a) Nu (n + l ) p fc/in nguyn fc i/ s x l phn
nht. ni = (n + tng t m n TI.
nguyn
ca s x)
s tng khi k tng t 0 n m, thc s gim khi k
34
b) Nu m = ( n + l)p l s nguyn kh nng nht v b(k,n,p) t 0 n m (tng
th ni v ni l cc s c s gim) khi k tng
thc s tng (thc ng t m n ri).
L.5
Lc
a thc
Xt dy n php t h c lp, thun n h t . m i p h p t h c N kt qu c k hiu l , 2,. .. ,N. S thun n h t c ngha l xc sut := F(k) ca k t qu k v i m i k = 1. . . . ,N khng p h thuc vo chi s ca php t h . M hnh x c sut t n g n g l = {LO = (ai,a ,
2
. (in) fc = 1,2,...
1 2 n )
,N}, (1.21) (1.22)
P(w) = p ( o ) . p ( a ) . . . p ( o )
N
X > * = 1. R rng t (1.22) suy ra
wen
i vi m i ; , . . . , N, xt h m Xk * {0, , . . vi
UI
. , T}
sao cho k. K h i
(a\,2,
, a ) 6 o,
n
Xfc(c)
bng s cc
Ui
m Ui
(1.21) c t h vit t h n h P(w) - p f ' ^ p f ^ . . . ^ " ^ . K hiu

^fc,,fc ,...,fc
2 N
(1.23)
ki,...
,X (u>)
N
= k
) .
Theo v d 2 (1.3.3) ta c
35
T v ( 1 . 2 3 ) , suy ra
'.>-ra "*
MUL(n,p ...
u
r f
(125)
B c c x c s u t (1.25) c g i l p h n p h i a t h c v k h i u l ,p ).
N
V d.
G i e o m t con x c x c c n i n g c h t 10 l n . T n h c c cho
xc sut
a) n g 6 l n x u t h i n m t 5 c h m , b) 2 l n x u t h i n m t c h m , 4 l n x u t h i n m t 3, l n m t 4 v 3 l n m t 6. Gii. Vi
=
T a c l c a t h c v i ri = 10, N = 6 v Pi P2 = S d n g c c k h i u a v o ta c
PA = P5 = P6 = 1/6.
a) X c s u t c n t m l
n x
- 6 ] -6(6,10,1/6) = C V ( )
l
0,00001.
b) X c s u t c n t n h l
F\x
~
= 2,x
10!
= 0,x
=4,^4
1 X
1
= 0,X
= 3] =
_1_
1 0
2!0!4!1!0!3!
2
= 5 . 7 . 8. 9.6
ss 0,000208.
1.4.6
Phn
phi
siu
bi q u
cu, t r o n g c M i q u
c ghi T i n h n h ly ngu nhin ln lt
M t ci h p cha M
s 1,...,M /V q u
c g h i s N. K h n g gian m u c d n g Q = {( = (a ...,
v
t r n g q u
n l n k h n g h o n l i , ( n < M ) . T a c m t d y p h p t h .
a ):a
n
, M,
d.* dj ,
36
ng t h i | f | = AMXt bin c
A
NX
...
> R N
"trong
T,
qu chn c ni qu mang
s , . . . , n/v qu mang s
N".
N u k hiu Xk : - { , . . . , N} sao cho cu = ( a i , . . . , a ) I Xk(ijj) = s s k trong dy c, th

n
All,... ,n
= {w : A"i(u;) = n i , . . . , X (u)
N
= n }.
N
Ta t h y n!
l/4_
\*n ...,n
u N
I=
n
A / i ^ / i ^
A\
A
. . . / i ^ .
T , v cc kt qu la chn l cng k h n n g nn:

I /Mil (~<r\2
M
s-<n.

n
MA
JT\/l ,,... , n
n N
2
r
_ ~
M -^M /-~<n
L
MI '
Ai
N
77.j > 0 ,2 , . . . , yV; , T i ! + . . . n
= n.
(1.26)
B cc s (1.26) gi l p h n phi siu bi nhiu chiu.
1.5 P h n phi gii han

Trong lc nh thc, khi n kh l n vic t n h cc xc sut b(k, n , p) hay c. b(k, n,p) gp nhiu kh k h n do c m t cc h s
fc=Jfei
V i vy cn phi tm cng thc tnh gn n g xc sut ny khi
n ln. 1.5.1 p = p
n
Dinh
l Poisson
(Lut
bin
c him).
> oo v Nu T
> 0 sao cho np > > 0 th A e~ b(k,n,p) A) =

fe
,n - oo
37
vi mi k = 0, , . . . T h t vy, t np = X
= n
v biu din b(k, n,p)

fc v
d i dng A n n '
r
n(n-l).
( n - f c + 1) /c!
n
v
= TT (! k
\
k
^T n
- TI ) ( - - n ) ( - Ti )
( ! -n - ) " "
-> e - . fc!
'Nh v y v i n k h ln, p kh b ta c b(k,n,p)^ê- ", C h r n g v i m i t p B c {0, , . . . } (53 -p( > p)) < np .
k n x
= np.
(1.27)
fees
B t d n g thc t r n cho ta bit chnh xc ca x p x (1.27). N u q = p n h th xay x (1.27) v n dng c nu c ngha l ta thay i vai tr p v q = p cho nhau. ta thay i vai t r t h n h cng v t h t b i cho nhau. i u cng Trong t r n g h p p v q k h c khng r t nhiu (tc l p gn 1/2) th x p x Poisson (1.27) k h n g t t . Trong t r n g hp ta nn s dng nh l Moivre-Laplace a phng sau.
1.5.2
Dinh
l gii
hn a phng
th = f(x )(+
k
Moivre-Laplace
b
Nu n oo, p E (0,1) khng i v X = (k np)y/npq chn u theo k v n b(k,n,p)
a (k))/y/npq,
n
38 trong \a \
n
< c/n
vi Xk 6 [a;6],c > 0 l hng s v

I s (p(x)
1
r.e
Chng
minh.
S dng cng thc Stirling I n n ! = In V2ir/n + n In n n + ( ) n (1.28)
khai t r i n t i m cn h s nh thc trong (fc,n,p)=c vp f e
(1.29; T v (1.28'
Ta c k = np + Xky/npq, ta t h u c In :! = In V2k
n k nq Xk^npq.
+ (np + Xky/npq) \n(np +
Xky/npq)(1.30;
np - Xknq + o ( - ) ,
In ( n ;)! = In 2T(TI nq + Xknpq k) + + (nq o(-). Xky/npq) \(nq Xky/tpq)
(1.31
n S dng cng thc l n ( l + x) =

x
~ 2
+ (
)>
39
C k h a i t r i n
\n(np + XkJnpq) = \nnp + ln(l + Xk\ )
y
"X^ lnnp + X f c Jn ^p - 2
1
np
a
(T^
np + o ( _
"7=_ );
/ p ln(n<7 XkJnpq) = In n + l n ( l XfcW) V 7 = \nnq-x / V- J . Tig - ~2 n + ' o( ny/nq3

n< kx
x
(1.32)
T (1.28) n (1.32) t a suy ra k t l u n c a n h l . Ch .
1) V i ri k h l n , t a c
b(k,n,p)
(f(x )Ivpq.
k
(1.33)
2) C n g t h c s d n g t t k h i n > 100, n p 7 > 20. B y g i t a x t p h n p h i g i i h n c a p h n p h i s i u b i (1.15) v i N = 2. N h c l i r

n g p h n p h i s i u b i (1.15) v i N b cc x c s u t
SîTl y^fTl 2
= 2 l
V(
) =
ni + n
= n,
ni
Ml + M = M.
2
n h l sau y cho t a b i t g i i h n c a F(A 1.5.3 Khi Dnh TP{A

n u n
n ).
2
l.
Gi s M, Mi oo sao cho Mi/M
- p 6 ( , 1).
)^b(n n
u
).
(1.34)
40
Chng minh. P ( Ari] )=
Ta c
M!
2
n!(M-n)!
,TX2
M !
2 2
Ai!
T?i!(Mi - ni)! n !(M2 n )!
n!
M i
2,
~Afi
ni
-1
X
M 7 M2 M M _>C^p (l
2 v n i
V , M2 M M -p) M n n i
2 > M
,M M
712-1
'
= 6(n ,n,/)).
1
M i n x. T nh l ny suy ra rng khi s phn t M ca hp r t ln th P(^4ni n ) ~ K i ) i + 2 ,

2 n n n
i u cng c ngha khng
l khi M k h ln t h hai c c h ly c u h o n li v h o n lai l gn n h nhau. B i tp 1. Con xc xc c gieo hai ln . a) Hy miu t khng gian mu. b) Hy miu t cc bin c A= "tng s chm trong hai ln gieo l 8", B= "t nht mt ln x u t hin m t 6 chm." 2. Gieo mt ng t i n sau gieo mt con xc xc. a) Hy miu t khng gian m u . b) Xc nh bin c
A "con xc xc xut hin m t c s chm khng b h n 5". 3. Gieo mt ng t i n lin t i p cho n khi xut hin m t sp th dng l i . a) Hy miu t khng gian m u . b) Xc nh bin c
4 1
A "qu trnh gieo din ra khng qu 4 ln ". 4. Hai ng i chi c. Bin c A ( tng ng B) l bin c ng i th nht, ( tng ng, th hai ) thng. Cc bin c sau c ngha gi
7
_ A A B,A A B,AB,B\
A,
y c A D : = (c \D)U(D\ C). 5. T mt hp cha cc cu en v cu trng. Rt ln l t tng qu cu cho n khi n qu. K hiu Ai l bin c qu rt ln th i l trng. Hy biu din cc bin c sau qua cc Ai'. a) tt c u trng, b) c ng mt qu trng, c) c khng hn k qu trng, d) c ng k qu trng. 6. Chn ngu nhin mt hon v ca tp {1,2,... ,n}. K hiu Aj " s i ng v tr th j ". Hy biu din qua cc Aj cc bin c sau: a) s ng bn tri s 2 , b) s ng cnh s 2. 7. Chng minh rng A A B = c A D => A A c = B A D. 8. Chng minh rng nu A\,. .., AN l cc bin c th
N N N N
A
u n u - ^
l
*-
k=n
n \
k--~ <n
9. Chng minh rng nu A, B. C l cc bin c th a) F{A A B) - P() -I {B) - 2(AB), b) P(yli?) + (AC) + (BC) > (A) + (B) - F(C) - , c) P(l) + P(y4C) - {BC) < (A),
)(A
A B) < F{A A ) + F(C A
42
10.
G i s Ai,...,
An l c c b i n c. C h n g m i n h
rng
a) F(Ai A A ... A An) = > ( ^ ) - 2 Y, P(^M- H

2 t2
i= l
li < 12
+ 4
] <'2<3
P(A
nm
i l
i a
i 3
) + --- +
(-2) - P( 4 ^ ... 4 ),
J l 2 J n
b)
p(B ) =
m
(-I) c
f c
+ f c
m + f c
fc=o
trong B
l b i n c m n x y ra k h i v ch k h i c n g m b i n
c t t p {Ai,.
.., An} x y ra v s=
k
5]
< <-"<i<n
F(A A ...A ).
n 2 lk
11.
Gieo r con x c x c .
T m x c s u t sao cho s c h m
xut
h i n t r n c h n g n h nhau. 12. Gieo 6 con x c x c . T n h x c s u t sao cho
a) s c h m x u t h i n t r n c h n g k h c nhau; b) t n g s c h m x u t h i n b n g 7. 13. T r o n g h p c K c u , L c u t r n g v M c u e n . L y n g u T m x c s u t sao cho
n h i n c h o n l i ( k h n g h o n l i ) n c u .
t r o n g TI c u c le c u , c u t r n g v ni c u e n . 14. H a i n g i c l p n h a u c n g gieo n g t i n . Tnh xc sut
sao cho s l n xut, h i n m t sp t r o n g ri l n gieo c a m i n g i l n h nhau. 15. Cho k s t n h i n Ui,. .. ,cik i m t n g u y n t c m g n h a u . m t s a. T n h x c s u t P/V
L y n g u n h i n t t p { 1 , 2 . . . . , N} sao cho
a) s a k h n g chia h t cho c a i l n 2 ; b) s a k h n g chia h t cho b t k s n o t r o n g c c s (l,. . . , (l.
43 c) tm l i m PP, trong P/V l xc sut chia ht cho

1
10. 16. Chng minh rng, vi A i , . . . , An, ? l cc bin c, P ( / M 2 ... A \B) = (A \B)(A \A B)x.. . x P ^ I ^ ! ...
n 1 2 l
N*oo
A ^B).
n
17. G i s Bi,..., rng
l h y , P ( B ; ) > 0. Chng minh
n P(|C) = J > ( | C ) P ( | C ) fc=l 18. M t hp chi'ra cu trng, b cu en. L y ln l t tng qu

f c f e
theo cch sau. C m i l n ly mt qu, ri qu l i c hon li hp dng t h i b sung thm c qu cng mu vi qu va ly. Chng minh rng a) xc sut trong n = ri + n c n i cu trng, n-2 cu e n l
a(a + c) ... ( + nC - c)b(b + c ) . . . (b + n c
2
ln l y cu u tin n h n
c)
(a + b)(a + b + c)(a + b + 2c) . . . (a + b + ne -
)'
b) xc sut l n t h k ly c cu trng l -,
(a + b)
c) xc sut ln t h m ly c cu trng vi i u kin ln t h k (: < m) ly c cu en l (1) P ( y 4 | y l ) = P ( 4 | y l )

m n J n m )
, a + b+ c trong Ak l bin c ln t h "
CL
-\- c
ly c cu trng. 19. Chn ngu nhin mt s ) t cc s , 2 , . . ., N. K hiu p l bin c :"s chn d c l c ca N." a) G i s \,.. . ,p
n
l cc s nguyn t cng nhau v u l

Tn
c ca N. ChTrng minh rng cc bin c A
\...
, p
c lp.
44
b) G i s N c p h n t c h c h n h t c t h n h c c t c h c a c c t h a s n g u y n t
N = PTPT
Pn
{n/v.r
>/i)
v <p(N) l s c c s t n h i n d n g k h n g v t q u N v n g u y n t v i N. Chng minh rng
<p(n) = i V ( l - - K I - - ) . . . ( - ~ ) , Vi P2 Pn
( ip(r>) l h m E u l e r ) .
45
Chng 2 KHNG GIAN XC SUT TONG QUT
M c c h c a c h n g n y l t r n h b y m h n h x c s u t t h e o h tin Kolmogorov. M h n h n y l y l t h u y t o v t c h
p h n Lebesgue l m c s t o n hc cho x c s u t h i n i . B n c n c k c h n g ny.
2.1 H t i n
T r o n g t h c t , t h n g gp nhiu p h p t h m k h n g t h m c c c k t q u ca n . C h n g h n m t n g t i n c gieo lin t i p . c l p n h a u v h n l n . K h n g gian m u c d n g f2 = Nh bit, nh x / : 2
{LO
= (ai.
a-2,
) : (l = 0, 1 } .
|0;1|, 2 22
LO = (ai, o , . . . ) I> / ( a i ) =
l m t t o n n h . V v y o c l c l n g c o n t i n u m ( t c l t a k h n g t h n h s c c p h n t ca O ) . i v i k h n g gian m u n h vy, k h n g t h x y d n g m h n h x c s u t n h c h n g b n g c c h g n cho m i k t q u UJ 6 f m t
46
trng s P(t) > 0, sau n h ngha (A) = k h i F(A) c t h n h n gi tr oo. p(a>), yl c r, v
khc phc, ta ch xt mt lp con c bit A cc tp con ca n. L p ^4 cn phi tho m n mt s i u kin t h n g th ng. 2.1.1 Dai s. Gi s o l mt tp ty k h c 0. K hiu V(Q.)
l t p hp gm t t c cc t p con ca n. inh ngha . Lp A c v() c gi l mt, i s nu:
AI) ne A, A2) A e A => = fi\A e , A3) A, B e A=> Au B e ,

Nhn xt. V Au B = n
AnBeA.
B, A n B = u , nn trong A3) ch
cn i hi m t trong hai i u kin, chng hn A u B E A. 2.1.2 A) -ai t An s. Lp T c v() c gi l -i s nu n l
i s v ngoi ra:
e T,
n = , 2 , . . . suy ra
oo oe
u
Nhn xt.
An e ,
f An
e T.
y cng n h A3) chi cn i h i m t trong hai h
thc. H thc kia t ng c thoa m n . Chng h n t

_ co
(AO c T = u i e f
n
th cng c
n A = u e ^. n=l n=l
n n
oe
co
47 2.1. 3 Khng gian o. Cp (, T), trong o 0 bt k cn T c gi l mt khng gian o.
l T lt -i s cc tp con ca sau.
'[Vong l thuyt xc sut, n g i ta t h n g d n g cc t h u t ng Ton b Q c gi l b i n c c h c c h n . T p rng 0 c gi l b i n c k h n g . A G T, c gi l b i n c i ca b i n c . N u n B = 0 th ta ni A v B l cc b i n c x u n g k h c . 2.L Hm tp. Gi s A c v{) l mt i s no . nu: Hm hn
tp hp p(.) xc nh trn A c gi l o xc sut hu cng tnh (hay cng tnh hu hn) Pl) P3') F(A) > 0, Ae , P2) P ( f ) = 1, F(A UB)
= F(A) + P(J3) nu A, B e A v A n B = 0.
Bng quy np t P3') suy ra rng nu Ai E A, % = , 2, . . . , T v Ai n Aj = 0 vi i j th
P ( = x > ( ^ ) .
i = l
i=l
Cng t P2) v P3') ta c = p ( f i ) = P(y4 + i4) = P ( A ) + p ( i ) . o P ( i ) = F(A). 2.1.5 D Pl) o xc sut. Hm tp hp p xc nh trn i s tnh nu A
c gi l o xc sut -cng P(
) > 0, AeA, P2) p ( ) = ,
co
P3)
nu Ai e A, i - , 2 , . . . , Ai n ,
- = 0,
j ,
J^ A; G ,4
1=^1
1=1
i = l
48
D dng thy, t tnh cht -c ng tnh ca o xc sut suy ra t n h cht h u hn cng tnh. i u ng c l i khng n g . V d. L y Q l tp s h u t trn R \ l y f = Q n [0; . K hiu c l l p cc khong a; b n 2, a; ) n fi, (a; b\ n n, (a; ) n 2, v i a, b f . Xt h .4 gm t t c cc hp ca m t s h u h n cc khong trn ( n g nhin c c A).A l i s. N u A E c c m t trong bn dng t r n ta t F(A) = b a,
n
cn n u B = 5Z A
i=l
t )
A i c v tng cp r i nhau ta t :
n
P(B) = X > ( A ) .
t
=1
R r n g p l o xc sut hu h n cng tnh trn . N h n g v i r e n , {r} c vP({r}) = 0 , vP(f) = 1 ^ 0 = ren p khng t h l -c ng tnh. nh l d i y cho bit khi no m t do xc sut h u hn cng t n h c t h t r t h n h -c ng tnh . 2.1.6 inh l. Gi s l mt o xc sut hu hn cng ng: l dy (-cng
n
Vy
tnh
trn i s A. Khi bn iu kin sau l tng 1) l cng tnh m c 2) p lin tc trn, khng gim
n
tnh ); A, n = 1 , 2 , . . .
n~\
tc l nu A
noo
(An c j 4 + i ) v lim An = L An 6 A th p ( U A )=
n
v
lim P( ).
n
n=l
ntoa
3) lin tc ui, gim (An c A -i)

n
tc l nu An e , n = , 2 , . . .
oo
n
l dy
v lim An = n A
n*oo n=l
e A. th
n
p ( n An) = lim P(i4 ).

v
n=l
nc
49
4) IP lin tc ti khng, tc l, nu An E , An D n = 1,2, . . . v
An--1,
n
' '
An
th
lim
P(i4n) =
0.
r>no
n=l
Chng
minh.
oo
n
1) => 2): G i s (v4 ) c .4 khng gim, t Ao = 0, i =

e K h i
U An -
A = B i + B
n
+ ... +
fin,
0 ^ = 5^ B i ,
i=l
1 =1
co
oe
co
(Q^)
i=l
p(5>i)
1 =1
p(Bi)
i=l
lim y " p ( , )
1=1
lim P ( ) .
n
2) => 3): Gi s ( v 4 ) c ./4 l dy gim, dy tng. Theo 2):
n y 4 e A khi d (A ) n-
n n
n f ] A i=l
) = i - ( f ] A )
i
-PXU^)
1=1
1=1
= = 3) => 4) : Hin nhin.
lim P ( ) =
n
lim l i - P()1
nKX>
n*oo
lim (A ). n*oc
n
50
4) => 1): G i s (An) c l d}' i mt k h n g giao nhau v

oe
n=l
K h i
oo co n
e J
c :=
n
A =
;
J ^ \ U ^
c c
n + 1 )
Pl C
n=l
= 0.
Do p hu hn cng t n h
oo n
n
P (J ^ ) = P (J Ai) i-(C )
i=l i=l
- ] T p ( A ) 4 P(C ).
t n
1=1
Cho n > oo vi ch P ( C ) > 0 ta c

n
oo
oo
(
P (J AO = J > ( A ) .
2.1.7 2) ()
Cc tnh
cht
ca xc e T.
sut
1) P(0) = 0. c suy ra t 0 + 0 - 0 v P2), P3'). = - F(A),A 3) A c ; A, B e T => P(i4) < P(/9). (Do p ( f i ) = P(,4) + P ( # V 4 ) : 4) P() < 1. (Do Suy ra t A
v 3)). (AB).
5) i4, B e T => {A u B) = (A) + F(B)
B = A + (B\A)
v P ( B \ J 4 ) = P ( B ) - p ( / l / i ) . (Suy t 5)).
6) p ( 4 U B ) < P(>1) + P ( f ) , (A, BeT).
51
7) P ( J / O = ^ ( - l )
kl kl
f e
J2
1 <i
1
(A ...A ).
u tk
f c
<t
<...<i
<n
T n h cht ny suy ra bng quy np v 5).
P(U
n =
A)
n
<j2n^n),
T.=
(A )cT.
n
T h t vv
n=l
DO DO
oo
p s
oo
I p
p( U " ) = n=lE ( - ) ^ E n=l n=l ( ^ ) '

n-1
trong B
oe
= A\
n
J A ,
k
Ao = 0.
oo
fc=o
oo
9) P ( J
n=l
An) - P ( U
n=l
n
B)
n
< J2\(A )-F(B )}

n n
nu (A ),
n
(f ) c
n
n=l
D B;
n
n = , 2 , . . . . T n h cht ny c suy ra t 3), 8) (J A \

n
v h thc ( j B
n=l
n
c
n=l
\J(A \B ).
n n
n=l
i i n Kolmogorov.
Ta gi b ba (Q,.T,F)
vi
a) l tp hp tuy gm cc phn t L; b) T l i s cc tp con ca fi; c) w l o xc sut -cng tnh hay ni gn l xc sut T, l khng gian xc sut. trn
Tp fi c gi l khng gian cc bin c s cp. Tp A T uc gi l bin c, F(A) l xc sut ca bin c . c gi l xc sut trn J-. Cc khi nim: bin c s cp, bin c , xc sut l cc i Urng c bn, cc t n h cht c tha nhn A l ) - A 3 ) v P l ) - P 3 ) lp nn h tin ca l t h u y t xc sut c A. N . Kolmogorov a ra l n u tin n m 1933. S xut hin ca h tin l mt
52
CUC
cch m n g trong l thuyt xc sut. N n h d u mt b c ngot trong q u t r n h s n g to ra cc m hnh t o n hc ca p h p t h ny hay p h p t h kia. 2.2 K h n g gian o K h n g t h i su vo l thuyt xc sut nu k h n g tm h i u
c u t r c cc i s v cc <7 - i s mt cch k l ng. 2.2.1 n Lp n iu. Lp Ai c khc 0 c

co
gi l lp
iu'nu:
a) An EM,
Ac
n
n+U
n = , 2,. .. => u
1=1
A e M;
%
ao
b) An e M, An D.A +u
n
n = 1,2,. .. => Pl Ai e
M.
Hin nhin 'P(O) va l i s va l - i s v l lp d n i u . l lp "gin c" n h t trong cc lp gm cc t p con ca . Tri l i . l p { O , 0} cng va l i s va l ( 7 - a i s n h n g l l p ngho n h t . By g i gi s c c 'P(f) l mt h k h n g rng cho. Giao (trong v ( f l ) ) ca tp hp t t c cc i s ( t n g ng - i s , l p a n i u) cha c cng l i s ( t n g irng - i s , lp a n i u) b n h t cha c hoc c sinh b i c. D i y ta s xt cu trc ca i s sinh b i m t hoch. 2.2.2 Phn hoach. Mt. phn hoch hu hn c = {A ,
l
phn
i / } l ca
mt h cc tp con khc 0, ri nhau tng cp ca , v hp chng l 2 . 2.2.3 ph

n nh l.
i .s A sinh bi phn hoch hu hn c ca

n
gm tt c cc hp ca cc h con c th c ca c (nu c gtn T t th A c 2 ph

n t). Nguc li, nu i s A chi gom t ca mt s hu hn cc tp con ca 2 th tp hp cc nguyn
53
A to thnh phn hoch hu hn ca Q sinh ra A, gi l nguyn li
( y A c
o th
t ca nu A / 0 v nu 0 - B c B e A
Ai.
minh. P h n u ca nh l l h i n nhin. chng m i n h
Chng
phn sau ta g i t h i t A {Ai, e 1} l m t i s h u h n trong
o.
Xt
c = {B c n : B 0 v B = n Bi
trong mi B. hoc b n g Ai hoc b n g
t
Ai}. A l
K h i c l m t phn hoch ca gm cc n g u y n t ca v sinh ra . V d 1. G i s
0 c n, A
l
U)2,
Khi
{0, A, , n}
H
i s sinh b i phn hoch {A, } ca 2. VY d . Cho t p hu hn 2 = {c!,

c
, U n } .
{ {
i } >
{^2},
'
{ u
} }
l mt p h n hoch ca . Theo nh l 2.2.3, v() bi c. 2.2.4 inh l. Gi s A l mt i s. iu.
l i s sinh
Khi , A l -i
nu v ch nu A l lp n Chng minh.
H i n nhin rng nu A l - i s th A l l p o n c A
i u. Ng c li, g i s l l]) n i u . K h i nu (An) th do A l i s . B

n
[J Ai
1=
TI
A, B
B.
n =
1,2,... T
, do .4 l lp a n i u
oe
An
n=l
lim
TI
| B
e ^
54
nn A l - i s; y v sau ny ta v i t : B lim B
TI
n
ngha l (B )
n
t n g v gim v B
B lim B
Ti
ngha l (B )
n
2.2.5 trng Chng m(A)
Dinh
l.
Gi s A l i s. A.
Khi -i
s sinh bi
vi lp n iu sinh bi minh. c (A). K hiu M K hiu (A)
( t n g ng m(A)) c m(A) m{A)}.
l <x- i s ( t n g ta cn chng t rng l - i s .
ng lp n diu) sinh b i - V (A) chng minh (A) = {B : B v B e
cng l lp n i u nn
m(^4) l i s. Do theo nh l 2.2.4, m(A) R rng c i c m(A). l l p n i u th M. = m(A).

n
T nu ta chng m i n h rng MG i s ( n ) c M
n
l dy t n g ,
T77A>1).
( C ) c M. l dy gim tuy . K h i B , m(A) l lp n i u nn
B ,
n
C ,c
n
Do
B = lim t n , lim t n = lim B

ri ri TI
e
n
m(A), m(A),
c = lim c ,
n
Ti
lim
ri
= lim t
n
v B , c A i . i u c ngha l M V i A m.(A) xt lp con
l lp n i u .
MA T n g thc l i m B
n
= {B : B v B m ( A ) } ,
n
= AYmBn
n
( n g vi dy n i u ( B )
n
b
t k) suy ra MA B 6 MA
l lp n i u. = m(A). <=>
Nhng v i B
e A
ta c
c m ( X ) . V vy MA
A MB
T v h thc
A-U,
55 suy ra A e MB mi v i mi A 6 v B 6 m ( . ) , hay , 4 c M B v i vi mi B m.(A), l i s. ngha l
B m ( A ) . V y AB = m(A)
?n.(.4) d n g i v i php giao nn m(A) 2.3 P h n t n g u 2.3. Anh nhn Dnh x f ngha. nhin
Gi s (, JT) v (E,8) gi l o c,
l hai khng
gian
o. nhin
: r E uc E nu
hay phn
t ngu
gi tr trong
f~\A)
e T vi mi A e .
i khi / c n c gi l phn t ngu nhin trn (, T ) v i gi tr trong (E, ).
V d 1. L y E =
{0, 1}, = V{E)

A
v hm
: o - E, A
en
11,4(0;) = n u UI (E A,= tp
0 nu U) 6 A (gi l hm chi tiu ca
).
D t h y A l phn t ngu nhin t r n (,^") vi gi tr trong
(E, ) n u v ch n u
T.
V d 2. Cho k h n g gian o (, JF). l mt - i s con ca .F. K h i n h x

n g nht t ( l , ^ ) ln (f, Q) l o c. 2.3.2 nh l. Gi s h : (n.T) - ( , ) ; : ( , ) - ( , ) /
0
cc n/i x o uc. trn Chng 2.5.3 minh. inh
Khi d ,,nh x hp g h (E,),
l phn
t ngu
nhin
vi gi tr trong H i n nhin. ngha.
Gi s r l t,p tuy , (/i)g/ l h cc gian o (E,i)ij. Ta gi -i s sinh
nh bi
x t vo cc khng
56
h hm ( / ) v k hiu bi (fi,i ) l "i sao cho tt. c cc nh x fi o c. Nhn xt 1. H i n nhin rng (fi,i e l ) = a(f- (Ai),Ai
l
s b nht. trn
iei).
2.3.4
nh
l.
Gi s (E,)
l khng gian o, c c v()

l
v gi
sf:E*.
D l nh x o c trn (E,)
vi gi tr trong
(, (C)) iu kin cn v l f~ (C) Chng minh.
6 vi mi c c. chng minh i u }. D E . K h i
i u kin cn l hin nhin.
kin f - \ C ) c l ta xt tp T = {A c . : ~HA) c. Do T D (C), c ngha l A e (c) => f ' ( A ) e.

l
d n g kim tra c rng T l mt - i s cc tp con ca cha
Nhn xt 2. G i s c mt h nh x fi : f > (E , ),i

t
nh x / : (E,) mi nh x fof
(f2, (fi,i
6 / ) ) l o c khi v ch khi i u ny suy t nhn
t E vo E l o c.
xt v nh l 2.3.4. Nhn xt 3. - i s (fi,i ), xem nh ngha 2.3.3, trung vi

t
hp (trong "P(O)) ca t t c cc - i s (/. , i & .7), ,7 chy trong h cc tp con m c ca / . V d. Gi s R = (00; 00) v lp c gm cc khong dng [ri; ) vi 00 < a < < +oo, (a;a) = 0), y quy c 00; ) = (00; b). K hiu A l tp cc tp A K c biu d i n d i dng hp hu hn cc khong r i nhau thuc c
n
A = 2[a bi).
1 =1
57
R r n g A l i s c c t p con c a R n h n g k h n g p h i l - i s v {0; ]
-n
1 1
[0; + - ) -4
T.
K h i u ( R ) hay B l a i . v
l - i s s i n h b i A hay c.
N c g i l Ngc
- i s c c t p Borel ca R. R r n g [; b, (a; b) G B(R).
v mi tp m M / 0
u l h p k h n g q u m c c c k h o n g c n g l - i s
m k h n g giao n h a u ca R, ta r t ra r n g B(R) c c t p con c a R sinh b i c c t p m ca R.
T n g t , g i s E l k h n g gian m e t r i c (hay t n g q u t l m t k h n g g i a n t p ) . - i s c c t p con ca E c s i n h b i c c t p m c a E c g i l - i s Borel ca E, k h i u l Nu / B(E).
: E > R l n h x lin t c t h do n h n g c ca m i n n theo n h l 2.3.4, D o - i s t r n Bo(E),
t p m c a R qua / c n g l m t r o n g E, c n g l o c t (E,B(E))
vo (R,B(R)).
E s i n h b i t t c c c h m lin t c t E v o R, k h i u l l c r - i s con cia B(E) ngha l B (E)

0
c B(E).
BQ(E)
c gi
l - i s Baire t r o n g E. t h B (E)
0
T u y v y , n u E l k h n g gian m e t r i c
= B(E).
T h c vy, g i s F l t p n g t u y ca E t h
h m s ( t E v o R) X (-> d(x, F) m{d(x,y),y F}
( y d(x, y) l k h o n g c c h t r o n g E) l h m lin t c v F = { x e E : d{x, F) = 0} l t p B a i r e . T B(E) c B (E)

0
B(E).
58 2.4 T c h c c <7ai s G i s (Ei,)ii c c c a c c E, E = K . ( / ) .

t
l h cc n B. te/
k h n g gian o v E l tch
K h i u Xi l n h x t o a t E l n ' . . .
Dinh uc Nhn
ngha k hiu
. (X,i l E.
iG/
/ ) c
gi l tch
ca cc a-di
xt 1. T h e o n h n x t 2.3.1, t c h
1 i
0 Si c n g l - i s s i n h te/
b i h t p ^ Y ~ ( ) , Ai , t r o n g A i i ? i v i h u t t c ( c t h t r m t s h u h n c c i). Nhn hp c = {Bi XB X ... X s,

n
xt 2. X t R
= R x R x . . . x R ( n
nhn t ) v h cc hnh
=
Ofc
a ;b ),
k k
oo <
< fc < + 0 O , k = , . . . , r }
K hiu ( R ) = (C). R rng

n
(R ) N h n g v i m i k,
c S ( R ) ( R ) . . . B(R).
X ^ ( B ) e c c (C) = X ^ i f l f c ) e (C),
k
v i #fc B ( R ) b t k . D o B(R) v theo trn, B(R) (R) .. . B(R) = ( R )

n
( R ) . . . S(R) c ( R ) ,
59
K hiu V l t p hp cc hnh hp m dng

(ai;i) X ... X
n n
(u;b ).
n
R rng V c B ( R ) => (D) c S ( R ) . Nhng mi tp m G c

n
R"
l hp k h n g q u m c cc p h n t ca V nn ( R ) c (T>) Cui cng, t I ) c -(C) v c c <T(X>) suy ra (c) N h vy ( R ) = B(R) 0 S(R) 0 . . . 0 S(R) = ( M ) .
n n
{V).
2.5 X y d n g Nhiu khi
k h n g gian x c sut khng gian xc sut khng c cho ngay t d u . c hay khng? Bi
Bi vy x u t hin vn sau: liu c th thc t r i n mt o x c sut. trn i s A ln mt ( 7 - i s (A) t o n ny c n h ton hc

c Carathodory (1873 minh k t qu . 2.5.1 inh l Carathodory. l Gi s VL l mt tp hp no Gi s l mt o xc c A sao , nh tnh cho nht. 1950) g i i
quyt d i dng tng qut hn. Chng ti pht biu khng ch

n g
A l i s cc tp con ca . trn (ngha trn A)

n
l mt hm tp hp, khng m , a-cng hn (ngha

n
v -hu
l ton ti dy (An)
An Vi v no(A )
< oe, T. = 1,2,...). sao cho
Khi tn ti duy
mt o / xc nh trn (A)
fi(A)
fi (A).
<E A.
60
2.5.2 s
Xc
sut
trn
(R,B(R))
G i s p l o xc sut xc nh t r n ( R ) . K h i h m F(x) c cc tnh chai. sau: a) F khng gim: X < y => F(x) b) F lin tt- tri t i mi i m . c) F ( - o o ) lim /(./) - 0, /( f oe) =X * o e
.T
= P(-oo,z),x R
<
F(y), lim
* - -
/'(./)
oe
1.
Hm F c ba tnh cht, c. gi l h m p h n phi t r n R. T h t vy. tnh cht a) suy t tnh n i u ca xc sut v bao
hm thc ( oo, x) c ( O y) nu X < y.
Do F n i u b chn nn cc gii hn m t p h a (k c cc i m o o ) u tn t i . V vy chng minh t n h cht lin tc t r i cng nh c) chi cn s dng tnh cht lin tc ca xc sut . Ng c l i ta c k t qu sau: inh mn l. Gi s F(x) l mt hm s tuy xc nh trn R thoa Khi ton ti duy nht mi sao cho: F(a) a < b.
ba iu kin a), b), c) trn.
xc sut p xc nh trn B(R)
F\a;b) = F(b) -
Chng
minh.
K hiu l h gm cc t p A c R sao cho

TI-
(2.1)
vi
lai; bi) n \cij\bj)
= 0,
j.
R rng (xem v d 5), A l mt i s. t PoM) = F(b) -F(a), aok;fe ) = ^[^(fei) i=l 1-1
F(ai)\
n u A A v c d n g (2.1). D t h y , Po t h o m n c c i u k i n P I ) , P 2 ) , P 3 ' ) . c t h p d n g c n h l C a r a t h o d o r y t r n c h i c n p h i c h n g m i n h r n g Po l ( X - c n g t n h t r n . N h n g theo n h l 2.5.1, c h i c n
c h n g m i n h r n g Po lin t c t i 0. G i s An 6 A, An 0. t a h y c h n g t r n g o(A )
n
> 0.
a) u t i n t a g i s r n g t n t i a; b R, a 0 t u y cho t m c d a"; )"),sao cho Pole?;6?) = F ( 6 ? ) - F(c?) < v i 1 = 1,... K hiu ,m , n = 1,2,... e.(2 .rn )n n 1
1=1 R rng B
n
c K
c A
'rin
c a; b v
P o M \ / i r , ) = x > [ c ? ; > ? ) < 5.2c oo
V i r - 1 , 2 , . . . .
(2.2)
Do K'
ri
n A
r =
0 nn n
r, l
/f
= 0. T d v t n h compact ca c c t p
t r o n g k h o n g [a; b suy r a t n t i s no sao cho

no
m
n
Pl f r
= 0
= > Pl n
0,
m > no.
62 K h i vi ni > no
T).
m
n
o(A )
m
= r
( f ] A \ f ] B
n=l n=l
) <
oo
<^2 (A \B )
0 n n
<J2z-2~
n=l
n=l
V E > 0 tuy , nn ta c
lim P o ( A ) 0.
m
m>oo
b) By gi xt (An) c A tuy ,.y4 0. Theo g i t h i t v h m

n
p h n phi F, vi e > 0 cho, tuy . tm c a .
- +00.
Theo phn a), A' Ngoi ra,
I 0, ^
0
c [a;b\. nn
p (40
0
 0 v mi tp A A, t n t i t p compact o(A\K) < e. K A sao cho KcAv tnh ca P() trn A.
Chnh nh i u m ta c th chng m i n h c t n h -c ng P h n tch k s kin n y ta thy s tn t i ca mt lp cc tp con compact ca R n g vai t r quyt nh.
63
2.5.3
Lp
compact
v xc sut
oo
chnh
quy nu i vi cho
Lp K, cc tp con ca c dy bt. k (K )
n
gi l compact
c /c
f] K
th tn ti s no sao
no
<n
= 0-
Nhn xt. N u n l khng gian t p th lp cc tp compact ca n thoa m n n h ngha. inh lp l. Gi s /c l lp compact bt k ca . Khi lp nh
nht cha K, ng i vi hp hu hn v giao m c compact.
cng l
Chng minh.
G i s C* l lp gm cc tp l hp ca mt s hu
hn cc p h n t ca K.. K l lp gm cc tp l giao ca m t s m c cc p h n t ca K*. Bi v bao ng i vi p h p giao bo t o n t n h compact nn /c compact nu le* compact. V vy, ch cn chng m i n h r n g K* l lp compact. Gi s (C )
n
c KI* v
m Cn =
/c.
^ e ^ ;
m , n > 1.
'
Gi s
oo
Pl C'n
n=
0 vi mi p tuy .
Ta hy chng minh
rng
n c
n==l
/ 0. K hiu
co
J- = J ] { 1 , 2 , . . . , m } v
n
n=l P J p =
{ { j n } e j :
f|^-/0},p>l.
n = l
64
n = l
n = l
nn
7^
0 vi mi p. Hn na nu Pi <
P2
th J
CO
Pl
D Jp v J l
2
tch cc khng gian compact (vi t p r i rc) nn cng compact.

o o
Do
f Jp
n
4- 0-
By gi, gi s { j } e
n
0 Jp.
Lc vi m i
p = 1.2....
li-:
oo
v l i do /c l lp compact nn
o e
n K"
7^ 0. M
---
o e
f|Al" c
n = l
f|C .
n
n = l
Do 2.5.4
n
T I - .
c - 0.
n
sut chnh quy. Gi s (Q, T, P) / khng o xc sut p u c gi
o xc
gian xc sut; KI Q T l lp compact, l chnh quy (i vi K.) nu' F(B) = sup (A),
Ai
A
vi mi B
e T.
l' h
Nhn xt. Nu p chnh quy i vi K. th p cng ('.hnh quy i vi lp K l lp nh nht cha K, ng i vi hp h u h n v giao m c. inh nht l. Gi s To l i s cc tp con ca . 'o l lp Ngoi ra, gi thit, rang T = (T) h
p hu hn, giao m,
c. compact nh
v /Co c T-
v KI l lp
cha /Co ng i
6 5
Gi s p l hm tp khng m hu hn cng tnh trn T v P(f) = 1. Khi , nu F(B) = sup (A),
AK.Q ACB
vi mi B e To,
th c th thc trin mt cch duy nht thnh mt, o xc sut trn T v chnh quy i vi le. Chng minh. a) Theo nguyn l thc trin o, ta ch cn chng t rng nu (Bu) c Jô, B 0, th (B ) > 0. Ly > 0 v vi mi n chn K e K.Q sao cho K c B v p ( / f ) > P(B) - e/2 . V
n n n n n n n
co
oo
n
no
n A'
71= l .Bno =
c n
n = l
B
c
= 0,do tn ti no sao cho f K

no n=l no
= 0. T
n
n= u
n=l
n
no n B,
(Sn\in).
Vy
( B
) <
;W(Bn\K )
n
< e
do B 0 nn f ( B ) < vi mi n > nob) D cling minh o thc trin (m ta cng k hiu l p) chnh quy ('i vi /c, ta xt tp M gm cc tp BT sao cho
n
P(B) =- sup P(A). D

dang
thy rng .M l lp n i u, cha Ti). Do M JF.n
2.5.5 Xy dng xc sut trn tch v hn Cho tp T tuy , k hiu u l h cc tp hu hn ca T. Vi mi tp con s c T ta xt tch cc R = { / : s -> R}. t 2 - R . Vi mi ti (tng ng u,v e U u c v) ta k hiu ri,, (tng ng U ) l php chiu chnh tc t R ln R" (tng ng t w ln f " ) . Chng tho mn cc i u kin
s T } r uv
n
iuv
uv
on
ivw
= n
=
(u, V
e,ucv),
Cv Cw).
u l u
(, v,w e,u
66
K h i u B
s
l - i s nh nht trn R' sao cho cc n h x chiu

s
n , s 6 s l o c. cng l -i trong Ba B(R) v B hn. {(R ,B ),

u U U s
s sinh b i cc tp
UB ,
S
= R vi t t c cc s ch t r mt s hu cc o xc sut trn
By gi gi s cho h (p)e{7 xiu} tomg ng.
H ( p ) c gi l t n g thch (hay nht q u n ) nu

l u v p v ) = P (2.3)
U1
i v i mi cp u,v u v li c V, trong (F )
UV V
l o xc
sut nh ca
qua n
u u
c xc nh bi P (n-J(A ))
u U
n (Vv)(A )uu u
vi mi A
T T
B.
N h trn ta thy, nu tn t i mt o x c sut p trn ( R , ) th n g nhin p =n(P) =Pon~ ,

1
nu
(2.4)
tho m n i u kin (2.3). Ng c l i , nn chi cho h cc xc sut {IP,!, u f / } t h o m n (2.3) th t h hi c tn t i o xc sut p t r n ( R , 6 ) thoa m n (2.4) hay khng? nh l sau y thuc v Kolmogorov. nh l tn ti. Gi s T l tp ch s bt k , l tp hp gom Gi thit rng vi mi l 6 u sao cho h (IP )u thoa
u T T
tt c cc tp con hu hn ca T. tn ti o xc sut p iu
T u
trn B
mn trn
(2.3).
T
Khi , tn ti mt o xc sut (2.).
duy nht p
( R , B ) , thoa mn
67
Chng
minh.
1 u u U T
a) K hiu B = {UZ (A ),u 6 U,A e B ). R rng B l m t i s cc t p con ca R ( i s cc tp t r o c). N u

A =
l-
{Au)
B,
t (A)= (A ).
U U
Ta s chng t r n g hm p xc nh n h vy cho ta mt h m t p hp t r n B khng ph thuc vo cch biu din ca tp A. Q u vy, nu A 6 B c hai cch biu din A = U-\A )
U
=U- (A ),
V
u,veu. c w. Do. tnh cht ca cc
Lc tm c vu 6 u sao cho u,v n h x chiu n n U^(A )

u
U (A)=nz(A ).
w v
T v i u k i n t n g thch (2.3) ta c
P (AJ = Pw(nzi(A ))
u
= F (U-(A ))
W V
F (Av)
v
Cng d thy rng, hm p l hu hn cng tnh, khng m t r n B v (R )

T
= 1.
b) e c t h p dng nguyn l thc t r i n o C a r a t h o d o r y ta cn phi chng m i n h rng p lin tc t i 0 trn i s C(f c BQ m (C) = (B). trong C(f l lp cc tp con ca R
T
biu d i n
c d i dng h p ca mt s h u h n r i nhau cc t p tr ch nht t vi At B(R) v t = R vi t t c cc T ch t r = B.

T
mt s hu hn. R rng C l i s cc tp v (C)
68
Ta s dng nh l 2.4.5 chng minh tnh cht lin tc t i 0 ca p trn C, bng cch ch ra tnh cht chnh quy ca p trn C i vi mt lp compact no . lm c i u , ta xt lp /Co gm cc tp con ca R biu din d c d i dng tng mi s hu hn ri nhau cc t p hp ch nht YlK trong K =- R vi t t c cc ch t r mt s hu hn cc ch s t\,2 no , cn K . K ,....
x 2
tri T
K,
7
l cc tp compact ca R. R r n g vi mi t 6 T, o xc sut
/Co l lp compact ca R
v /Co c c .
u tin ta c nhn xt san:
P{(;} trn (R,(R)) c tnh chnh quy i vi lp cc tp compact ca R ngha l vi mi > 0 v mi Af e (R) tn t i tp compact K c A sao cho Fy(A \K )
t t
< . T v i mi e u,
t
n At, At e tu 5^
tu
v > 0 tuy . tm c e > 0, t e u sao cho
, = e vk (A \K )
{t} t t
<e .
t
te
u.
K hiu B = n ^ M A ^ t ) ,
t e '; ta c
(UAt\K )
u t
<F {[j
u
Bt) <
^
ten
tu
tu
Do cng suy ra rng p trn C(f chnh quy i vi lp K,Q. nh l c chng minh hon ton.
Nhn xt . Trong chng minh, ta s dng tnh cht, chnh quy ca mi o xc sut trn R. i vi lp cc t p compact ca R. Ta c t h chng minh tnh cht ny v n n g i vi khng gian metric k h ly, y tuy .
69
T h t vy, gi s E l khng gian metric k h ly y bt k, p l o xc sut trn B(E) tuy . u tin, ta chng minh rng < e. vi 6 > 0 tuy , tm c tp compact K c E sao cho (E\K)
V E kh ly nn tn t i tp t r mt m c { 1 , Ci2, . . } v do in J f(a. ,l/n) I JB khi m t co, ( y B(cii,l/n) l hnh cu

t
-1
n g tm j b n knh 1/n). T tnh cht lin tc ca xc sut suy ra tn t i m

n
sao cho
m
n
P(i?\ j B ( o 1/7-0) < e / 2

1=1
t
oe m
n=l
=l
R rng, K l tp compact ca E v F(E\K) chng minh rng vi A 6 B(E),

F c i i sao cho P(4\JP) < e .
< . Tip theo, ta
> 0 tuy , tm ir c tp ng
thy i u ta xt lp A gm cc tp A B E) sao cho v i mi s > 0 tn t i tp dng F , tp m G cho F c A c G v. F(G\F) < e. L p ny cha 0, o, cc tp ng, ng i vi php B(E).
e
ly phn b v hp m c. Do d A = sao cho (E\K )
Cui cng ly A 13(E), > 0 tuy v K < e/2. v sao cho P(/4\F) < e/2.
P(yl\/0 < .
c E compact
Theo trn tn t i tp F ng, F c
K h i t p K = Ke n F compact v
Nhn xt 2. nh l tn t i v n n g nu R c thay bi mt khng gian metric k h ly y bt k.
70
Bi t p
1 . G i s = {0,1,2}. Cho mt v d v cr- i s cha cc tp >4 = { 0 , 1 } , B = { 1 , 2 } . 2. Cho = 0; 1], Hy m t cc (7-i s sinh b i cc tp: a) [0;2/3], [1/3; 1];
b) { 0 } , { l } ;
c) tp hp t t c cc s hu t. 3 . Chng minh rng nu {Tu) l dy khng gim cc - i s th
TI
l m t i s. Cho mt v d chng t rng T khng l (7-i s. 4. Hy m t cc er- i s sinh bi a) cc bin c c xc sut 0, b) cc bin c c xc sut . 5 . Cho hai dy cc bin c (An) v ( n ) . Chng m i n h r n * a) lim inf c) lim sup
6. An
lim sup
n
An
r
b) lim sup(j4 u B )
An
lim sup An u lim sup D ,

n
n lim inf B c lim sup(
An
c
B.
n
c lira sup . A n n l i m sup G i s

( , ^ ,
P) l khng gian xc sut. Hai b i n c
c gi l t n g n g nu P ( J4 A B) = 0 ( v i t A ~ / ) . K hiu / l lp t n g n g cha A.
t d ( i , ) = P ( i 4 A B;
(J^"/ ~ , d) l y .
A,BeT.
Chng minh rng l rat metric trn T ~ v k h n g gian 7 . G i s (r, J^", p) l khng gian xc sut v T l m t i s sinh ra T. Chng minh rng v i e > 0 b t k v A ^F b t k, tn t i
e e f o sao cho (A A B) < e.
71
8. Cho khng gian xc: sut ( . ^ p ) v , B e T. Chng minh rng a) \F(AB) -(A)(B)\ < ; b) 1P(U f)P(AB) 0 = P(limsup An) = 0; b) Y^F(A A A i) < oa => limsupy4 ~ liminf An => => lim P ( i 4 A n) = 0.
n n n n+ n m
m , TI>oo
y c ~ D <=> P ( C A D) = 0. 10. Xt mt lp V gm cc tp con ca 0 tho mn cc i u kin sau: a) n D ; b) i 4 i , e 2>,J4I4 = 0 = A + A X>,i4i,i4 e v,A c A => A \Ai e Vc) V B An 1=> ^J y l V. ( Lp ny gi l lp (7- cng tnh.) n Chng minh rng: a) Vi mi lp con c gm cc tp con ca , tn ti lp cng tnh b nht cha C; b) Nu c ng vi php giao th lp - cng tnh nh nht cha c trng vi - i s sinh bi C; c) Gi s p v Q l hai o xc sut xc nh trn (QjJ-'). Chng t rng lp V = {A T : (A) = <Q(A)} l lp - cng tnh. T suy ra rng nu p v Q tring nhau trn lp c m c ng i vi php giao th p trung vi Q trn - i s sinh bi c. 11. Gi s . l i s cc tp con ca v p l o xc sut trn . Vi mi A e n , k hiu
2 2 2 2 2 2 n
co 7(A) =
{(AO : An A n > v A c J A } .
n
n=l
72 oo
t P*(A)
= inf{ E
n=l
: (A )
n
y(A)}.
1 Chng m i n h r n g a) c B c fi = V*(A) <

b) p*( 2
n=l oo
F*(B),
A )
n
E
n=l
CXI
p * ( ^ n ) nu
e A\AiAj
0,i
.,,
c) p*( u 2
n
An) <
V*(A );
n
c n, n > 1. Chng minh rng, trr
2 t d(i4, B ) = F(i4 A B ) ; d c cc t n h cht sau: a) b) d(A,B) = d(B,A), d(A,B); < d(A,C) +
A, 5 e a d(A,A)=0\ d{B,D);
d(,~B) =
c) d(AB,CD)
) d(A, B) < d(A, C) + d(C, ) ;
e) d ( \ j A
g) rng
{jB )
k
<J2d(A ,B
k k
k k \V*(A)-V*(B)\
k < d(A,B).
n
3 K hiu T = {A c n : 3(A ) a) ^ l - i s cha A] b) H m P =
c A d(A, ) - 0 } . Chng mint

n
l o xc sut trn ( T) v p = P U -
N h v y t n t i o xc sut P l o t h c t r i n ca p t A ln ^ D (. ). o n y y v duy nht tho

m n 3(b) < trn.
73
Chng 3 B I N N G U NHIN V H M P H N PHOI
C h n g n y t r n h b y n h ngha b i n n g u n h i n v c u t r c c a n . c t r n g c b n ca b i n n g u n h i n l h m p h n p h i . K h i n i m c l p ca b i n n g u n h i n ( n g vai t r q u a n t r n g t r o n g l t h u y t x c s u t ) c t r n h b y k h chi t i t . C c p h n p h i q u a n t r n g n h t (nh t h c , Poisson, c h u n , m , g a m m a , ...) cng c xt n .
3.1 B i n n g u n h i n
G i s ( f i , T ) l k h n g gian o cho, R | oe; I oo|. S ly gi suy rong
3.1.1 nh ngha. Hm thc X = x(u>) xc nh trn tr trn R gi l hm T -o c hoc bin ngu nhin nu :x ) e F3} - X~ (B)
l
e T
vi ca
mi trc
B e B(R) tha R).
( y B(R) Thm vo ,
l nu
i s cc lp Bond
X : th ta c khi nim G i s c c P ( R ) nh x
(-oe;
+ oe)
bin ng
u v B(R) X :
nhin. a{C). T h e o n h l 2.2.4, c h n g 2. -> ( R , B ( R ) )
(f
,r)
74
l bin ngu nhin suy rng khi v ch khi X
(C) e T vi m i
c e c.
T , nu ly c l mt trong cc lp Ci = { [ - o o ; j ; ) , x e} c c
2
= { | - o o ; x | , z e 1} , = {[a;6),a < 6} ,
th ta c khng nh sau. 3.1.2 inh l. Gi s X : Q > R. Khi cc mnh sau tu ang ng: a) X l hin ngu nhin. b) {UJ : X{UJ) < x } f vi mi X E R. c) {ui : X(LJ) < x) e T vi mi X e R. () {v : a < X{UJ) < b) 6 T vi a <b bt k. V d. Cho khng gian o ( , ^ ) , A c o. D dng chng minh c rng IA l bin ngu nhin khi v ch khi A e T. Tng q u t hn. nu Ai 6 T, i e ( khng q u m c) v Ai
7
i/
th vi ( X i ) i e c R,
^ ) =J x 4 H
te/
(3.1)
cng l bin ngu nhin. N s c gi l bin ngu nhin r i rc. Khi / hu hn, X c gi l bin ngu nhin n gin. 3.1.3 Hm Borel. hm Borel, nu n if~ (B)
l
Hm i f : ( R , S ( R ) ) - (R, B(R)) ) o c, ngha l e B{R )

n
c gi l
VI mi
B 6 (R) .
Nhn xt. T nh ngha suy ra, nn tp : R" > R l h m lin tc th ip cng l hn) Borel. c. bit cc hm (x,y)
!-> X +y,
(x,y)
!-> X/
75
( x . ) H I V /
=- m a x ( x , y ) , (x, ) t > X Ay
= mm(x,
y)
l cc h m Borel hai bin. 3.1.4 inh l. Gi s Xi,. .. , X / cc 6tn ngu nhin cng xc nh trn (. J-) v p(t.... , t ) l hm Borel gi tr thc. Kh Y ----- <p(Xi,... , X ) cng l bin ngi nhin.
n n n
Chng minh. t x(u>) = (Xi(oj),. . . , X (u>)) l h m trn (r, T) nhn gi tr trn R". Theo gi t h i t vi T,. . . ,x < E R bt k ta c
n n
p{w
: X(u>)
< Xi}
e T
1=1
hay
r.
1=1
Nhng l p cc tp
n
(-oo,Xi),
1=1
Xi,...
,xeR
sinh ra B(R ):
Nn theo nh l (2.2.4), X-\B) ETviBE th

n
B(R )
bt k.
T , nu
c e B(R)
^
- 1
( C ) e B(M ) v = X- <p- (C)\

x l
A- |> (C*)|
_1
T.
Do , - ^ C ) i gud.
6 f
v y l bin ngu nhin.D Khi
Gi .s X , V / cc bin ngu nhin. XY,

I
+
X.Y,
XVK,
XAY,
= I V 0 ,
* - = (-*) v o ,
|X|-=XM^
70
cng X/Y 3.1.5
l cc bin ngu nhin. l bin ngu nhin. Dinh l. Gi su (X ,i

n
c bit,
nu Y khng
trit
tiu
th
> 1) l dy bin iifX ,

r
n
ngu
nhin
supX,
TI.
hu
hn trn . suX .
n
Kh , infX ,
n
n
l i m sup X . .
n
lhninfvY,,
ri
ri
l cc bin ngu nhin. c bit nu l i m n X. X hn hn th X cng l bin ngu nhin. Chng vnh. T cc ng thc irif n
"
s u p ( x ) .
n
l i m iiifyY,, - s p ( i n f Xi-) . lim supX,, - inf(sup-Xfc) ,

?7.oe n>l / j >
rn
l a t h y ch c n c h n g m i n h r n g supA" l b i n n g u n h i n . N h n g v i X 6 R b t k \x
n
< x\ F,
DO
T - 1 , 2 . . . . . V v y
supX,, < x i = ~ ) \x
< x\eT
3.1.6
Cu
trc
ca bin
ngu
nhin
Dinh l 3.1.6. Gi s X l bin ngu nhin xc nh trn ( f i . J F ) . Khi d li) thi ti dy bin ngu nhin ri rc hi tu du n X; b Tiu X > 0 th tn ti dy bin ngu nhin dn gin ( X ) .sao cho x A ' .
n
77
('n eng
a)
ri
linh.
Ly
l t X i
/.
A'
I,
; /
fc I 11-^
< v
I .
oe
R r n g ( X ) l d y b i n n g u n h i n r i rc v
n
sup|jf (a>) - x ) \
n
< - - * 0 .
Ti
UI
h) N u X
> 0 th ly --
-T~A1<A-.2"<A-] +r?I[.v>| , (r > 1) .
C
x = 2^
t
R r n g . 0 < x . j yY v (Xi.) 1 d y b i n n g u n h i n n n h l c c h n g m i n h . G i s X l b i n n g u n h i n t r n ( f i , J^) v T { X ) = {X~ (B), l T - i s s i n h b a i X.

l
gin.
B e
B(R)}
3.1.7 Dinh l. Gi s X l bin ngu nhin trn (i.T) v Y l nh x t i vo R . Lc , Y l T ( X ) -o c khi v chi khi ton li hm Borel if : R * R sao cho Y = ipoX. Chng minh. i u k i n l h i n n h i n . c h n g m i n h i u k i n c n , u t i n g i s Y l h m l i rc v i m i n g i tr { 1 . 2 , } T h e o g i t h i t , t p An ------- \Y a\ e T(X). D o A ----n
X - { B ) , l, Dt
r
eB(R).
l i -
li, e ( R ) , r ? 1,2,... .
B\
J
1=1
78
Cc tp ny ri nhau v
n - l
X- (C )
n
= A\
n
u Ai i--
- Ar, .
<p(z) = Y^"n-kj (/:).

n>l
D thy Y = >oX. Xt tr ng hp tng q u t . Theo nh l 3.1.6 tn t i dy h m Y T-o c, r i lc hi t u n Y. Theo phn u ca chng minh, tn t i cc hm Borel i f sao cho Y noX. K hiu
n n n
B = { X R : tn t i l i r a y 5 ( x ) } . n
n
Hin nhin B e B(R) ^(x)
v B D x(). lim/?(.r) 0
t vi X vi
R rng
Y = l i m Y r , = lini/p 0yY ^poX
n
ri
nh l c chng minh. 3.2 P h n t ngu n h i n
3.2.1 inh ngha. Gi s (,^F) v (E,) Nh bit, nh x X : > E T/8-o phn t ngu nhin. Thng tp, cn Khi E t n g ng ngu nhin
l hai khng gian o. t i: cn c gt l
th ng, E hoc l khng gian metric hoc l khng gian l - i s cc t p Borel { B(E)). = R, E = c, E R vi . l i s cc tp Borel th phn t ngu nhin t n g ng c gi l bin (thc), bin ngu nhin phc hay vc t ngu nhin
d
-chi u. Vc t ngu nhin d-chiu c biu din duy nht d i dng

X = ( X i , . . . . Xd),
trong Xk = TkoX, 7Tfc l nh x chiu t R ln toa t h k. V Kt l cc hm lin tc nn Xk l bin ngu nhin. o l i , nu cc Xk l cc bin ngu nhin th X l vc t ngu nhin.
d
3.2.2
Phn
phi
ca
phn
ngu
nhin.
G i s X l phn
t ngu nhin xc nh trn (, JF, p) nhn gi tr trn ( , ) . Hm tp

F (B)
X
={X- (B))
B e ,
c gi l p h n phi ca X trn (/, ) . l mt o xc sut cn c gi l nh ca p qua X, k hiu l X(F). K h i ( , ) = ( R ( R ) ) , phn t ngu nhin X cn c gi l h m ngu nhin. Nu T c R th yY thrc gi l qu trnh ngu nhin.
T r :
3.3 H m p h n p h i x c sut ca b i n n g u n h i n G i s X l bin ngu nhin xc nh trn (Q,,J . F) nhn gi tr trn K = (00; +00).
r
3.3.1
Dinh
ngha.
Hm
s < xi ngu x e R , nhin X. (3.1)
F{x) c gi l hm phn
=F[X phi
ca bin
Nhn xt . Theo nh ngha, hm p h n phi ca X l thu hp ca o xc sut P ' trn lp cc khong (-00; x), xe R. T , hm p h n phi F(x) = F(x) c cc tnh cht sau: i) n i u: X < y => F(x) < F(y), li) lin tc tri, c gii hn phi t i mi i m ,
A
ni) /(
oe) : =
lim
F(x)
= 0 ,
/'( I oe) :
lira
F(x)
-- .
80
N g c , l i , n h b i t t r o n g c h n g 2, n u h m s F(x) b t k c ba t n h c h t t r n t h t n t i mt o x c s u t /X t r n (R, B{R)) sao cho F(x) = /i(-oo.x) , x c R . T , nu ly X : R > R l n h xa n g n h t t h X n h i n t r n k h n g gian x c sut, (R, ( R ) , / i ) sao cho /'(') Fx(x) . l b i n n g u
o x c s u t / i sinh b i h m F(x) c n c g i l o L e b e s g u e S t i e l t j e s sinh b i F. T t n h c h t lin t c ca x c s u t , ta c F(x = + 0) - F ( x ) x
lim F ( x + ) Y
F -(x)|
A
noe
l i m \x
noc
<x<
-I - I = P(
71
n
0 0
1
T,
|x < X
<
X + - ] ) n
n=
- F\x
= x\ .
D o . h m F(x) lin t c t i Xo k h i v ch
k h i P X = X o i --- 0. T n h ngha h m p h n p h i . ta cn c
F\a <x<b\
= F(b) - Fx(a) ,
+ 0) - F(a) , F x (a + 0) ,
F[a < X < b = F(b
a < X < b = F x (6) -
P|a < X < 6| = F\- (6 + 0) - Fx (a + 0) , v i t 0,
/ ] p i v s = {Xi : 0 (hu khp ni) v

+ oo
f(t)dt
= .
-oo
T l t h u y t h m b i n t h c , t a t h y m t h m p h n p h i b t k c b i u d i n d i d n g m t t h p l i c a ba l o i F(x)
2
= c F {x)
x d
+ c F {x)
2 ac
+ c F (x)
3 s
(3.4)
(i > 0, Cy + c + C"3 = ) , t r o n g Fd(x) l h m p h n p h i r i r c , F a c ( ) l, h m p h n p h i lin t c t u y t i , F (x) l h m p h n p h i k d , ngha l n l h m lin t c v tp hp

x
{x e R : F (x
s
+ E) - F (x
s
- ) > 0
vi mi
e > 0}
c o Lebesgue k h n g . N u c = c = 0 t h C\ = 1. K h i F c d n g (3.2). B i n ngu n h i n c h m p h n phi n h v y gi l bin ngu nhin r i rc. N h v y , b i n n g u n h i n X c p h n phi r i rc k h i v ch

2 3
82 khi c mt tp s = {Xi, <- < ri < oe} hu hn hoc m c sao cho px s\ = . N u t Pi = p\x X i . / > ] th r rng F(x) = Pi
, X
6 R.
P h n phi xc sut c tp trung t i cc i m Xi v ta c bang sau gi l bng phn phi xc sut. ca X : X p
Xi
. .
Xi
. . .
V\
>2
Xi^ Xj v i 3: p; > 0.
5ZP =
Ng c l i . nu cho tp 5' = { j - , / / } khng q u m (l c v t p cc s {pi,i 6 / } nh trn th c mt bin ngu nhin li rc X vi tp gi tr s v c bng phn phi trn. i khi hm s
t
,
P [ X )
nu nu
X X
Xi { X i .
i > 1} X.
cn c gi l hm mt ca bin ngu nhin r i rc

ac
Trong tr ng hp C\ C'4 = 0, F = F. K h i F c dng (3.3), Bin ngu nhin c hm p h n phi nh vy gi l bin ngu nhin c p h n phi lin t
c tuyt i ; hm / trong (3.3) gi l h m m t ca bin ngan nhin X. Cng nh t r n g hp ri rc, phn phi xc sut ca n c: bit hon ton n u b i t h m t / ca n. T nguyn l t h c t r i n o, ta c \x e B = f(x)dr
JB
R 6 B(R) .
83
3.3.3 Mt s v d V d . (Phn phi nh thc) T i n h n h mt dy T php t h Bernoulli vi xc sut t h n h cng mi php t h l p. 0 < p < . Gi s X l s ln t h n h cng trong TI. php t h . R rng X l bin ngu nhin ri rc vi min gi tr 5' = {0, , . . . , ri} v
\x = k = cip (
-p) - ,
kes
.
n.p
K h i , X ir c gi l c p h n phi nh thc vi cc tham s hay ni gn. X c p h n phi B(n,p) (cn vit X ~ B(n,p)).
Vi d 2. (Phn phi siu bi) Gi s c mt ci hp cha M qu cu trng v N M qu cu en. L y ngu nhin khng hon l i n qu cu. Gi Y l s qu t rng trong n qu ly. N u k hiu ki = max(0, n - N + M ) , /C2 - rain(M, n) . th Y c min gi tr l tp s = {k z : k < k < k'2} v
(~<k (~>nk
Py . Ai = WEL
fces.
Bin ngu nhin V vi p h n phi n h vy gi l bin ngu nhin c p h n phi siu bi vi cc tham s ri, M, N (cn vit Y ~ H(n, M, N)). V d 3. Phn phi Poisson Bin ngu nhin X gi l c p h n phi Poisson vi tham s > 0 (vit X ~ P(A)) nu X c min gi tr 5 = N = {(), , 2 , . . . } v x e~ - k] ~
k x
F\x
-= 0 , 1 , . . .
V d 4- Phn phi nh thc m T i n h n h lin t i p cc php t h Bernoulli vi xc sut t h n h ('.ng mi php t h l p, 0 r
T h t vy, b i n c \x = k} xy ra khi c r l n t h n h cng k p h p t h u v t h n h cng p h p t h t h k. Do F\x k\ c dng t r n . Bin ngu nhin X p h n phi n h vy gi l c p h n phi nh thc n) v i tham s r , p (cn vit X ~ NB(r,p)). D i y l m t s p h n phi lin tc tuyt d i c dng c bit. V du 5. Phn phi u Bin ng\i n h i n X c gi l c p h n phi u (a; b) nu hm m t ca n c dang f ( x ) = { 0 D thy 0
F t x ) = {1
b-a
nu a < nu
X
 b .
V d t. Phn phi chun Bin ngu nhin X c gi l c phn phi chun vi cc tham s a. { > 0) (cn vit X ~ j V ( t t , ) ) , nu h m mt ca n c dng
2 2
(*-*)* /OE) = 7 = e - ^ ,
xeR.
P h n phi 7^(0,1) cn c gi l p h n phi chun chnh tc. C t h chng m i n h d d n g rng, n u X ~ N{a, ) tiu ( X - a ) / ~ A/"(, 1).
2
85
V d 7. Phn phi m B i n n g u n h i n X gi l c p h n p h i m v i t h a m s 0 > 0 ( c n v i t X ~ EXP(0)) nn m t ca n c d n g 9e~ f(x) = 0
8r
nu X > 0 nu
X <
0 .
H m p h n p h i c d n g F(x) = 0
e~
nu nu
X X
> <
0 . 0 .
P h n p h i m t h n g x u t hin trong c c bi t o n v t h i gian sng c a m t b p h n t r o n g c t h c a m t s i n h v t , . . . V d 8. Phn phi gamma Vit X ~ hay c n n i X c p h n p h i g a m m a v i c c t h a m s a,p(a,p > 0) n u m t ca n c d n g a x - ef(x) = { 0 y
/ + oe
p p l a x
nu nu
>
0 , 0
rp)
X <
rp)
=--
x - e- dx
,p > 0
P h n p h i m l t r n g h p c b i t c a p h n p h
i g a m m a k h i
p =.-.:].
P h n >hi
c n c gi l p h n p h i " k h i - b n h
/ 2
phng"
v i ri b c t do ( v i t g n l X ( T / ) ) . 3.4 P h n p h i c a v c t n g u
d
nhin
T r o n g R c t h a v o q u a n h t h t b p h n . V i (./;,.. . . , x ),y = ( y i , . . . , 2/d) e R , t a v i t

d
86
X <
nu nu
d
Xk
<
yk,
fc
= 1,... ,
X< y
Xfc < y , fc = l , . . . , d . , x )
d
Tp hp x;y) := { i R : X < u < /}. Gi s X = {Xi,... l vc t ngu nhin chiu x c nh t r n (, J , p ) . N h bit, hm s

7
F(x)=\X
d
<x\=\X <x ...

l u
,x <x \
d d
X = ( x x , . . . , I d ) K l hm p h n phi c a v c t ngu nhin X. V F(x) = F (-oo,x) , xK ,

d x
nn n h bit, hm F c c c tnh cht sau: 1) 0 < F(x)< . 2) Nu Xfc > oo vi mt fc no th lim F(x) = 0. Nu X i > + o o , . . . , X > +oo th lim F(x) = . 3) Hm F lin tc tri. 4) A ^ A ^ . . . A ^ F ( x ) > 0 vi > 0, fc = , . . . , d t t k trong nu g(x) = g(xi,... , X ) l h m s bt k, ton t sa: p h n A c xc nh b i &h 9 )
k x
y( u
u
,x -i,x
k
+
d
/.fc,x
f c +
i,. ..
, x
) ~
- g ( x
. . . ,Xfc,... , x ) .
Ch
n g hn, khi d = 2 ta c: Ai A^F(x) = F (
t X l
+ h
+ ha) -
F (
x
+ h x )
u 2
- F{x , D dng thy r

n g F\Xe[x; x + h]] =
+ /12) +
F(xi,x ).
2
A A ...A F(x).
hi h2 hd
87
N g c l i , n h t r n g h p = , n u h m s ( b i n s F(x) tha m n 4 t n h c h t .trn t h F s l h m p h n p h i ca vc t n g u n h i n d-chiu n o . Tht, vy, t a c t h l y k h n g gian o ( R , B(R )). Trn lp c = {|a; 6), a < b} t
d
P |a;)=A _
0 1
a i
Ag _
2
a a
...A _
0 (
F(a).
Sau (l, n h n g u y n l t h c t r i n o . c t h t h c t r i n Po t c len ( R ) e c o x c s u t p t r n ( R ) . V c t n g u n h i n X c n t m c h n h l n h x n g n h t t R ln R . V c t n g u n h i n d-chiu X c g i l c p h n p h i r i rc n u t n t i t p k h n g q u m c s = {x . 6 /} c R sao cho F\x e s\ = . t Pi P|A' ,r'. t e / . Khi
d d d d i
P|X 6 i =
2 Pi .
i:x'B
V d . Phn phi a thc Vc t n g u n h i n (-chiu X c g i l c p h n p h i a t h c v i c c t h a m s n,p\,... ,pd ( v i t g n X ~ MUT(n.p\,.. : ,pd)), y T 6 N * , P 1 , . . . ,Pd > 0, Pd-I-I = - ( p i + . . + Pri) n u PA-!
( l a y 0 < fci < T ,
X,
fc
M
, -
= ," A] ! A ! . . / c
2
f i + 1
/'P2 l
>
...P V .
4
d4
7/ -
(-1 . . . + kd)
d
0.
d 1
V c t n g u n h i n A" = ( X i . . . . , x ) c g i l c p h n p h i lin t c t u y t i n u t n t i m t h m Borel / : R *R kh t c h sao cho

F.Y(XI,. .. ,
d !
d
v i m i = ( x i , . . . , Xd) R .
88
Hm f(t) c gi l hm mt ca X hay mt. ng thi ca Xi,... , XdT nh ngha ta c ngay
\x e B = y y/0*1.
k
... dx , B e S ( R ) .
d
Gi s X = ( X i , . . . , X). t V . ( X ; . . . . , x ),
F
Y
k < . Khi d
{ x
. . . , x ) = P|A"i
k
< Xi,...
,x
< x =
f c
= P[A"i + oe
/(x)dx / ( x i , . .. , x ) d x , . . . d x
d
/
J oe
... J f ( x i , . . . , x
. x
....x )dx ...dx

d k+l
dx\...dxk
Nh vy, cng c phn phi lin tc tuyt i v

i hm mt
YVu--,Vk) = f ( y \ , R
,Vk,Xk+i,---
, x
) d x
...dx
d-fc
T nh ngha ca hm mt ng thi, ta c
Vx e R ,
d
f ( x )> 0
f(x)dx
89 N g c l i , n u f(x) k h p ni 3 Fx
d
l h m lut cua X (x
r-^

- ( X i , . . . . X)
th
hu
rji
X
-- /
.r, , . . . , x )
d
OX\UX2
V d 2. Phn phi chun nhiu chiu G i s li ( o i , . . . .d) l v c t c h i u v M = l ma trn vung cp n. G i thit r n g M i xng v xc nh d n g v A = / . T a ni r n g v c t n g u n h i n X -- ( X i , . . . . X d ) c p h n p h i c h u n M(a, M ) n u m t ca yY c d n g
- 1
y^L4 (2n)W
r
trong a)A(x - ) = ^2^2 "iji-i'i - ra
3.5
P h n phi ca h m ca bin ngu nhin G i s X l b i n n g u n h i n v i h m p h n p h i F\ (x) v l h m Borel. K h i h m p h n p h i ca Y = h(X) l Fy(x) =-- F

h { X )
h(x)
( x ) = F\h(X)
< s\
]
p\x th .
e r
(-oe. x)|.
T . n u h t n g , c h m n g c h~ /.Y )(.') N u /.(jr) - a i 4 6, t
Fx(h-\x))
(3.5)
> 0 th hin nhin = Fx
FaX + b(x)
ra
c b i t n u Fx (x) l h m li n t c t h b i n n g u n h i n Y F\ { X ) c p h n p h i u t r n O; 1.
9 0
T (3.5) suy ra rng, khi hm h tng tht s v k h vi t r n R th
fh(X)(y) = fx(h- (y))(h- (y))'
l l
= f x ( x ) .
y
x = h-*(v)
T r n g hp h(x) k h vi v gim tht s, bng l lun t n g t ta cng c

f h ( X ) ( y )= f x ( x )
dx y
x = h- (y). c ,
G i s X = (Xi,...
, Xd) c mt f x ( x ) v x()
x
h(x) = (h (x),... l n h x t A c R vo t p B c R , n h k h vi lin tc v Jacobian

J d d
,h (x))
d
B = h(A).
N u h l song
( l
>(/?!,.. . r D{xi,...
,h ) ,x ) r
d d
t r n th p h n phi ca =
cng lin tc t u y t i v
l
f Y ( y ) = f x ( h - ( y ) ) \ J ( h - ( y ) ) \ d
y e B .
T h t vy, ly ' c ]K tuy , Borel vi bin t r a n t n g phn ta c Py e 5' = P|X e i b i n = /.(x) ta c \Y es\= fx{h- (y))\J(h-Hv))\- dy Js
l l
= /
A-(S)
fx(x)dx
T suy ra i u phi chng minh. V d. G i s X c p h n phi chun n chiu X ~ A/â, A f ) , a R , M = ( m j j ) " - . Xt vc t ngu nhin Y = X.B, trong e
n = 1
91
B = (bij)j . xc nh p h n phi ca Y ta gi thit B k h n g suy b i n v a vo php bin i y = X.B hay X y.B~ , x,y 6 R". Ta c
=l l
V y vi A - M~ , fv(y) =
B~
fx(yC)\detC
p { - ( y - aB)CAC
(y - aB
)I
T v n h ngha phn phi chun ta thy Y cng c p h n phi chun A(aB, B MB) v (CC)= B MB. By gi ta chuyn sang trnh by khi nim c lp, mt trong nhng khi nim quan trng nht ca xc sut.
1 ;
3.6 Tnh c lp
G i s (r, ^"(P) l khng gian xc sut c nh. 3.6.1 inh ngha. H hu hn {J-, 6 / } cc -i s con ca T c gi l c lp nu
i/
te/
i vi Ai 6 T, (i / ) bt k. H v hn {J-, i E 1} cc -i s con ca T dc gi l c lp nu mi h con hu hn ca n c lp. H cc bin ngu nhin Xi,i / uc gi l c lp nu h cc -i s sinh bi chng {J-(X),i 1} l c lp. H cc bin c {A ,i e 1} c T c gi l c lp nu h cc bin ngu nhin {A) i / } l c lp.
t
92
3.6.2 Dinh l. Gi s {d,i e } l h tuy cc lp con ca T c cc tnh cht. sau: ti) mi lp C ng i vi php giao, b) h {C' , i / } c lp theo ngha i vi J c / hu hn bt k v Cj eCj,j e J bt k, ta c
(
(fV >)
IlÔ).
(3.6)
Khi , h {(Ci),i
6 / } cng c lp.
Trong chng minh. ta cn b sau. B . Gi s c c T l lp ng i vi php giao n lp A l lp b nht cc tp con ca , cha c v thoa mn cc iu kin .san: a) 6 A b) A A eA, A\A = 0= > Ai + A E A
U 2 2 2
c) )
Ai c A ; A ,A eA^>
2 2
A \ A
2
e
.
(A) c (An)
tng th u
r
Khi A = (C). Chng minh. 1 A n g i v i p h p giao. t Bi = {A: AeA,ABeA, VBeC}.
L p ny thoa m n cc i u kin ) ) t r n v cha c, nn B = A ( v A l l p b nht c tnh cht ). N h vy. vi V e A,VB E C, AB

. t B = {A : A e
.AB A V ).
L p ny cng thoa m n cc i u kin ) ) t r n . ng t l i i theo n h n xt va ri th B-2 D c. Vy 2 = .4. Ni cch k h c . A n g i vi p h p giao. 2 T a) v c) suy ra . n g i vi ly phn b. Do d > J l (li .s v cng v i d) A l i s. Vy .4 D ((.').
93
3 R r n g (c) cng thoa m n cc t n h cht a) d) v cha c nn (c) D . T v 2, ta c A - (c). Chng minh nh l 3.6.2. ./. Xt l p L y J c , h u h n bt, k. C nh
Ti
{A c T : P ( , 4 Pl Cj) = (A) J P ( , - ) , ve,- 6 Cj,Vj / } .
Theo g i t h i t , Jî D Cj v c cc tnh cht ) ) trong b , v vy Ti z> (C). T , h cc lp {(C),Cj, j 6 < { } } cng c lp. L p l i l l u n n h lm, cui c n g t h y h cc - i s {(Cj),i J} c lp. Do J c ly tuy . theo nh ngha, h {T, i / } c lp. H qu 1. Gi s T l h cc -i s con c lp ca -i s T. Khi , i vi h con ri nhau { I j , j J} bt k ca tp , cc -i s {Qj = a{Ti I j ) , j J} cng c lp. Chng minh. Cj {B : B K hiu
= Pl
Ai; Ai e Ti, K l t p h u h n b t k ca
l).
R rng m i lp Cj ng i vi php giao v sinh ra - i s j.R {Cj,j E . / } tho m n cc i u k i n ca n h l (3.6.2) nn h {Gj;j J} c lp H qu 2. Gi s h cc bin ngu nhin {x, k = , . . . , n,j, j J } c lp v {gj(x\ , . . . , )} / /l cc /lm Borel bt, k. Khi h cc bin ngu nhin {(Jj(x,. .., X, ), j J} cng c lp. Chng minh. H i n nhin .
H qu 3. a) Cc bin ngu nhin Xi, X'2, , X
c lp khi v chi khi
94
x ( x . . . , x ) = F
u n
X l
(xi)Fx (x ).. .F
2 2
( x
(3.7)
J? m i ( . r i , . . . , x ) R " .
n
b) Nu (Xi, X , c lp khi v ch
/.V,. .
c mt
/ . V , ...,.\" (-i'l
J- ri.)
th Xi,
....
khi
/ . Y , ( X I ) / A '
2
.A(-n- .,.) =
;r) G R " bt k.
( X 2 )
. . . / v. (.')
(3.8)
-(.'/ ( x i Chng
minh.
a) L y C'i {|X < x],x 6 R } , i = n . L c T ( X i ) SE (7 (c,) v (3.7) t n g n g v i (3.6) . C c l ] ) C ' l , . . . ,c' thoa m n cc i u k i n ca n h l (3.6.2), n n X\ X (lc l p . b ) D i u k i n (3.8) t n g i r a n g v i (3.7). D o i u k i n (3.8) l
n ri
c n v Xi,...,
G i sir J- .n
n
x c lp.
K hiu
oe
> l h c c - i s con c a - i s T. > T.} v JFoc = Pl ^
l a - i s sinh b i {T ,m.
m
( giao c
thc hin trong p ( f ) ) . 3.6.3 inh ngha, -i

oe
con
C'
n = l
I.
ca T
gi l a-di
s ui
( hay tim
cn
).
Lut 0-1 Kolmogorov. Gi s {T, T. > 1} l h cc -di s c lp v Too l a-di s ui t ng ng. Khi , nn. A e Tvc th P(A) bng 0 hoc , ngha l Too = {0,0} x xch mt tp -khng. Chng minh. p d
n g h q u I . h T\,... ,T ,T' v i ru > T l h c: l p . T v J o o c T' n n h {T
,. . . , Tri: Foe} c n g c l p hay c n g v y . h {T , < n < oo} l h c l p . D o T[
n m m n
95 v Tô c lp v v vy Toe c lp vi chnh D . A Toe th

(A) ---- P(AnA) P(A)(A)
By < nu
suy ra P(/4) b n g 0 hoc ] .

n
H qu 1. Gi s {J- , ri > 1} l h cc -i s c lp v X l mt bin ngu nhin o uc vi ~i s ui. Khi X l suy bin, ngha l X l hng s fi.ee. Tht, vy, gi s X l j F ^ - d o c. K h i vi mi r l ta c F\x < c\ = 0 hoc 1. Nu \x < c\ = 0 vi mi r th X I D O h.c.c. C n nu vi mi r R u c \x < r - th X - oe h.c.c. Tri l i . t Co = i n f { r : F\x < c\ = 1}. C o l hu hn v X-Coh.cc. i v i d y b i n ngu nhin (x) ta t - (x), ti > v l c r - i s ui ca dy T . hay c ng cn ni l cua d y bin ngu nhin ( X ) .
n
H qu 2. Gi s ( X ) l dy bin ngan nhin dc lp. Khi moi bin c ui c xc sut bng 0 hoc v mi bin ngan nhin do c vi i s ui ca ( X ) hn ch c chn bng hang s.
n n
qu
3.
Gi s (Xu) (a )
n n
l dy bin i)a 0 ,1 + 0.
X
n
nhin
dc lp (ly
oe
ri-
gi Xu,
tri trong R),

n
l dy s thc, -
X'2
Khi d chui
l
dy (x )n> v (a (Xi phn k h.c.c. V d . X A,

n
4 . +
) ) r , > \
hoc hi t
I..C.C.
hoc
G i s
{An) l dy bin c c lp. , n > c: lp v do
oe lim Slip A ri
n
K h i dy
oe u I ni n A,
oe Pl
It
f )
I!
( X .
>
li)
l bin c u i . Theo lut 0 cua Kohiogoro\' P(Hnisii) A) 0 hoc 1.
96
V d 2. Gi s ( X ) l dy bin ngu nhin c lp. Xt chui ly tha

n
co
/?=() Ta thy, lim sup v | X |

n
= / l bin ngu nhin (suy rng) o c
<6i vi i s ui, nn hu chc chn, bng hng s. T d bn knh hi t R ca chui ly tha l hng s h.c.c, (v R //).
3.7 Phn p h i ca tng cc bin ngu nhin dc K h i fx,y(x, =X = Y.
X + y
lp f(x)y(y).
y.7.1
Gi s X v y l hai bin ngu nhin c lp c h m mt

ij) =
t n g ng l f ( x ) v g(y).
t,
z
T
Y,
s /
=
z I
Xt, php bin i

dx ~dz dy dz dx d dy dt \
J(z,t)
Vy
fz,T(z,t)
%y()
-- / A - , V ( * - M ) | l | = / ( 2 -
v do
z(z) -
/ ( 2 - t)^(t)di
M t cch t n g t ta c
/oo
/x-yW
/ f(z + J oe
t)g(t)dt
97
3.7.2 G i s X v Y u c p h n phi ri rc nhn cc gi tr nguyn v x = T] = p(n), P = m = 7 ( m j , ( m , n e z). K h i , nu X v y c lp th, t n g t n h trn, ta cng c X + y v X - y cng nhn gi tr nguyn v
co
P|" + y = n | =
]P
m = oe oo
p(n - m)q(m.),
n e z
P | X - = n =
m = oe
p(
)g("0,
( - )
3.7.3 M i s v d Vi d 1. G i s X v y c lp c p h n phi Poisson vi cc tham s A v /Li t n g ng. Khi , theo (3.9) ta c
\X + Y = n] =
m=0
e
- A
p-va^-.
(T. v
m
A
m)!
n!
A
-(A+/x)
m = 0 mu T m i ^'
? m m!(n )!
>
oa,
V y X + V c phn phi Poisson vi tham s + i. V d 2. G i s X v V l cc bin ngu nhin c lp c p h n phi gamma (a,p), Q(a,q) t n g ng. Xt, phn phi ca s = X + Y v ^ Y
t
= X +
x + y >0,y>0
98
Jacobian ca p h p b i n i ny l
J =
D ( x
y )
t 1 - t
s -s
D(s,t)
= s.
T suy ra
hay
fs,T(s,t)
r( )r(
f ~
-') ~ W)00W),
1 J
/s(s)=
//s,r(s,)<ft
r(p)r(g)
T
Bp
)e-
.s^%
(s) .
/R fs(s)ds
= , suy ra
Vy X + ~ ( a , p + 7). Tng t (). Ta nhn t h y / s , r ( s , ) = / S ( S ) / T ( ) . V y 5 v T c lp. V d 3. Cho T. b i n ngu nhin X i , . .. , X c l p c p h n phi m vi cng tham s A. N h vy Xi ~ (A, 1), i = , . . . ,n. T (v d 2) ta c
n
Xx
+ x
+ ... +X
~(A,7i) .
99
V d . Gi s Xi,. .. , X c lp cng phn phi chun jV(0,1). Xt phn phi ca X + ... + x. u tin ta thy \X < z] = = 0 vi z < 0. Nu 2 > 0 th
n
x? <z\= n- <X <V}

1
=
1
-j=exp-u } du
/2 TT exp
< -U
*\H > du .
Ly o hm ta nhn c hm mt ca x l
;==z e .1(0,00)12:) .
V r ( l / 2 ) = 0F nn X? c phn phi 0(1/2,1/2). T v v d 2, rt ra Y = X + ... + X ~ g ( l ) . Nh vy Y c phn phi khi-bnh phang ( x ) vi n bc t do. V d 5. Gi s z ~ Af(0,1), V ~ x ( ) ~ p h n phi X vi n bc t do. Ngoi ra gi thit Zv&v c lp. Phn phi ca bin ngu nhin
2 n 2 2
T=-vJ7>. '
c gi l phn phi student vi n bc t do. Ta hy xc nh hm mt ca T. t T z/ \/V/n, s = V vi php bin i ng c V = s, z = ty/s/ri. Jacobian l J \Jsn v
t
(s/n) /2 n/2-l -/2 -t V2n

s e e
/r,s(M) =
27r(n/2)2 "/2
1 0 0
vi oe < < +00, ht) = / Jo 0 < s < -f oo. /r,s(M)ds
n/2
/ - + OC ,
o r t -fo oo
v 7r2 / r (T ?./2) nirT(n/2) y

1 +
n
2
V d 6. G i s X v y c lp, X ~ x ( m ) , xc n h p h n phi ca
=
y ~ x (n). Hy
Xm Y/n '
t F = Z = ^ . T = Y. Y/n P h p bin i t n g ng l z = z~, my p h p bin i ng c la mzt

X = 777 , ) TIX
t = y,
x>0,
y>0,
Jacobian J = t. Do n Z T(z,t)=fx,y
!
/ mzt pp. V Ti
- = / r,
2=^r(f)rm
loi T
IF(Z) fz(z) = / z:r(z,t)dt
r(f)r(f)UJ
2>
0 .
P h n phi ny ir c gi l p h n phi F vi m , T bc: t do.
Bi tp
1. G i s X v K l cc bin ngu nhin ( b.n.n) xc nh trn ( ^ - T ^ P ) . C h n g minh rng i4 = {t 6 n : B = \x = Y}e < r(u/)} = [ X < Y\ e T T, c = \x < Y\ e ^ .
2. M t hp c 3 cu trng, 2 cu e n . R t ngu nhin ln l t t n g qu ( k h n g h o n l i ) cho n khi ht. Xy (lng khng gian xc sut . Hy miu t - i s sinh bi X nu a) X l s qu t r n g rt c tr c khi lt c qu cu en a u tin; b) X = Y + z trong Y ( t a n g ng Z) l qu trng ( t n g ng e n ) r t c tr c khi rt c qu cu en ( t n g ng trng) u tin. 3. Cho khng gian o (|0; 1.(|0; l ) ) . Hy miu t F(X) vi 1/4. 1/2, b)
X(UJ) vo
e O; 1/4)
w | l / 4 ; 3/4) u; 6 ( 3 / 4 ; ! ]
4. t h
= w/2, c xu) = 1/2. Chng minh r n g nu (X )

n
l dy b.n.n xc nh trn (n, b chn} T.
T)
vi =
{ui
ed:
dy
(X (uj))
n
102
% 5. Hm phn phi F(x) ca b.n.n X lin tc ti X = 0. Tm hm phn phi ca . x/\x\, XÔ Y X = 0. \| 6. Tm hm phn phi ca (x + \x\) nu hm phn phi ca X l F(x). 7. Gi s F(x) v l cc hm phn phi. Tm i u kin cn v hm H(x) F(G(x)) l hm phn phi. 8. Gi s X c phn phi lin tc F(x). Xc nh hm phn. phi ca Y = F(X).
9. Gi s /2(2;) l cc hm mt , F\ V F2 l cc hm
phn phi tng ng v \a\ < 1. Chng minh rng a) / ( x , y ) = / i ( x ) / ( y ) { l + a [ 2 F ( x ) - l | [ 2 F ( / ) - l ] } l mt phn phi ca vc t ngu nhin (X, Y) no ,
2 1 2
b) f x ( x ) = f ( x ) ; f y ( y ) = f ( y ) .
l 2
10. Gi s F(x) l hm phn phi ca b.n.n dng X, c tnh cht w\x < t + x / x >t)= \x < x\ vi X, t > 0
_ X
Chng minh rng F(x) = e , X > 0. 11. Gi s X v y c mt ng thi * .

2T
z
l a
Tm mt ca z = max(\x\, \ Y\). 12. Gi s X v V c lp c phn phi Poisson vi tham s A v /Li tung ng. Tnh [X = k/x + Y = ni k = 0, , . . . , n.
1
13. Gi s X v Y dc lp cng phn phi chun jV(o, ). Chng minh rng X + Y v X Y cng c lp. 14.
Xr
Gi s Xi, x ,
2
. l dy cc b.n.n c lp cng phn phi.

.
=0]
=F[X
= 1] =
103
T m p h n p h i ca
k=i 1 5 . G i s X
v Y c'lp cng c h m m t f(x) =
e-w.
T m m t c a X + Y. 1 6 . G i s X v Y c l p n g t h i X + Y v X c c n g p h n p h i . T m p h n p h i ca Y. 1 7 . G i s X. Y, z l c c b i n n g u n h i n c l p c c c p h n p h i i x n g (X c g i l c p h n p h i i x n g n u Fx F-x) v g i s c s c > 0 sao cho P | X + Y + z\ < c\ = 1. C h n g m i n h rng F\\X\ + \Y\ + \Z<C} = 1. 18. th Ching m i n h rng nu X
n
= (Xi,.
. . , X ) c p h n p h i c h u n
n
Y=Y, X
ai
it
( ( a
. . . , a
) e R
1=1
c n g c p h n p h i c h u n . 1 9 . G i s X i , . . . , x l cc b.n.n c l p v i h m p h n p h i n h n h a u F(x).
t
n
X = m i n ( . X i , . . . , x );
n
Y = max(A"i,. . .,
X ).
n
X c n h h m p h n p h i ca (X, Y). 2 0 . X c n h p h n p h i ca v c t ( I n \ x \ , s i g n X ) n u X ~ A ^ ( 0 , 1 ) .
104
Chng CC S C T R N G
4 NHIN
CA BIN NGU
T r o n g n h i u t r n g h p , ta k h n g t h b i t h m p h n p h i ca b i n n g u n h i n . V t h c n p h i b i t m t s c t r n g b n g s c a p h n p h i . C h n g n y t r n h b y c c s c t r n g q u a n t r n g n h t v c c t n h c h t c a c h n g . B n c n n m v n g c c k t qu l i n q u a n n k v n g , p h n g sai, k v n g c i u k i n . c b i t c n h c t h u c l n g i n h l h i t e m i u p. L e v y , B F a t o u , i n h l h i t u bi c h n Lebesgue. 4.1 K vong ton c c c t r n g s q u a n t r n g ca b i n m t p h n , i k h i t o n b v p h n p ) l t p h p c c b i n n g u n h i n ). L k h i v chi k h i n X = ^ x l (4.1)
K v n g t o n , m o m e n t l n g u n h i n . C h n g cho b i t p h i ca b i n n g u n h i n . K h i u c hay a n g i n x c n h t r n (2, T, Ta n h l i r n g X thuc
y x
e R, A
k = , . . . , n v A Ai
k
= 0, (k l).
105
Vi mi bin ngu nhin X c dng (4.1), ta cho ng n vi mt s. k hiu E(X), c xc: nh b i

r.
E(A')
)T,-,p(,4, ) . fe-.i
r
(4.2)
S c gi l k' vng ca k hiu l EX, X(j)dP(uj). D dng thy E(X) hon cch biu din ca X v n h nh ,rn ().
bin ngu nhin v i k h i cn c X{uj)F(dw), hoc / XdP. ton xc nh, k h n g p h thuc vo vy, k vng l m t phim h m xc
. 1.1 Mnh e a) E(.) l phim hm tuyn

b) X >OUEX>0,
tnh trn
c.
< EV.
X < Y => E X
f i j Trong (), nu x t ^ (tng ng l ) th E X T (tuang ng ). Qu vy. cc tnh cht a)-c) l h i n nhin, N h vy. chi cn kim tra tnh cht cui cng. Gi s X ). t c = niaxyYi (t). K h i , v i mi t > 0.
n
UJ
0<X
r
<C
>
+ e.
Do . 0 < EyY < C*PX , > f.| f f.. Cho n -> oo vi Um |X > f 0, ta c 0 < imEXn
ri
< f.
Vy limEA'n ---- 0 (v ( nh tuy ),

/
Do trn, nu f T X (tng ng ) th X - X 0 (tng ng x - X 0) v E X - EXn = E(x - x ) ( t n g ng EX - EX 0).

n n n n n
tip tc qu trnh xy dng k vng, ta xt l p + gm t t c cc bin ngu nhin X l gii hn ca d y t n g cc bin ngu nhin n gin, khng m (Xn) 0 < X n T X
106
K h i , do 0 < EX
< EX
nn gii hn l i m E X n lun tn
n
t i ( h u h n hoc v h n ) , d o t a c q u y n t EX : = lim
n
T EX
(4.3)
c h n g t n h ngha IEIX cho m i X b i c n g t h c (4.3) l n g n , t a c n p h i c h n g m i n h r n g g i i h n t r o n g v p h i ca (4.3) k h n g p h t h u c v o d y t i m c n (X-n) ca X . B Khi . Gi s 0 < x T X, 0 < Y r X v ( X ) , ( Y )

n n
L. (4.4)
limEX
n
= limEKn .
ri
Chng minh. C n h m . D o t n h lin t c c a h m s ( x , y) t > i n f ( x , /) n n lim T i n f ( X , r )

m
= inf(X, Y
) = K
T v t m n h 4.1.1 \imEX
n
n
> limEinf(X
TI
n !
Y ) \ = EY
m
C h o rn
00,
ta c limEXn > limEK .

m
m
m
i vai t r c a ( X ) v (Y )
n
ta cng c
n
limEV
n
>
ru
\imEX .
m
N h v y d) c c h n g m i n h . C n g t h c c) cho p h p t a m r n g p h i m h m E t l p c c b i n n g u n h i n n g i n k h n g m ln .
+
4-1.2
Mnh
e.
Hm trn
c cc tnh cEX,
cht
sau:
a) X e + => E A ' > 0, b) X E + , c > 0 => E(cX)
107
',
Y 6 + => X A Y, X V Y e
fx- V y : = sup(x, y), X A y : i n f ( x , y) j , c j A" < Y, X, Y e + => E X < E Y \
d) x
r ", ( X ) e
n
= > X e + 0 E X
EJf.
Chng minh. Cc tnh cht a)-c) l hin nhin. chng minh d) ta lu rng X e c nn c m t d y (x)m>i c c khng m, t n g theo m v lim t = X, ( n > 1).
n + n
t Y
Y-(i) < n
= supX^,
n<m
m
ra > 1. Ta c
<r CUT-. W m + l ) <r SUpA^
n<m
V = s i mv ( ) i m SUpA^
n<m
e m sup
n < m + l
v ( m + l) _ A =
\/
< Vy
sup JC = X
n
n < m.
n<m+ 1
m )
<
m)
K n <
* m ,
r <y
m
m
n < m.
m
E(xi )
Cho m
> 0 0 ,
< E(Y ) < E(X ),

m
E(Y ) < E ( K n + i ) ,
n < rn.
sau cho T. > oo ta c X = lim

n
x
T
= lim t Y
m
v lim t E X = lim
n
EY = EX .
m
n
+
D thy rng trng vi t p hp cc bin ngu nhin khng m. T bin ngu nhin X b t k c t h biu din d i dng
X = X+ - X-
VI
x ,x-
e +.
+
. 1.3 Dinh ngha. hu hn, ngha l
Nu t nht mt trong hai s EX
v JX~
m i n ( E X . E X ~ ) < oo ,
108 th X Au : gi a na kh EX tch hay = EX

1
c k vng .
n khi ta
dt
- EX~
X c gi l kh tch hay c k vng hu hn v E X u hu hn. Trong mi trng hp, vng ca bin ngu nhin X.
-
nu c hai sEiX E" uc gi l k

1
Nhn xt. C c b i n n g u n h i n n g i n k h t c h . X C kh t c h k h i v ch k h i EX h u h n . B i n n g u n h i n ' k h t c h k h i v ch k h i E\x\ h u h n v k h i E|A"| = EX+ + EX~ . 4.1.4 Mnh e. Trn tp hp cc bin ngu nhin na kh tch, k vng E ( . ) c cc tnh cht sau: a) E(ck) = cEX, cR; b) Tnh cht ho ton th t: nu X < Y th MX <_ E K . do \EX\ <E\X\ ; <:) i n h l t i i t u n i u p . L e v y : nu x X (tng ng j , th X I EX (tng
ng l ) nu ton ti ri 'EX~ (iitan ng E X , | ) hu hn; ) Tnh tuyn tnh: nu X v Y kh tch th (X Y) cng kh tch v E(X i V ) - EX EY .
Ch
ng
minh. a) N u c > 0 v vY > 0 t h t n t i ( X ) 0 < x

n
j:
T X => 0 < cX
n
T
.
1
v E(c") -
limE(cX ) = cliinEX
n
= cEX
ri
V i X b t k n a k h tch, chng hn E X " c (cX)

+
< 00 v r > 0. t
= cX+
k h tch v (r,vY)" = r"-. K h i E(cX) = EcX* - EcX= cEX . '
109
T n g t v i c < 0, t a cng c E(cX) b) N u EX nhin. = E(-cX~) - E(-cX )
+
= cEX
oo hoc E V -- +00 t h b t n g t h c u h i n
1
Nu > -00 t h E A " - < +00. D o X < Y n n " < r+. x~ > - . T EV+ - E - > EX+ - * - . T a n g t i v i EY < +00. B t n g t h c c u i t r o n g b) suy t I A" I < X < | X | v t n h n d i u ca k v n g . c) G i s X X v E X ~ < oe. K h i . d . v i n > Ho ta c x~ < x~ , x~ < x~ . do A n , (/ > no) v A" ma k h t c h . Mt khc
n 0 0 0
0 <
+ X -
T A- + X -
v i no < r T oe ,
v theo t n h c h t d) c a m n h 4.1.2 t a c EX hay E X T E X . T r n g h p x X c c h n g m i n h t n g t . d) u t i n g i t h i t X v Y > 0. K h i c hai d y

n
+ EX-
EX + EX- , ri oe
0
(X.). (Y ) c c sao cho 0 < X X . 0 < y Y. Do t a c

n n
0 <
n, r *
n
y v E(X
+ Y ) E(A" I V ) ;
n
E(X
v;) = EXn
f E V EX
f EK
T suy ra E ( J f + V ) -- EA" I E y . X t t r n g h p t n g q u t . T bt. n g t h c \x \x\ - IV suy ra z = X + Y c n g k h t c h v c h r n g
Y\
<
z = z
nn
-z~
= (X + y)+ - (X H V ) - = X
f r+ -
+ y-),
z+ + ( A - +
r-) =
z - + (X+ + Y+} .
no TT v i u va ching minh, ta c EZ
4
+ EX~
+ EY~
EZ-
+ EX+ + EY
Chuyn v vi lu z~, x~,
Y~ kh tch, nn ta c .
EZ = EX +EY
D i y, em gin. trong k hiu gii hn (trn, d i) ta b n > 00. 4-1-5 B Fatou. Gi s Y, Xi, X'2,... / dy bin ngu nhin. a) Nu x > Y. n > v EY > -oe th
n
E l i m X n < l i m E Xn
b) Nu x
< Y, n > v EY < oo th \mEX

n
< EliraX, Ti
c) Nu \x \
n
<Y,n>
v EY < oe th
n
E l i m X n < jmEX Chng minh. ) Ta c Y\mX
< ivEXn < E l i m X ,
TI
= lim I inf X
< EY~ <
+OC
(v EV > -oo) .
T v khng nh c) ca mnh 4.1.4, ta c E(limX) - limE b) c chng minh tng t. c) l h qu ca a) v b). c inf x, < limEXn
Ill
.1.6 nh l Lebesgue v hi t b chn. Gi s Y Xi, X-2,... l dy bin ngu nhin sao cho \X \ < Y, n > v iY < oe. Khi nu X > X th X kh tch v
r n n
E\x
- x\
x\.
-> 0 .
Chng
minh.
n
t z
= \x
R r n g , v |yY| < Y n n ^
n
kh
tch v 0 < Z c
< 2Y.
p dng b Fatou v i tru Z < imEZ < m E Z < mZ ,.

r n
> 0, t a
0 = ElimZ Vy
TI
=. 0 . - x\ suy ra n u
l i m E Z n = 0 hay E | X
- x\
-> 0 . < E\X
M n x/. T b t n g t h c \EX E | X - XI -> 0 t h E X - > E X .

n n
- EX\
4-1-7 Tch phn khng xc nh. G i s (2,J^.P) l k h n g gian x c s u t cho v X l b i n n g u n h i n k h n g n ) t r n . H m t p h})

J A
Xp
:= E ( X
) ,
hon ton xc nh trn c gi l tch p h n k h n g x c n h ca X . D d n g t h y r n g h m t p n y c c c t n h c h t sau:
a) 0<J
b) /
XdP < EX, v j

x<w = ^ /
x<m> = 0 => F(A[X > 0) - 0;

c
XdW i v i h k h n g q u m
c c t p Ak T , x u n g k h c i m t ;
c) A
tp
T A (tung ng ) => J
XdF T J XdP (tng ng ) .

A
N u X k h t c h t h t n h cht, b ) v n n g . N i c c h k h c h m hp
KA) =
JA A l m t o d u t r n T.
XdF
112
4.2 K h i n i m h u c h c c h n . Hai bin ngu nhin X v Y c gi l b n g nhau h u chc chn (h.c.c) nu tn t i t p NT sao cho P(iV) = 0 v x{u>) = Y(u>) vi UI N. K h i ta v i t X = Y (h.c.c) hoc X Y. M t cch tng q u t , ta ni mt tnh cht n o xy ra hu chc chn trn nu n xy ra bn ngoi mt t p N c xc sut khng. Khi X '~ v vit X ~ Y.
h jC
Y ta bo X t n g n g vi
Mnh . Trn ( f i . T. p) cc lnh cht san ng: ' a) X = 0 (Ti.c.c) => E X - 0 ; ft) A" > 0 v EX = 0=> X = Ofh.c.c); ) Nu X = Y fh.c.c), X kh tch th EX = E V ; d) Nu X v Y kh tch v f XdP < J YdP vi mi th X < Y fh.cc); e) Gi s X > 0 (h.c.c). Lc vi mi a > 0, ta c
A A
AeT
F\x
(bt
> a\ <
-EX
ng thc Markovj; g) Nu X kh tch th \x\
< oe
fh.ee).
Chng
minh. ) G i s X > 0. K h i c ( X ) c A) : 0 < x ". G i s
fc=i
Do 0 < x < X v X - 0 (h.c.c), t nu P(A!) > 0 th 4'" v do KXn = 0 v i m i r v 0. N u X bt k th X = X+ -X~. o \x\ = X x~
-( . ] nen
--= 0 (h.c.c). Theo t r n E X
= E X " = 0 => E X - 0.
s u
b) Ta c 0 < X . I | . Y > i / n | < ^
0 <
1.
X>1
n
<EXI| A
> 1 / n
< EX
113
Do , Fx > 1/n = 0 vi n = 1.2,... T

/
0 0
P|X>0|=P
| J | A * > - ]
< > | X | > - = 0 ,

n=l
n
\n=l
hay X = 0 (h.c.c). c) G i s X k h tch X = Y (h.c.c). K h i Z = Y - X = 0 (h.c.c). Suy ra z k h tch v Y = X + Z cng k h tch. T EY = EX + EZ = EX. ) K hiu 4 = |Jf > V. Ta c
./ A
A
Y,m<
JA
XdF <
J A
YdP=> E((X
- Y)U)
= 0 .
V ( X - Y ) l > 0 nn t b) ta c ( X - r ) I U = 0 (h.c.c). Do { ) = 0. e) Ta c alx>a\ < X (h.c.c). T v b) ta nhn c a(X >a)<EX hay (x > a) < a g) t An = [\x\ > n\. Theo b t n g thc Markov, -EX.
M t khc An | X | = +00 nn \\x\
= +oo| = 0.
4.3 Tnh k vong

G i s X l bin ngu nhin k h tch, h l m t s d n g n o . t,
+ oe
Xh =
k= oo
khl <x<(k+i)h]
kh
114 R r n g Xh l b i n n g u n h i n r i rc, n g t h i
0 < X - x < h,\x \ < \x\ + h .

h h
T suy r a Xh k h t c h , Xh > X(h v h i t b c h n MO hay

+ oo
> 0 ) . T h e o i n h l Lebesgue
EX
= lim
j 2
k~oo
kh[F ((k
x
+ l)h)
- F (kh)\
x
(4.5)
xdFx(x),
J (
y , J xdF(x) l t c h p h n Stieltjes c x c n h b i g i i h n c m t t r o n g (4.5). M t k h c , v
\x\<\x \ + h,h>0 \x \ <\x\ + h

h h
n n X k h t c h k h i v c h i k h i t n t i h > 0 sao cho Xh ngha l k h i chui

+ O Q
k h tch.
J 2
fc=oo
\k\\F ((k
x
+)h)-F (kh))
x
h i t v i h > 0 n o . i u c n g c ngha l X k h t c h k h i v ch k h i
+oo
/
K h i ta c
\x\dFx(x)
-co +oo
< oo .
(4.6)
xdF {x)
x
(4.7)
-oo
115
c b i t , k h i X c p h n p h i lin t c t u y t i v i m t f ( x ) t h
r + oo
EX
x f ( x ) d x.
(4.8)
X k h t c h k h i v ch k h i t c h p h n (4.8) h i t t u y t i . Nu X c p h n p h i r i rc v i m i n g i t r s = {xk,k = 1 , 2 , . . . } v x c s u t t n g n g l PI,P2, (4.7) c d n g ]T

k
th i u kin k h tch (4.9)
\x \p
k
< oo .
K h i c n g t h c (4.8) c d n g VX =
Y
k
(4.10)
4.4 M t s v d u
a) N u X c p h n p h i n h t h c B(n,p) th
EX = Y ^ k C y
fc=o fc=i = n p J ^ C
r =0
r n
n q
npJ2c^z\p - q, n k x
r l P
- -
np..
b ) N u yY c p h n p h i Poisson v i t h a m s A > 0 t h
Ae"
k
= A
/.
'
c) N u X c p h n p h i n t r n \a;b\ t h , . ( x ) = { , , 0, b-a" khi X . khi a < X 0 th
d) N u X ~ (a,
<7 ),
EX=
r g-4=
( x
exp
- ~

( x
a)2
dx
d l +
^ ^
{ -
2 ^
- 0 + a = a .
4.5 K h t c h u T p cc b i n ngu nhin kh tch trn (f2,-F.p) k hiu l c .

l
4.5. Mnh
> 0 sao cho \X\dP JA
. X
nu v ch nu vi mi < > 0 ton ti
< e, E | X | < l / ni m i ^ F,P(A)
< .
Chng minh. G i s X . t X = \ ' | < . K h i Xa T \x\; EX. T E X ; E(|X|I||A"|>n|) 0, nen t i m c no sac cho
n n n
E(\X\
m > n o ]
) < f./2 .
(4.11)
L y = rnin(3-, / ) Lc , nu F(A) < th \X\dP= ./.4 f \X\l dP+ 7/1 < fi/2 + e/2 = e .
m>no]
|X|I[|x|< |dP
0
117
Bt n g thi'rc E\x\ < 1/ iing do cch chn . i u n g c l i l h i n nhin. Bt n g thc (4.11) gi ta i n nh ngha sau. 4.5.2 nh ngha. Gi s H c o gi l kh tch u nu sup / |X|dP->0 ---- }{Vi,T,). H Ti c.
khi
c->oo.
(4:12)
xHJ\x\>c\
xt. ) N u \x\ < Y (h.c.c) i vi mi X 6 n v Y th T k h tch u . b) M i h hu hn cc bin ngu n h i n k h tch l k h tch u.

1
Nhn
4-5.3 Mnh . Gi s Ti c 0 . T kh tch u khi v ch hai iu kin sau c thoa mn: a) B chn trong }, tc l: sp MX < 00;
khi
xen
b) Lin tc tuyt A ^ T . F(A) < th di u, tc l: w. > 0, B > 0 sao cho
sup
/
J
A
\y\\P
< ..
xen
Chnq minh. i u kin cn. G i s

H k h tch u . t
nu \X(UJ)\ < c
0 v
nu |X(c)| > c ,
.= X
Ta c \X\dP< \X\dP +
J A
\X \dP<cP(A)
c
+ E\X \
c
. (4.13)
J A
JA\\X\<C]
18
Ly A = fi trong (4.13) ta c a) nu chn c = c ln

e
supE|X J < e/2.

c
Nu ly e/2c th
e
sup / \X\dF < e/2 + e/2 = e . i u kin , gi s h H c tho mn a) v b). Cho . > 0 v gi s = (e) tho mn b). t
l
c = supE\X\/
xn
< oo ,
EiX nn F[\x\ > c\ < - 1 i < vi mi X en. c /

i[|X|>ci
T theo b)
\X\dP < e
vi mi X
w.
nh l sau l s m rng ca nh l Lebesgue.

4.5.4 Dinh l. Gi s ( x ) l dy bin ngu nhin kh tch, hi t hu chc chn ti bin ngu nhin X. Khi , X kh tch v E | X x\ * 0 cn v l ( X ) kh tch u. Nu (X ) khng m hi t hu chc chn ti X th X > EiX < 00 khi v ch khi (X ) kh tch u.
n n n n n n
Chng minh. ) Gi s
l e / ; v E\x
/ \X \dF<
n
- x\
- 0. Khi d
n
\X\dF + E | X - x\ .
JA
(4.14)
JA
n
Chn no ln E x - A " | < e/2 vi n > no, chn A e T sao che {A) < 6 \X\dP < e/2 v J \Xi\dP < e/2 vi i = , . . . , no
e A A
119
(xem nhn xt b) ). K h i
sup / \X \dP < e/2 + e/2 = e .

n
n .7,4 M t khc, do { E | X thay A = Q ta c

n n
- x\,n
= 1,2,... } b chn nn trong (4.14)
supE|X | < E|X| + supE|X

T .
- x\
< +oo .
Vy ( X ) k h tch u . Ng c l i , gi s ( x )
n n
k h tch u . K h i supEXnl < oo,

n
v t b Fatou suy ra E\x\ E|X

n
< 00. Ta c
c n c
- X I = B X - x | + E | Z
| + E\x \
c
(4.15)
Cho f. > 0, chn c ln
E\x + s u p E | X
c
nc
| < 2e/3 .
c
(4.16)
M t khc X -> x (h.c.c) v \X - x \ Lebesge, tn t i no sao cho E|X - x \

c
< le nn theo n h l n > no . (4.17)
< e/3
n
vi
T (4.15),(4.16), (4.17) ta c E | X - x\ < e vi n > no. b) Cn l i cn chng minh rng nu (Xn) khng m v EX - th E | X - x\ - 0 (do ( X n ) k h tch u ) . Ta c X + xn = X A xn + X V xn ,
n n
0 < A l
< X , A l
^ X .
Theo nh l Lebesgue, E(x A x) - E X . Mt khc, t gi thit, E(X + x ) -> 2EX.

n
E(xv'x )
n
ÊX
n
v do
n
E\x -x\= E(x
V X)
- E(X A X) * 0 .
n
120
Mnh sau cho i u kin cn v h bin ngu nhin k h tch u .
4.5.5
Dinh l
l
Walle-Poussen
Gi s H c c . Khi , cc iu kin sau tng ng: a) Ti kh tch u; b) Tn ti mt hm G(t) xc nh trn |0; f oe), loi dvi, tm v khng m sao cho
,:_
G
t -U+oo
lim
( ) - =
+00
xn
Chng minh.
supE|G(|X|)|
<+00
(4.18
b) => a). t M -
supEG(|X|) < 00.
xn
Cho e > 0, t a = Mt. Chn c ln G(t)/t t > c. K h i \\X\>c\c\\X\<G(\X\)/a\ v n h vy /
J[x\>c\
> a v
\X\dF<a
J\\x\>c)
G{\X\)P
a
vi m i X H.
a) => b). T s k h tch u ca H suy ra tn t i d y SI n g u y n d n g ( c ) t n g thc s v c > 4 00 sao cho
n n
sup. /
|A"|dP < 2
_ n
, n = 1,2,...
121
T
. DO
/
M / [ || A A '' ||> >C C ]|
\X\dP>
V
fc=c oo
kV\k < \x\
< (k + 1)1 >
> 53 F [ | X | >k}=J2
fc = c
a (X) ,
k
y, a ( X ) : = P | X | > Mt khc,
f c
k.
00
supV
A'
a(i(I)<supy
X
f
~JX\>c ]
n
|X|cflP<
Vn ^ k=c
< Vsup
X
/
'\\xJ\x \>c >c\
|Jf|dP < .
t q = " m a x { n : c < fc}, fc = , 2 . . I . R r n g ). I + O C . t g(t) K h i /, X - f o o . H m

oo
= (j n u t E [k;k -- ). c n t m l / g(u)du.
oe
N g o i ra
E(|X|) <
fe = l
=
n
J2
^ ( X ) < ,
fc=c
u i v i X e n , ngha l c (4.18).
Nhn xt. N u l y <?(t) = " , e | 0 ; + o o ) , a > t h t i u k i n s u p E | X | " < oo suy ra H k h t c h u . c b i t , n u X > x(h.c.c) H v s u p E X n l " < oe v i a > 0 n o t h (l -Xnp) k h t c h u v
n
E\x
- x f
-* 0 v i m i 0 < p <
a.
122
4.6 K v n g c a h m ca b i n n g u n h i n K t q u sau n g vai tr quan trng trong l thuyt, tch phn. 4-6.1 Dinh l. Gi s X l phn t ngu nhin t khng gian xc sut. ( 0 , ^ , 1 ? ) vo khng gian o (',) ,X l phn phi xc sut ca X trn (E,),ngha l
Fx(B)
= F ( X - \ B ) ) , B e .
(4.19) ta c , (4.20) kia
Khi , vi mi hm thc tp t E vo R [ <p(x)d&x(x) =
-o c
(p(X(u))dP(u)
vi mi B theo ngha tch phn ny tn ti th tch phn cng tn ti v bng nhau. Chng minh.
x(AB)
G i s f = A,
= F(X-\AB))
A 6 v B E bt k. K h i
= (X- (A)nX~ (B))
l x
hay / (x)dPx(x)=
A
=
Jx- {B)
l
~ (tj)dP(uj)
X HA)
l (X(uj))dP(oj)
A
ng thc ny ni r n g (4.20) n g vi If = A- Do t n h tuyn tnh nn (4.20) cng n g v i (f l h m n gin o c. Mt. khc-, do n h l v hi t n i u, (4.20) cng n g vi ? > 0, -o c . L
i do t n h t u y n tnh nn (4.20) cng n g vi ip do c ni n l m t trong hai tch phn tn t
i .
123
. 6.2
Cc
qu (,J-,)
H qu 1. Gi s X l bin ngu nhin xc inh trn v (f : R > R l hm Borel bt k. Khi

J x L
<p(X(())dP(u)
{ B )
= >(x)dP (x),
x
B 6 S(R) ,
J B
min l mt trong hai tch phn tn ti. c bit E<p(X) = <p(x)Px(x)

J&
(4.21)
H qu 2. Gi s X l bin ngu nhin tuyt i vi hm mt f ( x ) . Khi

J X - 1 ( B )
c phn phi lin
tc
ip(X)dP
= <p(x)f(x)dx,
J B
B e B(R)
min l mt trong hai v tn ti. c bit Eip(X) = <p{x)f{x)dx .lu .
qu 3. Gi s X c phn phi ri rc vi mien gi ti X \ , X 2 , v cc xc sut tng ng P\,P2, Khi , H-ti yS' l hm s bt. k xc nh trn R th Etp(X) Eip(X) = ^v(x)Vi i.
hu hn khi v ch khi v phi hi t tuyt
Ch . V gia F v F c t n g ng m t - r n t , h m F(x) x c nh hon t o n F nn tch p h n Lebesgue / }(x)dPx (x) cn ir c

H
124
v i t d i d n g f ip(x)dFx(x)
R
v c g i l t c h p h n LebesgueF\(x).
S t i c l t j e s t h e o o sinh b i h m p h n p h i 4.7 Khng Vi p ngu nhin X e , p >

p
g i a n ' > 0, k h i u ' = D'(S,T,) l t p h p co. b i n X ( x c n h t r n ( . F , P ) ) sao cho E | X | < oe. K h i 0, ta k h i u

P
\\x\\
= (E\x\ )
N c g i l c h u n bc p ca X. T r o n g l t h u y t x c s u t , m t s b t n g t h c sau c s d n g . 4.7.1 Bt Gi ng thc

2
thng
Cauchy-Buniakowski Khi < \\X\\ .\\Y\\

2 2
s X , Y c .
E\XY\
(4.22;
Chng minh.(4.22) l t m t h n g n u | | A " | | . | | F | | 2 = 0. V y c t h g i t h i t \\X\\ .\\Y\\ > 0. T h a y a, b t r o n g b t n g t h c sa c)

2 2 2
26| < a
+ b
bi yY/|X|
v V / y l a t n g n g . sau l y k v n g hai v . ti
T . t a c (4.22). 4.7.2 Khi Bt Gi d ng thc
Holder e \Y L
q
s p,q
e (+00) sao cho + J = v X E\XY\<\\X\\ .\\Y\UP
'
(4-23
125
Chng
minh.
l p
V h m
f(x)
- x'\x
e (0; + 0 0 ) l li d i ,
nn
/ ( * ) - / ( 1 ) > / ( ! ) ( * - 1) hay x P - > p(x - 1) vi X > 0. Thay X ---- {a/b) / , (a > 0. 6 > 0) vo bt ng thc sau cng, ta c
a b
>
o p
p 0 ,
p
(
hay + -
l
> "
bi.
6
7 =
:
Thay a = | A " | * 7 l l * l l p . v ly k vng. ta c
l * T / l l
l *
bt ng thc t r n
- l i \x\ ~ p 7 - mtm'
+
T ta c (4.23). Nu E | * | . E | y | = 0 th (4.23) l hin nhin.

p
4.7.3
Bt
Gi s
ng
X.
thc
Minkowski
Khi X + Y
P
\ 0 v p > th (a \-b) > < 2
T p _ l
(a
+ V)
(4-25)
chng m i n h (4.25) ta xt h m
f ( x ) = (a x)
p
- T'-\a
l p _ 1
f x ) .
Ta c f ' ( x ) = p(o +
ar)P
_ 1
2 - px
v i
/ (x) > 0
:E <
/ (x) < 0 vi /'() T f{b) < max / ( ) = f(a) 0.
X > a ,
= 0 hay (a + f>) < 2 ~ (
4- f> ) .
126
S dng (4.25) ta c \x v do E\x + Y\

p
-f r p < (\x\ + \ Y\)
< 2
p _ t
(|X|
+ \Y\ )
< 2 - (E|^|
+ E\Y\ )
(4.26)
Phn u ca khang nh c chng minh. V i p = , (4.24) suy ra t (4.26). G i s p > 1. Tm c 7 > sao cho - + - V q n g thc |X + F |
P
1. T b t
= \X + Y\.\X + Y\ -
< \x\.\x
+ Y\ -
- \ Y\.\X
Y\ -
v t b t n g thc Holder (cho hai s hng sau cng) ta c E\x hay li* (v (p - l ) q = p) < (||X||
P
+ Y\" < ( ( E | . Y | )
1 / p
+ (E\Y\") ).{E\X
l/p
+ Y\
{ J
] ) q
/ q
+ \\Y\\ )(\\X
P
+ Y ^ .
(4.27)
T . nu \\x + Y\\p 0 th (||,Y + F | | p - ^ < | | X | | hay \\X.+ Y\\ <\\X%A

V l l p +
||y|| ,
p
\Y\\v
C n n u \x + Y\\ = 0 th (4.24) h i n nhin n g . Nhn xt. K h i 0 ) < ( + b ) raax(l, 2 ta c E\x + Y\
p p p p P _ 1
),
o > 0, 6 > 0, p > 0 ,
< C {E\X\
P p _ 1
+ E\Y\ ),
V > 0 .
(4.28)
trong Cp = m a x ( l , 2
) chi ph thuc v o p.
L27
4-7.4
Bt ng thc Jensen Gi s if : E R l hm li di, ngu nhin kh tch. Khi E>(X) > v(EX) .
X v if{X)
l cc
bin
(4.29)
Chng minh. T h t vy, v if l hm li nn p lin tc c o h m phi, v o h m tri t i mi i m . Do i f ( X ) cng l bin ngu nhin, ngoi ra v i Xo R tuy ta c <p(x) >ip(x )
0
+ (x - x )k(x ),
0 0
x R .
(4.30)
y k(xo) c t h ly l o hm phi hoc tri ca if t i XoThay X b i X, Xo bi X vo (4.30) sau ly k vng ta c E<p(X) > ( f ( E X ) + k(EX)(EX - EX) = (p(EX).
4-7.5
Bt ng thc Liapunov i vi bin ngu nhin X bt k v 0 < s < , ta c \\x\\s
< \\x\\t .
l s
(4.31)
Chng minh. T h t vy, p dng (4.29) vi (fi(x) \x\ / X b i \x\ ta c

s
v thay
E(\x\ ) hay E\x\< > c bit

E\x\
t/S
> (E\x\ )
t/S
(E\x\ y/ .
< ( E X
2
chnh l (4.31).
< . . . <
( E X
< . . . <
\\XWoo
trong
Halloo = s u p { x : P
| X | > xi >0}
= m{y:\\x\
> y\ = 0}.
128
Nhn
xt.
V i < p < oa, ta c ll^llp = 0 ||c^||

p
F\x
p i
OI =
0,
= |c|||X||
p
ceR,
p
||x + r | | < | | x | + | | r | | .
p
C c b t n g t h c t r n c c h n g m i n h k h i x = 0, p | y > y| 0, k h i do
P|.Y + r i >
+ y\ < \\x\ >
x\+
\Y
>
y\ = 0 ,
suy ra \\x + y o o < X + 7/. D o t n h lin tc p h i ca cc xc sut: trn nn l i * + r i u < | | i | U f \\Y\U T a ni X v l hai b i n n g u n h i n r n g a n g v v i t (X ~ V ) n u X = Y h.c.c. N h vy, ll-^llp ch p h thuc: v o lp t n g n g c a X. Do , v i 1. ( X ) hi t trung bnh bc p (hi t theo chun |.||p) ti X L iu kin v l ( X ) l dy Cauchxj trong L.
p n v v n
tht car,
Chng minh. n g h a l | | X
i u k i n c n . G i s {n) h i t t r o n g L t i X x\\p > 0. K h i , do b t n g t h c M i n k o w s k i

p
\\x
- x \\
n
< \\x
rn
- x\\ + \\x - x\\ -> 0

p n p
m
khi n, m Bng
oe. qu}
iu kin .
G i s | | X
Anllp * 0,
(rm
> oe).
s a o
n p . t a c t h c h n c m t d y t n g (rtk)k>\ \\ x t ^ = [|X
f c + 1 m
cho
X | | p < 2 - * vi m. n >
n
: = 1,2....
- X J
n
> 2-*],
* > !
129
S dng b t d n g thc Markov, ta c WA )

k
< ^h
~*
W f c | P
<
2-P
f c
<
2-
fc
Do ^P(
fc=i
f c
) < ao, nn P(limsupfc) = 0, (Lut 0.1 Borel-Cantelli).

k
K h i Ui l i m sup Ak, tn t i N(u>) sao cho khi k > N(OJ) k \X (u)-X (u )\<2nk+1 nk J k
th
T , suy ra (Xn (ui))

k
hi t n X(UJ) n o trn limsupAfc k
hay x
h nfc
^ X.
e
T gi t h i t t r n , vi e > 0 tn t i N E\x
t n
sao cho n>N .
- x\
m
< e
vi
m,
K h i 77 > iV s dng b Fatou ta c
E|X
- X | = E( lim | X - X J ) < lim E | X - X J

n n n n
< e.
k->oo
fc->00
Nh vy
x ^ X
n
4.8 Quan h v i tnh dc lp

i v i hai b i n c c lp A v B ta c
EOUIB) = E (
A B
) = F(AB)
= P(4)P() = E I ^ E I B
Trong t r
n g h p tng q u t , ta c k t qu sau: 4.8.1 nh l. Gi s X v Y c lp v X, Y e o . E(XY) = (EX)(EY). Khi
130
Chng
minh.
u tin, gi t h i t X, Y > 0. K h i
X = lim n T An, V = liraVn , n
trong
fc=o
0 0
;
I
"
5Z7 l^r<v<^! :
fc=l
XY
= lim T J f n ^ n
C h r n g , vi m i cp (k,l) A
k
cc bin c
B l
<x< -1).2 " 2

l n
[-<Y< -\
2"
c lp. Do EXY
x,
n
c l p v
n n n
= lim T E ( X . r ) = lim T EX .EY

n
= EX.EY
Trong t r n g hp t n g q u t , ta c E\XY\ =E\X\.E\Y\ < 00, E(X-.y-) = EX-.EY-.
T v t t n h cht t u y n tnh ca E(.) ta c i u cn chng minh.
4.8.2
inh ngha. EiX , i\x\ nn tn ti c gi l rnome.nl bc, p, moment tuyt i bc p ca bin ngu nhin X. N u X c? th
p
D(X)
:=E(X-EX)
c gi l p h n g sai ca b i n ngu nhin X v cn c k hiu l V a r ( X ) . T n h l 4 .8 .1 ta r t ra h qu sau:
131
H q u . Nu Xi,...
,x
v c lp th
n
D(X + ... + X ) = Y,D{X )

l n k
fc=i
T h t vy, do D(X) = D(x t h coi EXk = 0 vi k = , 2,...

n
+ c) v i hng s c b t k nn c , n. K h i
n
Ti
E
D(*!+... + X )=E(;x
n
f c
* f c '
fc=i fc,=i fc=i
v Epffc .JO) = EXkEXi 4-8.3
= 0 vi k l-
Mt s tnh cht ca phng sai 1) B t n g t h c C h e b y s h e v : N u D(x) e > 0 ta c [\X-EX\ > e\ < ^ 2 .
< oo th v i m i
T h t vy, theo bt ng thc Markov P * - EX\ > ] = PHA- - E *

2
> c] <
* ~
= ^
2) N u = 0 th X = EX (h.c.c). T h t vy, D p = 0 E\X-EX\ = 0. T v t X-TX suy ra X - EX = (h.c.c).

2
> 0
3) D(X) = EX 2
(x)' .
2
T h t vy D(X) = E|X
2
- 2JCEJ + (EX) \
= EX "-
{EX)
2
T D(X) > 0 suy ra \EX\ < V
v D(X) < EX .
4) |(A" - E J f ) ( - r ) | < DX.DY. (S

dng bt ng thc Cauchy-Buniakowski). 5) D(aX + b) = a*D), a,beR.
132
6) N u D(X)
hu hn th vimi-ceR.
E ( X - c f > D ( X ) T h t vy, d d n g t h y E(X .8. - c ) = D(X)

2
+ (c - EX)
> D(X) .
V d a) X ~ P() (tc l X c phn phi Poisson v i tham s ).
EX(X
- 1) =
fc=0
- 1 ) ^ - = A
fc=2
A A
v
e - ^ -
e- e
= A ;
^
fc=o
/c!
fc-1
Z^(fr-I)
v
'
= Afi-V = . T EX = A + A v D ( X ) = + A - A = A'. b) X ~ (a; b), a 0,7? > 0 (X

oe _p pl - O I
c p h n phi gamma).
(t
EX
' - ~
rp)
dx
d t
ax = t) + p)
-e r (p) Q ^ + P - '
a
1
k+p-
r(k fc-l)
a *T (p)
(p + l ) ( p + 2 ) . . . ( p + T
a
2
oi
d) X ~ J\f(a, ) (tc l X c p h n phi chun v i cc tham s a, ). bit E I = a. E(X - )"
= -^=f(x2TT
aY
z 2
exp
l
V27T J R
{2 - ^ Jn
= z).
/ z e- ' dz N u ) l th E ( X - a) N u n = 2k th
r
( t
= 0.
c +oo
2fc
E(A" - )
2 f c
= ~
2
z
y+oo
2 k
e'
1
' dz
t
(t
2
z )
fc 2fc
7=- / /TT Jo
- / e- d
2 f c
f e
2fc * , , = 7^r(/c + v% 2
n
= 1.3...(2fc-l) c bit D ( X ) = E(Jf - a )

2
= (n-l)!!
= .
4.9 K vong c a h m c a v c tor n g u n h i n Nh bit trong mc 3.4, mi vc t ngu nhin
134
cm sinh trn ( R , B ( R ) ) mt phn phi xc sut P , P Y li cho ta mt hm phn phi F(x) = F(x) trn R v ngc li mi hm phn phi F xc nh trn R sinh ra mt o xc sut duy nht ip trn khng gian o ( R , ( R ) ) . N c gi l o Lebesgue-Stieltjes sinh bi F. Nu ip(xi,... , x ) l mt hm s kh tch trn khng gian
N n
(R ,B(R ),M )
F
th tch phn
Iu >(x)fip(dx)
cn c k hiu l / >(xi,... ,x )dF(x ...
n ly
,x )
n
hoc d i dng ngn gn / tp(x)dF(x) . (4.32)
Tch phn cn gi l tch phn Lebesgue-Stieltjes c

a theo hm F. nh l sau y c suy ra t nh l 4.6.1. 4.9.1 inh l. Nu X = (Xi,... , x ) l vc t ngu nhin vi hm phn phi F v ip l hm Borel trn R" th
n
E<p(X)=
<p(x ...
u
,x )dF(x ...
n u
,Xn)
(4.33)
theo ngha nu mt trong hai v tn ti th v kia cng ton ti v bng nhau. H qu. Nu X c mt f(x) th E<p(X) = <p(x)dF(x)
135 theo ngha, v ny tn ti th v kia cng tn ti v bng nhau. c b i t g i s X v Y l hai b i n n g u n h i n . L c EX.Y= Nu X xydF (x,y)
XiY
v Y c m t n g t h i f x Y t h EX.Y = / xyfx,Y(x,y)dxdy .
4.9.2 c
nh
ngha. DY
K vng E(x ca X v
- EX){Y
- EY)
(nu
ton ti Y).
gi l covarian
Y, v uc
k hiu l cov(X,
' N u DX,
h u h n t h t i s
VDX.DY c g i l h s t n g q u a n c a X v Y. D d n g t h y r n g covarian v h s t n g q u a n c c c c h t sau: a) i x n g : cov(X, Y) = cov(Y, X), p(x, Y) = p(Y,

2 2
tnh
X);
b) N u X v Y c lp th covix, Y) = p(x, ) = 0;
c) cov(.,.) l p h i m h m song t u y n t n h t r n c X ; d) \p{x, Y)\ < , d u = x y ra k h i v ch k h i v ph t h u c t u y n t n h v i x c s u t 1. T n h c h t d) l m t d n g c a b t n g t h c C a u c h y - B u n i a k o w s k i .
4.10 T c h c c o
4-10.1 fl
2
G i s i v Q.2 l hai t p h p k h n g r n g t u y . t V i A cfl,u>i ei t p l

i
= ^4} t ct
X n .
: = {J
6 0,2 : {(^1,1^2) l l t
c g i l t h i t d i n (hay l t c t ) c a t p A t i U>1. T n g v i u>2 2, t p h p A^ v o V(i), (i 1,2)

2
= {u>i i : ((jJi,u>2) A} hp.
c a A t i o>2- T n g n g A >> Ai,
l m t n g c u t v(
X Q2)
i v i cc p h p t o n t p
136
Gi s X : V R. Cc nh x u>2 (^2)1 c H-> yY(ti,o;2) c k hiu l -Xu,, ^ 2 t n g n g v i r c g i l cc thit din ca X tai LOI v to2 tng ng. Tp Ai X ^4 c 2i X f i c gi l tp ch nht. By gi, g s ( i , ^ 1 ) , ( ^ 2 , ^ 2 ) l hai khng gian o, tp ch nht Ai X A2 vi A i G ^ i , = 1,2 gi l tp ch nht o c. D dng thy rng tp hp To gm cc tp con ca l tng ca mt s hu hn cc hnh ch nht o c ri nhau lp thnh mt i s tp hp. - i s sinh bi To hay cng vy bi T\ X Ti k hiu l
2 2
.10.2
Gi s A e Ti Ti v Ui fi,W2 e n 2 . Kh , cc tp hp , ^ thuc 2: F\ tung ng. Gi s X l bin ngu nhin trn ( X 0,2,^1 0 ^ 2 ) - Khi cc thit din X , Xu l .7-2) T-o c tng ng.
nh
l.
Wl
Chng minh.
W
K hiu C
= {A c \
X ~2 : A]j
2
< E 7^2} Ta
tha)
C J cha cc tp ch nht o c v ng i vi php ly phr b, hp m c. giao m c nn C D a[T\ X T i ) = T T2 Khng nh i vi A^ Ti c chng minh tng t. Gi s X l bin ngu nhin trn (Oi X 0,2,^1 v J3
U)l 2
S(R) bt k. Khi X^(B)
= [X-^B)}^,
suy ra X~f(B)
e ^2
Vy X
Nhn
Ui
T2~o c.
xt.
) 0 M X M c 2i X 0,2 thuc T i khi v ch kh
b) X(u>i,U2) = Xi{uj\)X2{<^>2) khi Xi T-o c (i = 1,2). 4-10.3 Xc sut chuyn
T\ T2- o c khi v ch
v o
tch
nh ngha. Gi s (fZi,.Fi), (f2,-7"2) l hai khng gian o. X' sut chuyn l hm P i 2 ( ^ i ) - ^ 2 ) xc nh trn khng gian tch Oi X Ti v thoa mn:
137 a) vi U\ r c nh, hm p ^ o ^ ! , ) l o xc sut trn
b) vi A'1 ^2
4.10.4
c nh, hm 12-. A2)
T\
- o
uc.
inh l. Gi s (. T), (0,2,^2) l hai khng gian o. P i l xc sut trn T, F12 l xc sut chuyn trn X Ti. Khi . tn ti xc .mt p trn T\ Q J-2 sao cho
(A X A)
2
/ JA
{duj,)F {u A ).
x vl u 2
Ai e T , i = 1.2
t
Gi su X l bin ngu nhin khng m hoc na kh tch
trn
Khi ,
hm
Y(i0,) = Pi2(u,dLJ2)X M
U
xc nh (P-h.e.c), v
./f,xi
2
T\ -o t c, khng m (hoc na kh tch )
XdP
JQ
,{du,)
JQ
2
1 2
U l l
rl
W 2
)A;> )
2
(4.34)
Ch
ng minh. u tin cn chng minh p xc nh v -cng tnh trn i s sinh bi cc tp ch nht o c T{). Tht vy, vi
n
t n
(A) = J2^(A\
X i) .
R rng (A) khng ph thuc vo cch biu din c

a . T d nu p -c ng tnh trn T X T th cng (7- cng tnh t r n T).
2
138
G i s A X 2 = ^2
te/
x
^2
(J m c ) ,
hay t a n g cmg
Do , nu ly tch phn theo Pi2 ta c Wwi)Pi (wi,i4 ) = Î

2 2 / l i
(a; )P 2(w ,4) .

1 1 1
Sau , ly tch p h n theo P i ta c
N h vy, hm p (7- cng tnh trn T X ^ 2 N u X l bin ngu nhin khng m th X cng khng m v theo nh l trn X l !F2~o c. V v y Y(UJI) xc nh t r n . K hiu l cc bin ngu nhin X sao cho Y T-o c v (4.34) c thc hin. K h i c l t u y n tnh, n i u, n g i vi chuyn qua gii hn a n i u, cha cc hm ch tiu IA Â {^-\ T\,2 T). Vy, c cha t t c cc hm na k h tch. Hn na X k h tch t h i Y cng k h tch.
Ul UL
1 2
H qu
1. Gi s X > 0. Khi Xdp in = 0 * - 0 Y < ao (Pi fc.cc), (Fi-h.c.c).
XcflP < oo
139
Dng thi tn ti xc sut. 2 trn (2,-? 2) sao cho

W2( )
2
= /
F (du> )F (uJuA )
l l l2 2
. trn
Di vi bin ngu nhin bt k X > 0 (hoc na kh tch)

( f , ^2,^2)
2
hm s
Y M xc nh h.c.c, ) v T\-o
= c,
X(u> )p (u,t,^ )
2 1 2 2
khng m ( hoc na kh tch theo =
J2
XdP
J toi
^duixKM
H qu 2 (nh l Pubini). Gi s ( i , . F i , P i ) , ( ^ . ^ . P ) l hai khng gian xc sut. Khi tn ti xc sut p duy nht, trn F\ -7 2 sao cho
r
F(A
X A ) = Vi(Ai)V (A )
2 2 2
(I e F
e T . trn
i vi bin ngu nhin bt k X khng m (na kh tch )
ta c XdP= = / Pi(dwi) / P (dw2)* ,M

2 w
P (cM
2
Pi(dwi)X (wi).
U a
c k hiu l P i X p v ( H i X 2,Fi T ,I X p ) c gi l tch ca hai khng gian xc sut ( i i , j F ^ P i ) v (2)-^2,P2) v c k hiu l ( i , ^ i ) P i ) X (2)-^2)1P2)'
2
2
140
Chng minh. 4.10.4. Nhn
Ly p
1 2
- P 2 v P21 - 5*1, sau , p dng nh K
xt. a) Bng quy np ta c th nh ngha c tch ca mi. s h u hn khng gian xc sut
b) Gi s F\. F.... , F l cc hm p h n phi tuy cho. Khi e tn t i mt khng gian xc sut, (2. . P) v cc bin ngu nhin c lp X\, Xi; x sao cho F), F2 /' l cc. hm p h n phi t n g ng. Qu vy, ly = R", T - B(R ) v P i = ///,, p. i , y /i/r l o Lebesgue sinh b i F j , (?' = 1 . . . . . ). Khng gian xc sut cn tm l khng gian tch
n n n n Fti
(R,S(R),P,) X (R,B(R),P ) X ... X (R,B(R),P ) =

2 n
- (R ,8(R ),P, X ... x P ) ,

n
cn Xi l nh x chiu t R ln toa t h , r n g Xi, X2,. . , Xu c lp v F = F \ .

n
( - ,.. . ,n). F\ , = F .
Re
Tch chp v phn phi ca tng cc bin nq c lp Trn tp hp cc hm phn phi, ta a vo php ton hai ngi (*) xc nh nh sau: 4.10.5 nhin (F,*F )(x)
2
= b\{x - v)dF {y)

2
R r n g F Fi * F 2 l hn) p h n phi. Diu c t h kim tre trc tip hoc gin tip nh nh l sau: inh l. Gi s Xi, X'2 t cc bin ngu nhin c lp xc dn trn (Q. !F,F) v F\,F l cc hm phn phi tng leng. Khi F . (x)
Xl+x 2
-{F *F )(x),
l 2
XR
141
Chng FX
=
minh.
Theo nh l 4.10.4 v h qu 2 ca 4.10.4 ta c I

J
+ Xi <x\=
d{B\
X l +
x <î(Pi Xp ) =
2 2
X F )(y,
2
z) =
y + z < x
(y,
z)dF (y)dF (z)

1 2
JJ\y+z<x\
JRJM.
F {x
x
- y)dF (y)
2
F (x
2
- y)dF (y)
l
(F * F ) ( x ) ,
2
X&R.
4.11
K vong i u kin
K vng i u kin l m t cng c r t quan trng trong l thuyt xc sut, c bit trong l thuyt cc q u trnh Markov , martingale. K t qu d i y l c s chng minh s tn t i a k vng i u kin. . l i . nh l. Gi s (, T, p) l khng gian xc sut, Y l phn t ngu nhin xc nh trn ( i , ^ ) nhn gi tr trong (E, ). K hiu Q l hm phn phi xc xut ca Y trn (E, ), ngha l Q = FoY~ - o nh. Gi s X l bin ngu nhin kh tch trn (Oj-T^P). Khi ton ti bin ngu nhin M Q-khd tch trn (E,) sao cha vi mi A ta c
l
JA
M(x)Q(dx)
=
J Y-1(A)
X{u)F(duj)
(4.35) (Q-
Nu M h.c.c ).
l bin ngu nhin khc tho mn (.35)
th M M
Chng minh. a) Tnh duy nht suy t mnh 4.2 d) b) S tn t i . u tin gi t h i t rng EX z e C (E,,Q), t
2
< 0 0 . Vi m i
>(Z) = E[(ZoY).X\
142
(p l phim h m tuyn tnh, ch ph thuc vo l p tircmg cmg ca z v MZ)\ < ||X|| .|||Z||| .
2 2
d y \\\Z\\\ = (f \Z(x)\ Q(dx))V*. Ngha l <p lin tc trn L (E,,Q), M e L2(E, , Q) sao cho
2 E 2
Do t n t i
/ (ZoY)XdP
JQ
= <p(Z) =
J E
ZMdQ
i v i mi z. Nu ly z = lA, A ta c ngay ( 4 . 3 5 ) . N u X khng m th v tri ca ( 4 . 3 5 ) k h n g m v i m i A G 8. Do M khng m (h.c.c). By .gi gi s X ch k h tch bc nht. t X+ = x An, TI > 1 . ' R rng L (2,^,P). Theo trn tn t i M t n g ng vi v M k h n g m , t n g (h.c.c). t M + = lim T M' , cp ( X , M ) thoa m n ( 4 . 3 5 ) .
+ 2 n n + n +
Tcmg t ta cng c cp ( X ~ , M _ ) tho m n ( 4 . 3 5 ) . Do cp ( X , M = M - M _ ) cng thoa mn ( 4 . 3 5 ) v i lu M Q-kh tch.n

+
4-11.2 Dinh ngha. Bin ngu nhin M kh tch trn (E,,Q) t.ho mn (4-35) c gi l k vng iu kin ca X vi Y cho. xt. a) Nu X A th M t n g ng c gi l xc sut i u k i n ca bin c A vi Y cho. Ch rng x c sut k h n g Nhn
p h i l mt s m l mt b i n ngu n h i n , c x c nh h u chc chn.

oe
b) G i s = 2 J
n=l
2 vo N sao cho \Y = n\
n,
An
T,
ne N . L y n h x Y t
Q{n} = P(i4 ),
n
i 4 . Khi
n
ri
N.
By gi nu X /
( 2 , ^ , p ) th M c t m t MdQ =
7v-'{n}
Xem
J{n}
143
hay M(n)Q{n}
= J
A
XdF.
X d F
Do
M(n) =
n
vi
nen
(A )
n
0 ,
cn n u F(A ) = 0 th M{n) c t h ly gi tr tuy . Khi = IU, AeT
F(
F(A ) '
n)
>
c) N u X ch l bin ngu nhin khng m, khng nht t h i t k h tch th v i X = X An, tn t i k vng i u kin M tho m n (4.35). Bng cch cho n > 00 ta c bin ngu nhin M t r n (E,,Q) k h n g nht t h i t h u hn, chi c xc nh h.c.c tho m n (4.35). N cng c gi l k vng i u kin suy rng ca X v i Y cho. N u X na k h tch th bng cch phn tch X = x x~, theo cch xy dng trn k vng i u kin vn tn t i .
n n +
G i s E = , = Q c T v Y l nh x ng n h t . R rng Y TQ-Ao c v Q = \g (thu hp ca p ln G). K h i nu X k h tch t h k vng i u kin ca X vi Y cho tho m n /

JA
MdP=
XdP,
AeQ
JA
y l dng c b i t ca khi nim k vng i u kin hay c s dng n h t . 4.11-3 nh ngha. Gi s (Vi, J , p) l khng gian xc sut, Q l -i s con ca ', X l bin ngu nhin kh tch. K vng iu kin ca bin ngu nhin X vi Q cho l bin ngu nhin M tho mn cc iu kin sau: a) M l Q-o c,
r
144
b) M tha mn ng
J A
thc = x){duj),
J A
M(uj)F(duj)
A eg
(4.36)
M cn c k hiu l E(X\G) hoc E X. Ch . a) Nu Z\, Z2, , l cc bin ngu nhin xc nh trn (f, T) v l (7- i s sinh bi chng th E(X\Q) dc k hiu l E(X\Z Z ,...). b) N u " = 1,1, A e T th E ( * | ) c k hiu l P ( i 4 | ) . E ( I | Z i , z , . . . ) c vit l (A\Z ,Z-2, ). l cc xc sut i u kin. c) V i cc k hiu trong nh l 4.1] .1
U 2 A 2 l
E(X\Y~ ()) ) Nu X e-C (l.T,P) Q(4) l
MoY
(h.c.r) .
th hm tp hp /
J A
X<ZP
eg
C tnh cht A e ,P(.A) = 0 => Q(i4) = 0, ngha l Q lin tc tuyt i vi p = P|g, (Q < < p ) . N h bit trong l thuyt, o, tn t i phn t A i C (,G,Fg) duy nht x xch trong cng lp t n g n g tho m n (4.36) ( nh l Radon-Nikodyni). M c gi l o h m Radon-Nikodym ca o Q i vi Pg, v k hiu M = dQ/Pg. Nh vy, ta c t nht hai cch khng nh s tn t i ca k vng i u kin.
e l
4.11.4 Cc tnh cht ca k vng iu kin Trong sut mc ny ta lun gi t h i t (,!F,) l khng gian xc sut c nh, cc bin ngu nhin u c k vng (kh tch hoc na k h tch ), Q c T l (7- i s con no . a) Nu c l hng s th E(c) c (h.c.c). b) X < Y (h.c.c) => E ( X | ) < E ( r j ) (h.c.c). c) | E ( X | ) j < E ( | X | | ) (h.c.c).
145
() (I, b l h n g s v (MX E(aX + bY\g)
f bEY
xc nh th (h.c.c).
- a E ( X | ) + bE(Y\)
t) E ( A " | { 0 , 2 } ) = EvY (h.c.c). g) E ( X ) ) ----- X (h.c.c). l) E ( E ( X | ) ) = E X (h.c.c). ) E ( E ( X | 2 ) | i ) = E(X|i) = E(E(A-|i)| )

2 7
(h.c.c)
nu
k ) N u X d c l p v i Q ( n g h a l (x) E(X\g)=EX (h.c.c).
v c lp ) th
1) N u K - o c . v E y < 0 0 , EX.Y E(yYr|) -- YE(X\g) h.c.c .
< oe t h
Chng
minh.
(h.c.c) suy ra E(A"|)dP < Xrf'p < f
4
a) l h i n n h i n . b) X < y VdP vi mi A e '
=> /
,/A
/ E(K|p)f/P. 7/1
V.4 6 ? . E(|*||).
=> E ( X | ) < E(Y\g)(h.c.c)
c) - | A ' | < X < \x\ => - E ( | X | | ) < E ( X | ) < T , suy ra i u c

n c h n g m i n h . d) .4 / (1
.A
Q th
XdP + & /
J13
f 6r)riP = a /
^<P = (aE(X\g) + bE(Y\))dP .
JA
a E(X\GW ,1A + b I E(Y\g)dF
JA
lun.
T c kt
146
e) EX o c i vi ( 7 - i s {0,12} v nu A = 0 hoc A = Q, th c / XdP=

JA
EXdP.
JA
l i u phi chng minh. g) Hin nhin. h) S dng (4.36) v i A = n . i) Nu e i th E\E(X\g )\gi\dP

2
= E{X\g )dF=
2
XdP.
JA
JA
JA
T v nh ngha 4.11.3 c ng thc u . ng thc sau suy t g) v nhn xt E ( x | i ) l C/2-o c. k) N u A eg th X v

c lp. Do
A
/ XdP = EXA
JA
= EX.{A)
= (EX)dP
JA
T C k t lun. By gi ta trnh by: N h m c c t n h cht c h u y n qua gii han rin) n h l h i t n i u B . L e v y : nu f x

th E(Xn\Q) E(X\g)
n
TX 3n:E(X~)<oo,
(h.c.c)
(h.c.c).
Nu x
n
I X
(h.c.c)
: E ( X + ) < oe , th E(X \g) E{X\9) (h.c.c). n) B Fatou: gi s tn t i Y k h tch. K h i

n
1 3n
nu x nu x
< y(h.c.c) > y(h.c.c)
n > ] th E{\jmX \G)

n
< \jmE{X \)
n n
(h.c.c),
TI > th miE(X \G)

n
< E(mX |C?) (h.c.c).
147
\x \
n
)) n h l h i t bi c h n L e b e s g u e : G i s Y k h t c h v < K(h.c.c). K h i o n u x. - X (h.c.c) t h E(]imX \)

n
= HmE(Jf |)
n
(h.c.c).
Chng
minh.
0 0
in) G i s E X ~ < 00. K h i 0 < x + jr~ n h l Lebesgue v h i t n i u /

JA
X 4 x~
, theo
lhnE(X
"
+ * - | ) d P = l i m E(x
'
n
n
+ X.-
\g)dP --= (X
J A
J A
= lim ( X
" JA
+ X-)dP
=
J A
\m{X
n
+ X- )dP
0
+ X~)dP
T d o t u y n t n h t a c / imE(X \gdF) .// "

n
XdP J/t
= /
JA
E(A"|)riP .
Vi4
v do d K m E ( * | ) = E(X\g)(h.cc)
n
. i vi bin
C c lnh cht n),p) c chng minh t n g t . 4.11.5 ngu Cc nhin tnh cht cho ca k vng iu kin
G i s X v Y l hai b i n n g u n h i n cho t r n (.T). b i t ( c h c)) E(X\Y) : E(Xa(Y)) M o K (h.c.c) ,
Nh
(4.37)
t r o n g A/ l n h x t ( R , ( R ) ) v o (R, B(R)) m i B 6 fi(R) / M(y)Py(d/) = /

./V
1(B)
o c v v
i
x(u)(duj)
(4.38)
148
( C h . y E = R, Q = P y ) . Hm M(y), l hm Borel trn R, s c k hiu l E(A'|V y) v c gi l k vng i u kin ca X i vi K /. D i y l mt s tnh cht hay c dmg. a) Nu } : R > R l hm Borel sao cho X v k h tch th Py-h.c.c xy ra E\X<p(Y)\ = y\ = >(y)E(X\Y = y) . (4.39) /).
Q u vy, k hiu M ( y ) l v tri (4.39) v M ( y ) = E(X\Y Theo (4.37) v tnh cht 1) ca k vng i u kin M{Y) -- E ( A > ( V ) | > 0 = ?(r)E(^|K) =
Y
^(r)M(y)(//..r.r).
nn M ( y ) = ipy)M(y),(F
h.c.c).
b) Nu X v V c lp th E(X\Y Q u vy M(y) = = ty) = EAT . (4.40)
E(X|r) =
2
(h.c.c) n n M(?y) - EvY.
(Py - /r.c.r).
c) Nu A (M ) v X , V c lp th E(JU(A\ Y)\Y = y) = E (X,y)

A
(Fy-h.cc)
2
(4.41)
Q u vy, nu A = Ai X Ai th 1,4, ( X ) v I U ( y ) c l). p dng (4.39) v (4.40)
E l U . P O M m V = /l = I>t (y).P(i40 = E (X.y)

a A 2
L p cc tp A ( R ) m (4.41) n g l lp em i u ('ha i s cc t p h p sinh b i cc t p ch nht o c. Do . n trng v i B(R ).

2
) G i s X v Y c lp v <p(x,y) l hm Borel sao cho E\>(X,Y)\ < oe.
149
Khi (l
E>(X, Y)\Y =y\= E>(X,y) (Py - h.c.c) . (4.42)
Tht vy, do tuyn tnh v (4.41), ng thc (4.42) ng vi ip l hm n gin, do vi Ifi > 0 v <p(x, Y) kh tch. .11.6 Cc v d p dng ) Gi s X v Y c lp c hm phn phi l F v G tng ng. Hy xc nh F y.
+
+ Y
( x ) - \x + Y<x]= = E (E( = = [(E(

[ x + Y < x ]
E(I|
X + y < x
)
X + y < x ]
\Y)) = (E( .
\Y =
y)dG(y)
[x+y<x]
)dG(y)=
\X<x-y\dG{y)
F(x - y)dG(y)
Vy Fx+Y
= F * G.
b) Gi s Xi,X'2 c lp c cc phn phi F\ v P2 tng ng. Ly B B(R). Ta c

P(A\ + x
2
e B\x )
x
= Ex^x^BX,)
= P (-Xi)
2
(/l.c.c).
n
Tng qut hn, gi s Xi, X2, , X l cc bin ngu nhin c lp vi 'k = Xi + . ,. + Xk- Khi theo trn
F(S
n
B\s ..
u
. ,5n_i) = P ( B - s -r)
n
n
= P(5 | S - i ) .
Nhng
(7 (Si,.
.. , S )
u
(X\,...
n
,x )
cho nn ta cng c
n
F{S
B\x .
. . , x _x) = P ( 5 e H ^ - i K ^ . c . c ) . S -\.
n
Nh vy v tri ph thuc ch vo
150
4.12
X c sut i u k i n c h n h quy G i s (f, p) l khng gian xc sut, Q l - i s con c a T. N h .ni trn, (A\g) = E(J \g) gi l xc suat ca A vi i u kin Q. N khng phi l mt s m l mt bin ngu nhin c xc nh h.c,c. Hm tp A H-> P (v4 |) c mt s tnh cht sau:
A
0 < ( A \ g ) <0(h.c.c),
F(A\g) F(A\g) = 0 {h.c.c)^(A) = (h.c.c) ^
eg,
= 0, = .
F(A)
N u (An)
l mt dy bin c i mt xung khc th

oo oo
P (U
n=l
\g)
n
= Y^F(A \g)
n
(hx.c)
nl
ngha l, tn t i tp N vi (N)
oo oo
= 0 sao cho coN. (4.43)
F(\jA \g)
n
= Y^(A \).
n
n=l
n=l
T p N ph thuc vo dy (An). Ni chung khng t h khng nh rng c mt tp c xc sut k h n g 7V (4.43) xy ra i v i mi dy (An) cc bin c l i nhau. T i n h hnh dn t i nh ngha sau.
4-12.1 nh ngha. Hm tp hp (A,uj) xc nh trn T X r i gi l xc sut iu kin chinh quy i vi Q nu i) i vi mi U) A,F(.,OJ) l o xc sut trn , li) vi mi A T hm (A Ui) xc nh trn Q, Q-o uc v F(A, ) = {A\Q){u)(h.c c).
}
Mnh d i y khng nh rng k vng i u kin c t n h n h k vng thng th ng i v i o xc sut, i u kin chnh quy.
15]
. 12.2 i vi
inh l. Gi s F(A,iv) Q v X l bin ngu nhin E(X\g)(u) =
l xc sut iu kin kh tch. Khi (h.c.c) .
chnh
quy
/
JQ
X(ut )P(dLj })
x lt
(4.44)
Chng minh. L p c c b i n n g u n h i n t h o m n (4.44) ( c k h i u l ) , l k h n g giao t u y n t n h c h a c c h m ch t i u A,A 6" T (v t h a y X = A v o (4.44) n g t h c c d n g F(A\g)(oj) = (A, L ) ) , do c h a c c b i n n g u n h i n n g i n . M t k h c , n u 0 < Xn ] X, x . n > t h do t n h c h t c a k v n g i u k i n v tch p h n ta c
n
E(X\g)() = lim /
N
= limE(A"|)(w)
n
X (ui)F(dui,u>)
n
JQ
/ X(w)P(dwi,w) Jn
(h.c.c)
T cha cc lp h m k h tch. V d. Ly (2,^\P)

2 2
= ( R , ( R ) , P ) trong F(A) = / f(x,y)dxdy ,
v .X , V l c c p h p c h i u c h n h t c ln toa t h n h t v t h hai t n g n g . N h v y ( X , Y ) c m t f ( x , y ) . t 4 ^ = 4 |:r) 0 ti

X
tai X m / ' ( x ) > 0

A
m f x ( x )
l h m Borel v c g i l m t i u k i n ca Y i v i X .
V i i4 ( R ) , W = ( , )
2
P(w)
fy\x(y\x)dy,
(4.45)
t r o n g T = { / e R | ( x , y ) -}.
152
L y T = ( R ) , G = B{R) X { R } = (X). Ta t h y vi u >e R . F(., c) l o xc sut t r n ( R ) . vi i e -F h m P( .) ? -e c . chng minh F(A\g)(u>) = (A,) (h.c.c). Ta ly t u i thuc g, G s c dng B x , B e S(R). Ta c
2
/
JR
JB
(A,(x,y))f(x,y)dxdy
Dii l i phi chng minh.
Bi tp 1. Chng minh rng a) EX ti, t i khi v ch khi tn t i E\x} ( y \u\ l phn nguyn ca s ). b) w>x = E|'j khi v chi khi X l bin ngu nhin nhn gi tr nguyn. 2. G i s X- b.n.n gi ti nguyn khng m v i k vng hu hn. Chng minh rng
Te
I-:
153
3. G i sir E | x \
< oo ( p > 0 n o ) . C h n g m i n h r a n g
lim r \\X\
oe
> t\ = 0.
rng
4. G i s
l b . n . n . a > 0. C h n g m i n h
Te
E | , Y | * < oe < = >^

/
/ / ' - ' P H A ' ! > T?.| < oe.

-1
5. G i s X l b . n . n k h n g m v i h i i p h n p h i F(x) hu hn. Chng minh rng

/oe
v k vng
li -
F(x)\x khng
6. C h n g m i n h r n g n u F(x) l h m p h n p h i ca b . n . n X m v E A " < oo ( a > 0 n o ) th

a
EA"'
cv / J()
./-'-
( -
F(.r))ds 0 v E | A ' | < DC. C h n g
7. G i s X c p h i : p h i minh rng h m G-)
v i /''(())
/.'(. I ..,)
l h m p h n p h i . 8. C h o X v V l hai b.n.n dc l p v i E A ' DyY 1. DY - 4. T n h k v n g ca b.n.n yY + 2 9. G i s X v y rng DY K h i n o c d u b n g ? > DX.DY.

2 2
1.EV
-- 2.
- XY-4X
- Y 4. hn.
l hai b.n.n c l p v i p h n g sai h u
Chng minh
154 10. G i s Xi, X2,... l d y b . n . n c l p c n g p h n p h i v i c c k v n g 0 v p h n g sai h u h n . C h n g m i n h r n g d y s
{E|**Jjp*M,-i. ....}
a
b c h n u . 11. G i s Xi,..., Chng minh rng
l c c b . n . n c m m e n b c 0 < a < .
E | * 1 + + XX
12. G i s X i , . . . , X
n
< E\Xi\
+ +
E\x \ .
n
c l p v c p h n p h i i x n g . K h i
EXi + + XX
vi < a < 2 bt k.
< E\x \
x
+ +
E\x \ n
13. C h i n g m i n h r n g n u
v y c l p , EY
a
= 0, E | X |
< 00,
E\Y\
< 00, a > , t h i E\x + Y\

r r k
>
E\x\*.
14. G i s ( X i , . . . , x ) c p h n p h i a t h c v i c c t h a m s n,pi,... ,p (p > 0,k = , . . . , r ; Px -f + Pr = ! ) T n h p(Xi,Xj),l <i,j<r. = 0.
15. G i s ( X , Y) c p h n p h i c h u
n . EX = EY DX UY = , E A T = p. C h n g m i n h r n g Emax(X.y) =
16. G i s ( X , Y ) c p h n p h i c h u
n v i EX m t c dng f{x,y)
= EY
= 0, h m
=Cexp{-Q(i,y)};CeR,
y Q ( x , ) l d n g t o n p h n g x c n h d n g . T m h m p h n phi c a , Z = Q ( X , Y ) .
155
17. a) G i s X v Y l hai b.n.n khng m, z Chng in inh I'rig
max(x,
Y).
JZ>a\
n
ZdP <
J\>a\
XdP
+ /
J\y>a\
^dP
(fl > 0)
b) G i s ( X ) l dy b.n.n k h tch u . Chng minh rng E(n

n
sup
l<m<n
|X )-0.
m
18. G i s ( X ) l dy cc b.n.n sao cho EX

n n
= 0,
DX
,n>
n
, EX X
n
-: 0, n 7 ^ m. > } kh
t 5 = Xi + + x . Chng minh rng {Sn/\/n,n tch u . 19. G i s d y b.n.n ( X ) kh tch u. Chng minh r n g
n
sup
\X \dP-+
lt
0. (/// -> oo)
n > l 7An,
i vi m i d y ( j 4 m ) > ! cc bin c m Am 0. 20. G i s (r, T P) l khng gian xc sut. K hiu L l tp hp cc lp t n g c m g ca cc b.n.n. V i X, Y 6 L ta t,

m
=E:
I * -
r i '
d ( X , ) = Emin(\x
2
- V I , 1).
Chng minh r n g a) ( L , d i ) , (\d ) l cc khng gian metric. b) S hi t

theo d hoc f i t n g n g vi hi t
theo xc sut. 2 1 . G i s T l m t tp khc 0 tuy . tf {K(s,t),s,t 6 T } l hch i x n g xc nh d n g (ngha l K(s,t) K{t,s), vi
2 2
I 50
V(.s. ) e T . J]
',; i
C i C j H i i , /.,) > 0 v i m i ??.; ,
t 7" v
C i , . . . , C' K ) . C h n g m i n h vng t n t i x c s u t p d u y n h t t r n (R ,(R )) t ( X

t T r
sao cho v i X x
t n
l n h x c h i u t R
i: }
l n , = R, vc t). Xt trng
) l gauss v i cov(X ,
X ) = Ki,
h p T - [0; co) v /r(s, ) = A i -= n i i n ( s , ) . X c n h p h n p h i d n g t h i ca Xi,,. .., x v i 0 < ti <<!:.

t i
K VNG IU KIN 22. T r n (Q. T.F) E(A'|) nu " (0; 1|. ( | 0 ; l . ); A l o Lebesgue. T n h
- ( l ) ; l / 3 | , { l / 3 } , ( l / 3 ; l / 2 ) ) cn X c dng a) xu)) - u>; b "(w) = w ; c) 2 ^Y(c) -= L c n Q t h u c mt, t r o n g c c d n g .sau:

a
- u;;
) - ( | 0 ; 1/31,11/3; 2 / 3 ] ) , b) Q -- {A e B(\0, l ) : = x e A: \ - xe cg (mhx{2XA}).
.4}},
2 3 . G i sir Q\. -2 l hai - i s c l p . X l b i n n g u n h i n b t k c k v n g . C h n g m i n h r n g E ( x \ g n

x 2
) = EX,
( h.c.c).
2 4 . G i s A v V l hai b . n . n c l p c n g p h n p h i c k v o n " h u hn. C h n g m i n h rang: E(X\X I K) E O " ' I V ) - (h.c.c).
H y rin/ r n g cho l i h i n n g u n h i n (lc l p c n g p h n p h i . 25. G i s Qi.Q'2 - l m t d y g i m ( t n g n g t n g ) c c -(l : H con. A' l b . n . n k h t c h . H y t m E(E(...E(x\g )\g. )...\g ).
l i n
26.
Gia
s
r
X
2
l b . n . n
c EyY
2
a.T\,T2
hai
1 7 - i s
(lc
2
l])
A") --- E{X\J ),X
---- E(Xi\F )-
X c n h p h n p h i cua , Y .
157 27. G i t h i t rng (n) l dy cc b.n.n c lp. cng p h n phi v S'fc X i + + A'fc, /c > 1. Chng minh rng
E C X i l S V ^ S n + i , . . . ) = 5'n/n, (h.c.c).
28. Chng minh rng D E ( X | ) < D I . 29. G i s 0 < a < , 0 < /3' < vo: + (3 < 1; X v Y c k vng hu hn. Chng minh rng E(\X\ *\Yf\g)
n r
<
[E(\X)] [E(\Y\\g)f,(h..c.c).
30. G i s ( X ) l dy b.n.n c lp, Y l b.n.n c p h n g sai h u hn, E V = a. Chng minh rng i E ( y | X ! ) + E(Y\X )
2
+ + E(Y\X )\
n
* a.
3 1 . Gi s (Tt) l dy tng cc -i s, X l b.n.n vi E | X | < oo. Chng minh rng vi e > 0 b t k P( sup
l<fc<n
\E(X\f )\
k
> ) <
E\x\/e.
32. Gi s Xi,... ,x l cc b.n.n c lp cng phn phi u trn [0; 2a), a > 0. t ~x = (Xi + . .. + X )/n. Chng minh rng
n n
E(x\
max l<Jt<n
Xk)
\ max 2 n
Xfc.
l<fc<n
2
33. Gi s
yY
v Y l hai b.n.n sao cho EX -E(x\g)) /g\, - E(x\g))(Y

2
< DO, E K
< oo. t
D(x\g) = E$X covg(x, Y) = E\(X Chng minh rng DX cov, = ED(X$ +
E(Y\g))\g\.
DE{X\g), + cov(E(X|
),E(y|).
Y) = EcvQ(X,Y)
158
Chng 5 S H I T CA DY PHOI
BIN NGU NHIN V PHN
S hi t a dy bin ngu nhin theo mt s ngha khi nhau ng vai tr r t quan trng trong l thuyt, xc sut. Troii c h n g ny. cc dng hi t: theo xc sut, hu chc chn. trunj b n h bc p, s hi t yu ca dy p h n phi s c nghin cu Trong cc chng sau ta s thy rng cc dng hi t theo xi sut. hu chc chn v hi t trung bnh n g vai tr then cho trong Lut s ln; cn s hi t yu l i t ng nghin cu chn] cia nh l gii hn trung t m . 5.1 S h i t u ca c c b i n n g u n h i n Gi s X\.
X'2,...
l dy cc bin ngu nhin (b.n.n) cng x e cho gn, t
n h t rn khng gian xc sut c nh (, T,F). d n g k hiu ( X ) ch dy b.n.n.

n
5.1.1
Hi
tu theo
xc
sut.
Dy b.n.n ( X ) c gi l hi I
n
theo xc sut ti b.n.n X nu vi f. > 0 bt k lim
\\x - x\ >
n
e\ - * 0.
159
S hi t theo xc sut c k hiu l X
y X.
Trong l thuyt, hm bin thc, thut ng hi t theo xc sut chnh l hi t theo o. 5.1.2 Hi tu hu chc chn. Dy b.n.n ( X ) c gi l hi
n
t h.c.c n b.n.n X nu tn ti tp A c xc sut khng sao cho X (u>) > x(u>)

n
vi u> A.
S h i t h.c.c c k hiu l X 5.1.3 Hi tu trunq bnh.
h n
^>'
X.
Dy b.n.n ( X ) c gi l hi t theo
n n
trung bnh bc p (0 e}<
sut.
0 <p < ao
suy ra rng hi t theo trung bnh bc p ko theo hi t theo x c
D i y, ta s thy s hi t h.c.c suy ra hi t theo xc sut. i u ng c l i ni chung khng ng. Tu}' vy, nu dy ( X ) l
n
dy t n g hoc gim hi t theo xc sut n b.n.n X th x T h t vy, gi s ( X ) l dy gim, X

n n
^>
X.
A X. Bng cch xt * 0. Nu (X )
n
- x ta c th
coi (X )
n
gim, X = 0 v X
khng
GO
h i t h.c.c t i 0 t h t n t i e > 0 v b i n c A v i P ( / l ) > > ( sao cho

A->n
v i aj A v ? t u y . N h u n g x ( c ) -----n
8U)A\.(o;)
n n /
[X,,. > | v i m i ri v d o
P|^n
>
e} > (A)
>
, T >
1.
i u n y m u t h u n v i g i a t h i t x 5.1.4 inh l. x
h n
>X.
>' X
khi v ch khi, vi > 0 6 k,
Fsup\x
A->n
- x\
> ! - > 0. r - > oe.
(5.1)
Chng
minh.
t z
n
= supIXA- - X | .
<r>n
R r n g , yY
h e r
X k h i v ch k h i Z
0. N h n g ( Z ) l d \
r l
gim, nn z
0 tng irng vi z
> 0 hay c n g v y , t n g
n g v i (5.1). Nhn xt. TT h t h c
\\x -x\
n
>E\
|sup|X -A'|
f r
>f|,
k>n
suy ra r n g . n u X
h n
>' X t h n
X.
161
H qu.
Nu
chui
co
J2n\Xn-X\>e)
n=l
hi t vi
> 0
ty th X
X.
Chng minh. \su \X

V k
V i mi > 0, ta c
co
-x\>e\=
(\J[\X
,. oo K=n
- x\>
e\)
< ^V[\X
k=n do
CO
-X\>e]-^0,
7 W oo
J2^{\ n-X\
n=l
> e j < oo.
5.1.5 (tng
Dinh
ngha.
Dy ( x ) uc
n
gi l c bn theo xc
sut
ng h.c.c, theo trung bnh bc p) nu vi > 0 bt k P|X

n
x\
m
> e\ y 0 khi m , n > oo,
(tng
ng
n m
P[ sup |ATfc - X i l > e] -+ 0 , E | X - x | -Ôkhi

fc,/>n
n , m - oo).
M i n xi
i u kin P sup |Xfc - X > e ->

fe,/>n
0 khi
n -> oo
162
tng ng vi i u kin P s u p \ X - X \
m n
> \ > 0 khi T > oe.
m>n
i u suy t cc bt ng thc:
sup\x
m>n
- x\
n
n
- Xi\ < 2sup | X

m>n
x \.
n
M i n l i 2. t z kin P[ sup
fc,i>n
= sup \Xk X\. Dy ( Z ) gim. V vy, i u

n
k,l>TL
- X\ > e) > 0, n > oo vi > 0 bt k tng 0 v do , tng ng vi z

n
ng vi i u kin z
0.
i u cng c ngha l vi xc sut 1. dy ( X ) l dy c bn trong R. Khi chng minh cc nh l gii hn ng i ta th ng dng b sau. 5.1.6 k . B e Borel - Cantelli. Gi s (An) l dy bin c bt
a) Nu
ao
^(A )
n
< oe
n=l
th P(limsup ^n) = 0.
T
b) Nu Y (A )
/ n
= oo
n=l
(An)
c lp th P(limsup ^n) =
163
y,
OQ oo
lira sup An = Pi
n=
(J
m=n
.
m
Chng
minh.
ao
a) V ( u
j 4 ) > ! l dy gim nn
m n
oo
oo
P ( l i r n s u p y t ) = liraP( I I An) < lim V
'
P(i4 ) = 0.
m
m = n
7n=n
b) N u dy ( j 4 ) c lp th (n) cng c lp. Do

n
oo
oo
p( f Do , ta c
oo
m)
F(m)
oo
oo
0 < p( n
co
m ~ n
)
m
= ] p(i
771TI p
) = ( m=n
P(4 ))
m
<
J
m TI
-PM )
m
m~
TI
( y, ta s dng bt ng thc X < e ,

T
0 < X < 1).
oe
oe
T , P(
n
ni
T
0 hay P(
n
u
m=- n
m)
= , v n h vy
P ( l i m s u p i 4 ) = 1.
n
.He gud 1. Gi s (e )
n
l dy s dng
0. Khi nu (5.2)
ao
Y^rdXn-XyEnXoO
n=l
i 64 th X Chng ^>
c
X. t An \X x\ > e \.
n
minh.
T (5.2) v b B o r e l -
Cantelli, P ( l i m s u p ) = 0.
n
N u Ui . I i m s u p v 4
n
t h t n t i Nu))
sao
cho
\x (u)
n
- X(u>)\ < e ,
n
n >
n
Niu).
D o . x (uj)
n
x(u>)
v i UI l i m s u p y i .
n
qu
2.
Gi
s En >
0, TI, >
+1
^r ^n
n
< oe. Khi
nu
-x \
n
>e )
n
< oe
X no , hu
(5.3)
n /i day ( y Y ) hi t h.c.c
n
bin
ngu
nhin
hn
h.c.c. Chng minh. .t An = [\X --i

n
Xn\
>
En li t
(5-3)
v b
Borel-Canteli, P(lirnsupi4 ) = 0
n
N u LO l i m s u p , 4 n hay
t h t n t i N(u>) sao cho Ui . An v i n >
Nu))
|X
i -
* | < e,
n > J V M . \X i(u>)
n+
V y , k h i ui l i m sup n , c h u i s J2
n n
x (u>)\
n
c c c s
h n g b t r i b i c c s h n g t n g n g c
a c h u i h i t ] T En b t
165
u t s h n g N(u>). D o , t n t i g i i h n h u h n
oo
Xu)
= lim x
= Xy(u)
+ ] T [x (u>)
n+l
X (oj)}
n
n=l
vi m i H c , Chng qu
l i m sup A ,
n
c bn theo xc sut, th c th n bin ngu nhin rt. ra X no
3.
Nu
dy (n)
n i c
mt
dy con ( X
) hi t h.c.c
minh.
T a chn d y = no < n.\ < ...
< ifc < . . . b n g q u y
n p nhir sau. t no
rik--1 > n.k sao
1.
cho
G i s d c h n c rifc.
Khi tm
\\x
nk+l
- XJ
n
> 2- \
< 2-\
n
k = 1,2,...
i u c t h t h c h i n c do d y ( X ) c b n theo x c s u t R rng
5>|*
*
t + 1
-x
\ > 2- \
<J22- <
k
oe.
T h e o h q u 2, d y (Xn )
k
h i t h.c.c n b i n n g u n h i n X
no
. 5.1.7
Tiu chun nhin Cauchy

n
hi
tu theo
xc
sut
Dy c
cc bin
ngu
( X ) hi t theo xc sut
khi v ch khi n
bn theo xc sut. . ,
166
Chng Diu \\x

n
minh.
IP
kin - x
m
cn. \
G i s X [\x
n
> X. x\>
n
K h i , v i e > 0 b t k e/2\
m
>e\<
+ P|X
- x\
>
e/2),
t , cho n ,
771 *
oo t a c P [ | X
X\
n
> e\ * 0.
i u fcin . D o h q u 3, n u ( X ) c b n theo x c s u t t h t n t i d y con ( X

n k
) h i t theo x c s u t n b i n n g u n h i n
n o . T v t bt n g thc
F\\x
- x\ > e\ < \x
- x \
nk
> E / 2 \ + F\\x
nk
- x\ > e/2
,
t a suy r a i u p h i c h n g m i n h , b n g c c h cho n * oo, T. > O O . D 5.1.8 t h.c.c Chng Tiu chun Cauchy
n
t> s
hi
tu
h.c.c. ngha
Dy h.c.c.
( X
hi
khi v ch khi dy ( X minh. G i s x ^
) c bn theo
X. K h i d , do
sup \Xk Xi\ n k>n (>n
v g i t h i t suy ra d y ( X
n
) c b n h.c.c. mc
o l i . N u ( x ) c b n (h.c.c) t h theo n h n x t 2, 5.1.5, v i x c s u t , c c d y (x (uj))

n
c b n t r o n g R, d o h i
t t i x(u>) t
no .
X(u>)
t i Ui m g i i h n t n t i t i UI m g i i h n k h n g t n t i
Xiu)
0 K h i , xn
h
X.
n h l d i y m r n g n h l 4.5.4.
167
5.1.9
nh a) Nu
l dy bin ngu nhin

n
(\X \ )
n
kh tch u vi p > 0 ^+ X. % X th X e , ' X

p n
no v X v {\X \ )
n p
> X th X ty
p n
v X X
n
b) Ngc
li, nu ( X ) c , u.
* X
kh tch minh.
n
Chng
a) N u x
X th theo h qu 3.1, tn t i mt dy con ( X
hi t h.c.c n X. Theo bo Fatou, E\x\

p
= E(m|*nJ ) < mE|X J

p n
< supE|X J
n
< 00.
k
T bt n g thc
nx
- x\n
^
< 2 (E\x \n
n
n
+ E\x\n )
A
v gi t h i t trong a) suy ra (\X M t khc,'do X

n
x\ )
k h tch u .
n
X nn vi mi e > 0, {\X
-X\>e\-+
0, do tm c no sao cho E(\x K h i E(\x

n n
- X\n -x>e])
Xn
< e,
vi mi n > no.
- x\*
= E(|X
- X| I||
Un e]
X n
_ |
X
< e
|) +
E(\X
- X\n _x\> ) c
<e
+e
vi mi n > no.
i u ny chng minh X X . b) N u x n ^ X th X e . Do
n p
supE|AT| < 2 s u p ( E | X n - X +E\X\ )

n n
< +oo.
168
V i > 0 b t k, tm c no sao cho E | X T p hu hn cc bin ngu nhin \x\ ,

p
n P
x\
< E v i T > no
n o
\X\\ ,.
.. , | ^
k h tch
u nn tn t i > 0 sao cho khi A T v p(yl) < ta c E(|A"| .]U) < e,

P
sup E | X | U < E
n
k<riQ
Khi
E\X \n
n
< 2 (E\X
p
X\n
p
+ E\X\ )
A
< 2
p + 1
e.
v i m i n = , 2, V y ( | X | ) kh tch u . Theo bt ng thc Markov, vi mi > 0 [\x -X\>e}

n
<
_>0
ôo.
Cho nn x -> X . / T qu(inh

n
l Lebeggue
v hi tu bi chn).
Gi s x
va E(sup | X | ) < oo /i /i
n
E|J
- X I -> 0,
EX-EA\
Chng minh.
p dng nh l 5.1.9 vo dy ( X ) vi lu ( | X n |
n
k h tch u v chng b chn b i bin ngu nhin k h tch. Nhn xt. Gia cc dng hi t xt c mi lin h sau: x
h n
^> X => x
X
n
(nhn xt ca 5.1.4) (dng bt dang thc Markov)
=-* X => x
> X
Tuy vy, ni chung khng c cc du ko theo ng c l i .
169
V d 1. T r n (|0; 1], ( | 0 ; l j ) ) , l y p l o Lebesgue. t

Xk,n
.*p
<
k<
K h i , dy bin ngu nhin

- ^ 1 , 2 , ^ 2 , 2 ; -^1,3) ^ 2 , 3 ) -^3,3)
h i t theo x c s u t n k h n g , n h n g k h n g h i t t i bt. i m n o ca o.
V d 2. L y k h n g g i a n x c s u t n h t r o n g v d 1. t x R rng X
h n
= e . I | 0 ; i / | , T. > 1.
0 n h n g v i m i p > 0, -0|
p
E\x
- oo
(n-oo).
5.2 S h i t u ca c c p h n p h i
C c n h l g i i h n i v i c c p h n p h i n g vai t r q u a n t r n g t r o n g l t h u y t x c s u t . n g h i n c u v n n y t a a t p
vo tp hp cc p h n phi xc sut. 5.2.1 c inh ngha. Dy hm phn hm F
X
cn
phi nu
( F ) xc
n
nh
trn
gi l hi t cn bn n F (x)
n
- > F(x), cc im
C ) tc ca hm F. K
(5.4) hiu
trong
C(F)
l tp hp bn l F
n
lin
s hi t cn
> F.
170
Nhn
xt.
a) Hm gii hn F nhn gi tr trong [0; 1], v l hm khng gin: nn c t h chn F lin tc tri t i mi i m . Tuy vy F c th khng l hm p h n phi xc sut. Tht vy, gi s ( F ) l dy h m p h n phi c xc i
n
n h sau
{
n=l,2,... R rng F R . 5.2.2 inh ngha.
d n
0
1
nu
nu
L_
X >
<
T,
A F, F khng l hm p h n phi (v F = 0).
b) nh ngha 5.2.1 c th m rng cho dy h p h n phi tron
Dy hm phn phi (F )
n d
c
n
gi l hi ti F,
d
yu n hm phn phi F (trong R f(x)dF (x)

n d
) v vit F
nu (5.5 w.
l
f(x)dF(x),
e C (R )
h
y Cfe(R ) l tp hp cc hm s lin tc b chn trong Nhn ) vi F

n
xt. Nu k hiu p , p l cc o Lebesgue-Stieltjes t n g n

v F th (5.5) c t h vit n h sau: f(x)F (dx)
n
f(x)(dx),
n
e C (R ).
h
(5.6
Nu F
l hm p h n phi ca X ,
F l h m phn phi ca X l
(5.5) v (5.6) c t h vit l Ef(X ) n
E/(X),
/C (R ).
f c
(5.7
171
b) S h i t yu ca cc o xc sut p trong khng gian metric tng q u t cng c nh ngha t n g t . C t h , gi s ( P ) v F l cc o xc sut xc nh trn (S, , p) trong s
n
l khng gian metric. 5 = B(S)

n
, l khong cch trong s. Ta bo

n
dy ( P ) hi t y u n p v vit P f(x) (dx)

n
A p nu / 6 C (,S).
b
/ /(x)P(dx),
5.2.3
inh
ngha.
Dy cc o xc sut ( P ) gi / / l i cn
n
n n o xc sui p nu Pn(^) -> P(A) ni m i J 4 G <s m F() = 0, rong ^4 / bin ca tp A. S hi t c 5.2.4 inh k hiu l P
n
A p.
n
l. Nu dy cc vc t ngu nhin -chiu ( X ) cng X th dy hm phn phi tng ng (F )

n
xc nh trn mt khng gian xc sut hi t theo xc sut n vc t ngu nhin hi tu yu n hm phn phi F ca X. Chng minh.
d b
chng minh F bt k.
F ta chng t rng (5.7) n g .

n
L y g e C (R )
K h i , y(x )
a
g(X).
d
T h t vy, vi
f. > 0 tuy tm c tp K \x
= {x R K\
a
\x\ < a} sao i o
< e/2.
Hm ( lin tc u trn Ka+1 nn tn t i 0 < < sao cho khi x,y e K ta c

a + U
\x-y\<
172
T [\g(X )
n
- g(X)\
> ) = [\g(x )
n
- g(X)\ [\g(x
n
> e] [x
e K\ +
a
)-g(x)\>e][x
a
#K }
a
c [ \ x - x\ > ; X e K ) + [X
n
K\
a
[ \ x
- x \ > 6 \
n
[XKa).
T
D o , n u no l s sao cho \\X P [ | ( * n ) - g(X)\
x\ > } < e/2 k h i
> no t h
> e\ ) + P X / C a i
< e/2 + e/2 = e. V > 0 n h t u y . n n

n
(j(X )
n
> t / ( y Y ) . T r v t s b chi:
c a g, d y ( g ( X ) ) t h o a m n c c i u k i n c a n h l Lebesgue, VI hi t b c h n . V t h
5.2.5
inh
l.
Gi s P , ri > i ) P / c c o x c .sui. A7i

n
c c i u fcir .sa?/ tung f a ) F (b) (c)

n
ng:
^ P ; A th m P ( y l ) <
n
Vi mi tp ng
(A); F(A);
Vi mi tp m A th MmFJA)
n
>
() p Chng
A P.
minh.
4
() = (6). K h i u / v ( x ) = e " ^ * ' - ) ,

y / c 5' v p(x, = inf{/9(x,y),y e }.
173
R rng \img (x)

N
I (x),
[A]
y \A} l bao n g ca A. Nu p
n
A p th theo b Fatou mip (i4) < m / g (x)F (dx) Js

n N n n
= / Js
g (x)F(dx).
N
Cho yv oo v s dng nh l Lebesgue v hi t b chn, ta c finp (i4)

n
< mi
g (x)F(dx)
N
I F(dx)
A]
= F(\A\).
(5.8)
Do
mjp(i4) < (A)

n
nu
A-ng. (b) => (c). Trong (5.8), thay ,4 b i ' \ ,4 ta c m P ( S \ .4) < P([S \ i4]) = P(S \
n
y ^4 m i n trong ca A. V y p(,4 ) < mP04). chnh l (c) nu l y (c) = (ri). G i s P ( a 4 ) (5.8) v (5.9) ta c p(^4) < liinP(j4) < InPn(i4) < (\A\). A-m. = 0, ngha l P(|i4|) = P ( ^ )
H 0
(5.9)
= P(i4). T
Do , l m P n ( ^ ) = mPn(A) = P ( A ) . (d) => (a). G i s g l h m lin tc b chn tuy v Slip \g(x)\

X
c.
K hiu E
= {x s : g(x)
= s}, s R. V E , s 6 R l r i nhau
a s
v ng nn := { e M : P ( )
0} k h n g q u m
c .
Do
174
. v i > 0 bt k, ta c t h lp mt p h n hoch o n c; c bi cc i m
- c - So < S i < < s
m
= c
sao cho
Si E, = 0 , . . . , m v S j J Si < e, i = 0 , . . . , m .
+
t Bi = {x : Si < g(x) < S j + i } , dB c E t

m
Si
= 0,. ., , rn 1. Ta t h y
uE
ai+i
=* P(fli) = 0, * = 0 , . . . , m - 1.
1=0
K h i 0 < g(x) g (x)

t
< e vi mi ff(i)P(dx)
6 '. Do
(
/ ,(x)P(di)- /
m
< m / \g(x) - g (x)}F(dx) +
+ T < 2c.
SiiBi)
- (Bi)}
n
+ / \g (x)
t
- g(x)\F (dx)\
n
<
Cho r 0 ta nhn c lim / s ( x ) P ( d x ) = /

n
ff(x)P(dx).
nh l c chng minh. By gi t a bn v: Mi lin im.
h gia hi tu yu v hi t
Trn (R,
( R)) cho p, ( p ) l cc o xc sut, v F, (F ) l
n
cc h m p h n phi t n g ng.
175
5.2.6 F (x)
n
inh
l.
Gi s F, (F )
n
l cc hm phn phi sao cho dc
+ F(x)
vi mi X D, trong D l tp hp m
n
tr mt trong R. Khi F Chng minh.
> F.
a) u tin, ta cn chng minh F
A F. Gi s X C(F). < F(x") F).
Khi F (x').
n
tm c x',x" D sao cho x' < X < x". Do tnh cht em i u khng gim ca hm phn phi, nn F(x) F (x)
n
Do M\F(x)
n
- F (x)\
n
< F(x")
Cho
s! \ X,
x"
vi lu
e C(F), ta c
- F(x) < 0. - F {x")
n
\mi\F(x)
n
T o n g t , v F(x) - F (x)
n
> F(x')
n
nn F (x").
n
l i m [ F ( x ) - F (x)\
n
> F)
T , cng nh trn, ta c: lim|F(x) - F (x)}

n
> 0.
Vy F (x)
n
- F(z),
G C(F).
b) Cho e > 0 tuy . V C'(F) t r mt trong R nn tm c a, b 6 C(F), a - ft, V F (b)
n
- F (a)
n
- F(6) - F(o) nn c no sao cho F ( 6 ) - F ( o ) > - e vi

n n
T,
> no.
176
G i s g l h m s lin t c b c h n ( b i s C ) t r n R, > 0 c c h n sao cho

X,
y e a; 6], |x - y\ < 6
IPO)
<
m
< e = , sao che
Chn
;
m t p h n h o c h a = to < t | 1 - t i < . t
+
<
. 6 C ' ( F ) ,
= Y l
i=0
9(ti).I[
UiU+l
)(x).
K h i | g ( x ) ( x ) | < e v i X a; b) v
E
SI
R\[o;6)
- / g(x)F (dx)\
n
< (i)F (dx)| +

n
lim!
g(x)F(dx)-
/
R\[a;fe)
+ lim
a;b)
| (x)
-0 (z)|F(dx)e
+ 1 /
J\a;b)
(z)F(dx)-
/
Ja;b)
g (x)F (dx)\
n
\g {x)
e
-g(x)\F (dx)
n
a;b) Tri
< 2Ce + It + l i m | y
1=0
(i)|F [i; t
n
i +
i ) - F ;
t
i + 1
)||
= 2(C + l)e. V e > 0 n h t u y , n n l i m / g(x)F (dx)=

n
g{x)F{dx).
177 Nhn xt.

d
1) n h l 5.2.6 v n n g n u t h a y R b i R gn n h k h n g thay i . 2) T a t h y c c m n h sau t n g cmg:
v i cch chng m i n h
(A) (B)
(C) (D)
Pn^P; Pn-P;
F F
n
^ F ;
n
A F .
T h t vy: (.4) () (B) (C) ( c n g m t ngha).
& ( B ) ( n h l 5.6). ( D ) v n u X e C*(F) t h P { a ( - o o ; x ) } = 0 n n F (x)

n
-> F ( x )
( D ) => ( 4 ) ( n h l 5.2.6). 3) N u F lin t c t h F T h t vy, n u s u p | F ( x ) - F(x)\

n n
sup | F ( x ) - F ( i ) | - 0.
n
- > 0 t h F ( - o o ) = 0, F ( + o o ) =
n n F l h m p h n p h i v F Ngc li, gi s F
X
n
A F => F
F .
n
F. K h i F (x)
- F ( x )
vi m i
R. D o F lin t c u t r n [o; b\ ( y a; 6] c c h n sao cho
v i f > 0 cho t a c F(a)

Set.
< e, F ( 6 ) < e), n n c = (5(e) > 0
jho \F(x) - F(y)\ <

F-
vi
X,
y a; 6], | x - y\ < .
C h i a I a; >| t h n h c c o n b i c c i m chia a = ao < a i < < a

m
= b
178
sao cho max | a f c i dfcl < . T n t a i s no sao

+
cho
TI,().
m a x \F (a )
fc
n k
F(a )
k
< e vi n >
K h i , nu
< ao t h < F (a )
n 0
| F n ( x ) - F(x)\ Nu
X
+ F ( a o ) < 2e,
n > 77.,,.
>b
th \l-F(x)\ < 2f.,

ri >
| F (x)-F(x)|<|l-F (x)H
J n n
<
+
F (b)
n
+ 1 F(b)
7*0.
N u a f c , a j t i ) t h v i n > T?o \F (x)

n
- F(x)\
= \F (x)
n
f c +
F (a )
n k
+ F ( a , ) - F(a )
n k n k k
+ F(o,) - F(:f)| \F(u )

k
< F (a
n
i ) - F ( a * ) + \F (a ) ) - F(a )
k
- F(a )\
FL
< F(a
n
k + l
+ 4e < 5e. n > no
T m l i s u p \ F ( x ) F ( x ) | + < 5e,
5.3 Compact t n g i
N h b i t , d y h m p h n p h i (F )
n
c xc nh bi
< n
0 F (x)
n
vi
X X
hi t u v
vi
>
F ( i ) - > F ( x ) = 0,
n
Va; 6 R. N h vy
H n i g i i h n F ( x ) = 0 k h n g p h i l h m p h n p h i .
cn phi t thm nhng iu kin ph t m

t dy h m p h n
179
phi hay tng qut hn tr mt h cc p h n phi xc sut c t h rt. ra mt dy con hi t yu. i u dn n nh ngha sau. 5.3. inh compact ngha. Mt h cc o xc sut { P , a e M} gi l
a a
tie ng i nu t mt dy bt k ( P
)n ca h
lun
lun c th trch ra mt dy con hi t yu. T n h compact t n g i ca mt h xc sut lin quan v i t n h cht. t r mt theo nh ngha sau. 5.3.2 Tnh tr mt. H cc o xc sut {P ,cv e M }
a
xc mt
nh trn khng gian metric o tc (S,B(S))
c gi l tr
nu vi mi e > 0 u tn ti tp compact K c s sao cho supF (S\K)

a
< . xc nh trn R
(5.10) uc gi l mt.
H cc hm phn phi { F , a e M)
Q
tr mt nu h cc o xc sut. tng ng l tr
K t qu sau ch r mi lin h gia hai khi nim c n u trn. 5.3.3 Dinh l Prokhorov. Gi s s l khng gian metric mt.
d
kha l
ly, y .
Khi , mt h cc o xc sut trn (S,B(S)) i khi v ch khi n tr
compact, tng
Ta s ch
n g minh nh l trong tr ng hp s = R . ch
n g minh ta cn kt qu sau. 5.3.4 nh
d
Trong
l Helly.
T mt dy hm phn phi bt k ra mt dy con (Fn )

k
(F )
n
trong R ,
c th ri c
hi t n
mt
180
hm F no ti nhng n iu khng gim, AÂ

2
im
thuc C(F),
ong thi
F l
hm
lin tc tri v xeR ,h h ,...

u 2 d
. . . A ^ F ( x ) > 0,
,h. >.
d
(5.11)
Chng
minh.
L y tp D = { x i , X 2 , . . . } c R
TT
gm t t c cc i m
Xfr m cc toa ca chng c dng j - , m , p l cc. s nguyn. R rng D t r mt khp ni trong R . Dy s (F (xi))n
n d
b chn trong R nn c mt, dy con Dy s (f\n(x2))n
Fi (xi)
n
hi t n mt s c k hiu l F(x\).
hiu l F{x2)Nh vy
cng
b chn nn c mt dy con (F2n(x2)) hi t n mt s c k F {x\)

n
-*
F(xi) = 1,2. (k = li 2, ...) sao cho = F(xi),i = l,...,fc.
F2n(xi) ^> F{x),
T i p tc q u t r n h ta c cc dy (Fkn)n,
{Fkn)n
c (Ffc_ ) , c > v
l n n n n n
lim
nt + oo
F (xi)
kn k
Xt dy n g cho ( F {F (x )) kn k n
) .
n n
Vi x
D bt k ch c fc
n
phn t u tin ca dy s ( F ( x f c ) ) Do .lim F (x ) ri 0 0

nn k
c t h khng thuc dy
F(x ).
k
Hm F mi ch c cho trn D c cc tnh cht n i u t n g , nhn gi tr trong [0; l v A ^ A ? . . . A ^ F ( x ) > 0,

2
xeD, < E D, /la, hd > 0.
h = (hy, h , . . . , M
181
T h c t r i n lin tc tri h m F t D ln ton b R : F(x) = lim

yD,yx
F(y).
d
p dng nh l 5.2.6 (m n cn n g trn R ) ta c F {x)

nn
- F ( x ) ,
X C(F).
H i n - n h i n , h m F l n diu tng, lin tc tri v thoa m n (5.11).D Chng minh nh l 5.3.3. Xt s = R p h n phi F (x)
a d
v thay cho P
ta xt hm
= F (00;
a
x).
a
Diu kin
cn.
G i s h { P , a M } compact t n g i cR
d
n h n g tn t i > 0 sao cho vi mi tp compact K sup {R \K)

a d
> e.
rf
T suy ra vi mi tp m dng (a; 6) c K s u p P ( R \ ( a ; ) ) > .

Q d
ta cng c
bt In
dng (n,n)
thc ny
rt
ra
rng
vi mi
khong
= ( - T , ?) X ( - 7 , n ) X . . . X (n, T)
> J d
tm c a
M sao cho P(R \/ ) >,

n d
n > l .
a
T gi t h i t v tnh compact t n g i ca h ( P ) , suy ra tn t i dy con (P ) sao cho P

a?>
p, trong p l o xc
182
s u t n o .. V R \ / a
l t p n g , n n ( n h l 5.2.5)
:= m *
(R<Vm) E.
k
d m
*
m
n h n g k h i m t oo, P ( R \ / ) 0, c n a vi n
k
> e v i m i ni. T h t
n
> m,
nrik
{R \I ) > P
m a
f c
(R \I J.
T suy ra
N h vy, n u cho m > oo t h < ma

m
< l i r a P ( R \ 7 ) = 0.
m
m
iu kin .
m
E M) l h t r mt, v ( P , ; )
n r I
M u thun chng minh iu k i n cn. G i s h ( a

rt)
l d y con v i d y h m p h n p h i t a n g n g l (F
7
).
Theo nh cho
l Helly, c m t d y con, k h i u l ( F , ) v h m F. sao F (x) -> F(x),

7
X e
C(F). |o;6) sao cho
T b t n g t h c (5.10) suy
ra c m t h n h h p
F a ; ) > e (e l s d n g c h o ) . K h i v i X > b. F(x) V s > 0 n h t u y n n > F(a; l i m F(x) b) > - . - 1. rng
T n g t ta cng chng minh i r c F(x) >
khi m i n ( x i , . . . , X) oe.
T h e o n h n x t sau n h l 5.2.6, ta c F ^
7
hay P
7 n
p.
y , p l o s i n h b i F.
183
Bi t p
1. G i s n * X,
Ching minh rng X ? 2. C i a s x a) nX
n
n
Y ^
n
Y.
Y(li.r.c). t )'. C h n g m i n h r n g !>Y;u,b e R.
* X. )',, bY
n
- * ti X
b) X Y
3.
-+
X.Y.
l d y b.n.n. sao cho \\X \
n n
G i s (X)
> c
> O > v i
n 1 , 2 . . . . , {(In) l d y s .sao cho a X a ->0.

n
> 0. C h n g m i n h r n g
4.
C h n g m i n h r n g d y ( X ) h i t theo x c s u t n X k h i v
n n(
chi k h i m i d y con (vY J u cha m t d y con k h c h i t n 5.

rn)
h.c.c
X.
n
C h n g m i n h r n g , d y ( X ) h i t theo x c s u t n b . n . n k h i v chi k h i v i m i
f. >
m
0, t n t i no sao cho v i > f.) < t.
T,
ra > no
F(\x
IP
- x\
6. G i s x minh rng f ( X 7.
n
+ a v / . l h m Borel c o h m t i X - a. C h n g
) -= f(a)
n
+ f'(a)(X
- a) + ( X
- a)Y vk
n
0.
G i s ( X ) l d y b.n.n v t n t i b.n.n X c n g v i m t d y
k>l
s n g u y n d n g (rik)
sao h.c.c
cho
X,
n
- X max
\x
Xn _
k
0,
/c > oo
Chng minh rng X
> X h.c.c.
184
8. G i s X X n
*
h.c.c k h i l > oo v h.c.c khi

TT
+ oo.
C h n g m i n h r n g t n t i h a i d y con ( w . f c ) Xm 9. G i s ( P )
n n k
fc>1
, (i*)fc>i
s a o
cho
* X h.c.c k h i /c oo.
l d y c c p h n p h i x c s u t t r n (R, # ( R ) ) , n; p th
t h i p ( { a ; } ) = 1, 71 > 1. C h n g m i n h r n g n u P n ^
x X 6 R n o v p ( { x } ) = 1. N g c l i c n g n g . 10. G i s p , Fi, P2) l d y c c o x c s u t t p t r u n g t r n t]

n
s n g u y n . C h n g m i n h r n g P v i m i s n g u y n 11. k.
n
p k h i v ch k h i F (k)
n
> (k
Chng minh rng F l i m s u p F (x

n
F k h i v ch k h i
+ 0)
n
< F(x + > F(x)
0)
Vx V i R
e R
l i m i n f F (x)
n
12.
G i s p h n p h i n g t h i ca x , Y
n
hi t
yu n
pha
p h i c a (X,
Y).Chng
minh
rng
x + r - X 4 y.
n n
13.
Gi s A n - i X . C n g khng khng nh
x -x0. d
n
p
n
14.
C h n g ra i n h r n g n u x
A X, Y
A 0 th
b) x y -? 0.
n n
185
15. G i s / ( x ) l hm Borel c o hm ti X = 0. Chng minh rng, nu X Y --> Y, Y > 0,th

n n n
X [f(Y )-f(0))f'(0)Y.
n n
16. G i s x 4 X, D(X )
n
- EX
n
< 00. Chng nng rng - EX.
17. Gi s X
- X. Chng minh rng D J < liminf D I ,

n
E|X| < l i m i n f E | X | .
n
18.
Gi s x
X vsu E|X|
P
< 00, (r > Ono ). Chng
minh rng E\x \

n
n
- E | X | , ( 0 < s < r ) .
19. G i s x ^ X. Khi a) nu limsupE|X| < E\x\

TI
th\E\X
2
- x\ - 0;
n
b) nu l i m s u p E | X |
n
< E|X|
th E|X
- x\
-> 0.
TI
20. Gi s
(An),
(Y ) l hai dy b.n.n sao cho

n
oo
p ( | x - y | > e ) <00.
n n
n=l
Chng minh rng t x ^ a suy ra Y -^ a. 21. Gi s ( I n ) l dy b.n.n , l dy b.n.n nhn gi tr nguyn dng, 7n c lp vi (Xk) i vi mi n. Chng minh rng
n n k>
a) nu 7n
oo v X
* x,th
l n
> X,
b) nu
-* oe v Xn - i X , th X -X.
7
186
22. F(\X
n
G i s X, n, Ki, n > l c c b . n . n , Xu * X, Y\
n n n n
v (e. )
n
< f . | X | ) l , n > i vi m t d y cc b.n.n
li
no m e 23.
A 0. C h n g m i n h r n g v A
n
X. F. C h n g m i n h
n
G i s (F )
l d y h m p h n p h i v F
r n g t n t i k h n g g i a n x c s u t ( f , T. ) v c c b . n . n X. X
n
. r? >
t r n d sao cho, F, F , ri > l c c h m p h n p h i t a n g n g v n - * 24. X(h.c.c). E V
G i s T> l t p c c h m p h n p h i t r n R. i v i F,G
ta t d ( F , G ) = i n f { c > 0; F(x
n
- f.) - f. < G(x)
< F(x
+ f.) 4 f., X e
R}.
) X c n h rf(F, F ) y F l h m p h n p h i u t r n [0; 1] c n F l h m p h n p h i c d n g b c t h a n g sao cho
F (-+0)-F (-) = - i
n n
77
77.
Vi
b ) C h n g m i n h r n g r l k h o n g c c h t r o n g V. s h i t theo metric
r/
c n g l h i t theo p h n p h i , v k h n g
HII
(>.
/)
metric y . 25. C h n g m i n h r n g v i m i d y b . n . n (x) sao cho X

n
tn ti dy hng
s (An) 26.
/ A
>0
/.c.r. t r n b i n c A t h v i u
C h n g m i n h r n g n u n AT h.c.c
f. > 0 t n t i b i n c B c A P(i4 \ B ) < sao cho ( X ) h i t n X t r n B . ( y l n h l E g o r o v ) .
187
Chng 6 H M C T R N G
Hn) c t r n g (php bin i Fourier ca hm phn phi) l mt cng c gii tch r t quan trng nghin cu cc nh l gii hn ca l thuyt xc sut (Lut s ln, nh l gii hn trung t m ) . C h n g n y t r n h by mt s tnh cht, c bn ca hm c trng, cc mi quan h khng kht gia h m p h n phi v hm dc trng: cng thc ng c (hay quan h duy nht), quan h lin tc. Phn phi chun nhiu chiu cng c cp kh chi t i t .
6.1 i n h ngha v cc t n h cht ca h m c t r n g

G i s X (2, F.P). v Y l hai bin ngu nhin thc xc nh trn ( i-n v o) l phn t ngu nhin
K h i , X + iY
nhn gi tr t r n m t phang phc. Ta nh ngha E(X nu EX

dc
4 iY)
=- EA' f EY
v EiY xc nh .
.. Y\) v (X<2, Y') dc l}) .
D d n g t h y rang hai bin ngu nhin Xi + Y] v X-2 I > Y-i

lp khi v ch khi (X]
6.1.1
inh
ngha.
Hm
Y
s = Ecos tx + i E s i n tx, R X. (6.1)
(fx(t) c
:= Ee"-
gi l hm c trung
ca bin ngu nhin
188
D t h y rng, nu Fx (x) l hm phn phi ca bin ngai; nhin X th <px(t)= N u X c m t f ( x ) th <Px(t) = / e f{x)dx.
n tx
e dF(x),
x
teR
(6.2;
(6.3;
Gi s a; = ( x i , . . . , x ) , y = (vi,..
n
,Un) R - Tch v hii|
ca X v / c cho b i (x, 2/) := Xxy! + rr j/2 + + x y .

2 n n
6.1.2
Dinh
ngha.
n
Gi s X = (Xi,....
x ) l vc t ngu
n
nhii
nhn gi tr trong R . Hm c trtng ca X l hm >x(t) - E e ' "

l ( Y
= / J
e ^' dFx(x),
x)
e R".
Ta xt vi v d c t h . V d . G i s X ~ B(n,jj) c
n n
(tc l X c p h n phi nh
t h c ) . T
VA" () =
/r=0
e"*C*pV-* - E
fc =0
n ( p e ) v ~ * - (pe"
t )".
V d 2. Nu X c p h n phi Poisson vi tham s A > 0 th
*-()
'
*=(>
V d 3. G i s X c p h n p h i c h u n A(0,1). <p(t) = 4=
VZ7T
Khi
i t e
-** dx
J-oe
L y o h m theo
- 4= /
V27T V^TT
4 0 0
i x e
, t x - x
2 d x
J-oo
+ OC
e"*-**
1
dx
'
V27T
co
= -MONh vy, </j'() = - y > ( ) . T <p(t) = N h n g fi(0) = n n c Ce-.
v do *>(t) =e-^
Nu yY c p h n p h i A/"(a. ( 7 ) t h
2
X = Vy <px(t)
+ a = Y
+ a vi V ~ ^(0,1;
= Ee itx
ltx ita Y
= T? Ee UY + ito =
= e .<f ((Tt)
6 .2 M t s t n h c h t c a h m c
trng l h m c trng
G i s X c h m p h n p h i F v ip(t) n. K h i
190
(a) M O I < ^ ( 0 ) = ,
\<p(t + h ) - <p(t)\ <
2y/(-ie>(h))
t r o n g R.ez l p h n t h c ca 2 , (b) ip{t) lin t c u (c) * > ( - ) = t r n R,
(d) i/?() l h m t h c k h i v ch k h i X c p h n p h i i x n g ngha l X (-B). (e) n u v X c n g p h n p h i hay t n g o m g (B) -
vse6(R);
X v Y c lp th
ipx + Y{t)
do , n u Xi...
.\'(0-r(0.
teR,
., x
c lp th
T{X:
Y,(0
n
n
fc=1
T.
/eR
'
(g) n u E | ^ Y |
< 00 v i T > n o t h if>{t) c o h m ]
cp n t i m i i m v
sp^Ht)
- /(iz)*fc
i t x
dF(x)
=- i * E ( , Y V
, A
').
r
/r~-:()
t r o n g . | o ( ) | < 2 E X | , a , ( ) - 0 k h i 0.
n T
o l i , nu
<p(
2 m )
(0) t
n t i v h u hn th E X
"
<
oe.
y 70 l s n g u y n d n g n o d .
tn
Chng minh. - <p(t)\ = | E e " ' ( e A l h Y
(a) \<p(t O )
1)1 < E\e -
ihX
= v ^ E l - c o s / i X ) = v/2(l Nhng
M<p(h)).
|1 - ? M / i ) | = E ( l - c o s / i X ) - 0 v ( ] - c o s / i X ) - * 0 k h i T
/? > ( ) . ( cos /?YY) < 2 v n h l Lebesgue v h i t b c h n . suy r a ( b ) . (c) l h i n n h i n . (d) N u X c p h n p h i i x n g th sin txdF(x) nn tp(t) = castxdF(x)
i A
= 0,
R.
a v
(e) N u vY v Y dc l p t h e V?A-+r(0 (g) T
v e
cng c lp . T =
*.Y()-*V)-
E<: E\x \ < o i

n
MXY)
=Ee
i A
".Ee"
suy ra
l t x
E\x \ < 00,

/
V; - , T .
Do d,
sup
|zxe
|dF(z) <
| x | d F ( a ; ) < 00. di
T h e o n h l Lebsgue v h i t b c h n , c t h l y o h m d u tch p h n . Suy ra tp'(t) = iEX. xe dF(x),

ttx
ip'(Q) -
B n g quy n p , t a c h n g m i n h
c r n g if k h v i n c p -ti: M t khc \ '
z
A:!
n!
192
= y y || < , a (t)
n
-ÊX
+ ^p(EX" +
n mx
a (0)
n
= E\x (e
- 1)1 v \a (t)\
n
< 2E\X \.
n
S 0
dng nh l Lebesgue v hi t b chn, ta suy ra rng a (t) khi m = l , gi s ip"(0) tn t i , h u hn. Ta c

v
t > 0. chng minh i u ng c l i , ta d n g quy np. V i
^ 2 ^ 0 ) + ^ - * )
n-To
/ ihX
e
_2
= lim E . -2 l i m E
h-0
7^
COS
hX
Theo b' Fatou,

EX
2
= 2E lim
-TP
< 2 lim E
( 2 m + 2 )
= ->"(0)
<
+oo.
G i s mnh n g vi m, v ^ (p( \t)

2m
(0) t n t i , h u hn. Khi
tn t i v lin tc trong mt ln c
n ca t = 0 v (-l)
m
x dF(x)
2m
= & \t)= ' Ta ch rng (-l)V () >() : = i ' V G(+oo)

2 m ) m
(ix) e dF(x)
2m
ltx
= (-l)
/
R
x e dF(x)
2m
ttx
/ \ t x , G(x) = / e d J _ G(+oo)
t t t x x
+ 0
C(x) l h m d c t r n g ca p h n phi xc sut -. Theo gi t h i t , G{+oo) . -'' (0) t n t i h u hn nn

2>
/
v /
H
R
H
( + Oo)
j:
2 m
+ dF(x) = /
x dG(x)
<oo.
6.3 C n g t h c n g c Ta b i t , m i bin ngu nhin u c mt hm c t r n g h o n t o n xc n h . Trong mc ny, ta s khng nh rng m i h m

c t r n g xc nh duy nht mt h m p h n phi t n g ng. 6.3.1 Cng thc nqc. th
e e
Gi s F l hm phn phi v if l
hm c tncng
ca bin ngu nhin X. Lc ,
a) Nu dvy C(F) /'(;,) - F(x)
1 [ (,-itx _ -ity = f - lim /
2 >(t)e-' * t;
(6.4)
(b) Nu ngoi ra ip(t)/t no ca 0 th F(y) - F(x)
kh tch trn phn b ca mt. ln cn
e~ e.~ = -- / <p(1)dt; 2TT J it

iy r
ltx
(6.5)
1 9 4
(c) Nu J
u
\<p(t)\dt
< oe th Xeo
mt f ( x ) v
f(x) = -
e- <p(t)dt.
itx
(6.6)
Chng
minh.
(c) N u (fi(t) k h t c h t h (6.6) c h n h l p h p b i n i Fouriei n g c . i u n y l k t q u quen b i t t r o n g g i i tch Fourier. (a) G i s Y l b i n n g u n h i n c p h n p h i c h u n Ai {. v Y c c h n , sao cho X v Y c l p . K h i Vx+v) R r n g ipx+Y(t) = <p(t)e- *. f Y c m t l
V it
l '
k h tch. T , X y(u) = - el t
X)e-
't.
(6.7
2 TT ..
L y t c h p h n h a i v v d n g n h l F u b i n i , t a c F+y(y) - F+ (x)
Y
=
J
g(u)du ---=
(6.8 Thay r bi
n
trong r
~ Af(0,2),
- > 0. L c Y ^ (
v do
F\+Yn ~* ^
V v y , n u X, y C(F) F(x)
th = lim \F
TIoe
x + Y
J y ) - F
Y (x)}.
n
T v (6.8), t a c (6.4).
195
(b) N u <p(t)/t kh tch bn ngoi ln cn no ca 0 th h m

e
itx
- l i u
-<p(t)
k h tch trn R. i u cng vi nh l Lebesgue v hi t b chn. c t h chuyn gii hn trong (6.4) vo trong dn tch p h n v do ta nhn c (6.5). Nhn xt sau: F(y) - F(x) vi H
X,
Trong chng minh (6.4) ta s dng nhn t k h tch.
Tuy vy, c th chng minh rng (6.4) t n g n g vi cng thc --: lim ~ <p{t)dt
C(F). 1: tnh duy nht. Hm c trng ca bin ngu tr. F(x) vi nhin
qu
xc nh hm phn phi ca n mt cch n Chng F(y)

H
minh.
T (6.4), p(t) xc nh duy nht F(y) Cho X > oe n h n g v

n thuc C(F)
= ( X x
n
x. y e C(F).
Ttit
. ta nhn c
cch n tr.
2. Gi s X
qu
) i >x! f X i > x
cc
hm c trung
ca X, Xi...., X
n
Xn tng
ng.
Khi , iu
kin
cn v Xi,...,
c lp l
xt:
/) - v x M ) ,
A-
(h
in) 6R".
(*)
Chng minh.
K hiu F = F, Q
F\ X F X . . . X F
2
trong Fk
l hm p h n phi ca Xi;.
196
Nu Xi,...,
c lp th (*) n g . o l i . n u c (*) th
do v tri l h m c t r n g t n g ng vi F, cn v phi tng n g v i Q v do h m c t r n g xc nh h m phn phi tng n g m t cch em tr n n F = Q ngha l X i , . . . , x

n
c lp.
6.4 inh l v tnh cht lin tc

G i s (>n) l dy hm c t r n g , ( F ) l dy h m phn phi
n
t n g ng. M t v n ny ra l nu (fn(t)
> >(t),t R th ip c
phi l hm c t r n g khng. ng thi n u ip l h m c trng th d y (F ) c hi t y u khng .

n
K t qu sau s t r li v n t ra. 6.4.1 inh l. Gi s (F ) l dy hm phn phi xc sut v;

n
((fn) l dy hm c trng tung

<Pn(t) =
ng;
71 =
e dF {x),
itx n
1,2,...
) Nu F
((fin)
A" F (F l hm phn phi xc sut no ) tt ng vi hm phn phi

F
hi t n hm c trng (*) <p(t) = e dF(x), Ju

itx
(6.9;
2) Gi s <Pn(t) > <p(t),t R . Khi cc mnh sau tm u ang (a) ip(t) l hm c trung, (b) ip(t) lin tc ti t=0, (c) dy ( P ) tr mt, y
n n
v F ^> F, F ng vi p.
n
l o xc sut sinh bi
F,
n
n = 1,2,... minh.
n
Chng
1) Suy ra t s hi t yu F ^ F.
197
Thc vy , v F
n
> F nn v i mi h m g Cb(R) (tp t t c cc
h m lin tc v bi chn trn R) ta u c / g(x)F (dx)

n
-> /
g(x)F(dx).
T , nu ly y(x) qu sau . B . ng.
= e
i t x
th ta nhn c (6.7).
2) R rng () => (6). chng minh (b) => (c) ta cn n k t
Gi s F l hm phn phi v if l hm c trng
tng
Khi
Jx>
dF(x)<a
J - a
[ -<p(t)\dt,a
> 0
(6.10)
Chng minh.
f+a
v phi ca (6.10) bng

1 r+oo pa
/- + 0O
L
a j _
a
( - e )F(dx)dt
itx
= -
/
+ o c
/
J - a
( -
e )dtF(dx)
Ux
(IJ-OO
/ Vy f l i - <p(t)\dt = 2 /
+ 0 0
s i n ax. , _ , . ( )dF(x). ax
|1 -
^]dF(x)
a x
a 7 -a
J-OC
> 2
ax
>2 /
7|x|>2
( - 7^-7 w * )
M
> /
7||>
d F
( )-
B c chng minh.
198
B y g i t a c h n g m i n h (6) => (c). l i m sup

n
S d n g (6.10). t a c
J-a
/
J\x\>2/a
dF {x)
n
< l i m sup n 0
\\ -
p (t)\dt
n
= - \\-f{t)\dt. a J-a
(6.11)
V ip lin t c t i t = 0 v >(0) = n n v p h i c a (6.11) c t h ln; n h t u y , m i n l c c h n n h . N h v y , v i e. > 0 cho. tm c o

e
sao
cho / dF {x)
n
< 6 v i n , 2,. . .
N g h a l ( P ) t r m t .
n
(c)
( a ) . G i s ( P ) l h t r m t c c o x c s u t . Thee
n n
n h l P r o k h o r o v , ( P ) l compact t n g
i . D o . t n t i d j c o n {T!) c (r) v o x c s u t p sao cho
Ta chng minh rng p p. G i s, ngc l i P cho / g(x)F (dx)

n n
-i*> p . L c . t n t i h m e 6fe(R) sac
g(x)(dx). cho
D o , t n t i e > 0 v m t d y (ri") c (l) sao I / g(x)Vn"(dx) y(j-)(dx)\
> f , Va"
L i do (P'<) compact t n g
i lin t n t i d y con ( P . ) v e x c s u t Q sao cho p . 2* Q, Q / p v v l i m <(/) - f ( 0 - ' n
199
nen lim Do / e " P ( d i ) = / e Q(dx),

x tlx
e F,
n
ltx
(dx) = lim
.{dx).
n
tx
teR
Nhng hm c t r n g xc nh h m p h n phi mt-cch n tr, v vy p = Q. Mu thun chng t rng p

n
p.
D i y l m t p dng ca p h n g p h p hm c t r n g v o lut s ln. 6.4.2 Lut s ln. Gi s (Xk) l dy cc bin ngu nhin c
lp c cng phn phi,
vi k vng chung l a hu hn. Khi

X'2
Xi +
+ +x
:
p -> a.
n Chng minh. t s
n
= X\ + x% + + Xu v tp l h m c t r n g
ca X]. Khi <ps /n(t)

n
= >s(t/n) =
[<p(t/n)\ .
Theo 6.2.
At
, , ,
ri)
Ha t - - 1 4 ^ +
ri
TI
,t.
n
trong rt) -> 0 khi t -> 0. Do ,
^., ,(0
n/
= |1 - . r . ( - ) |
TI
ri
khi n - 00.
200 C h rng e
l t a
l h m c t r n g a b i n n g u n h i n X = a v
a
h m p h n p h i F (x)
: 0, F (x)
a
<
a
rt,
>
v X = a l i m gin o n duy nht. TT v nh l 6.2. ta re

vi mi e > 0 9 _ 5 _ ' P | - oi < ej = p a - e < < a + e| > ria - e/2 < a.
6.5 inh l Bochner

Trong nhiu t r n g hp cn phi k i m tra m t h m phc bii t h c c l h m c t r n g hay k h n g . M t t i u c h u n c n u d y t h u c v Bochner. 6.5.1 Hm xc dng
n
nh
dng.
Hm gi tr phc dng
g(t),
t e R g / e
l xc nh v Z\,.. ., z
nu vi TI nguyn
bt k J\
6 c bt. k ta c
n
]T g ( t - t ) z z > 0 . fe,(=i
k t k
(i.12
H m x c n h d n g c c c t n h c h t sau:
(a) 9(0) > 0;

( b ) g(t) =
(c)
^F;
|flf()l<5(0);
201
( d ) V i m i t, s R ta c \g(t - s)f < 2 ( 0 ) | ( 0 ) - fty(t - s)\.

(6.13)
T h t vy, (a) suy t (6.12) vi n = l . T (6.12) suy ra

g{t)zZ + g(-t)zz
2
c gi tr thc v i Zi, Z2 bt k. i u ch xy ra khi g{t) g(). Cc tnh cht k h c c suy t n g t. 6.5.2 Dinh l Bochner. iu kin cn v hm g(t), t R lin dng.
l hm c trng tc ti t=0, g(0)l Chng minh,
ca phn phi xc sut no l hm g(t) v xc nh
T gi t h i t , g lin tc t i t = 0 v bt ng thc
(6.13) suy ra g lin tc u . Do nu z(t) lin tc v k h tch th / g(ts)z(t)7)dtds > 0 (6.14) exp{ t itx}
2 2
v hu hn (theo n h l Pubini). N u chn z(t) th ta c

1
9(t -
) e x p { - e ( + s ) - i(t -
s)x}dtds
h u hn v > 0.
t s = u, t + s = V, ta c / = e~ y/2Th(x)
l
vi
h(x)
: = / g(u)exy>{
* ' ^ 2
iux}du>0.
D d n g t h y r n g h.(x) k h tch trn M v

<p (u)
e
:= g(u)exp{--^-}
.2.,2 * X
/ T J
e h(x)dx.
lux
202
h(.T
Cho li -- 0, t a n h n c f N h vy. c t h coi /', ( x ) n o . Cho

F. +
4p-dx
1.
l h m c t r n g ca h m phn ph: 0 l i m )((li) -- ( ) .
T h e o n h l 6.4.1 v g i t h i t # lin t c t i 0. S U Y ra g(u) c t r n g ( n g v i h m p h n p h i F l g i i h n y u ca k h i f. > 0). i u k i n c t h i t l p . i u k i n c n l h i n n h i n . 6.6 Mt vi nhn xt v hm c trng ca
l h n >f
phn
ph
nhiu
chiu cha
1
H m c t r n g ca vc t ngu nhin c t t c cc t n h ( v i s t h a y i c h t t t r o n g p h t b i u ) n h k t r n vi hm Xi.... ni

EX[
t r n g ca p h n p h i m t c h i u . cho
c b i t . g i SI (ln' h]
. x
l vc t n g u n h i n sao
m
v i s n g u y n
no d. E | A \ . |
Ji
<
hu
n
oo.k
hn
. . . . . T.
K h i moment hn
chi s ) (p\,.
.X'
. . . x%"
vi mi b a
. . .]>.
m \p\ : lin t c
J>\ -{- J)
< lt. N g o i ra. t n t i c c d o h m iri
v i t t c c c
C)
|p| < TO. v
'.VI
'n ' , )i
-=
2^
5]
EXf>....V-ff
.../,"
I ..(
l'Hs< y. |/| | / ) | ) I
,9/tIp.
',,1
"li"
0 la n h n (burr
, ,_
x
l ).15):
,
, ( U f i
"
^ S r ^ T f v ( / . ./..1.
^n r
2 0 3
6.7 6.7.1 P h n p h i chun nhiu chiu Mt chun. N h b i t , vc t " (A'l x) c
p h n p h i c h u n n c h i u (xem v d 3.10) n u h m m t ca n c dang
/(') = " 2 ^ - " ' . ' ^ ' - "<>('; *' '

n = 1 7
".l}--'- e R
1
(6.17) t r o n g / = ( a j ) l m a t r n i x n g x c n h d n g . T a xt
x e m h m c t r n g c a X c d n g t h n o . cho t i n . ta k h i u X R" l v c t ct X = (xi,..., x .

n
N h vy a = ( a i , . . . , I ) '
n n
v A r l t c h h a i m a t r n c n t c h ' v h n g t r o n g R (x.y), x . y e R
n
c v i t l
. sau: (H.18)
L c , (0.17) c t h
v i t n h /(.<)
-êxp{-I(,l(.,-a).(.,-a))}.
V .4 l m a t r n i x n g v x c n h n g n n t n t i nia t r n trc: c h u n c sao cho (ch
\
d
CC
= D
Vo
> 0. ---
ri.
...
dn
t X
Cy,
C. Lc - o ) , (./ - a ) ) = i ( C a , C y ) i(,1C//)'(Cy) -.(i4 V <";/)
i(t. .r - a) -
{A(x
== i ( C . s ) ' ( C / ) .
/ACy
204
T
<px{t)= (
M
'- 'f(x)ix
C)
(fi.ia;
J " vi u,(t) =
(An^^l
(27T)
n / 2
7 "
R
n.y)-wv y
d
T--1 V 27T J R
^
1
= e x p i - ^ ' D - ^ } =.-. e x p { - ' ( C M C ' ) " * }

S
= ecp{-M- }. T v (6.19), ta c t .1/ A~ ,

l
Â-() exp{i(t,) ta nhn c
(A" i-n
j -() = e x p { i ( , a ) - ( M , ) } A
Nh vy, ta c kt qu sau. 6.7.2 inh l. Di vi vc t a R

n
bt k v ma trn i
X-ITI
xc nh dng M cp T tuy , hm <p{t) = e x p { i ( t , u) - ^ ( M / , t.)},te / /lm c tncng ca phn phi chun A(u, M) tng ng c cho bi (6.18), trong A = R
n
(6.20
vi hm. mt i
205
B y g i t a h y g i i t h c h ngha x c s u t ca p h n p h i ( h u n ri c h i u . G i s X (6.20). M = (>,,) V ( X i , . . . , X ) v i h m c t r n g >(t) c d n g

n r r V
ln</>(0 diu
\(p(t)
d)
d \mp
if
d ip
if'
1
dip
dtit
dip
dt ' di If di I
k
dtkdt
TTHjtitj
du
va
= ^ t
k -.
cho n n
t*
(=0
-41
( xem r n g t h c ( 6 . 1 6 ) ) . T
n<p(t)
covk,
Xi)
= EX Xi
k
EX EXt
k
atkdti
rt
ki-
(-(]
N h v y t r o n g (6.20) a (EXx.EX ,...,EX y

2 n
c n M c h n h l n i a t r n covarian ca X ngha l M (rov(,Y ..Y });:

; ;
,.
V c t X c p h n p h i Af(a, 6.7.3
M)
c n c g i l v c t Gauss.
B y g i t a x t c n g t h c (6.20) v i M l m a t r n suy b i n .
x c n h k h n g m . L i u ip{) c cn l h m c t r n g n a k h n g ?
206
g i i q u y t v n n y , t a t . M, = M f j , m a t r n n v c p n). R r n g , v i m i X 6 R , X ^ 0 ta c
ri
x
n
e. > 0 ( y / 1
x'M
x = X Mi
+ e]P
> 0.
Vy M
i x n g , x c n h d n g . T v n h l 6.7.2 h m
^():-exp{z(/,a)-I(M M)}
f
l h m c tnrng. ng t h i
lim v> ()
- (0 = e.xp{i(,a) -
^(AR/)}
l h n
v y?() lin t c t i 0. D o . theo n h l 6.4.1. ip(t) cng
c t r n g c a p h n p h i n o t r n R " . V c t X v i h m c t r n g n h v y c n g c g i l v c t Gauss. C c t n h t o n tr c y chi ra r

n g a = EX v M - (cov(Xi, Xj))'; .
Xt ( M ) - E [ E L i ( ^ A - - A - ) A - ] "
D(A\) >().
N u A7 c h n g r ( r < ri) t h c mt. c c h i b i r i t h c h h ] )
A-
d a d n g t o n p h n g (MI, ) v t r c c h n h
(MM) x>**
207
T . v i m i k > r, ly w sao cho 7 i

>
=--(' ,...,W) = , thay vo ta c

2
p ,
- 0 vi j ^ fc v
E I ^X,-,,,)(
L -
0:
fc
= r + l"
n.
N h vy
n
^(Xj
j=i
a j
)C
j k
= 0;
k = r +
l....,n
vi xc sut 1. Ngha l X tp trung xc sut trn siu phang /-chiu c xc nh bi T r p h n g trnh

ri
Cjk(xj
j=i
- a) = 0,
fc
= r + , . . . , n.
. 7. 4
Tng
quan
gia
cc
vc
Gauss.
Gi s X v K
+
l hai vc t ngu nhin Gauss vi gi tri trong R" v R'" t n g ng. Xt z l vc t ngu nhin vi gi tr trong R " " ' c dng
'-{
K hiu M. My, Mz l cc ma t r n covarian ca X, Y v z t n g ng cn M.Y l nia t r n covarian ca X v V ngha l - EX)(Y - EY)' = EXY' - (EX)(EY)' . MA- Y = E(X Lc / M y
Mx,Y
V M\.
My
20*
6.7.5
nh
l. Nu X, Y l cc vc ta Gauss c lp th z li , nu z l vc t
cng Gauss
l vc t Gauss v M Y 0. Nguc v M y 0 th X v Y c lp. Chng minh. G i s u R"\v <Pz(t) ^ z ( ) = exp{.(u, ) + (a e R

m
v t = ( " ) . K h i n u X v (6.21) i u) - ^ ( A f T . .)}

K
Y c lp th ^x{u)ip {v)
Y
l 6) - (Mu, EX.b
(6.22)
EY).
tc l z c pKn phi chun. Ngc l i . nu z l vc t Gauss v M.X.Y 0 th /?z c dng (6.22) v do thoa m n (6.21). V y * v Y c lp. 6.7.6 inh
l. G i s M khng suy bin. Lc E(Y\X = = x) = E V I- My.A- A f ( a : - E X ) .

c = M K X M ^
1
(6.23)
Chng
minh.
'
CA'.
R r n g z l vc t Gass v M :-- E(Y - CX)X' -= My.x - M.V --- 0.
Theo nh l 6.7.5 , Y v ' c- lp. T (l K{\X - x) E ( f C*X|X = x) - E F I 6'x = E y - CEX I r . f E V I (.' - SA').
209
Bi
tp = - l = \x = 1| = 1/2.
1. G i s X n h n g i tr - v v i F\x T n h h m c trng. 2. G i sir X i , X2, , x

n
l c c b . n . n c l p c n g p h n p h i :
- l
F\Xi
= \X
n
li
1/2. x .
n
X c ( l n h h m c t r n g ca 5 3.
= ATi +-----+-
C h n g m i n h r n g h m c t r n g l h m c h n k h i v ch k h i thoa m n 4 0 ) , x R.
h m p h n p h i t n g n g F(x) /(./) 4. C h n g m i n h r n g h m
- F(-x
p (t
^ r ^
k=(
a If COS ki
v h m
A-=l ( l y r/, > 0, yâ*

1
l c c h m c t r n g h y x c n h
cc
p h n phi t n g ng. 5. G i a sir ( v ( 0 ) , > 1 l d y h m c t r n g v (JJ) l d y s k h n g m v i Y2i> ' - C h n g m i n h r n g h m Y^Pk-Pk-)
cng
/ l h n ) d c trng'. 6. G i s
p(t,a)..n
6R
thoa m n cc i u k i n :
a) v i m i ( c n h . >(., ) l h m c t r n g , b ) v i m i / c n h , )(t, .)l o c .
210 C h n g m i n h r n g v i m i h m p h n p h i F, g(t) l h m c t r n g . 7. F(x). G i s ( f ( t ) l h m c t r n g v i h m p h n p h i t n g Chng minh rng cc h m sau: ng = >(t,a)dF(a) hm
5Mi);Kt)|V *
( t )
- U > 0;
^ - ^ y -
cng l cc h m c t r n g . H y xc nh cc h m p h n phi tng ng. 8. G i s F(x),G(x) l c c h m p h n p h i , f(t),g(t.) rng g{u)dF{u). l cc h n
c t r n g tcmg ng. Chng minh f(t)dG(t) =
9 . G i s i f ( t ) l h m c t r n g , tt > 0. C h n g m i n h r n g h m a g(t) c n g l h m c t r n g . 10. = ; J
ip(n)u - du
a) B i n n g u n h i n X c m t
f x ) = ff (
\ - i
0 - -a ) a
vi 1 * 1 <a
v i \x\ > a. X
{ 0 C h n g m i n h r n g h m c t r n g ca
rt0
1 cos at 2 . - ^ - .
211 b) Bin ngu nhin Y c mt cos ax

g(y) =
Chng minh rng hm c trng ca Y l \ 0 vi || < a vi || > a.
l>(t) =
c) S dng nh l Bochner, chng minh rng hm )(t) tun hon vi chu k 2 v ip(t) ||/ vi < a cng l hm c trng. 11. Gi st X v y l hai bin ngu nhin c lp vi cc hm phn phi F v G v cc hm c trng / , g tng ng. Tm hm c trng ca X.Y. 12. Gi s F l hm phn phi vi hm c trng ip(t) tng ng. Xc nh hm phn phi G(x\...., x ) tcmg ng vi hm c trng
n
(h,...,
n) = >(t + +
*).
13. Gi SX\,X2 a) Xi ~ ( n i , p ) , i b) X- ~ P(Ai),

= c) -V, ~ Q(a p),i
it
c lp. Chng minh rng = 1,2 = X i + x ~ B(rn + n ,p) , 2 => x .+ *2 ~ P(i + A ) = 1,2 => X i + x ~ (c*i f Q , p )
2 2 x 2 2
2
d ) X, ~J( ,f),i
ai
= 1,2=*
Xi
{ X ~N(a\
2
+ o , < T ? + jf)
2
bng phng php hm c trng. 14. Hy cho minh hoa bng l thuyt xc sut, cc ng nht thc sau: sin/2 sin n /2 cos ' 2- = / - A I COS2* -
11
212
1 5 . G i s (X) l d y c c b . n . n c l]) c n g p h n p h i v i h n i d c t r n g ~p{t). v V l b . n . n n h n g i tr n g u y n ( l n g v dc l p i v i d y (X). T m h m c t r n g c a X\ i X-2 \ I ,, theo f (t,)vk c c pit t r o n g P | i / - fc|, - - 1.2,...
1 6 . G i s
l h m d c t r n g . C h n g i n i n h l n g R*(2 t))
n 2
n
) - Sty>(t) > 4 - " ( l -
b) - b ( ) |
> 4( - I v ( 2 ) | ) . = 1,2....
< bai 6 R.
1 7 . H m c t n r n g (/?(/) c g i l t p h n n u v i 0 < c k . t n t i h m c t r n g >c{t) sao cho ~p(t) = {p(Ct)<pc-(1)J C h n g m i n h r n g sf(t) ^ 0,V e R. 1 8 . G i s X c h m c t r n g <p(t). C h n g m i n h r n g a) X c p h n g sai h u h n k h i v ch k h i t n t i c
> 0 v dy
(t,) c R, t
-* 0 sao cho \ip(t )\

n
> t r ' . > 1:
b) n u tn t i d y (/)
c R. / > 0 sao cho

0 in 00)
l ^ i l l
t h A" h u chc c h n b n g h n g s. 19. Chng minh rng nu

-
l h m m t n g v i h m ( l i
t r n g i>) - e l ' l ( 0 < tt < 2) t h / b c h n . 20. G i a s f l h m m t c h m c: t r n g i . C h n g

2
minh
r n g n u J f (x)dx
< oe t h
f' (r)x=
2
/ 5
y^di
J li
2 1 . C h n g m i n h l n g n u X l h . n . n n h n g i tr n g u y n v i h m c t r n g ^)(/,)th F\x = k
^-
b- >(t)dt,
itk
li -
0, 1 . 2 . . . .
21 a 2 2 . G i s b . n . n X c h m c t r n g >p(t). C h n g m i n h rng
a) p\x
- x i = l i m 27
I v(t)tr dt,
T
itT
b ) n u X c p h n p h i r i rc n h n c c g i tr ./]../'2.. . v i ccx c sut t n g n g P\. P'2- t h

oe y
P
A I
.fc\/_,>>f'"'
/ _ /
23.
( i n s (A") l d y b.n.n (lc l) c n g p h n p h i v i g i M .S' *

1
nguyn.
( X .
n
C h n g i i n h r n g n n ' k h n g p h i
l h a n g su V(V x c - ' . t
1 th i 0.
lTiisupPI.S. " h 24.
C h n g m i n h r a n g u n /' v ( l ci- h n ) ] ) h n p h i v i c c
h m dc t r n g t n g n g ^ v 0 th s p - ( . ; ) - ,(./)! < .
7 7
/
. / - - X .
'
\dt.
NI (lc b i t F v (7 c nit ( l /' v / t n g n g t h supi/(.r) -r/(:r)| < -- /

.1
M(0
- < >(0K
dc
.tTr , / R
25.
Gi
V !;'| CH- 1).11.11 v i g i
tr n g u y n v c h m
t r n g ?, t) t n g rnt- ('liii ni i n h r a n |P| A" A-| - P | V Ail <TZ
Slip
If
Win
0{l)\<ll.
214
Chng
7 PHN PHI LP
CC NH L GII H N THEO CA TNG CC BIN
NGU NHIN
K o l m o g o r o v t n g n i : g i t r c h p n h n c c a l t h u y t x c s u t l c c n h l g i i h n . L u t s l n , n h l Poisson v n h l g i i h n t r u n g t m l n h n g n h l g i i h n q u a n t r n g n h t ca l t h u y t x c s u t . c n h i u n g d n g t r o n g t h c t i n . C h n g n y d n h cho vic n g h i n c u c c v n d i d n g t n g q u t b n g p h n g ph}) h m c t r n g . C h n g n y c n c m t s k i n thc: v lut, chia c v h n v l u t n n h . 7.1 M t s b t ng thc ng thc sau:
Sau n y t a s s d u n g n h i u l n c c b t () N u Re a < 0 t h |e
a
l i < lai, \e
a
le" - - n | < n | / 2 .
2 2
- - a - a < ,k = ,
/ 2 \ < IM ' li. li) 111.
( 7 . 1 )
(b) N u K I < l.\b .\

k
\a\(!2
(in -
b]b'2 . 6,,|
<
i' '
^-
kTht (a) T a \e vy thy

n
li = /
e'dt\
la
e'*"Hn\ < \a\
v \"'\
< 1.
215
- toi --- I /
(e
)dt\
-= \a
Jo
(e
a n
l)du\
<
Vo < |cv |
2
/ Jo
udu
, 2 / { J - t)dt
l e " - - a - 0,2/21 =
a (b) t (e Jo
a u
- au)du\
< \af
7.0
fe
A = [ai,
k
Bk^b.
i=l
1=1
Vy B u i = (-An- 1 - n - l ) a < |,4 _, n n
+ (a
6 )B _i|
n n
ri
B _i|
n
+ \a -b \<...<J2
r n
fe = i
M -
T (7.1) suy (<)
ra
|e
i t x
< min(2|x|, - ) < 2/)I()I(Z), max(||, / ) v '

2 2
(7.3)
t r o n g h(t) (d)
- min(|ic|, X ) , (:r. 6 R ) .
le**' -
- itx
2 3
+ ^ y - l < MOsto*)
g2(x)
2 3
(7.4)
t r o n g d /?. () = m a x ( , | | ) ,
2
= m i n ( x , | x | ) , X, 6 R. tu
7.2
i n h l Poisson v t c h i
G i s (X,.) l d y b . i i . n c- l p n h n g i t r n g u y n ,
P|A', = l p,
k
Vk -
nXk
- 0]. * > 1
2 (i
i
\
k
e ~
= X+--l. |P|.s;
+X
, = P\+--thc
T
+ Pn, (k, ) sau

r
. -
0. 1 . .
inh
Ta c bt dng -|-P(/,-,A)| t
<5>? 2]T
+
i < X t i<
9jl
OA....
(7.5
Chng
minh.
= Ee
*>*() = PA-e" + ( - pk - Qk) + 7*a*() = +Pfc(e - 1 ) + 7 * ( a * ( t ) - 1).
( l y CIA -() l h m c t r n g c a b i n n g u n h i n c g i t r n g u y i K h i u Y l b i n n g u n h i n c p h n p h i Poisson tlia) s A. K I lo

n
k-..l
T
n n
ks(0-f(0i
in
-n
e P f c ( e
"~ i--
r
/
r =i
A j ) f l u n g b t n g t h c (7.2). l a c
kO-i'OIÛC)-^ '"
?
1 1
!\ )\<-
Y. ' ""k.
Jn
- l*(<"
) -
>it,(ctk(t)
s ;.
A I
l i ' . 2>
t i
i>'i^nr
'n'
(,-=
T |P[.V k - P(k, A)| \ * e - ^ ' b s j t ) 4>(t))dt\
^
r
M
r
ri
a
1 2
X > XX
*--1
CV . 1. T r o n g c h n g m i n h , ta s ( l n g t n h cht sau: n g u n h i n n h n g i tr n g u y n t h n n X l b i n
.... k]_L
|'
,-'Vv(0rf/.
C h n g m i n h i u n y k h n g c g k h k h a n . 2. K h i p,. = p, < 7 f c p t h i 6',, c p h n p h i nh t h c P(.v - -) & ( & , n , p ) --= c*p q - . rng

k n k
0,1
7/
Yu. V. Prokliorov chng m i n h y \b(k. rp)

A(I
2 - 7 T . | < rnin(2. ).
A
trong
7T*.
Jj-. A .Si/.
IJI.
v (lt
b ( k . n . p )
0.
V- >
/.
rvn /7:/
i;e
//<;/(.
S e m i o n D e n i P o i s s o n (21. ). 178] - 2"). 1.1 8-10)
l n h V t l - C hc - T o n hc n i t i n g n g i P h p . v i n s V i n h n ln] khoa hc Paris (1812). Paris. T i y anh sinh vin s.
s. D . Poisson sinh
1*11 i l l
hie ( v n g L o a r a ) . n m 1798 v o hc t i t r n g i hc Mch khoa ) . Poisson i r c p. L a p l a c f . .). mnh. Lagrange v c c g i o s k h t ' c h n b i nang l c c a
218
K h i kt t h c khoa hc. anh c gi l i tr ng. T n m 1816 ng l gio s ca t r n g i hc Soorbone. i vi l thuyt Xc sut v Thng k ton hc. s. D. Poissoii ('hng m i n h nh l n i t i n g v lut s ln ( m san ny c mang rn l l u t Poisson). Ong chnh l ng i u tin s dng thut ng "Lut s ln". s. D . Poisson ir c b u lm vin s danh d V i n h n ln khoa hc Peterburg n m 1826, ng cn l vin s ca nhi u vii h n lm khoa hc ca c h u A u v chu M . Tn c a s. D. Poissoi c t cho m t ming mi l a trn m t trng. H qu. Gi s cho dy tam
X i n , X'n,
qic
n >
. . . . Xnni
sao cho vi mi TI, dy Xin lp nhn gi tri nguyn. Kh

qkn
k - r l
Xan nu
P
l cc bin ngu
nhin
-> 0.
khi
oe
th
T(S k - P ( A - . A) i)(n oe)
trong
d
Sa k
X,..,]>k,,
W\Xkr,
1|
krt
---- - p A - \x
krl
-= <)|,
kr-
219 7.3 Lut s l n v i cc b i n n g u n h i n d c lp t u y Gi s vi ri -- 1,2,... c n h X\ , c lp v EX = - 0. -=

n kr
X-2n n.
Xun l ct: b.ri.11 (7.6) ri > thon
inh l. Gi s dy tam gic {Xkn,k mn cc iu kin trn v n M := ^ E m i n f l X f c n l , fc=i i vi r ( 1 ; 2| n o . Khi

n.
- ,... , n},
\x \ )
kn
0.
(7.7)
s
Chng minh.
x
fc=i
kn
0.
(7.8)
T (7.2) v (7.3) suy ra

t n
1 1
kv(0-ii
in^ "-]! ^
A : *A
< ^ hVI
|E(e."- - DI
Yt
52 | E ( e
:
fA
' " - -
fc
itx, , )\
r
fr
< /M(0E.7I(XU
,- -
'M(')M-0.
( (ly h,, ng vi r - 2 ). f f gud 1. Ci .S7 dt/ {Xkn,k ^ E |

A--=l
t n
, . . . , li}, n > /i m n f7.,) (7.9)
| < C < x ,
2 2 0
L\{ )
(
-.- ^ E O X A - J / H . Y ^ I ^ I H
1
< > ( < > 0).
(7.1<>:
Khi d s
5
in.
Ta c. v i 0 < < tuy .
n li
Cii
minh.
< Ê(|X,
7 (
|./|| ,|
A
> f
] ) I
5>(|**r/|.Y>|<,|)
.' -
< L,,(0 + f -'.C'. V f b t u y . I ( V ) * 0 nn v phi ca bt n g thc tru c l i u l m n h o t u y . T d v n h l 7.2. t a c d i u C H U c h n g n i i n h . c H

k.
qu
Khi d
2.
Gi x (X,-) l dy b.n.i
vi - 6 (1: 2| no d ,
dc lp v EA*i- =- 0 vi
licit-
"
lim - y
ri.-X /( *
Emin(\x .\.,\x .\ /n - )
k k
0.
(7.11
k -
lu
,, .
Chn ( minh.
s
Dt
-Vi XU
-* ().
/ V . L c (l (7.11
li
"*.,,
A";,/f.
tcrng (Imnt; v i (7.7). ff g?/.d ,v. <7/ s (Xi, ) (m lp cimtf phn phi -* 0 v (7.12
E(.V, - ' ' ' . / . . v , - . , | > . | ) ('<// r/ f > 0. A7;/' r? A'| i I A'
H
li.
dy
li
- E A ' i .
221 Chng minh. t Xkn = ) k < n. Lc (7.12) t n g
n g v i (7.9) v (7.10). H qu 4 (Lut s ln Liapunov). Nu vi r ( l ; 2 no
Ê\x
kth s
n
0. H i n nhin.
(Xk)
Chng minh. V
d.
E\x
k
Cho d y cc b.n.n c lp - EX \
k
v dy s (afc) sao cho

n
< c,
k = , 2 , . . .
(C - h n g s ), a
-> 0.
S dng h qu 2. suy ra dy (ukXk) t u n theo l u t s l n (LSL). Thc vy, c t h coi rng EXk 0. Ta c
ri
J2 (\akX \,\a X \ /ri)

k k k
Emin
< 77. fc=l
TY A !
J2E\a X \
k k
c
< 7 '
Va*!.
/
(7.13) M t khc, v a/,. > 0 nn
-Y>,
fc=i
->0.
T . t (7.13) v h qu 2 c i u phi chng minh.
By gi ta chuyn sang trnh b y m t trong nhng t h n h t u c sc n h t ca l thuyt xc sut. 7.4 i n h l gi"i han t r u n g t m Xt dy tam gic (Xn, 2n; , X ),n = 1,2,... gm cc b.n.n sao cho i vi mi n, cc b.n.n Xin, X'2n; ) xnn c lp
nn
222
EXkn
= 0, (k 1
T)
Y D ( X
t
) = l.
(7.14;
A-=l
t
n
= ]T
fc=l
kn<
'n
= D(Xkn),
k <
n.
7.4-1 inh l. Gi s {Xkn-k = .... ,n},ri 1.2,... l d} cc bin ngu nhin c lp thoa Tun iu kin (7. l). Khi nu vi s > 2 no ,
ri
Mi '
ÊmmiX^ .\X \ )
kn
(7.15
k=i
th Fs(x) evi // eo r G R.
*(*) = -4=
c-^rfi
(7.16
Chng
minh. c ( 7.16) ta ch cn chng t r n g n 2

n
vs [t) = l * ( / ) - e-'^|

A =-
( theo (7.2))
<
|E(e"- *" - - I t x
^L)|
^ j e - i ^ - - l +
!fL|
< ^ E ,
A- --
( f +
fc=
^ X!
4 ) )
" < h 2 ( ) V
t 02 (I AVn I) i - g max Tjf. ,

f
Din sau cng n g v M > 0. cn li phi chng l

max
A'<
li
'
ri
0.
T h t vy, vi 0 < f- < tuy ta c ; ,,

2
\x \
kn n1
< e) E ( * L | X
A
f c n
| > c) > f) >
< e + E(Aj?
2
|A- .| > 1) + E ( A " L . >
<
f.
f E(,Y |A-, >

A ; r i
1) 4 - L U
|.Y,,| >
0 (7.1
<,2
_LETnm(^ .|XA.r,n.
224
T , Rim m a x L < F [ IrrA/, , = r .

2 ( 2) 2
k<n
f. ~
ri
V f > 0 ty
V.
n n lim max
0.
Nhn xt . Trong chng minh cc bt n g linh- (7.17) ta hi vi ,.s > 2 v 0 < < 1 tuy E(Xl,\X \>
hri
c) < - ^ E n . i n ( A - , , i A ' , r ) .
(
T d
A-
T bt a n g tlnrc trn suy ra rng A/<

2 ;
-0 /
iie rtd 1. (Dinh l Lindeberg) Nu dy {Xkn.h c lp thoa mn 7.14) v iu kin Lindtbery

L \ f H i ) ( ) . (V > 0)
(7.19
th / s, (./) - * ( . / ) en then ;/;.

r
Chng minh. Ta s n h t rng (7.14) v (7.19) suy la (7.l) sau d s dng (lnh l 7.1.1 ta r kt lun. au tin. vi .s > 2 vi 0 < f < ; ta c / 7 A/<>
2
53Eniin(,YL-|A* r) < k=
fr
ri
ri
< Y,E(x' ,\x ,,\>

n k
<) Y,E(ix*r.|AV|
2
< r)
<4
2 ,
(0 + *- -
225
lmMp
n
< f"-'
I i r a 4 ( c ) =- f ~ .
ri Mr,
2 )
Do
>
0 n h t u y n n ta c l i m
r
0.
M n :c/ 2.
a) T n h n x t v c h i n g m i n h t r n ta t h y n u (7.14) t h o a m n t h (7.15) t n g n g v i i u k i n L i n d e b e r g . b) G i s (Xt) hu hn. t
ri.
l d y b.n.n c l p c k v n g v p h i r n g sai
^(x -Ex )
k k
: = ^ -
n
. B =
fc=i
{x ).
k
Khi . nu vi
f. >
0 b t k
'"
t h F . 0 ) - <t>(x).
s
T h t v y . chi c n t
Ai,,: -
EX,
. .
J-
ri.
khi . dy
{ X
. k
= ]....
.ri}, li > t h o a m n (7.14) v (7.19)
v k t l u n t r n suy t h q u . (') N u (Xk) l d y c c b.11.11 c l p c n g p h n p h

i v i ' k
2
v n g chung l a, p h n g sai chung l ,

X
th
~
Q*
nn
226
C phn phi h i t u n p h n phi chun - V ( 0 , 1 ) , t c l

lim
n >
sup
oo<x<oc
\F (x)
n
<&(x)| ~ 0,
t r o n g d F (x)
n
l h m p h n p h i c a S*, v *(*) = 4== e-*

2 / 2
d.
v27T J-OC
Q u v y , i v i d y v e > 0, L ^ ( f . ) = E[(X
l
- r i ) , I * ! - ai > en\-+
0.
C n b i t r n g t c h i t ca n h l g i i h n t r u n g t n c EXil
3
cho t r o n g b t n g t h c < oo t h i sup

-oo<x<oo
Berri-Essen,
c t h l : N t
\F (x)-9(x)\<C.
n
MizMll
V n
t r o n g c l h n g s sao cho
<c<
d) p d u n g q u a n t r o n g . t Xk 0
0,.
T a x t t p h ] ) t h B e r n o u l l i i
l p v i x c s u t t h n h c n g l p. K h i u A l b i n c t h n h c n g
n u A x u t hin t i php t h t h k n u A k h n g x u t h i n t i p h p t h t h k\ k , ...r,
T a t h y ( X k ) l d y b . n . n c l p c n g p h n p h i ch n h n h a i gi. t r 0, sao cho P(Xi = l ) = p ; P(Xx=0) = g = l - p ,
227
v n(A) = X +--l
l s l n b i n c A x u t h i n t r o n g T, p h p t h B e r n o u l l i c v i x c s u t t h n g c n g l p --- F(A). Khi , ta B t n g t h c B e r r i - E s s e n cho
lp
^
-oc<x<oc
iF. -( )i< .d<L,

w I c
VP9
V"W
trong F
l p h n p h i ca n(A)
np
T y d d n g r t ra i n h l g i i h a n t r u n g t m M o i v r e - L a p l a c e : v i e > 0, ta c
p / | ! ! ^ l _p| < \ ^
n
e
^(ey/n/pq)-^(-ey/n/pq).
1 /2),
C h r n g p g < 1/4 ( d y b n g x y ra k h i v ch k h i p = ( = do : Q(en/pq) - * ( - t \ / / p g ) ^ 2>(2fV") q k h b) 1.
T u y n h i n k h i p k h b (hay thc
th do b t
ng tm sau:
Berri-Essen, ta k h n g n n d n g n h l g i i h n t r u n g
M o i v r e - L a p l a c e t n h x p x n h v a n i t r n . G n y n g i ta ch
ng minh c c l n g m
/|I^_ ,|> }<2 - - .

2 2 7 f e
C n g t h
c n y r t quan t r n g , v n cho t a c c h t n h T. l n g x c s u t c h a b i t p ( k h n g c n g i t h i t p k h b hay
c gn
228
1/2) b n g t n s u t n(A)/n.
p
C h n g h n , v i TI = 5.000 t a c -p\ < 0 , 0 2 } > 95%.

'
{ |
TI
T n h l g i i h n t r u n g t m M o i v r e - L a p l a c e r t ra Lut s ln Bernoulli: lira

noo
p/|îl_p|
77,
<
t c l t n s u t n(A)n dng bt ng thc
h i t u t h e o x c s u t t i p. Chebyshev
C c h n g i n n h t clnrng m i n h L u t s l n B e r n o u l l i l
P { I ^ - P | <
T,
} > 1 - ^ > 1 ne
2
2nt
N h n g c lng n y khng t t . Chng hn, khi d n g c lng n y c h n n sao cho
p { | ^ i l - p < 0,02) > 95%,

n t a p h i l y ri = 12.500. Trong khi , n u d n g x p x i theo nh T h t vy, theo nh l M o i v r e - L a p l a c e , t a ch c n l y n 2.500.
l g i i h n t r u n g t m M o i v r e - L a p l a c e t h k h i ri k h l n t a c
_ p\ <
a
> 2*(2e0) -
D o d v i Xa sao cho 2<>(x ) = a t h c n c h n T l s n g u y n n h n h t t h a m n b t n g t h c 2e. a = 0,05 th x

a
> x.
a
T r o n g t r
n g hp Tuy
1,96 n n v i 6 = 0,02
ta c n -- 2500.
n h i n , c c h n y k h n g t h t c h n h x c , b i l t a c h a b i t r. b n g bao n h i u t h m i d n g c x p x theo n h l M o i v r e - L a p l a c e .
22!)
V n c h o n c v Tm sao
mu. cho n(A) p\ < t > a. Theo b t
T r o n g t h c t t a t h n g q u a n t m n b i t o n : cho t r c
a . T.
r. c g i l sai s, a l t i n cy, n l c m u . n g t h c Chebyshev t h c n c h n [4c a

2
+ 1.
T h e o n h l g i i h n t r u n g t m t h c n c h n
V ( a f
4(2 T h e o b t n g t h c tri t h c n c h n n(2/a) l t ni ( )
77.2(0:) 1.
+ 1.
Af a
4fi
113(a) =
ln(2/q) 2c
2
l p h n n g u y n ca x ) . N g i ta c h n g m i n h r
n g
lim
li
ria)
i)2(
co,
' ( M ; . ( ' 0
VI
t/i/c/ v lch s. L u t s l n B e r n o u l l i do n h t o n hc .lames
B e r n o u l l i ( n g i T h y s) c n g b n m 1713 t r o n g p h n t h t t c
230
p h m "Ars Conjectandi" ca ng, n h n g v i chng minh kh v di h n nhiu so v i chng minh dng b t n g thc Chebyshev. nh l gii h n tF>ung tm i vi cc php t h Bernoulli ( i x n g : p 1/2) c lp do n h t o n hc de Moivre ( n g i P h p ) c n g b n m 1718 trong cun sch "The Doctrine of Chances''. T t u i 18 n 21 Moivre b t P h p v c ngun gc o T i n lnh. Ra t , ng r i P h p sang A n h . T i Anh ng lm gia s cho cc gia n h q u tc. V o t h i gian Newton t r n h bn tho "Principia Mathematica" ca Newton cho B t c vng Devonshire. Chuyn k rng, khi lm gia s cho gia n h B t c ny, Moivre tnh c t h y cng t r n h ca Newton, v Moivre t h y rng cng trnh ny n m ngoi t m h i u b i t ca ng. Sau ng mua mt b n ca c n g t r n h n y l i x t h n h tng trang, hc l n l t tng trang khi i b quanh London t i nhng ni lm gia s. Moivre t h n g c m t cc t i m c p h ca London v t i bt u nghin cu x c sut b n g cch t n h t l c c c cho nhng ng i tham gia t r chai c c c. Moivre gp Newton t i mt qun c \>h n h t h , v h t r t h n h b n t h n . De Moivre d n h sch c mnh t n g Newton. N m 1912 Laplace m rng k t qu ca Moivre cho cc p h p t h Bernoulli (khng i xng) c lp. H qu 2 ( Liapunov). bc s > 2 hu hn v n Gi s dy ( x ) c lp c cc mmer
n
J2E\X -EX \
k k
7
" =
T, tin
>0
( 7
2 1 )
Khi Fs- (x)

N
->*(*). t Xkn = ^-J5, k < T . K h i M n

n 2 )
Chng
minh.
< In * 0
T v n h l 7.4.1 suy ra i u phi chng minh.
231 Ta va chng minh rng i u kin Lindeberg l F (x)-**(x).

Sn
K t qu d i y chng t rng i u kin Lindeberg cng l cn nu dy (Xkn: k = l ..p) nh u v hn (theo ngha (7.22) d i y).
r
7-4-2
nh
l Feller.
kn
Gi s dy tam gic c. lp = ,.. . , n } , n > ngha (7.22) suy ra
{X ,k
tho mn iu kin (7.14) v nh u v hn theo max F\\x \

kn
> e\ -> 0,
s
(Ve > 0). (x) > $(x)
l<fc<n Khi : (7.16) => (7.19) ngha l, t F
4
Chng minh. 7.4.1. ta c
2 )
(0-0,(v
>0).
V i cc k hiu dng trong chng m i n h n h l
\n
v |v*(t) - li < E ( | e
t X
fc=i fc=i
f c
(0-l|<yX>L.-
itx
( 7
2 3 )
* " - li, | *
f c n
| < e) + E(\e *
- 11, | X
f c n
| > )
< || + 2P(|Xfcn| > e ) . V vy, do (7.22) rap |>fcn(t) l i 0 k h i n -* 00 . (7.24)
232 Mt
ri
khc
li n
i n vuo - n ^
fc=l A
( ) _ i
i ^ E w > - ^"
A-=l
(t)_1
_ ^ |
^ ( 0 - l
- - (> (t)
kv
- 1)1
---.- 1
/,-1
ti
< ^niax|v?fc(0 z
2
1 ^ 1 . ( 0
A-<n
f te--
t < - - m a x | * > * n ( 0 - l i - 0. 4 k<n Do

n
ln^s()-^|^n()-l|-0. t ln>s(02 2 Cho , ta c

2
Theo gi thit ta c nn cng c
E('- *" -
i*A.
^LH
0.
23a
e Hm f(x) =
i x
1 7 5
is, lin tc: b i c h n b i 1/2 t r n R v c l n h cho
c h t : v i m i r > 0 c m t s cv(f) > 0 sao
S"P
<
t
"(f)-
|x|> Do .
Re(/(x) f suy ra .r Cho nn

2
)>ar)
v i |:,:| >
_ ... < -i-Re(fc a(f.)

i T
+ - ). 2
.r
E(x ,\x . \
n k n
>
e) < J - R e E ( e
l A
'- -
- i X ,
tt(r.)
T
U (-) < - T T M T , I -
2)
a(f)
v i moi f. X ) .
7.5 P h n p h i chia c v hn
Trong cc mc p h n p h i ca tng
S
n
tr c:, ta t h y p h n p h i Poisson. ) h n
phi (ly
suy b i n v p h n p h i c h u n u l p h n p h i g i i h n ca
X\j,
A 2 , , ,
. . .
x.v
Dng t h i c c p h n tuy .
c c b i n n g u n h i n c l]) n h n v h n . p h i u c m t t n h cht chung san:
N u <p(t) l h m c t r n g t n g n g . t h v i T > l u n l u n t n t i m t h m c t r n g p (l)

n
sao {-ho (7.25)
<p(t)
y.(t)\",
t e R .
234
Cu t h > (e" - 1) = e
A A / n
(e
i (
- 1)1
exp < it a
ah
exp
ra _ n
H In
M t v n t ra l l p cc phn phi m h m c t r n g tng n g thoa m n (7.25) c ngha g v p h n phi ca n c dng t h no ? 7.5.1 Dinh ngha. Hm phn phi F(x) u c gi l chia iti v hn nu vi mi T > , tn ti hm phn phi F(x) sao cho F(x) = F * F
n
* . . . * F (x)
n
F,: (x)
nin
hay cng vy
y, i f . ifr, l cc hm c trung ca F, F tng teng. Bin ngu nhin X c gi l chia c n hn nu F(x chia c v hn, hay cng vy, vi mi n > tn ti TI b.n.n t lp cng phn phi Xi,n
X'2 n i ) X n sao cho
n n
X\.n
X'2,,n
Xn.n
( y, X Y c ngha
l F\
= Fy).
7.5.2 inh l. Bin ngu nhin X chia icc v hn khi v ch khi X l gii hn theo phn phi ca dy tng S X\ +'X'2.n
n Tl
. .
cc
).TI.ri
lp
cng
phan
phi,
tc
235
c'hng minh. iu kin cn. Gi s X chia c v hn. Khi (l. theo nh ngha, vi mi T > tn t i cc b.n.n c lp cng phan phi X\,n,. . , X sao cho
n n
Sn
: X i , n f .. . +
F ,Y.
n
I ,n,
n
n > 1.
Suy ra Fs = F
i u kin . Gi s 5
&nm (^l,nm
X . Vi n c nh xt
"t" ~t~ ^ 2 m , n m ) "I" ~t~-
~l~ ~f~ ^ m , n m ) *l~ ( ^ - m + l . n m
~ f ~ ( ^ ( n - l | m + l , t i m + 4" ^ n m . n m ) '
t
y*r,m =
(-^(fcl)m+1 ,nm
+ f -Xfem.nm))
A; , . . . . r/
R rng, vi c > 0 (pn.m > c|)

(PVl.n, <
n
PV
l i m
> c,
Vi.n,
> c,
2
[Vn,m -c,
> c| <
m
PSnm < -c|
> <
-c|)
= p|n,m
< -r.
V .m
<
. . . , |y,
< Ps
n m
< -ne].
T v tnh tr mt c
a (Fs ) suy ra tnh tr mt c
a (Fy ) m > i - Theo nh l Prokhorov, tn t i dy con (m )fc>i sao
u fc
cho Y - i V i khi fc 00. Nhng V i , ta cng c

m k
= V2,m - - ^n,n nn
v<2,n, - i V2, . . . . n , . r
khi
' -
oe
v Ki y
= = Y.
n
ng thi, Ki. ... , Y
c lp. Nh vy
' V i ~* ^
23(i
s,,
lk
- " (theo gi t h i t ) , nn X Ki 4- . . . 4 Yn.
Kt qu diri y cho biu din chnh tc ca hm c t rng i v i phn phi chia c v hn ( t a p h t biu khng chng minh): 7.5.3 Dinh l (bin din Levy-Khinchin). Bin ngu nhir X chia c v hn khi n chi khi hm c trung ca n c dng
2 trong a G R, > (R.(R)) v A(0) -- 0.
J'
'
0. A(x) l o hu
hn no
trr
7.6 P h n p h i n i n h
Trong mc ny. ta s xe''t lp tt c r c b.n.n X theo p h n phi (nu c ) ca dy " , n > l gii hi
(7.26'
trong . () l dy hng s d n g v ( t t ) l dy h n g s no e cn 6',, - Xi -( X'2 + .. . x lin kt vi dy (A'/,) CH : bin ngai nhin c lp cng )hn phi. u tin. ta ch rng nu EX\ a. DA" > 0 v (}.,, im. b. th X ~ 7V((). 1). Nht vy. l p d cha ci bin ngu nhin c phn ])hi chun. Nu A"i c )hn phi Cauchy vi mt
n 2
237 rk b = TI, a. t h S / b
n
---- S / n c h m c
n
trng
<PS/n{t)
(exp{-i|i|})"=e-l'l
g h a l ',,,./r c n g c p h n p h i Cauchy v l p ni t r n c h a c c ).n.n c p h n p h i Cauchy. T h hai, nu X X chia d c v han l g i i h n theo p h n p h i ca d y (7.26) t h b i v
tt * oe
n
-- ri.. nbn
/I
Xi. K
-.
k =
l c lp c n g p h n phi. D.n. chia c v 7.6.1 hm ti cc Dinh c hng ngha. s b vi > han. Bin
N h vy, l p l l p con ca
lp
cc
ngu gi
nhin l n
X vi nh b.n.n nu c
hm vi lp
phn mi cng
phi li > , phn
F(.r),
trung
>(t) c
n
lon phi
0. a cho
v cc
X i . . . . , K,
X, sao bx
n
+ rin '
i . ..
hay
cng
vy
X
li,
/<'*"(./)
hoc ip(b t.)(

n
\<p(t)r.
T r c k h i p h t b i u m t k t q u c t r n g cho l p cc: b . r i . n n n h t a c n b sau.
2 3 8
B sao . cho Gi s x
n
- i X
v c cc hng
s b
> 0, (In, b.n.n
bx
n
ffl Y.
suy bin th tn ti cc gii hn hi
Khi
d,
nu
n
v Y khng
n
hn l i m b Chng x , X,
n
= b > 0, l i m a
= a, v Y = bX + t i .
n ita
minh. v
N u k h i u f . l c c h m c t r n g ca t n g n g t h e ">(b t)

n
l h m c t r n g
cia
bx + .. v
Vn.() ta
v(t)
(7.27) (7.28)
e ' v ( M ) - Mi)
u t r n m i k h o n g h u h n . G i s c m t d y con (fc)fc>i c (n) D o (7.28), v i c > 0 b t k sao cho ,. > +OC.
n
sup|v?(b0| V i to 6 R b t k . t n |'-n.J < < " v U)/b .

nk
- " 0>
V b
" 3C> oe n n v i - ln
Uk
D o , \ oe. T v (7.27). ^ ( ) = 1
to R t u i ' , ngha J X suy b i n . M u t h u n n y c h n g t rang t p h p c c i m g i i h n ca d y (ba) k h n g cha 4-oe. Bay g i g i s c hai d y b (7.27), (7.28), t a c \<Pn {b t)\
k nk nk
> ,
b .
nik
> 6' v 0 < b' < . T d v
->
|^n,(bn,i)| -
MOI
l * w ( w ) l -
Iv(b')|,
km,(w)l -
MOI-
239
N h vy. \(fi(b't)\
=-- \ip{bt)\ vi mi i f K , hay
b' \>p(t)\ = \<p( t =
b'\ J>\( )
] > -
n-oc.
T , Iv ?()| - v nh vy. X suy bin. Mu thun ny chng t d y (6) c i m gii hn duy nht, ngha l t n t i gii hn l i m = 6 6 [0; +oo).
n
Do (7.27) nn <Pn(b t) -> *>(6).

n
(7.29)
VI yj(0) 1. 9? lin tc nn tn t i khong (, ) sao cho p{bt) 0,

e ( - , ) . T , (7.28) v (7.29) r t ra l i m e
T
n i a
" tn t i v i mi
(, ) . Do sup | a | < oe. By gi gi s a v ' l hai i m gii hn ca ( a ) , ngha l c hai dy con (a ) v {(Imte) cho
s a o n nk
ci
fc
> a,
a.,n > '. Lc . (7.28)-(7.29) suy

k
ra
=e
te
(-6.6)
n
v do . - (/' ngha l tn t i l i m u
r
6 R.
fci<a
Theo (7.28).
V vy, nu b r, 0 th v"(0 -b i n . Mu thun chng minh r n g b > 0.

>)
t" if(bt).
v do Y suy
7.6.2 inh l. Bin ngu nhin X n nh khi v ch khi X l gii hn theo phn phi ca dy b.n.n
,
On
> 0.
Chng minh. a) N u X l b.n.n n nh th vi m i n > ] theo nh ngha tn t i cc hng s a , b > 0 v cc b.n.n X i . . . . , x c lp cng p h n phi vi X sao cho
n n
bx
n
+ 0 X i + ...
-- xn
-: s
240
hay
x \ \
bn
>!.
X.
n g n h i n (5 'n a )/b
n
h) N g c l i , g i s ( X p h i v
) l d y c c b . n . n c l p c n g p h i :
t l
>0. C h i c n xt X khng
Ta p h i c h n g m i n h r n g X l b.n.n n n h . suy b i n . L y in c n h .
S ,n = X ]
&m,n
=
t
.S'2.n
^mn
f . . . + A.
f
f . . . + A'2
^(m\)n
4" . . .
va
M,/
_ 5; , - q ,
r
.V , m
a,
"
......
m. , n
R rn":
V
' ,ri.
V
*
V
y V
A
1
V
tri
' * 'tn.n
va Y Ta lai c
n
Y',. i . . .
I V,,,,. -
V; = . . .
>..
7.30
V
"
^J L i u
~" "
r _
/ j w "... .
\
I
,,,,, .
^ 7
'
t
V
=
'-'rim
,
"niri
'K.li
b ti
m
"ni n ~
; '
1
"
7 J
"7 '-Vi
".'
"V
0)1)71.
Theo gi thit v i u va chng minh z >X,

Pm.n^n.
*m.n
Ki
' ^'1
I '' ^ ">
241
( k h n g suy b i n ) .
Theo b . tn t i
m n i
Prr, = l i m / j .
ri
------ l T n a , , 0n > 0
m n
ri
v V, f . . . +
px
m
+ a ;
m
X;
k=
,...
,n.
iu chng t X Dng tng qut
l b.n.n n n h .
ca
h m c t r n g ca b.n.n
n nh c
cho t r o n g m n h sau 7.6.3 ca inh Bin l (biu nhin ip{t) i(t) trong d, cc hng
(khng chng minh). din X l n nh vi

x
Levy-Khinchin) khi v ch khi hm c trng
ngu
n c dng
exp(j(t)) = Ha - c\t\' {\ s c,0. a thoa
+ 0-uj(\t\, mn iu v kin
)}
( > 0,
hm w (||, a) thoa
\p\ < , mn
0<
a < thc
a e R bt
k;
ng
tg w(||,a) = ,
2
nu
2
a
a = 1.
t In I I
P h n phi vi h m c trng
nu
*>(t) - e x p - c H
v i c > 0. 0 < a < 2 c g i l ) h n p h i n n h i x n g . Bi 1. tp t, Si,
n
X i 4 + x .
n
Chng minh rng vi mi dy
b.n.n
( X ) v
p>
) x > 0 h.c.c => s /n
> 0 h.c.c;
242
b)
x ^0^
n
/ n ^
p
0;
IP
c) Xn * 0 ^ d) mxXkÔ^
k<n
Sn * 0 ( ngay c k h i ( X u ) c l p ); ^
T
-^G;
e) 2. 3.
-> 0
A n > 0.
A k
G i s P X i = 2 "| = 2~ ,k Gi s ( x
> v ( X ) l d y b.n.n c l p
n
C h n g m i n h r n g l u t s l n ( L S L ) k h n g x y ra.
n
) l d y c c b.n.n c l p . Trong c c t r n g h ]
n
sau. x t x e m d y ( X a) F\X b) c)
n
) c t u n theo L S L k h n g ?
= ] = X,
n
-vH =
2n
n :
7^-, Z7)
r,
P | X = 0 ] = 1 - - , n>
r
F\x
n
= n) =
n
\x
F\x
>
.., . =- 0] = l - i
r >
n > n > l
F\x = 2 \
n
\x
-2 l = ^ -2 l
n
P | X = 0] =
2*1 + 1 '
d) P ( X
= 2"] =
\X
Fx
= - 1 ] =F[X.
, li -n \
a
2" =
> l. > L a > 0.
e) P [ X = n " | = P;A',. 4. G i s ( X
n
i,r?
) l d y b . n . n c c c p h n g sai b c h n u b i se
c > 0. C h n g m i n h r n g c t h p d n g c L S L cho m i m t r o n g c c t r n g h p sau: a) x

n
c l p v i m i Xi, i {ri , T }, ri
t
=1,2,...
b) c o v ( X , ^ ) < 0 , i ^ j , c) co\'(X ,
t
Xj) > 0 u k h i \i j\ * oe.
5. G i s ( A n ) l d y b . n . n c c c p h n g sai h u h n v c TH d y s a ( 0 ) , a ( l ) , . . . k h n g m sao cho p ( X

2 u
X j )< a ( \ i - j \ )
V(i,j),
n ~ a ( ) + Q (1) + 4 a(n - l) <7? + f ; | - > 0. 7? - > oo. C h n g m i n h r n g d y ( X ) t u n theo L S L .

n
243 6. C c b.n.n a) X\,X2,... c k v n g a, p h n g sai rng

2
v khng
t n g q u a n covX,
X j ) = 0,1 j. C h n g m i n h X2
n
X i + X2 + +
b)
a ( h.c.c), ri * 00
y
-4r > 0 ( h.c.c) k h i n > oe tron": d y;, --.
2
max
'n <k<(n+\v
\x .i
n
+ X2 2
n +
f X, - (- -
n )a\;
c) T (a) v (b) suy
ra a ( h.c.c).
li.
G i s ( x ) l d y b . n . n .
n
C h n g m i n h r n g n u c s c > 0
n
v tt > 0 sao cho k h n g t u n theo L S L . 8.
< en, DS
> an
. Chng minh rng
(n)
G i s ( x ) l d y b.n.n c l p c n g p h n p h i v i p h n g
n 1
sai
^ 0. C h n g m i n h r n g
n
a) d y ( 5 ' ) k h n g t u n theo L S L , b) d y (a S )
n n
v i (a )
n
c R b t k, a
> 0, t u n t h e o L S L . = o.n > v 0.
9.
G i s A Xi,
X-2,...
l c c b . n . n c l p , EXn
iX' > 0 c n f l b . n . n c p h n p h i Poisson t h a m s A > ri Chng minh rng

1 " VA *
1
0, k h i A 00.
10. Dy b.n.n ( X ) thoa m n i n k i n

n
244
cn u(n)
{v{v).n
>
1} l d y c c b.tt.n ch n h n g i tr n g u y n
n
> +00 theo x c s u t . N g o i ra c c h ( X rng i/(n)
) v ( f ( n ) ) c lp
Chng minh
11.
G i s ( X
) l d y b . n . n t u n theo L S L . C c d y sau c t u n
theo LSL k h n g ?
) d y
12.
\x,\,\x \,...
2
b ) d y 0,1X1,0.2X2,
n
. . . t r o n g ( l i , , ) l d y s b c h n
cho. n
G i s ( X ) l d y b . n . n
n
c lp c n g p h n phi c p h n g
sai h u h n , ( c ) l d y s g i m . C h n ? m i n h r n g r n v d y (c.X )
n
t u n theo LSL l c / n u.
n v n
13.
G i s ( X
) l d y c c b . n . n c. l p c n g p h n p h i . (u) X t xem n u (x)

n
d y s d i r n g , b c h n . th khng nh dy ( a
t u n theo L S L t h c
) c n g t u n theo L S L c k h n g ? TM c lp cng p h n )hi vi
N H L G I I H N T R U N G
t s
14.
= Xi+
n
G i sir ( x
) l d y cc b.n.n
p h n g sai d n g . C h i h i g m i n h
rng
)
b) 1/2. 15.
l i m P(a < s
l i m (S
n
< b) = 0,
(ft.be
E);
hoc
< x)
c g i t r hoc b n g 0, hoc b n g
H y ch r k h i n o x y ra c c t n h h u n g . G i s ( X
n
) l d y b . n . n
c l p c n g p h n )hi u
tr:
O; l . H y t m d y s (rin) sao cho v i 0 < p < d cho ta r lim 16. sai G i s ( X

2
P|.S' < c/ V/T7] -- p.
) l d y b . n . n (lc l]) c n g p h n p h i v i ) h i r i i | 0 ( (lay | x l l p h n nguyn r a X
v E ( [ X i | )
245
{.('} : X
\x\) v gi s lim &

noc n
> OI = .
2
tnh E{{X}). 17. Gi s (X ) l dv cc b.n .M c lp cng phn phi v i k vng bng 0, p h n g sai ( 7 -- 1. Chng minh rng
n 2
/ x f 4 K
n
18. Gi s (X ) l dy cc b.n.n c lp vi cc k vng b n g 0, ngoi ra d}- X\,X-J, AV>;.. cng phn phi v dy X2.X4, . . cng p h n phi sao cho 0 < EX' < oe,
n
0 < EX'i \JDS .

n
<
oe.
Hy tm phn phi gii hn ca S /
246
Chng 8 T N G CC B I N NGU N H I N C V L U T S L N LP
L u t s ln l mnh khng nh trung bnh s hc ca c' b i n ngu nhin hi t theo xc sut. L u t mnh s ln l mn] khng nh trung bnh s hc ca cc bin ngu nhin hi ti h.c.c. Lut s ln u tin ca James Bernoulli c cng b nn 1713 (lc Berraoulli qua i ) . V sau. k t qu ny Poisson, Chebyshev. Markov, Liapunov m rng. Tuy nhin, ph n nm 1909 lut mnh s ln mi c E. Borel pht hin. K q u ny ciia Borel c Kolmogorov hon thin (nam 1926).
8.1 S hi t ca chui cc b i n ngu n h i n c lp

G i sir (X )n>i
n
l dy cc bin ngu nhin c lp xc a

n
t r n khng gian xc sut (2, T. P). t. s

oe
- X
+ . . . I x
. I
bo rng chui )T x
n-l
hi t theo ngha no nu dy (.S'.)>
hi t theo ngha t n g ng. Nh bit, tp cc. c 6 r chui Y^X (uj)

n
hi t l mt bin c thuc T - i s ui, o c x Ngha l chui ^y, ho

TI
sut 0 hoc (lut 0-1 Koliogorov).
p h n k h.c.c hoc hi t h.c.c. a ra nh ng tiu chu n hi
247
ca chui cc b i n ngu nhin c lp, ta cn cc bt n g thc sau. 8.1.1 inh l Kolmogorov. Gi s Xi,... ,X l cc b.n.n c
lp sao cho vi mi k = , 2,. .. ,n P | | S - S f e | > o <p< Khi 1.
Pmx \s \
k
>x\<
/> Chng minh. /
P [ | 5 | >x p
n
(l.
(8.1)
K hiu . . . . \S -\I
k
{aJ : |.S'i I <
< X, \s \
k
> x), k
1.2
r,
R rng A j n .4 J
0 vi i 7^ j. T
n
P [ | 5 | >x-a\
n
>53P[|S|
fc=i
n
>x-a;Afc|
>>|S -S*| fe=i

n
<a;A .
f c
(8.2) X/r)
M t khc, | | 5 - 5fc| < a| e ( X f c + i , x ) cn Ak nn chng c l

] ) vi nhau. V t h t (8.2) suy ra
T.
F\\s \
n
> .r - 1 > Y,F(A )\\S \

k n
>x(Ak)
a\
ri
> ( p) ^
fc=i
- ( - p ) P max \Sk\ > x.
i u ny chng minh (8.1).
248
H han.
qu.
Gi s Xi, X2, , X
c lp v c phng
sai hi
Khi , max|5fc > x\ < 2 P | 5 | > X n
s/2D(S )\.
n
Q u v y , l y a = y/2DS .
n
S d n g b t n g t h c Chebyshev:
8.1.2
Bt
ng
thc ,X
(Kolmogorov) l cc bin ngu nhin c lp v
a) Gi s X\,X2,... EX
= 0, D p i f c ) < 0 0 , k = 1 , 2 , . . . ,77.
/(T 7>z > 0 tuy ta c P | m a x | 5 | >] < ^ ^ . fc<n

n
(8.3
6 j iVti c mt s c > 0 n o m P | * k | < c = , fc = 1 , 2 , . . . , n
Chng
minh.
) K hiu
A = max|5'fc| > e, Au = {ui: 5 i | < , . . . ,|5fc_ <,|5fc > e}, * = 1 . 2 . . . n .
t
24!)
Ta c
TI l
k
*
Mt khc
ES = E(S
k
+ S
- S
) H
, :-.
2
= E S l ^ + 2E(S - S *.)S*I^ + E(.v - > V ) 1 U
v 5 - 5
v S V I A , c lp, E ( S
= 0 nn E(S
- S )S l
k
k A
0.
Do ,
n
2
ti
E* > ^ E S f IU, > - J > ( , 4 * . ) k- chnh l (8.3). 1)) Ta c ES'l

A
C P(A).
= ES* 2 2
> ES* - =- PM) (8.5)

k
:--ES*-c +T P(.4). Trn ta c

ri
< e, |Sfc| < |5f c_i| + \x \
< e + c, nn
fr -
TI
n v2. <
Ak
-- Y,BSll
A---1
I 5^B(6n-^)
A
li
2 A
ri
< ( r + e) ^P(.4 .) I /;(.S\,)]TP(,U)

A-.--1 *
2
(,,)]
*.")
250
T (8.5) v (8.6) suy ra D(S ) - e F(A) > (c + e) + D(S )

n 2 n 2 1
(c + )' (c + e)2 (5 ) _
+
(c + e ) > (5 )
n
8.1.3 Chng chui
inh
n
l.
Gi s ( X ) l dy cc bin ngu nhin

n
c lp. sut.
Lc 2 X
hi t h.c.c khi v chi khi n hi t theo xc
minh. X
H i n nhin t s hi t h.c.c suy ra c s hi t hi t theo xc sut. i u c ngha l dy (S )

n n
theo xc sut. V vy, ch cn chng minh i u ng c l i . G i s

n
hi
t theo xc sut. Do , dy ( s ) cng l dy c bn theo xc sut. K h i , vi mi e > 0, vi mi > 0, < 1/2 tn t i no sac cho
F\\s
- s\
m
> e\<
/2,
> ni
> n .
n
S dng bt ng thc (8.1) vi a ='. X 2e, ta c

P( sup m<n<M |S
n
- s
> 2e)
<
- 1 - P ( | 5 M 2P(|5'M M
5 |
m
>
e)
<
5 |
>
e)
<
>
Ho-
Cho M +oo ta c P(
SUI) m<n<M
\s
- s\
m
> 2e) = < ,
lim M - . + 00
p(
m
sup <n<JW
|5 - 5 | > 2e)
m
rn. > no.
T d lira
m - t + oo
P(sup \s
rtl<n
- s\
m
> 2e) < . Nhu
V (5 > 0 nh tuy nn v tri bt ng thc trn bng 0. vy. dy (S) c bn h.c.c nn hi t h.c.c.
8.1-4
inh
ngha.
Dy bin ngu. nhin
(Z
n
dc gi l hi: t z nu
theo lut. n bin ngu nhin z, k hiu l z s Fz hay cng nhu vy, z X. 8.1.5 inh a) Chu
i l. F
z
> f z - y
l phn phi xc sut
ca
Gi s ( x ) l dy cc bin ngu nhin

n
dc lp.
Khi. , cc iu kin sau l tng X

n n
ng:
hi t h.c.c. hi t theo xc sut .

n
b) Chu
i Y^X Chng minh.
c) Chu
i Y^, x
hi t yu theo phn
phi.
Chi cn chng minh c) => b) . G i s chui Y2 X>I h i
t y u theo p h n phi nhng khng h i t theo xc sut. Ngha l dy ( S ) khng c bn (heo xc sut. N h vy tn t i > 0 v
mt y ( r n - , m ^ > i , ri ,- > iik sao cho
P(|'
n t
- SJ
m
> c) > e.
- > , (m
! oe).
(8.7)
Mt- khc, do (Ps ) hi t y u n o xc sut / lin cng compact t n g d i . Bi vy. vi 6 > 0 tn t i a > 0 sao cho
s u p P n l > 1 < e/2.
\\s - s \ > 2a\ < \\s\ > 1 f F\\s \ > a\

n m m
< z vi m i
Ngha l. h {fs-s :
m
(ni,
T).
li > UI > } compact t n g i theo n h
l Prokhorov. Ni ring, h {P.s- _.y , . A - > } compact, t n g d i . Cho nen tn t i mt dy con { P v . _,S' . A - > } hi t y u (lu
252
(lo x c sut A. N h v y . p.v T , ta c A / , v

X*t
P.V
-P.S-
_s. *p.9
)
A*a, l o xc: sut

()(B) -
/ . N h v y A = o- y
{)(B)
t p t r u n g t i 0, ngha l 0 B: li e B(R). co
- 0 n u 0 f v
ni
T h e o k t q u t r o n g c h n g m i n h n h l 6.4.2 t - sq
Pk
0.
c
i u d m u t h u n v i (8.7). V y (S ) hi t theo x c sut .
K t q u san y x c l p m i lin h
g i a h i t t h e o t r n ' bnh v hi t 8.1.6 Dinh l h.c.c. KolmogoTov : -Khinchin. Gi s dy (X.) di
lp, EX aj
- 0. Khi
Nu
oe
^ T E ^ O C
n-.\
(8.8
th chui b) Nu
x vi
hi t xc
h.c.c; dy ( X ) b chn
n
sut
u,
tc
l tn
h r s r > 0 sao
cho ' (V\\x\<c\ , v th
v nu chui
hi t h.c.c,
oe
J2EXI<OC. Chng minh.

n n
a) D o ( X ) c lp. EX
0, li > cho n n d y ( S ) h i :
n
2;
t h e o t r u n g b n h bc hai n u (8.8) d c t h c h i n . V y E(5 - sm )

2
- 0. ( T . n? - + oe).
T h e o b t n g t h c Chebyshev. d y ( S ) c b n theo x c s u t n n
n
h i t t h e o x c s u t v do d theo n h l 8.1.3, d y (.S') h i t h.c.c. b) G i s c h u i Yl Xn h i t h.c.c. K h i , v i ) l n
P(sup|5.
T . (heo (8.4)
+ A
. - s , | >)
< .
(8.9)
(c f P(sup|5
n + A
. -s\
>)>!
^
oo
Do , nu
/Yj.
co t h
p ( s u p |5'n + A - Sn\ > ) = k>
v i mi?? > 1.
i u m u t h u n v i (8.9). V y c ( 8 . 8 ) .
V d. G i s (A") l d y c c b i n n g u n h i n c l p sao EXr, 0. DXn n
cho
v tn t i s r < oe d p | A " < r I : 1. n > L.
G i s ((!) l d y s, t a s c h n g t r n g c h u i
ax
n
h i t h.c.c
2 n
^Jn <
cho n n n u
<
3 0
T h t v y , V I 53 E ( u x )'
'h
( 1 < )
n l i l 8.5(a), c h u i âx.n Ngc li. nu y Y

n
h i t h.('.. h i t h.c.c t h d y (r,,) p h i b c h n .

k
Qu
v y . n u k h n g p h i n h v y t h s c d y a.
> oe t r o n g k h i
254
> (h.c.c).
Do X
nk
> o(h.c.c).
T v nh h
Lebesgue v h i t b c h n suy ra = E X N h vy, d y (\a \)

n
* 0 ( v l ) . 0 n n d y (a .X )
n n
b c h n b i >
b t a c<
c h n b i c v i x c s u t 1.
E n th ti
n
hi t h.c.c suy ra hai chui 53EJt v Y^DX

minh. C h u i 52 DX
hi t.
Chng ) 2(X
n
< co, cho n n theo n h l 8.1.6, c h u i
EX )
n
h i t h.c.c. T d v g i t h i t ca a) ta c chile Xu h i t h.c.c. P) giu
EvY h i t . D o c h u i
b) N u c n p h i m r n g k h n g g i a n (2, t n t i d y c c b i n n g u n h i n c l p (x' )
n
v cc h (.>1 v c cng p h
(x^)n>i
c n g c l p v i n h a u n g o i ra X
n
p h i i v i m i TI. n n c h u i ^{X
x' )
n
h i t h.c.c. - x'\ < 2cj 1. The
K h i n u P | X | < c| = t h \\x n h l 8.1.6, c h u i D{X

-
- x' )
n
h i t v do
5^ D X
li !
do
ao
=
n
D(X
x;j
hi t.
L i do n h l 8.1.6(a), c h u i X X A n - EX )
n
h i t h.c.c. i u (
v g i t h i t cho t a k t l u n c h u i îX,
hi t.
255
3.1.8
inh
l ba chui
Kolmogorov.
Gi s (X )
n n
l dy
-c bin ngu nhin c lp. Khi , nu chui 53 X '.h vi mi c > 0 ba chui

(a)]T>*.
hi t h.c.c
(b)Y,DX' ,
n
(c)J2n\Xn\>c\
li t, trong x
= JO||Y|<o]-
Ngc li, nu vi c > 0 no ba chui trn hi t, th chui V X

n
hi t minh.
h.c.c.
Chng
i u kin cn. N u chui Do c bin c l 77 t G \\X \

n
X
L
hi t h.c.c th Xi, > 0 h.c.c. v

Xn{^>) *
sao cho
{A)
0 vi mi
u)
A.
<hi vi m i c > 0 v mi
G A chi c mt s hu hn cc chi
> c\ ngha l
oe
oo
A c u
fc=l
Pl | | X | < c hay P ( l i m s u p X
n
> c\) = 0.
'
"
Theo b Borel-Cantelli, chui P [ | X | > c\ < oe hay cng nh

'
n
ti
'y, Y^(X X) < oe. T v gi thit chui x hi t 1.C.C suy ra chui 52 - ^ n hi t h.c.c. Bi vy theo nh l 8.1.fj(b) hui (a) v (b) hi t. i u kin . G i s vi c > 0 no . ba chui (a), (b), (c) li t.' Khi , theo nh l 8.1.6(b), chui J2 Xt hi t. Mt khc lo ((') v b Borel-Cantelli, v i xt' sut hai chui r* x. cng hi t h.c.c.
n
X'
^ x ch c mt s hu hn cc s hng khc nhau. Cho nn chui

n
V d. Gi s ( x ) l dy bin ngu nhin khng m. Ta s chng ninh rng chui ] x

n
hi t h.c.c
<=> y ^ E m i n ( X , , ) < +oo .

T
256
N u chui
ri
n hi t li.co th theo nh l ba chui, c c

E u
chui sau hi t : P | X | > 1), ^ ( * ) . T chui
,Ep+i
Xn>
)
n
hi t. hay ] T E m i n ( X , l ) < co (v mi(X ,l) Ngc l i v rnin(X , 1) > x

n ]
= x i " + I ||.Y |>1|.)
> 0.
min(,Y , 1) > I |.V>1|

n n
nn t s hi t ca chui 5 Z E m i n ( X , 1) suy ra X]P(|A"| > 1) < o v ÊX^

}
< oe.
n
M t khc m'm(X ,
1) > ( x i ' )
nn cng c
Theo nh l ba chui, chui 8.2 L u t m a n h s l n 8.2.1 inh nqha.
hi t h.c.c.
Dy cc bin ngu nhin ( X ) c k vng hu

n
hn c gi l tun theo lut mnh s ln (LMSL) S

n
nu
E'
T
h.c.c
H (tin),
hay lng qut hn, nu ton ti hai dy hng sao cho ()
(b). 0 < b
oe
h.c.c
y s
8.2.2 qut.
= X\ + manh
+ ... i x .
n
Lut
s ln
n
Kolmogovv:
tring
hp
tng
Gi s ( X ) l dy cc bin ngu nhin
c lp vi cc.
257
moment
bc hai hu hn, (b )
n
l dy hng s sao cho 0 

n=l
0 hi t h.c.c.
(8.12)
chng minh (8.11) ta cn b sau.
B Kronecker. Lc khi
T > 00
Gi s 0 0 v A = sup I n I < oo. Ta c

n
ri
b x
ri
b
] T kk
l i
=
n-l
bk(Ak-i
- Ak) = Yl kAk-i
l
1 1
l i m - y ^ b f e X f e < iim-
b )A
k
(8.13)
k
G i s e > 0 cho, t n t i no sao cho \A \

n
< , ri > no. K h i ,
258
vi
> no
" 1 =
b
.n-l
n-l
b )A
k
<
I Y ^(bk+1
M n +
0
- b )A
k
+e
n
J2
no+l b
n o
) .
bk)
bi)
+ e(b
Do
I
l i m
n-l
6 b
71
hr z J ( * + l ln J
k) k < e.
A
(8.14)
T (8.13), (8.14) suy ra

1
fe=l
k t t h c chng minh nh l, ta ch rng t (8.12) v b t a c:
S
Nhn xt.
E 5
v-^.
EAn
On
= 2^h
On On ,
> O(h.c.c)
a) N u (8.15)
n=l
th
5
n
h.c.c.
(8.16)
n b) (8.15) c t h o m n nu dy (DX )
n
b chn u , t c l,
t n t i hng s c > 0 sao cho DX p h t b i u n h sau:
< c v i m i T.. Do , c (8.16).
K t q u ny mnh h n n h l Chebyshev v l u t y n s ln c
259
Nu
dy ( D X ) bi chn
n
u ES n
n
th
p
0.
V d. G i s {n) ( D X
n
l d y cc b i n n g u n h i n c lp v n u d y
) b c h n u . K h i
y~]
2
nlog c
j - ^ j < 00 v i 6 > 0 b t k n
(v c h u i
2
< 00). n
Or,
Cho
E^r,
nn
n log
h.c.c.
i u k i n c m o m e n t bc 2 c t h g i m n h n u t h m v o g i t h i t c n g p h n p h i c
a d y ( X ) .
n
8.2.3 phn phn
Lut phi. phi.
manh
s
n
ln
Kolmogorov: cc bin ngu
trng nhin
hp. c lp
cng cng
Gi s (x. ) Khi
l dy
-> a ri, khi v ch khi EXi
h.c.c,
a e R
(8.17)
< 00 v a HSiX\.
Chng
minh.
a) G i s E X i l < 00. x' = X I||x|<ni

n
t = x X.
n
v X"
260
V
ao
J2nK
0]
=
=
oe
oo >
x>n*n|
OG
n) =
J2n*i\
>
ni
CO
= J2
n=i
co m=n
T O
< Iîi < m + 1]

< m + l < (8.18)
mPm < \Xi\

m~
< E | X t | < co.

Theo b Borel-Cantelli, c c X " 0. C h o nn v i x c s u t ch c m t s h u h i :
^
k=i Khi x dF(x),
2
G i s F(x)
l h m p h n p h i c a X.' DX' <E{X' )

n n 2
" J
T
v
oe
TI
;W
n
= ; JJSE
n
n
m
/c ,
fcK:r</c oo -
^ 1
I ^
>;
fc
co
/
/
fc-K|x|<fc
"
0 0
oo
<
w"nx)(*-i
< 2E|X
261
(v
k
y
n K
< J f c
y
^-
( _ L _ -
< 2
v i jfc > 2,
T) K
cn v i fc = th
.si 1 ^ < 1
Vy Do theo nhn xt 8.1, (X' -EX' )
k k
+ 1 = 2).
>0 n
(h.c.c).
M t khc, theo nh l Stolz (gii tch c i n)

1
n
lim -
fc=l EX'
= l i m EX' = lim /
= x d F ( x ) = EXi = a. xdF(x)
N h vy
r
Jn
a
n
*;
(h.c.c).
(8.20)
. li T (8.19) v (8.20) ta c s /n -> E X i /i.c.c. b) o li, gi s s / n > a h.c.c v a R . V a hu hn nn

n
-^n
TI
5'n
77
1 5 _i n n
n
h.c.c.
v do vi xc sut ch c m
t s hu hn cc b i n c li A n > r I
262
x y ra. Theo b
o
Borel-Cantelli
oo
n
53P[|X | >n\ = 5 > [ | * i | >n\

n=l
<oc.
T v (8.18) t a c
oo
E|X| <
]T(m
771 =
+ l)P[m <
< m +
l <
00.
K h i theo (a), s Nhn xt.
/ n * E X i h.c.c v do a = E X i
N u E X i = a t n t i n h n g k h n g h u h n th v n c S /n
n
* a
h.c.c. < 00, EX{*" = co) t h
T h t v y , n u EX EX
= + o o (c ngha l EX'{ = Xi\x <c\

x
h u h n , ( y X{
n
vi c > 0 bt k).
Khi , ^
T.
:=
> EX
Ti
h.c.c.
(c+oo)
S. Nhng l m > l m = B X f
n n n
BXi =
+oo.
g
N g h a l, l i m n n N u iX\ = -foo a h.c.c. = oo t h c n g x t t n g t .
K t q u sau m r n g l u t m n h s l n K o l m o g o r o v . 8.2.4 nh l (Mareinkiewicz-Zygmund). S

n
Gi s {n) = Xi +... + X
n
l dy
cc b.n.n Khi
c lp cng phn phi,
v p 6 (0; 2 ) .
^ F ^ M i thi,, 0 vi mt hng s c no nu v ch nu i\Xi\ vy th c = EXi

p
(8-21) < 00. ong khi
nu <]?<!.
nh
khi />

n 1
n - 1 Q / p S n - i -ne n ' (n-iy/p
^ - >-
cc
T theo b Borel-Cantelli, chui

oe oo
1 / p
>||A"i| > n
n=
] < oe hay
n=
2 \\ i\
>
Ti)
< oo.
Suy ra , E\X\
< 0 0 (ti sao?).

p
b) Ngc li, gi s E\Xi\ cn b sau. B . Gi s Y

l n
< 0 0 . chng minh (8.21) ta
=n- ^X
n
X r
,\< -i/pn
Lc chui
oa
J - EY) hi t ft.ee.
53
n=l
//n na, nu 0 l = (fc-l) <l*il <

fc
1/p
f c l / p
u
/
>2,-..
Khi vi 0 / )
X ^ d P
Ak
[
C O
<-p
fc
<
0 0
fc=i 9 p ^ < - E X i | < 00. 9-P

p
(8.22
T r o n g (8.22), l y < 7 = 2, t a c
x>|>g <
n=l
00
^ - E l ^ r
"
<oo.
Do , chui
00
^T(Y
n=l
- EY )
n
h i t h.c.c.
(8.23
M t khc,
oe
00
5>[4^
n=l
+ Vu} = E P P G > "

n=l
1 / P
1^
i*ii
< -
T v (8.23), c h u i
00
h c c
îAr-. - EVn) hi t
^/ n=l 77 l/p
oe
E Y
( \ r>.\ < +
2 4
K h i 0 | < Vn-. /"/

n
\X \dP
l
=
oo
T T
X^dP
n=l
n=l oe fc
fc=2n=l
p
^ = p Z
~
7
fc=l
p 1
^ T ^ E / . p t
1 2
lîl rflP-- iE|^ | <00 p 1
(v 7> - 2p + > 0 = p > \(p -
l ) / p \ + 1).
i u c n g v i (8.24) t a l i c
E
B c c h n g m i n h . Theo b
0 0
X TJ- < oe
h.c.c.
B y g i t a t r l i c h n g m i n h n h l.
n=l
rc^
h i t u h.c.c, < p < 2,
jy-
h i t h.c.c, 0 < p <
S d n g b Kronecker, t a c s
n
n / p
nEXi
.0
( h . c . c ) , K
< 2 , v
i/p 5
n
0 _^
( h.c.c), 0 < p < ,

0
--ne l/p
(
v
<
<
R .
T r n g h p p = c c h n g m i n h t r o n g n h l K o l m o g o r o v . n
266
Bi t p 1. Chng minh rng mt chui cc b.n.n c lp c tng hu chc chn bng hng s th mi s hng cng hu chc chn bng hng s. 2. Gi s ( x ) l dy cc b.n.n c lp. Chng minh rng chui Y^, x ( x l i xng hoa ca X ) hi t h.c.c khi v chi khi tn ti dy hng s (a ) sao cho chui X X ~ n) hi t h.c.c.
n n n n a n
3. Gi s X i , 2, ., Ki, V2, l tp hp cc b.n.n c lp. Chng minh rng nu chui Y^(X. + Y ) hi t h.c.c th tn ti hai dy s (a ) v (b ) sao cho hai chui
n n
hi t h.c.c. 4. Gi s (n) l dy cc b.n.n c lp v ( i f n ) l dy hm c trng tng ng. Chng minh rng chui J2 X hi t hu chc chn khi v ch khi mi mt trong hai i u kin sau c thc hin:
n
a) lim I I tpk(t) = vit), hm <f lin tc ti t = 0,

n*oo fc=l
00
b) Yi fk(t) hi t ti gii hn khc khng trn mt tp c

fc=i
o Lebesgue dng.
5. Gi s (X ) l dy cc b.n.n khng m. t
n
min(x, 1).
Chng minh rng chui

n
Xu hi t h.c.c khi v ch khi chui
53 Xn^ hi t h.c.c. 6. Gi s ( x ) l dy cc b.n.n c lp cng phn phi b chn bi cng mt hng s v c k vng bng 0. Chng minh rng chui
00
53 c x
n
( trong (c) l dy s thc ) hi t h.c.c khi v ch khi

00.
n=l
c <
267
7.
G i s ( x ) l dy cc b.n.n c lp cng p h n phi v i k

n n c
vng 0, p h n g sai hu hn v ( c ) l dy s. Chng minh rng chui J2 nX rng a) nu chui Y^'EXn hi t th chui Yl X b) n u F\x
9. G i s ( X
n n n
hi t h.c.c khi v ch khi x ^ n < n
8. G i s ( X ) l dy cc b.n.n c lp khng m. Chng minh hi t h.c.c.

X
> c\
) l dy
= 0,n
> l , c e R v chui J2 n
c
n
hi t
=
h.c.c th chui 53 EXn hi t .

n
cc b.n.n
lp,
A/"(0,^),7?
1,2,... Chng minh rng chui Yl X
hi t h.c.c khi v ch khi
<
n n
10. G i s ( X ) l d y cc b.n.n c lp v m i X Poisson. Chng minh rng J2 EX

n
c p h n phi
n hi t h.c.c khi v ch khi chui
hi t .
n
1 1 . G i s ( X ) l dy cc b.n.n c lp cng p h n phi Cauchy vi mt
v ( c ) l dy s thc.
n
Chng minh rng chui Y^CnXn hi t

n| <
h.c.c khi v ch khi

n
5Z i
OO-
12. G i s ( x ) l d y cc b.n.n c lp cng p h n phi n nh i xng v i ch s a > 0 ( ngha l hm c t r n g c dng ip(t ) exp{-d\t\ },
rJ
> 0) v ( c ) l dy s thc. Chng minh rng chui

n
hi t h.c.c k h i v chi khi 13. Xi +

n
\c \
n
< oo.
n
G i s ( X ) l d y b.n.n c lp v i EX
2
= 0,n >
, v
tn t i b.n.n X v i EX h x
n
< oo sao cho vi rai n > cc b.n.n x

n
v X - Xi
c lp. Chng minh rng hi t h.c.c.
EX% < oo v i m i T, > v chui 2
268 14. G i s ( X ) l day b . n . n c l p . C h n g m i n h r n g chu
x'n h i t h.c.c k h i v c h k h i
15.
G i s ( . X n ) l d y b.n.n c l p v i cc k vng b n g k h n g
Chng minh rng nu
th chui
16.
h i t h.c.c. l d y b.n.n c lp v = 0, EX = l,EX < c\ n > , c e R; i , j > 1. t
G i s
( X n )
EX G i s {a,ij,
i, j > 1 } c R , O j j = ciji,
ri
^ ^ j j JCJCj, TI ^ 1.
I.j =
C h n g m i n h - r n g d y ( n ) h i t t h e o t r u n g b n h b c h a i k h i Vi c h k h i c c c h u i sau h i t :
hi
17.
G i s ( ^ r i ) l d y c c b . n . n c l p , k h n g m sao cho YÊXn

oe
< oe.
Chng minh rng tch ( + x
) h i t h.c.c.
n =l
269
18. Hai dy b.n.n (X ), (Y ) c gi l tng ng theo ngha Khinchin nu

n n
J>[x Y \ < oa
n n
Chng minh rng i vi hai dy b.n.n (X ), (Y ) tng a n g theo ngha Khinchin th chui ( X ) hi t h.c.c khi v chi khi chui (Y ) hi t h.c.c.
n n n n
19. Chng minh rng nu chui X cc b.n.n c lp i xng c dy tng ring (S. ) b chn theo xc sut, ngha l
n n
lim
coe
supP[|5 |
n
n
> c = 0,
th hi t h.c.c.
20. Chng minh rig i vi dy cc b.n.n c lp v di xng ( x ) nu chui ^ X hi t h.c.c th chui ^2 X ( ) c ng hi t

n n n
TI
TI
h.c.c, trong l mt song nh tuy t N vo N . 21. Cho dy s (') khng m sao cho
Hy ch ra mt dv b.n.n c lp ( X ) sao cho

n
r SA',, 0. ) > , Y l
TI
nhng
.V, + i .. . 4 Xi + ,Y. Xr,
7^ 0h.ee
+ 4- -X"
22. Gi s ( X ) l dy cc b.n.n c lp cng phn phi vi k

n
vng E X i = a hu hn v r = minh rng dy ( y ) tun theo LMSL.

n n
X.
- , n > 1. Chng
23. Dy (X) cc b.n.n c lp thoa mn a) - 1 E * 2 < oe,
270
b) EX
-> 0.
Chng m i n h r n g ^ n 24. G i s
( A n )
h.c.c.
l d y b.n.n c lp sao cho F\X

n
= -n]=F[X =n\
n
= T > 2.
Xn = OI =
T,
Chng m i n h r n g
oe
a) E
n=2
00,
b) L M S L k h n g c thc hin. 25. G i s ( x ) l d y b.n.n c lp v i E | X | < oo,n > v

n n
,E\X -x \
n n
<oo.
s
n
Chng m i n h r n g EiSVi n . O(a.c.c). tho m n cc i u kin
26. D y cc b.n.n c l p i x n g (X )
n
iX
= 0, n > v v i r > 0 n o
8U E|^r<00.
P
n
fc=l
Chng minh r n g ^ n - 0 h.c.c.
27. Chng m i n h r n g n n d y cc b.n.n c lp (Xn) thoa m n

T
DX
n
<
In n
, n > 2, (c l hng s d n g )
th d y { x ) t u n theo L u t m n h s ln.
271
28.
e
G i s ( X ) l dy cc b.n.n c l p i x n g sao cho, v i

n
> 0 b t k
^ P [ | V | > e . 2 | < DO.

Chng m i n h rng ^ ^ 0 n 29. G i s (x )\k
n
h.c.c.
dy cc b.n.n c l p Gauss.Chng m i n h r n g ,
nu v i f. > 0 b t k
2"
êx {-e.2 i^DX )- }

V k
2n
< oo
fc=i.
th ( X
) t u n theo Lut mnh s l n .
30. G i s d y cc b.n.n (Xn) c l p Gauss v E J = , J = , ri > 1. Chng minh rng

,.
lim
n-m>+oo
TI ra
k h n g t n t i v i xc sut 1.
2 7 2
Chng 9 MARTINGALE VI THI GIAN RI R C
Martingale bt, ngun t tr chi, v ngy nay t r t h n h cng c ton quan trng trong cc lnh vc ca xc sut v gii tch. y ta hiu tr chi theo ngha rng: tr chi c th l chi bi, mua s s, n h s , mua c phiu, b vn u t ... . Khi bt u cuc chi, ng i chi c vn l Xo, thng tin ban u m ng i chi bit c l T(). Sau kh chi vn t h nht, vn ca n g i chi s l bin ngu nhin Xi, v thng t i n sau khi chi vn s tng ln: T) c T\. T i p tc chi vn t h hai, vn sau khi chi vn hai s l bin ngu nhin X2 v thng t i n by gi li tng ln: T c T c Ti- Bng cch , ti n vn s c sau vn t h ri l bin ngu nhin X , v thng t i n sau khi chi T. vn l TriNh vy. vn ca n g i chi v thng t i n thu c lp t h n h dy {X ,T }. V p h n g din ton hc. ta c th xem {T } l dy -tr ng khng gin), v x l bin ngu nhin ph thuc vo Tntc l. T. -o c.
n n n n n n
Tr chi d c xem l k h n g t h i t hai h o c c n g bng. nu trung bnh c i u kin (bit thng tin) vn ca vn sau bng vn ca vn t r c. Theo ngn ng xc sut th i u ny c ngha l:
v {X. ,T }
n n
c gi l martingale.
273
T r c h i c xem l t h i t h i , n u t r u n g b n h c d i u k i n ( b i t t h n g t i n ) v n ca v n sau b h n hay b n g v o n ca v n tr c:. T h e o n g n n g x c s u t t h i u n y c ngha l:
v { X . T ) c gi l martingale trn. T r c h i c xem l c Xi . n u t r u n g b n h c i u k i n ( b i t t h n g t i n ) v n c a v n sau l n h n hay b n g v n ca v n t r c . T h e o n g n n g x c s u t t h i u n y c ngha l:

n n
E(X \F )
ri+ n
n n
>-X ,
n
v {X ,^F } c g i l m a r t i n g a l e d i . D n h i n k h i c h i , n g i c h i p h i n h ra m t c h i n l c chi: t i p tc chi, b t h m v n . thi k h n g chai na. C h n g h n , Vi l t i n t c c cho v n t h n h t . R r n g , V p h i p h t h u c t h n g t i n T). Sau , c n c v o t h n g t i n Ty t h u c sau v n t h n h t , n g i c h i t c c Vi cho v n c h i t h hai... ; c n c v o t h n g t i n T-n t h u c sau n v n , n g i c h i t c c V'nf! cho v n c h i t h Ti + 1. T h e o n g n n g x c s u t t h i u n y c ngha l: v l T -]-o c , v g i {V !F -\} l d y d b o c.
n n n n
V m c c h n o , n g i c h i n g n g cuc c h i . C h n g h n , k h i v n t hoc v t q u s n o , t h n g r n g c h i . T h i g i a n ln u tin n g i chi t c m c ch i n h c g i l t h i i m d n g . L c u l t h u y t m a r t i n g a l e n g h i n c u n h n g v n lin q u a n n n h n g k h i n i m ni t r n ca t r c h i , n h n g v san c p h t t r i n t h n h m t l n h vc t o n hc c h t ch, c n h i u n g d n g t r o n g t h n g k, g i i t c h h m , p h n g t r n h v i p h n , t o n k i n h t . v c b i t g n y . c n h i u n g d n g t h v t r o n g t h t r n g chng khon. V p h n g d i n x c s u t , l t h u y t m a r t i n g a l e m r n g l t h u y t t n g c c b i n n g u n h i n c l p . C n g c t h e n c h t n g h i n c u m a r t i n g a l e l k h i n i m t h i i m d n g . C c k t q u c h n h ca n l n h n g b t n g t h c v n h l h i t . Q u a n t r n g
274
n h t l b t n g t h c D o o b v n h l h i t c a D o o b . n y n h m c h n g m i n h chi t i t n h n g t h n h t u . 9.1 K h i n i m t n g t h c h v d b o c
Chng
9.1.1 Cc -trng lin quan ti dy ngu nhin. G i s (l,A, p ) l k h n g gian x c s u t , T c A l - t r n g con c a v X l b i n n g u n h i n n o . Ta ni r n g X t n g t h c h v i T n u X l T-o c . T r o n g t r n g h p t a v i t
XeT.
K h i u (X) = X~ (B), t r o n g B l - t r n g Borel ca IR. R r n g , X T k h i v ch k h i {X)
l
T.
n
Cho t r c d y n g u n h i n X = { X , 77. e N } . K h i u ({xn, n N } ) l - t r n g con b n h t c a A cha t t c c c - t r r i g (Xn), ri e N . Ta g i ({Xn, T N } ) l - t r n g s i n h ra t X = {Xn, T. e N } .
<
-n
v<n =
({X , m < " } ) ,

m
77?,
n
77.
e N. e N,
N, N.
= <
=
({X , m < n } ) ,
m
m,
0=n =
(X ),
n m
>n
= > = ( { X , m, > " } ) ,

=
> T
m,
77 TI,
m > ri}), m,
Cho d y - t r n g con {Tn, T. N } ca .4. D y n v c g i l k h n g g i m , n u

Tm
n
T,
n
ru
<
r,
V m , r. N . <
C h a n g h n , { < , n N } l h k h n g g i m . T a l u r n g g m c c b i n c q u a n s t o r c t n h n t h i i m 77.
275
9.1.2 Dinh ngha. Vi cc k hiu nhu trn, ta ni rng qu trnh ngu nhin X = {X ,T ,n N} l dy tng thch, nu X T vi mi T 6 N . Ta ni rng V = {V ,T -\, T. 6 N , T-\ = T)} l dy d bo c, nu V & Tn-\ vi mi T. 6 N .
n n n n n n n
R rng, dy d bo c l dy t n g thch. T t nhin, ta lun c X = {X ,<n, n E N} l dy t n g thch. Ng i ta t h n g gi < 7 < l - t r n g t n h i n c a d y ( X , TI e N). N gm t t c nhng bin c lin quan n qu kh (tr c n), v hin t i ( t i T.) ca dy.
n
n
Mt trong nhng khi nim quan trng l: 9.2 T h i i m Markov v t h i i m d n g T nay v sau ta lun gi cc gi thit sau: , p) l khng gian xc sut vi A cha t t c ct: t
p c xc sut 0 (t
p o c gi l xc sut 0 , nu tn t i A A sao cho F(A) = O v O c A). Trong tr ng hp ny, ta ni (,A,) l khng gian xc sut y . N - {0.1,2,....}, N = NU{oo}.
M = M U {-00} u {oe}.
{Tu" N} l dy cc -tr ng khng gim. K hiu
DO
Foe
J -Fri
n= 0
l -trtr ng b nht, cha t t c Tr. n N.

9.2.1 Dinh ngha. Gi su T : 2 > N u {oo} l bin ngu nhin
(c th ly gi tr oe). {Tri: ri N } , nu :
Ta ni rng T l thi im Markov i vi
T(UJ)
= n} 6 T ,
n
Vn 6 N
276
Nu Ch thm vo c)P(r < oe) , th T ci: gi l thi . T l t h i i m M a r k o v k h i v ch k h i dim d n.
{ui : T(UJ)
r
<
T}
Vu
N . sau:
rht
v y . c h n g m i n h sy
ra t cc- n g t h c
n
{LU : T(UJ)
< n)
J {u;
A-=0
: r(t) = /}
e
T. cho
{t : r(c) = ri} = {cu : T(U>) < n} \ {uJ : T(U>) < n 1} E K hiu T l l p g m tt. c c c t p con A c a sao ^4 N h vy, ^ > im T. t r n g . gm
f^c,
( r < ri.) JF. c tnh n thi -
cc bin
c quan st rng T
T
D dng chng minh Tht v vy:
l - t r n g con
ca
fi ^v.
1.2
on
( r < n)
- ( r < ri ) e T
G i s
A i - e Tr. K h i , ta c
TO
k = 1,2,.... tc; l . Au n ( r < r i ) e T.
oo
(u
fc=l
oe
Ak)
( r < n) =
u
k-----
(>!*.
(r < ))
suy r a
J A e
k
T.
n
k.----i G i s
Ae^r,v '' A
r
= 2 \ A
Ta
thy
( r < r i ) = 2 -
( r < ?/) \ / l n ( r < r.) < ri) J".
( r < 7?) \ An{r
SUY
r a v4 ' 6
J^>.
277
9.2.2
Cc v d ve thi im
dng
D i y l nhng v d quan trng nht v thi dim dng. V d . Nu r(u>) = n(e N u co), th hin nhin T l thi i m Markov. V d 2. Gi sir {x, T N} l dy cc bin ngu nhin, v / l tp'Bore] ca IR. t
nin : x e B} nu -' U n e N ^ n
v?7
6
oe
R
nu
6 N.
n
Khi . T l thi i m Markov i vi { < . Tri inh suy ra t

n { T
b
n e N } . Chng
<
r i } =
{X*
Be
<7< ,
N
Vn
N.
/ d 5. Gi s {X, r 6 N} l y cc bin ngu nhin, v /,,, r - 1.2. ... l dy tp Borel ca 1R. t T - T f l , :
min { T
>
: ",,
e B ).
2
UJ
e J {X e B } n { r , o e }
2
\ oe trong tr ng hi) ngc li. T d c nh ngha tng t. Khi , ( r , r N) l dy cc thi i m Markov i vi { < 7 < , ri e N}. Chng minh i vi T-1 suy la l
n
n
{ T 2 < }
- {r, < 7 / } n J{X* e } .

2
Jfc=0
9.2.3 Cc n/i c/i ca thi
im
dng
Tnh, cht 1. Gi s T l thi im Markov i vi {Tn, " N } . Khi , {T < li} e T .

n
278
T h t vy, ta thy:
n
{ r <n}=\J{
<n-k}e
Tn-X c
T,
n
n
Cn lu rng, ni chung, t i u kin { r < r.} T suy ra c T l t h i i m Markov. Tnh

th
khng
cht 2. Nu T i , T2 l cc thi im Markov i vi {nrain(T ,

1
n N
cc:
T i A T2 =
T 2 ) , T V T'1 = m a x ( r i , T 2 ) , v T i + T2 /
/ii im Markov i vi n N}. T h t vy, chng minh suy l a t:
{TI
T <
2
2
n}
= {TI <
{T
x
Ti}
{T V r
{T
< n} =
<
u {r n} n { r
< r?.}; < n}; { r =-n - fc}.

2
+ r
= n} = J
{n =fc}n
fc=o
Y n / c/i 3. / / u T i , T2, l dy cc thi im Markov di vi { T , T e N } , th \J' T --= s u p r , T = inf T cng l thi Gim _
n n
Markov i vi {Fn, n EN}. T h t vy, chng minh suy ra t: {supr

n
< n} = P | { r < T) e T ,
n
n
n
{inf r
< n} = I J { r < n}
n
^n-
Y n / i c/i 4. iVi r Z /i im Markov i vi {T . T 6 T . Nu T v l cc thi im Markov i vi sao cho (T < ) = , th T c Ta.

n T
r
H E N } , th {Tu, N}
279
Tht vy, gi s A = {T < Tri}. chng minh T 6 T ta phi chi ra A T , hoc tng cmg A n { r < r) e T . Ta c
r r n
{ r < m} n { r <
T,}
= { r = n A m}
^nAm
cT .
n T
By gi gi s A c {u> : < 00} v vi T . F(r < ) = v -tr ng T y , hai tp:

n
Khi , do
An{<n}]
An {T < n} n{ < n}
chi sai khc nhau mt tp c o khng. Tp th hai thuc vo T . nn A n { < n) T-n, t c l, T. ^ v .

n
Tnh cht 5. Nu Ti, T 2 , . . . / di/ cc /ii i m Markov i vi { j F , n N}, r T = inf Tfc, th

n
Tht vy, theo tnh cht 4 , ta c T Mt khc, nu e Pl^Vfc, th fc

. 4 n { r < n} = An (|J{^
c Pl J>
fc
< "}) = ( j ( n { T
< nj
e T
k
suy ra ^ 4 T.
T
Tnh cht 6. Nu T, l cc thi im Markov i vi {!Fn, n 6 N } , th cc bin c

{ T < } , {T = }, { T < }
thuc vo T PiT . Tht vy, vi mi T E N ta c

r
{T <}n{r
= n) = { > n} n { r = ri) T \
n
280 { r = } V v y , { r < }
{ r = n} v { T
{T =
= { }
n} !F .
T
{ r = ?}} T
S U V
e j'v
{T
ra
< } =
< T)
< }
, suy
u {r =
} e T .
T
Do t n h i x n g t a c { r = } ca {r < ) Va { E T
C u i c n g , b i n c 6
ra { r < }
{T
bin c . thch
ca { T < } l { < r } Tinh

thi
suy ra
< }
cht im
7.
Gi s
i
{XnyTn
li N } / d?/ tng vi
{Tn, TI
v T li
Markov
vi
N} ,
j j
th
{ T ( U ) ) < oe}
n u
Xr-.n-^ JR., x ( w ) =
T
T T r
nu J j
{ (^)
oo}
l o c i vi T , tc l, X T . T h t v y , v i m i t p Borel B c a n g t h n g {Xr B}n{T=r v { X e B} vY G .7"" .

n T r
n}
= { X
e B} n { r = T} e { X
T
J= ,
n
iu ny chng t:
B)
e Tr, t c
Tri c
cht nu Nu z
8. im
Gi s : f 1R / t i n n g u nhin Markov nu tc vi i vi mi
T
Too-do , f trn l {r h
u
ct T -i
T
v T l thi l T-n-o th ta c
{Tni Tr-
N } . Khi ch ca
v ch c, l bin
TI, N , hn khng
ri) hn
l, / I { - n } ngu nhin
m hoc
c k vng
E(Z|Jv) =
E(Z\T )
n
trn
tp
{uJ : T
ri},
Vn
N .
T h t vy, p h n t h n h t ca ca T
T
t n h c h t 8 suy
t n h ngh!
n u / l h m ch t i u c a t p A Too; sau m r
n g che
281
hm Foc-do
c . chng minh phn t h hai, ta t
5]E(Z|^ )I{r
n
}.
Ta c t h gi thit z > 0. Theo trn th Y l hn) khng m v Tr-o ( c; m t khc. tch phn ca hm ny trn tp A 6 J~ l
T
Yd
= V
E(Z\F)rIP
=
^
JA{T=n}
ZdP -
ZdP =
J A J A
E(Z\T )dP
T
= ri} T-n v i mi n N . i n ny chng t Y ----E(Z\J ). V i z bt k th p ng i u va chng minh cho z . z~ ri cng li.

V A{T
R T
9.3
Martingale
Cc nh ngha d i y c hiu lc khi thay tp s nguyn khng m N {(), 1....} bng t p h u hn { 0 , 1 . / v . N k 9.3.1 inh. ngha. Gi s (, p) l khng gian xc sut. X { X . T , TI e N } u c gi l:
n n
Dy
m a r t i n g a l e t r n fdcfi T i {^-"n, " 6.N}y , nu: () {xn,p,n N} l dy tng thch; i) E\xn\ < oo. VA E N; f i i i /i TO < 77., m. n 6 N E{X \Ty)
n
< X.
m
P- /-a-a chc
chn, kin
m a r t i n g a l e d i (i vi {T , (), () u c thc hin, v

n
r N}); nn cc iu
282
(Ui') vi m <n, m , n N
mi
P- hu chc chn.
martingale (i vi {J-*n, n G N}J, nu cc iu kin (), (li) c thc hin, v (Ui") vi m. < n, m , n 6 N T(X \^F ) X,
n m
P- hu chc chn. nu cc iu
martingale ngc (i vi {Tn, n EN}), kin (i), (li) uc thc hin, v (Ui"') vi m > n, m,nN
Tm
p-n
F- hu chc chn. T suy ra { ^ , ^ , 0 < l < N} l martingale ngc khi v chi khi {XTV-TII 3~N-n, 0 < ri < l\ l martingale. Ch . 1. T nh ngha k vng c i u kin, ta c: i u kin (iii) tng ng vi
m
ra < T..
i u kin (iii') tng ang vi m < n. i u kin (iii") tng ang vi m < n.
283 2. nh ngha t r n v martingale d i , martingale trn, martingale tng ang vi: Gi s N = { 0 , , N } , (n,A,F) l khng gian xc sut, T c Ti c c Fn CFn+i c . Khi , { X , T , n 6 N} l:
n n
martingale trn, nu (i) xn e Tn, Vn N; f n j E | X | < oo, VneN; (Ui) vi ri 1,2,...

n
E(x | ^ _ i ) < X _ i ,
n n
P- /lau c/ic c/.n .
martingale dui, vi n = 1,2,...

r n 1
nu c cc iu kin (), (), v (Ui')
E ( X | J _ ) > X -1,
n
P- /u c/c c/in .
martingale, nu c cc iu kin (), (ii), v (Ui") vi T 1,2,... E ( X n | ^ _ i ) = Xn-l

n r
P- /lu c/lc chn.
T h t vy, xt t r n g hp martingale chng hn. V i 0 < ra < n, Tm c T \ \ c c f , nn theo tnh cht ca k vng c i u kin ta c
m
XVn E ( X
f n + l
|^
r m
) = E(E(X
m +
2 | ^ m + l )|-? m) = E(-X"m-f 21-^"ru)
v t i p t
c n h t h , ta thu c x
m
=E(X |^ )
n m
0 < rn < n.
3. Trong cc n h ngha trn i u kin (li) (tc l, i u k i n : c k vng h u hn) c t h thay bng i u kin c k vng c i u
2*4
kin. Theo (lnh ngha, bin ngu nhin " c gi l c k vng c din kin i vi -lr ng T, nu vi xc sut mm{%{X^\T).^{X-\T) Trong tr ng hp nh th. dt E(X\F) trong "" . x~
1
< oe.
= E(X + \F) -
E(X-\F),
l )hn dng, m ca X, tc l: .V
X
0 -A"
nu X > 0 nu X < nu A' < 0 nu " > 0.

r
{-:0
E\x\ ?
EA"
+
c. bit. nu X c du khng i . th E(A'|J ) lun lun c ngha. Cn Um rng X c k vng hu hn khi v ch khi
\- EX~ < oe.
Ta (la ra nh ngha: Dy X { X . T , V E N } , c gi l m a r t i n g a l e Suy r n g (i vi {T ,n N}) , nu: (i) {Xn.Tn.n 6 N} l dy tu I ly tng thch; (ti) X c k nng c iu kin i vi T vi mi li N : (Ui) vi m < ri, m, li N
n n n n n
i{X \J- )
n m
= X,
m
P- / ch chc
chn.
4. K h i khng ch r h rr-tnrrng, th ta ngm hiu a n g xt h ( 7 tr ng t nhin. Chng hn. khi ni { x , > e N} l martingale, th ta hin l martingale i vi dy -tr ng t nhin ( T < . li N .
n
285
9.3.2
Cc
d
n
V d . G i s ( , n N) l dy cc bin ngu nhin c lp v i En 0. n N . K h i cc tng ring

Sn
o +
+ n
S -1
n
l dy martingale i vi T = cr(o) . . . , n ) . T h t vy, do Tn-\, tnh c lp ca n vi Tn-I, ta c

n
E ( 5 ' | j F _ ) = E (5 ' n _i
n n 1 n
+ n^n-)
= s n _ i + En =
S -\.
n
V d 2. G i s ( , T. 6 N) l dy cc bin ngu nhin c lp vi E , n EN. K h i cc tch ring

n
n
je=0
l dy martingale i vi :F = (o) i n ) ' i u ny c chng minh nh trn, c t h l

n
E(X \J n-i)
n
E(x _!
n
nTn-i)
= x _i
n
En
x _i.
n
V" d 5. Gi s l bin ngu nhin no c E | x | < oo v {Tn; n 6 N } l dy -tr ng con khng gim ca A. K h i , dy
x
n
Ft(X\J- )
n
l dy martingale i v i T , c
n
n f t
n 6 N . T h t vy, v Tn-\
c Tri ta
A' _i - E ( A - | ^ _ ! ) = E ( E ( X | ^ n ) | ^ n _ i ) ) =
E(X \F -x).
n n
V d . D k i m tra l i rng, nu (, TI, e N) l dy cc bin ngu nhin khng m c k vng h u hn, th cc tng ring
Xu = o + + n
l d y
martingale d i i vi T
= (o, ) n ) -
286
V d 5. N u X = { X n ^ n , T N } l m a r t i n g a l e v g l h m l i v i E\g(X )\ < 0 0 , 77. N , t h { ^ ( . Y n ) , ^ , n N } l m a r t i n g a l e d i . T h t vy, theo b t n g t h c Jensen v i m < T t a c

n
g(X )
m
= g{E(X \r ))
n m
<
. T
E(g(X )\r ).
n m
V d 6. T n g t t a c: N u X = { X d i v ( l h m l i k h n g g i n ] v i {g{X ),T
n 1
, TI e N } l m a r t i n g a l e < oe. li N . t h
E|</(x)|
han.
. T. E N } l m a r t i n g a l e d i .
B y g i t a x t n h n g v d c t h V d 7 (Martingale Walsh-Paley).
V d c t h sau,
tuy n gin, ng
n h n g n g vai t r q u a n t r n g t r o n g x c s u t , v c n h i u d n g hay t r o n g g i i t c h . T a k h i u
{ 1. + 1 } l t p gm hai p h n t : , + 1 , m i p h n t n y c x c sut / 2 . r ( -n)

f
{ , + 1 } ( -i) 2 i
f e f
l k h n g gian ca t t c c c d y v h n UI = ), t r o n g c c t a , n
n
= f.
1 , 2 , . . . ch t a t h ri; . Chng hn.
n h n h a i g i t r : hoc + 1 ,
n
: + {, + l},tn(u>) {0.n}
= fin. T. = , 2 , h m
n
T[) T\
l ( T - t r n g t m thcriig, T
l - t r n g t r n =
f < n
sinh r a t c c h m t a t , f . , t c l, T
= \ s i n h ra t p h n h o c h giri hai t p
C_1 C' 1
+
"tr"
= =
u)
\j nu;
= =
(1.f-2, . . . , f - n , (+1.C2)
f
)};
{L
-n, )};
- < 2 sinh ra t p h n h o c h g m b n t p
C_!,_1
"tr"
= {o; 6 l|c { - 2|w
( - 1 , - , ta, . . . , f , . . . ) } ; ( - 1 , +l,fc ,...,(.,...)};

3
C-1,+ 1
C' 1-1
+
= {c c = ( + 1 , - l . f - 3 ; . . , , . . . ) } ; = {w
+ 1
,+1
( + 1 , + 1 , c a , . . . , f., . . . ) } "tr".
Nh vy J^n =
sinh ra t p h n h o c h g m 2 " t p
287 A l - t r n g b nht, cha cc tp tr. Trn A tn t i duy nht o xc sut IP sao cho mi tp tr c xc sut l /2 ( nh l t n t i Kolmogorov). V i cc k h i u trn, ta gi martingale Walsh-Paley l martin gale i v i ( f 2 , ^ " , p ) . Trong gii tch c khi nim "cy" nh sau. Cy l tp gm cc phn t
TI n
{':,,., J1
sao cho
<
-</.
f A
1},TJ
1,2 ,
_ 1
N h vy, v i ri = cy gm hai phn t X-i,Xi; vi n 2 cy gm bn phn t - 1 - 1 , X _ 1 1 , X u ; cy ng v i r. c 2 phn t . K h i , nu ta t

n
Xo
= ('Xi
+ x-i),
Xk(u))
H
--= x . . .
]
f c
, - -
r.
x , x
i vi
> n,
th { X , , , . JF,, m e N } l martingale Walsh-Paley (ti sao?). VY d # (7/ Haar). Trong khng gian xc sut (f, P ) , m/. dy -truny con khng gim (Tn) ca A c gi l h Haar nu FOG , v vi mi T = 0 , 1 , 2 , T c sinh bi phn hoch gm n + tp con ( A , A n ) thuc A sao cho P(i4^ ) > 0.
N { n ) ( ] n) 0
Ly = {0, r}. T\ sinh ra t phn hoch ( ^ , ' , ^ ) . Tip theo, J^2 nhn c b n g cch tch mt v ch mt trong hai tp ny t h n h hai t p con c xc sut dng; nhn c bng cch tch mt v ch m t trong 77 + 1 tp (A^\ A ) t h n h hai t p con c xc sut d n g .
1
l )
n)
288
t
Xu
a '4+1 b 0 trong A ^
+ l )
t r n t p con ["^ t r n t p con i4
11
n + l )
t r n t p con k h c . nhn c b n g
,A
l h a i t p con thuc: Tn\\
c c h t c h mt, v chi mt. t r o n g 77 i t p (.Ao An") t h n h h a i t p con c x c sut d n g . l hai l p con d u y n h t c a T k h n g t h u c v o T . T a c h n a. b sao cho
u n
Ed
n+X
:.. 0,
Er , .
1.
N h v y . m i n+1 cir c x c n h d u y n h t ( n u k h n g k t i d u ca (. b) v t h a m n (i)E(4nl^)-=0Vn6N; ( l i ) V i m i 77 6 N , d y (do, .... <i) l c s t r c ( ' h u n c n Li (SI. Tu. P) v d y (d. 77 e N ) l c s t r c c h u n ca L (l. A.). T h t v y . ( ) c ngha l
2
E(d ,
r
\T )dP
x n
- 0, v / i e
i n n y l h i n n h i n n u k h n g p h i l ty) b t c h ra t h n h hai. i v i B l t p b t c h ra t h n h h a i : li th / E(d ./s

r i + 1
/ I ^ u / i ;
\ri
X I I
\ r 1 i + 1
|^ )rfP=
n
/ d ./s
n + 1
dP
= uP(ylt"
)+P(4
-Erin
0.
289
(li) l kt qu bit ca l thuyt, o v tch phn. By gi. mi X L dc khai t r i n t h n h

oe X n=0 u d ,
n n
rin -----
iXd .
n
Chui ny hi t trong L . Ta ch rng t (i) suy ra

2
E(X\f. )
n
ti = J2
k. = 0
a dk
k
l martingale. Sau ny ta s thy (xem nh l Levy d i y) martingale n h t h hi t hu ch

c ch
n t i X. 9.3.3 Cc tnh cht
n n
Tnh cht 1. Nu X - x , f . ri N } l martingale, trung bnh EX khng ph thuc ri G N . Tht vy, vi ni < T ta c EX
m
th
hm
Ê(E(X \T ))
n m
=EX .
n
Tnh cht 2. Nu X - {Xn.Tn: n N } l martingale hm trung bnh EX khng gim theo 71 N . T h t vy. vi ru < ri ta c
n
di,
th
EX Tnh
< E(E(X |JF ,)) = EX .

n m n
. th hm
cht s. Nu X = { X , T , n 6 N } l martingale, &Xn ', 1 < p < oe khng gim theo n 6 N . Tht vy. do \x\ . < p < oe l h m l i , nn
n n
1
{\x \ ,r, VEN}

n
l martingale d i . V th, t tnh cht 2 suy ra tnh cht 3.
290 Tnh cht . Gi s X = { X , T , T 0, , . . . . V} l martingale, trn, v T, l hai thi im Markov ( i vi {T , ri 0. N}) sao cho p { r < N} = { < N} = . Khi ,
n n n
x > E ( X | J T ) ,
T
( { r > or}, p - /lau c/c r:/i(in),
(9.1)
tc /, p { u , e {r > a } : X /loc tng ng

' A
T
< E(X \F)}

T
0.
> E(X |^
T
r f T
).
(P /lau c/ic chn).
(9-2)
T h t vy, u tin ta ch rng

= 0
7
i| X | d P < J ^ E | X | < oe.

n
]T
n 0
/..:--<>
tc l E | X r | < oe. T i p theo, ta ch r n g { r > } =
(J {
ri 0
= n} n { r >
/<}.
r =
n-AI
{ = T.}.
V t h ta xt, tp { = ri} v chng t r n g (9.1) n g i vi

L
Ti}
n { r > } = { = ri} n
{T >
/}.
T r n t p n y Xa = x , nn theo 9.2.3 (tnh cht 8) ta c

n
E(X |^ ) T
E(X \r )
T n
({ = n } , p - h u chc chn).
Do ch cn ch ra r n g t r n t p { --= 7 / } n { T > T } x
n
> E(X |J^ )

T n
p - h u chc chn.
291
Gi s A T . K h i
n
./.4n{-n}n(T>n}
( X
X )rW>
T
.-
/ An{~n}r\{T-n}
(X
X )dP
T
( X
,4n{=n}n{T>n}
X )dP
T
/ J An{ = n}n{r>n}
( X
- X
) d P 3)
>
/
./^n{<7 = n } n { T > n + l }
(Xn+1 -
X )riP,
T
trong d b t n g thc sau c n g c t h c hin l do: martingale trn, nn t r n t p

{ = T)
(Xu)
{ T > T.} J^n
ta c
x > E(X.
hoc t n g cmg
X dF>
n
lH
i \J n),
r
(P- hu chc chn)
E(X
i\F )dP n
n + l
dP,
f,
T i p tc bt n g thc (9.3), ta c
( X
./ A n { ~ n } n { T > n }
- X
) d P
>
/
i . 4 n { = n } n { T > n + 1}
( X
- X
) d F
>...
... >
/
./yln{=n}n{T--N}
( X
- X r ) d P = 0.
(9.4)
V tp Q \ [J (9.1).
{(7 = T} C o k h n g , nn t (9.4) suy
ra
292
cht 5. Gi s X = { X . T , t 0 , 1 . . . . , AT} l martingale trn, v T. l hai thi im Markov (i vi {T , n = 0. 1. .... N} ) sao cho F{ < T < N} = . Khi , ta c
n n n
Tnh
EXo > EX
n n
> EX
>
EX .
N
Gi s X = { X , T , ri - 0, N} l martingale di, v T, l hai thi im Markov (i vi {T , ri = 0. , .... A } sao cho P{ < T < jV} = 1. Khi , ta c
r n
EXo < E X < EX

n n
<
EX .
N
Gi s X = {X ,J- . n 0. l , . . . , i V } la martingale trn, v T l thi im Markov (i vi {Tri. n - 0. , . . . . N}) xao ch. F { r < .V - 1. Khi , ta c EXrl <
EX() -
2EX
< 3
SU])
E\x \,
n
Tht, vy. t tnh cht 4 ta c hai khng nh d n I rong t inh cht, 5. Khng nh t h ba c chng minh nh sau. Ta thay \X \ ^ X -- 2X~, v theo khng nh t h nht. th E\X \ EX 2EX- < EX 4 2EX-. Do {X,F , n - 0. , . . . . N} l niartingak d i (ti sao?). lin theo khng nh t h hai th EX~ < EX_Vy l,
T T T T n
E|,Y | < EXo + 2 E X T
< E,Y,j t 2E.V-, < E.Yo 2E\X \

N
< 3 SU]) E|.Y|.

ri < A'
V cc. bt. ng thc (9.3) v(9.4) tr t h n h dang thc vi martingale, nn ta thu c:
293
Tnh cht 6. Gi s X {Xn.Tn, n -- 0, , . . . . N) l martingale, v T, l hai thi im Markov ( i vi {Tri: ti - 0 . 1 N}) sao cho P{T < N} = p{ < N} -- 1 . / a i ,
A' = E p f r f o ) , ({r > }, p /lau c/ir: cAn),
/toc tu ng
ng
XrA = Ei(X \T ),
T
(p hu chc = 1, th
chn).
Dc
bit,
nu F{
< T < N } iSAo = EX
= E A
-= E X
Tnh cht 7. Gi s X = { X . T . ri G N } l martingale (mar tingale di), v T l thi im Markov (i vi \T . n 6 N}/ Khi , dy "ngt." ti thi dim T, tc l,
n n n
X cng l martingale
= {A'
A T
.^. H E N }
(martingale
di).
T h t vy. t a thy
n-l
Suy r a '
f ) A T
l ^ n - o c v c k vng h u hn. H n na.
do
E ( x - X | ^ ) - I ( . > E ( ( X - , Y ) | ^ ) = 0 (>(>).
.9..V.-4 Martingale
a phng. X
Dy ngu nhin tng n e N}
thch
= {X.T.
294
uc gi l martingale d y thi i m Markov

chc c h n ) , T t
0 0
(martingale ui) a phng, (rfc, it = 1,2,...) sao cho T <

chc chn) khi k > oe, v
nu tn ti
Tk--1 mi
(-hu
d y bi
(ti*-hu
ngt X l martingale
T f c
{X
n A T f c
l{
T f c
X)},
Tn}
(martingale
di).
n
9.3.5 Php bin i martingale. Gi s Y {Y , Tn, n N } l dy ngu nhin tung thch v V = {V ,F -i, ro N } l dy ngu nhin d bo uc (tc l, V E T -\ N , JF_! = T). Dt n
n n n n n
(VmY)
= VY
0
+ Y V AY ,
/ i i n n
(9.5)
trong AY = Y - Y-1. Dy ( V Y ) = {(V . Y ) F , n e N } c gi l bin i ca Y theo V . Nu thm vo , Y l martingale, th ta ni ( V Y ) l bin i martingale.
nh l d i y l kt qu chnh ca phn ny.

Dinh l. Gi s X = { X , Tri-, T. N } l d y tung X{) 0 (IP- /tu chc chn). Cc iu sau l tng (i) X l martingale a phng; (li) X l martingale suy rng;
n
tao ung:
thch
cho
(Ui) X l bin i martingale, Y = {Y ,F ,

n n
tc l, tn ti neN}
martingale
v dy ngu nhin d bo
c
n n
V = {v ,r -1,
sao cho x = (V.Y).
nen}
Ta khng chng minh nh l ny, v qu di. minh ha, ta xt v d th v sau.
295
V d. Gi s n l dy cc bin ngu nhin Bernoulli c lp, cng phn p h i : P ( f = 1) = p, p({ = - 1 ) = q, p + q = 1. Ta xem - l bin c thng cuc t i vn t h n; = l bin c thua cuc t i v n t h ri. G i s tin t c c chi t i vn ri l v . K h i . sau 7 7 . v n chi tin c (hoc m t ) tng cng l
n n n
= Vii = x _ ! + Knn, . Xo = 0. i =l
n
(9.6)
L t n h i n ta c t h gi t h i t rng V phu thuc vo cc k t q u ca cc v n tr c n. tc l, ph thuc vo V , v _ i v t, . . . , n - i - N h vy, nu ta ly T = { 0 , 0 } v {T } = {i, ..., ) th l' E Tn-I ngha l, dy V = {V ,'T -\}, chin l c ca n g i chi, l d b o c . Nu t Y = i- H n , th (9.6) t r t h n h
n
i =l tc l, dy X {X ,F , n 6 N} vi Xo = 0 l bin i ca Y theo V (so s n h (9.5) vi (9.7)). Theo quan n i m ca n g i chai, th t r chi l c n g b n g . nu

n n
E(X \T )
n+l n
n i
= x,
n
nen,
ngha l, X = { X / " , T. 6 N} lp t h n h martingale; c li, nu E(X i\F )

n+ n r n
> x
n N,
ngha l, X - { X , T , TI e N} lp t h n h martingale d i ; bt li, n u

E(x
n + l
|^n) < x
n i
n e n ,
ngha l, X { X , ^ n , n N} lp t h n h martingale trn. R rng, t r chai l: cng bng khi p = q = 1 /2; c l i khi p > q; b t l i khi p < q.
296
Vi
By gi. ta xt cc chi n l c c bit V v vi V > th

v =
{v. !F-]}
vi
2"-\
\ 0,
n u , = , n u tri l i .
Sn-1
-" -
"
Theo chi n l c ny, vn u t i n d t c c ln gp i. n u tc nh t h . Nu \ = , . . . , n th sau ri vn ng i chi m t

n
t c c V - 1. n u hun th l ang thng th khng chai na. v c t ip (tc l t t c r vn u u thua), tng cng l
Y^2 1=1
= T - 1.
Nu
n--1
, th sau
77
+ 1 vn ng i chi c + V
n + 1
n + 1
= X
= - ( 2 " - 1) + 2" - 1.
tc l. thng n v (v Xo = 0). G i s r = inf{n > : X
= }.
l thi i m khng chi na (khi ln u tin thng cuc). Nen: p- q - 1/2, th d dng thy rng P(r - T.) = ( l / 2 ) , P ( T < o) = , F(X
n T
-- 1)
1. ( X )
T
1.
V vy, ngay c i vi tr chi cng bng, khi p dng chi l c c bit ny, ngiri chai r t h trong mt t h i gian h u hi (vi xc sut 1) k t thc cuc chi mt cch " t h n h cng'' v thi c n v: lc u c X) - 0, khi k t t h c cuc chi C( EXr = 1. K h i n i m "martingale" bt n g u n t t r c h ny. Ch . K h i p - 7 = 1 / 2 th X = {X ,F : t h n h mart ingale v do
n n
n e N} v i Xu
li
EXn
= EXo --- 0 =
E*T-
(9.S
297
iu n y l do: tr chi ny khng hin thc ch r v |A'| c the l y gi tr ln ty , tc l. thi gian chi khng b'chn. vn cua n g i chi cng khng b chn. Cho martingale X {A',.. T,:. l N} v r l thi i m (lng. Vic tin) i n kin c ng thc
EX-n
-
EX .
T
(tc l. (9.8) khng xay ra) l van (t quan trng ca l thuyt mart inhale (xem nh l 9.6.4 (l i d y ) . 9.3.6 Hin. martingale. Dy lung thch {n,T . li N } (iuc gi l liu martingale, nu E|| < co di vi mi li N v
n
E ( v n 4 \Fn)
(),
- hau chc
chn.
R rng. nu X { X . T , TI < E N} l martingale th {n.Tn, l hiu martingale, trong

n
li
N}
:rT
Xi), in = AvY = n Xn-\.

n
r 1,2, ...
Ng c l i . nu
{n-ÎI,
N} l hiu martingale th
n n
X -- { x , T . l martingale, trong
Xi)
vi.
VEN}
i)
..
Chng hn, mi dy {in, l 6 N } cc bin ngu nhin dc l]) c k vng 0 l hiu martingale ((ti vi -tr ng t nhin < 7 < ) . 9.3.1 Khai trin Doob. K t qu sau. tuy d n gian. nhirng ng vai tr quan trng t rong l t huyt martingale. nh l. Gi s X = {X .F,, TI N} l martingale, di. Khi , tm ti martingale M {M ,T , ri N } v dy d bo dc A = {A.T . ]. n e N} sao cho
n
298
(i) A = {An^Tn-x, 0 =-- n < A

x
H E N } l dy tng theo ngha

n
< < A
< ,
-hu chc chn;
(ti) khai trin Doob x

n
= M
+ An,
Vn e N,
-hu chc chn nht.
(9.9)
c thc hin. Chng minh. M

j+l
Khai trin Doob l duy
t Mo = Xo, Ao = 0 v - M = x
j +
- E(Xj \T).j
i + 1
= 0,
" - , - ,
A tc l
- Aj = E ( X
| ^ - ) - Xi J = 0 , n
n-l M = Mo +
Y,\x
j=0
j+l
- E(X
j +
(9.10)
n-l ,1
5>(x 3 0
n n i
i + l
|^.)
-A- ;.
7
(9.11)
D dng kim tra lai rng, bng cch xc nh n h t h , cc dy ngu nhin M = { M , f n N} v A = { A n , T _. TI 6 N} tha m n cc yu cu trong nh l. By gi ta chng minh tnh duy nht. G i sir X - M' A' . trong : M ' = {M' ,T , ri e N } l martingale, A ' - {A'^.Fn-i, T. 6 N } l dy tng, d bo c. K h i
n n n n n n
'
n+l
- A'n = ( A
- An) + ( M
N F
! - M ) - (M;
N
+ 1
- M;,).
Ly k vng c i u ki
n d i vi
A _.
n
, ta co
-= .An +1
An-
V 4(, = - .40 = 0, ta c: An = A'
v do M , = M,
r
299
9.3.8
Compensator.
Dy tng v d bo A = {A ,F -i,
n n
n e N} gi l compensator ca martin
trong khai trin gale du i X .
Doob trn uc
By gi gi s M { M , f , T. N } l martingale bnh p h n g k h tch; tc l: E | A | < oe vi mi T e N . K h i . M {M'^,!F , n N } l martingale d i . Ta vit khai t r i n Doob ca n d i dng
n 2 2 n
M = m +
n
< M
>,
n
trong , m { m , T
n
T. N } l martingale, v
n n
< M > = { < M > ,T -u l dy t n g d bo c. Ta gi < M p h n g c a martingale M . Ch rng E\(Y

t (-9.10) ta c
n
2
n e N} > l c t r n g bnh
- E ( Y \ f f \ T \ = E(y |.F) -
\E(Y\F)\ .
ri.
< M >
J 2 [E(M? II^-)-M?]
+
^ E A M ^ V - I ]
(912)
trong AMj
A
= M - M j _ i , v vi tt, c / < = E\M'i - Mf\H = E

< M >
k
E | ( M - - Mi\Ti\
< M >1
\H(9.13)
c bit . nu Mo = 0 th
EM? = E < A i >fc .
300
V d. Gi s (n) l dy cc bin ngu nhin c lp sao cho E = 0, E | | < 0 0 . t Mo = 0, M = i + K n ' K h i ,

2 n n n
< M >n= E M * = E | : | + . +
E\ \ ,
n
y l mt s khng m (khng ngu nhin) v l tng ca cc p h n g sai. By gi gi s = { X , T , nen} v Y = {Y ,r l hai martingale bnh p h n g k h tch. t
n n
TI
EN}
< X. Y >n= h<

n
X + Y >
n
- < X - Y >n|.
>n,J n,
r
(9.14)
D dng t h l i rng {X Y. gale, do vi I < k

E\(X -Xi)(Y -Y )\Fi}=E\<
k k l
< X, Y
N } l martin
X , Y >
n
- < X , Y > 1
n
(9.15)
Trong tr ng hp khi X = i + + , Y = T]i - + rin, (n), ( ln) l dy cc bin ngu nhin c lp vi E = Er/ = 0, E | | < 0 0 , Erin < ao, th
r n 2 2 n
ri
< X. Y > =
n
^covf^T),).
1=1
Dy < X , Y > = { < X.Y > ,T , ri e N} c g

i l c t r n g t n g h ca cc martingale X v Y . D dng chng t rng
n n
< X,Y
i=-l
> =Ê\,XM\J i- \.
n l
Trong l thuyt martingale n g vai t r quan tr

n g l covarian bnh phng
TI
\X,Y)
i=i
=Y,AX AY
i
301
v bin phn bnh phng
\x\ - x>*<)
1=1
Mt trong nhng vn trung tm ca l thuyt martingale l bt ng thc. 9.4 Cc bt ng thc c bn 9.4.1 nh l. Nu { I , f , n 0 , N } l martingale di, th vi mi X E M (A > 0)
n
P
P
max
\(i<n<N x
x
n
> A < E
XNI[
0<n<N
max
Xn
>
<EX;
mill A)<n<N
< A < -EXo
+ E XN{ *
min
0<n<N
x >
n
Chng minh. t
A=
\
max
0<n<N
x >
n
Ta
A = {Xo > ) u
n = l
(x
> A, ^ m a x _ x
t
< A)
n=
trong
Ao =
Xo
> A ),
An
=x
> A,
max
0<m.<n
<
302
l t p thuc T
n
v r i n h a u :
A
Am
0,
VO <
T. /
< /V.
Suy ra
AP(.4) <ÊAri
n
I(A
)]
o t n h cht m a r t i n g a l e d i )
n
X>[E(,Y
n
j V
I(-4)|^)
-J2E\X l(A )\
N n
- E\X (A)\
N
< E\X(A)\
<
EX.
0 iV}
B t n g thc. t h hai c; chng minh Lng t . 9.4.2 Bt ng thc l martingale vi E\X \ mi > 0
n
Kolmoqorov.
p
< 00, li - 0 max \XJ
Nu N,
{ X n ^ n . r i
 x) <
/
\ ()<n<N
Chng minh. V { \ X \ , T , ri - ( ) , . . . , i V } l m a r t i n g a l e d i ( k h n g m ) , n n theo b t n g t h c t r o n g ( l n h l t r n ta c : v i a > 0

n n
U(
max
p
\XJ
> a) < ELY A,
I''.
N} l mar <p < oe,
D i u n y c n g v i ---- A 9.4.3 Bt ng thc
h o n t h n h chng minh. Nu
p n
Doob.
tingale di khng m, vi i\x \ th H ' Y y v L < li TT1HX

li l i / li
. .
{X ,F ,n 0,.... < oe, li " 0..... N.

n n
\x\\\
<
' l i
q\\X \\ .
N p
I l l /
303 trong
\x\\
i vi p = ,
<
= {E\X\* ,
th
/V
/p+1/q
- - .
\\XN\U
li m a x
0<n<N
l ^ l l d < 7 - ^ { 4 \\X \n*

N
\ U } .
Chng
minh.
u t i n t a cho c h n g m i n h i v i p > .
Bt
ang
thc. p h a t r i l t m t h n g .
chng minh bt n g thc p h a
p h i ta s d n g b t n g t h c t r o n g n h l 9.4.1 v b t n g t hc Holder. E
max
141"
 x ) d x
0<n<N
X -' E
\XM\1( max 0 < n < N

1 1 1
\ X
>
di
X\
N
max I S"<
0
IX,J
W
xV- dx |XJ " max

()<n<N
P
- <]E
A"/vI(
l/P
max
(Kn<N
<q(E\X \n
N
|A"|
l/</
T r t ra b t n g t h c p h a p h i . B y g i ta cho c h n g m i n h i v i p = . t r i l t m t h n g . n g i n ta max
0<n<N
Bt n g thc pha
t |X |..
n
304
G i n g n h k h i c h n g m i n h b t n g thc t r n , ta c EX* < E(X* I 0

_
= / {X* J 7 / X fJF J {x- >\+t}

N N 1 + t l N
l)+
> di
J
l}dt
f
N
N ~
= E X V v i a > 0, b > 0
Jo
+ t
= E X
\ n X
a I n 6 < a l n a + be
+
nen
T i p theo ta t r n h b y b t n g t h c a, 6 sao cho co < a b. V ln t r n o n |u; | c

a d y
{X.i,
martingale
V}
thc
th
1
9-4-4 S a i ng
ui,
ct ngang.
Nu
{X ,!F ,n
n n
0 , V }
(6 - a ) E i / < E(vYjv - a)+ - E(X() - a )
Chng
minh.
V { X , !F ,n
n n
= 0 , i V } l m a r t i n g a l e d i , n n 0,...,N}
{ ( X
- a )+, r , n =
n
c n g l m a r t i n g a l e d i , v V b n g s l n c t ngang t d i ln t r n o n [0; b a] c
a d y { ( X a) + , n = 0, . . . , i V } . Do
n
305
t a ch c n c h n g m i n h r n g : {X .:/.,, ()..... .V}
i v i martiganle d i khng m
bEv < E ( X
- Xo),
(9.16)
t r o n g V l s l n c t ngang t d i l n t r n o n (0; b\ c a d y {X,,. Q,....N}. K hiu ro = 0;

Ti = min{m : 0 < 771<N, X
m
0};
m
T2 m i n { m : Ti < m < N, X
T
2 n
> b}\
m
- \
2 n
rain{rn
: r
2 n
_ 2 < m, < N , X _i < TT. < A , ^

r
= 0}; > 6}.
= min{m : r
K h i u l s n l n n h t sao cho T c x c n h n g n (ngha l t p l y m i n t n g n g k h c r n g ) . R r n g 0 . K h i , T / v + 1 = N v

n
N - o -
)=
r c h n
+ ]T .
ri l
(9.17)
n=0
Xt le. N u T< . t h X n u / --" /, t h

^ T
n + 1
T n 4
> 6 > 0 = X
= -X/v > 0 = X r ;
n u . > /. t h
^r ,
+
= A '.Y = '
T
V v y .
>
' /
n l
n l < /
306
trong \l/2\ l phn nguyn ca 1/2. Cc b i n ngu nhin r, 0 < n < N lp t h n h d y khng gim cc thi i m dng d i v i Tri, do {X
T n
,f ,n=
n
0,...,N}
l martingale d i (xem 9.3.3, tnh cht 4). Suy ra E(X v do E[

TI c h n
Tn+
- X )
Tn
> 0,
{X
Tn
- X
) ] > 0 .
T v t (9.17), (9.18) suy ra (9.16). 9.5 C c n h l hi t u 9.5.1 nh l Doob. L -bi chn, tc l

x
Nu {X ,jF ,n
n n n
N } l martingale
du i v
s u p E | J | < oo,
ri
th dy {X ) vi
n
hi t hu chc chn ti bin ngu nhin Xoe no

EXoo < oo.
Chng minh. K hiu V l s l n ct ngang t d i ln trn o n [a; b ca dy {X ,n = 0, ...,N}, v t

n
I/QO
lim
N oo
T b t
n g thc ct ngang ta c (b - a)Ei/oo < s u p E | X | + \a\ < oo,
w
307
suy ra Vo < oo hu chc chn. Suy ra, v i mi a, b P{lirn inf X < a < b < lim sup X } = 0.
n n
C h rng { l i m inf x
n
< l i m sup Xu} [ J { l i m inf X
< a < b < lira sup
n},
trong hp ly theo t t c cc s h u t a, b. Do P{liminf x

n n
< lim sup x } = 0.

n
T rt ra ( X ) hi t hu chc chn t i bin ngu nhin Xoe n o . Theo b Fatou ta c

EXool = E ( lim \x \)
n
< s u p E | Z | < 00.

n
Ch . i vi martingale d i , hai i u kin sau l t n g n g : (i) s u p E | X | < oo,

n
Oi)
s u p E X + < oo.
n
T h t vy (i) => (ii) l h i n nhin, (i) E\x \

n
(li) l do EX :
0
= 2EX+
- EX
< 2EX+
H qu 1. Nu { X n ^ n j U N } l martingale di khng dng (hoc martingale trn khng m), th dy ( X ) hi t hu chc chn ti bin ngu nhin Xao.
n
H qu 2. Gi s {X ,T ,ri N } l martingale di dung (hoc martingale trn khng m). Khi , dy

n n
khng,
308
{ X , !F
n
n 6 N } , vi
oo
Xeo =
lira x ,
n
Too = ( 1J - ^ n )
n=0
lp thnh martiganle di khng dng (martingale trn khng m). T h t vy, nu {X ,F ,n N } l martingale d i khng d n g , th theo b Fatou ta c
n n
E(ôcl^m)
= E( l i m X \T )
n m
> I m (X \F )
n m
>
x.
m
n>oo
H qu 3. Gi s ( x ) l dy cc bin ngu nhin (S ) l dy cc tng ring ca n:

n n
c lp, v
So = Xo,
= Xo 4- +
X.
n
Khi , cc iu khng nh sau l tng (i) (S ) hi t hu chc chn; (li) (S ) hi t theo xc sut; (Ui) (Sn) hi t theo phn phi.
n n
ng:
Chng minh. (i) => (ri) => (Ui) l t m th ng. (Ui) => (i). Gi s s hi t theo p h n phi t i s, E e " hi t t i Ee vi R . t
n i A itS
tc l
ri
Zn = e
t 5
"/E(e
i t s
") = e
t s
" / J]
j=i
E{e >).
D dng kim tra l i rng ( 7 < , n N } l martingale b

chn trong L . Suy ra Z hi t hu chc chn, do S hi t hu chc chn.
n l n n
309
9.5.2 nh l (hi t trong L ). Gi s < p < 00. {X !F ,n 6 N} l martingale v L -bi chn, tc l,

v n n
Nu
supE|n| < DO,

p
th dy ( X ) hi t trong L , ong thi hi tu hu chc chn ti bin ngu nhin Xc vi E | X | < 00.
n p CJO
Chng minh. Theo bt ng thc Doob 9.4.3 ta c E( suy ra E s u p | X | ) < 00.

n p
max
\X \ )
N
<
/
q E\X \ ,
N
\ 0<n<N
ri.
'
Hn na. p { | * | > } < - E | X |

n n p p
< A - E ( s u p | X | ) - 0
n
khi > oo.
V vy, E [ | X | P I { | X | > A}] < E [ ( s u p | X r ) l { | X | > A}]

n n n
((A) A l hm ch tiu ca tp 4 ) hi t u ti 0 khi A > oe. Nh vy, ( | X | ) kh tch u. Theo nh l Doob, (x ) hi t hu chc chn ti Xoa, c bi
t , ( X ) hi t trong L ti Xoe. T rt ra cc i u phi chng minh.
p n n p n
i vi p = , nh l trn, ni chung, khng ng. Kt qu sau y l bit. inh, l (hi tu trong L ). Nu { X n . T n J i N} l mar tingale v dy (x ) kh tch u th dy ( X ) hi t trong L , ong thi hu chc chn ti bin ngu nhin Xao vi EiXoo < oo.
9.5.3
l l n n
Chng minh. Xem nh l 9.6.2 d i y.
310
K h i x t t h t t h e o c h i u n g c l i , t a s c k h i n i m m a r t i n g a l e n g o r c . C t h l. { X , T , n N } l martingale ngTrc nu: (i) x l : F - o c vi mi n N ; (li) X c k vng hru hn vi mi n N ;
n n n n n
(iii) E ( J
|^ n)
Xm
v T
Tn
vi
mi
> T.
T)-, ri
N.
9.5.4 inh l. Nu { x , / " , n N } l martingale ngc, th ( X ) hi t hu chc chn ti bin ngu nhin Xeo no d.
n n n
di
Chng minh. T a b i t r n g {x, J , n = 0, l , . . . , i V } l m a r t i n g a l e n g c k h i v ch k h i { X / V _ . . 7 / V _ , n = 0, , ...,N} l martingale. C h r n g m a r t i n g a l e n g c l u n l u n L - b c h n , v

r n n l
E\x \
n
< E\x x\
n
<
<E\X \.
0
C h n g m i n h c t i n h n h n h k h i c h n g m i n h n h l D o o l 9.5.1 v s d n g b t n g t h c c
t ngang cho m a r t i n g a l e { X - , F - , n = 0,l....,N}
N n N n
(b - a)Ev
< E(X
- a)
- E(X
- a) .
9.6
Martingale chnh
quy
n n
9.6.1 Dinh ngha. Ni rng { X , T , T. N } l martingale quy, nu tn ti bin ngu nhin X vi i\x\ < 0 0 sao cha X =E{X\?n),
n
chn)
VneN. N
C h r n g t r o n g t n r n g h p t h i g i a n h u h n : ri OA..... m i t n a r t i g a n l e { I , f , n = 0, , N } l c h n h quy, v
n n
= E{X \F ),
N n n n
Vn
0.1
N. Cc duy
9.6.2 nh l. Gi s { X , T , n N } l martingale. kin san l tng ng: (i) {X ,^F ,n E N } l martingale chnh quy; (li) ( X ) kh tch u;
n n n
311
(Ui) ( X ) hi t trong L ; (iu) s u p E | X | < oo v bin ngu nhin Doob) tha mn ng thc
n n n
Xao (trong
nh
x Chng minh.
=E(X \r ),
00 n
VnN.
(i) => (). X

n
Gi s
n
= E(X\F ),
VneN.
Suy ra
\x \
n
<
E(\X\\T ),
n
E\x \
n
<
E\x\,
supE|X | <
n
E\x\ < oe.
Do . v i /
c >
0, > 0 ta c \X\dP \X\dP+ > c} + /

J\x>b}
\X \dP<
n
Ml-V|>'--}n{|.\-|>b}
J{X\Zn}n{\.X\<b}
\X\dP
< bF{\X \
n
\X\dP |X|dP.
< -E\x \
n
- /
J{|X|>6>
V vy, sup/
J{|.v|>c}
|X|dP < - E | X | + /
c
\X\dP,
J{X\>b)
lim sup / T J{\x\>r} Nhng b bt k. nn

C
|X|P < /
J{x\>b}
|X|dP.
lira sup /
| X | d P = 0.
n
312
iu n y chng t ( X ) k h tch u . () => (Ui). V ( X ) k h t c h u , n n s u p E | y Y | < oe. T h e o n n h l D o o b , t n t i l i m Xn = Xao. T suy r a
n n n
lira EXn-Xoo
n*oo
=0.
1
( i n ) => ( r ) . N u ( ) h i t t r o n g L t i X n o . t h t t n h i n s u p E | X < oo. T h e o n h l D o o b , t n t i l i m X x~^.

n n
TI
Suy ra X
= X Vy,
n
l i m E\x
n>oo
- Xeo] = 0,
lim E\(x
n00
- Xoo^m)]
- 0.
Nhng vi m < n, th TXnTm) Suy r a X = E(X

n
Xm
0 O
|J m).
J 0 0
=> ( ) l h i n n h i n , v X
= E( Y
1
|J ).
n
-trng
9.6.3 nh l Levy. Gi s X 6 L n {Tr) l dy cc con khng gim ca A. Khi , hu chc chn lim
n*oo
E(X\T )
n
=E(X\r ),
oo
trong l,
l -trung
b nht
cha
tt c cc -trng
Ty,, tc.
Foo = ^(ij-^")'
n
Gi s X L v {Tri) l. dy cc -trng ca A. Khi , hu chc chn lim E(X\F )

n
con khng
tng
E(X\jr ),
n
TI
313
trong y^n
TI
l -trung
giao ca tt c cc -trng
J- ,
n
tc
l, l\T
n
=
Ti
]T .
n
Chng minh.
Xt martingale chnh quy x

n
- E(X|.F ).
n
Ta ch rng E\x \
n
= E\E(X\T )\
n
< E\x\,
E | X |
VTJ e N.
Do , lim x na,
Xc
vi
EXocl <
( theo b d Fatou). Hn
/ X dP= JA
m
/ J
= y
x <ffl
n
E(X|^n)dP
V ( X ) k h tch u, nn E l U | X
n
Xool - *
0, m > oe. suy ra

U ^n.
XoodP =
XdP,
VA
Hai v ca n g thc trn l cc h m tp cng tnh m c trn tr ng [ J - F n . Theo nh l thc t r i n o, ta c

ri
X^rlP
XdP =
E(X|^"oo)dP,
Vv4 G
ffdj-^n)=
^ e .
314
Nhng Xoe v EXToc) vng c i n kin ta r
l ^ T c - o c. do tnh duy nht ca k
i u khng nh t h hai c chng minh t n g t, khi ch rng

/ X,dP= JA JA -- JA X dP
n
E(X\F )dP
n
-
H qu 1: Lut
XdP.
VA
^,m
>n.
0 1
Kolmoqorov
Gi s ( X ) l dy cc bin ngu nhin c l p . v A l bin c ui. tc l

ri
Khi , theo nh l Levy (Tu
fT>V) v v A e l\Fn,
n
ta c
TI oo
lim
PUI^n))
- E ( l
\ l \ T )
' '
T
1.4.
Mt khc. / v JF c lp. nn
P ( I . | ^ n ) --4
HA).
Suy ra p ( 4 ) = IU hu chc. chn. Vy P(A)

H
n
0 hoc: 1.
qu 2: Lut s ln. Gi s (X ) l dy cc bin rii/ihi. nhin c lp. cng phn phi vi E\Xy\ < oe, v (,S') l dy ci t.H ring ca n:
S
Xi,
X\ + +
X.
u
315
Khi d, vi TC sut 1 (v Irony )l} lim S /n

n
EA'i-
li-ao
Chng minh. Vi < k < ri xt E(Xfc|^n), trong , .T ,, "(S'j. 7 > 77.). Ta c

n' oe
7
lim E(X \F )
k n
=E(X,\l\T ).
'
x
Do tnh c lp. ta c E(X \F )

k n n
= E(X,|5 X
n
n + l
n + 2
. . . . ) = E(XfcS' ).
n
Do ( X ) c lp v c cng phn phi. nn (ti sao?) E(X \S )

k n
= E(,Y,|.S' ).
n
Ch rng
TI
5 = E ( S | S )
N N
=E(**|S).
fc=i Suy ra
n>oc
lim s/r = lim E ( X i | S ) = E(Jfi| A ^).

TI * oe
n
'
T.
Theo h qu , /\-7>> l -tnr ng tm thircmg, nn E(X\ p^Fn) n l

x
EX\ hu chc chan (v trong L ).

n
9.6.4 nh l. Gi s { I , f , n N} l martingale chnh quy, v T, l cc thi im Markov sao cho P { r > } 1. 7 .

x
E(Xr\T ).
a
316
Chng
minh.
D o t n h c h n h quy, t c l,
X
nn lim X
n
= E(X\F ),
n
X e L \
thy
T
Xao
( h u chc chn). Ta Xr =
T
E(X\F ),
i
v t r n c c t p { r = ??} t a c X Suy ra
T
= An v E(yY|^v) = E(A"|JF ).
n
E | X | <E\X\ Vy. tn ti E ( X | ^
T T r a
<
00.
T
) . H n n a , J'v c T . n n
T T
E ( X | ^ ) = E((X \F )\F )
- E(X\T )
-- x.
H q u . Gi mi thi im
s { X , T . n N} l martingale Markov
n n
chnh
quy,
th
vi
Chng ta c
minh.
F{T
>
Suy r a t T = oe l t h i i m M a r k o v v h i n n h i n 0-} = 1. sau: v
B y g i t a p h t b i u l i n h l 9.5.2 n h
n n
9.6.5 inh l. Gi s { X , T . n N } l martingale. Cc kin sau l tng ng: () { X . T . n N } l martingale chnh quy sao cho
n n
x ()
n n
= E(X\T ),
TI
X e \ trong
p
< p< L,
p
oo;
{X ,jF .
N b chn
tc
snpE|X|
ri
< oo;
(n)
( X
) hi
tu ran (
J\
317
Chng
minh.
() => (l) suy ra t
E\x \
n
<
E\x\ .
(ii) (Ui) l do (x) compact t n g i v hi t theo x c sut, (xem n h l 9.5.2). (iu) => (li) l hin nhin. (li) => () l do ( X ) kh tch u .
n
9.7 M a r t i n g a l e binh p h n g k h t c h Ta nhc l i : Cho M = {M ,T , ri 6 N } l martingale binh phirng k h tch, tc l: E | M , , | < oo v i m i T N . K h n g mt, tng q u t , ta c t h gi thit Mo = 0, v n u cn ta xt M Mo thay cho M . K h i , M = {M^Fn, n e N } l martingale d i . Ta vit khai t r i n Doob ca n d i dng
n n n 2 n
M
n
IU,,
< M >.,
trong . m =
m | f , n N } l martingale, v < M > - { < h > .Tn-x.
n
TI e N}
l dy t n g d bo c. Ta gi < M > l b i n p h n b i n h p h n g (hoc c t r n g bnh p h n g ) d b o c c a M. Ta c < Ai >,

1 + 1
< M
> =
n
E(Mf \F. )
l+ n
- M.
E (AM
n | 1
) |^
v nu Mo --- 0 th EM? - E < A i > . nh l. Gi s M - {M ,T , kh tch vi M) = 0. Khi ,

n n
ri e N } l martingale
bnh
phng
318
(i) nu E < M > o o < 0 0 , th martingaleM = { M , T , n N} hi t trong L , v do l chnh quy hn na, ta c

n n 2
E ( s u p M ^ ) < 4E < M > o o ; (li) nu E < M > o o < oo , th martingale l chinh quy v
v /
M = {Mn, Tn,
n e N'
E(sup|M |) <
n
3EV<
>;
oc
tng qut hn, nu E \ / < M > < oe, th T l thi im Markov chnh quy i vi { M , f , n 6 N} (tc l {M /\ T , n 6 N } l martingale chnh quy), v ta c
T n T n n
E(sup | M | ) < 3 E V < M

n
>;
T
n<T
I'm,) ron<7 mi trng

{< M
hp ta c
>oo< oo} c {M
n
} ,
tc l, martingale M = {M , T , T. N } hi t hu chc chn gii hn hu hn trn tp {< M > o o < 0 } n n
ti
Chng minh.
(i) suy ra t s u p E M ^ = E < M >oo

n
v bt ng thc Doob vi ) = 2. (iii) u tin ch rng, vi mi thi i m Markov T , {< h >

T A n !
f , n N}
319
l bi n phn cp hai ca martingale { M ta c E[(M

T A ( n + 1 )
T A n
,T
n )
T. N}. Tht vy, n +
- M )' \T \
TAn n
= E|I =
=
{ T > n }
(M
n + 1
M \
n n
I{
<
T > n
}(< M >
>TA(n+l)
i - < M >)
<M > An
T
Ta p dng i u ny cho thi i m Markov min{n :< M

oo
2
> n + i >
a}
a2
n u
<
>oo<
V < M > T < , nn theo (i) Ta l thi i m Markov chnh quy i vi martingale { M , f n N}, do lim M tn ti v hu
n i n
nCX)
hn (hu chc chn) trn tp

{Ta = 00} = {< M >oo< CI }.
2
Khi cho r > 00 trn tp cc s nguyn ta nhn c (iii). (li) Ta thy

P { s u p \ M \ > 0} < {r
n a
< 00} + P { r
a
= CXD, s u p \ M \ > a}
n
ri < { T
< 00} + P{sup | M

n
T a
An|
> a};
v
P{sup
ri
\Ml \
An
T
> a } < a-
lim T E M ^
n
A n
= a~ E < m >
T j
V < M >
b ch
n bi < Af > o o v a , v do
{r
0
<
00}
{<
>oo>
a },
nn ta c P { s u p | M | > ) < {< M > >

n x
a} +
fl E|min(<
_2
M >oc, )l-
320
Do E|sup|M || =
n
n rtx>
/ Jo
P { s u p | M | > a}da
n
ti poo I
2
< / Jo
P{<M>oo>a }da+ > ,

O
/ Jo
Emin(< M
> .a )\~
00
= 3Ev/< M T rt ra (li).
C7w . Cc k t qu sau l bit: Nu { M , j F , n N} l martingale d i sao

n
cho
E s u p | A M | < oo
n
th hu chc chn {supM

n
n
< 00} = {M
-},
{M
- > } u { l i m i n f A f = - 0 0 } u { l i m sup A f = +00} = 2.

n n n
N u { M n , J^ , n N } l martingale bnh p h n g kh tch sao Esup | A M |

n 2
cho
< 00
th hu chc chn
{< M >
o c
<
00}
{Af
-}.
By gi ta p dng cc kt qu trn rt ra lut s l n ( m t trong ba vin ngc qu ca l thuyt xc sut). 9.8 Lut s ln 9.8.1 Lut yu s ln. Gi s {M , T ,n G N } l d{) Mi), (n = M M -I,n 1,2,.... l martingale
n n n n
martingale, hiu tng
321
ng, v {b }
n
l dy cc s dung sao cho b 00 khi n > oo. t d ddi < b }, 0 < i < n.
n ni n
Nu
ri
1=0
(ti)
i=0
TI
b- J2H\dni\^-l)^0,
(in)
n
6 -2 Êdl
i =0
- m(dm\fi-i)] }
0,
th { M , n N } tun theo lut yu s ln theo ngha
tc l M /b
n
hi t theo xc sut ti 0. t n
i=0
Chng minh.
T (i) ta c P{M
n n
M / 6 } < ^P{4
n
7^ di}
1=0
n < 5^P{|di| > M

1 =0
-0,
v do , ta ch cn chng minh b thc Chebyshev suy ra

r.
l
l n
0. T (Hi) v b t n g
6^ ^{dnt-E(dni|î-l)}-^0.
i=0
322 i u n y c n g v i (ri) h o n t h n h c h n g m i n h .
n
Ch . N g i t a c h n g m i n h c r n g , t r o n g t n r n g h p ( d ) l c l p t h ( i ) - ( i i i ) l c c i u k i n c n cho l u t y u s l n (theo ngha t r n ) . B y g i t a c h u y n sang n g h i n c u l u t m n h s l n .
9.8.2 Lut mnh s ln

() Gi s M = { M , T , T, N } l martingale kh tch , v gi s A = { A , T , l N } l dy tng, sao cho Ai > 1. /ITC - oe. Nu vi xc sut
n n n n
bnh phng d bo c
AT
<
'
th vi xc sut
lim
noo JAn 00.
kh
( i i ) Gi s M = {M,-?", T. N } l martingale bnh tch, v < M > o o = oo hau chc chn, th vi xc sut lim
TWOO
phng
< M > n
= 0.
Chng minh. K h n g h n c h t n g q u t , t a g i s M o -- 0. (i) Xt h i u m a r t i n g a l e d = M. - M _ i , v

t
n n n
E A:
Ta t h y E ( ^ - I ^ ) = Ê(ilî) = 0,
323
suy r a {rn ,T .
n n
T N } l m a r t i n g a l e b n h p h n g k h t c h . v
<m ,> =
n
^ i=i
z *
Theo g i t h i t , v i xc sut
T d suy r a v i x c s u t < m >>< m > o o < 00T h e o n h l 9.7, v i x c s u t

0 0
i=
ri
i n n y c n g v i b Kronecker cho t a
(ii) L y y 4
dng, v b
n
<
>.
L u rng,
n u ( a ) l d y s
= ao 4- + t i n - * CO) t h
oo
t
i= Do ( l . n u l y
"
n . E|(AM,) |^-il,
2
6 = < M > ^
^ E ( A M , )
| ^ - i | ,
3-24
th theo gi thi t ta c b > oe, v v vy.

oe
E\(AMi) \fi.
< DC.
< M >?
i n ny cng vi (i) hon t h n h chng minh ( l i ) . Ngoi ra. ta cn bi t thm nhng k t q u noi ling sau. Lut s ln Brunk-Chung. mart ingale sao cho d( -- 0, E|c/ | Gi s {dn.T,,.!! N } l hin < oe vi < r < oe no . v
< o c
2 r
2J-^TTth h u chc chn lim noc

p
"
V
i= 1
,
n
n ^'
.Lii s n Chung. G i s { r i n , j F , 77 6 N } l hiu niariingalo sao cho do = " - 0. E | f / | < 0 0 \'i 
t
< 30,
th h u chc chn lim ritoe
T i-
r; - 0.
J
Cui cng. t a cn nh rng d c nhng k t qu l t V- nh l gii hn trung tn) v lut Loga ly) i vi martingale. 9.9 H n g n g t h c W a l d . Gi si{ ,n e N} l di) cc bin ngu nhin c lp cng phn phi vi E s n < 0 0 , v T l thi dim
n
dng i vi dy (T-I.rnq t nhin Khi d. ta c hng ri thc IVald: EX irony d X,, () - + Ta t h y

T
{ < n > " N } ni E r
<
E .ET,
0
Ch li t minh. E/Y,
A "
00
k I.
ttfw tt
t j
C-
P
k
(I '
"A- . /
.l
n JT
,1 .... ; .IT
T < j - 1
VI { r < 7 - } 6 <7<(j_, /
J T < J - )
v (lo < 7 < ( j _
ir
si c lp. nen }Ej
j'flP
/
. h
I { r < j - k y / p - P{r < j -
Vy l
oe
j-(>
oe
]TE,P{T
>.,}
.;
It
E.Er.
320
Ch .
. H n g n g t h c W a l d l h q u c a vic b o t o n t n h m a r t i n g a l e k h i thay t h t h i gian b n g t h i i m dng: Xo Nh d bit, iu ny ng E(X \Fo).
T
k h i {XmFnjU
N } l
martingale
c h n h quy. 2. Hng ng (0; oe) supnl<n

1
thc
n
Wold
r
suy
rng.
G i s {Mn^n^n
6 N}
l martingale v i E | M | s B
< oo, < r < 2 n o , v t n t i h n g
Y.HKVi-i)
;
< ,
th ta c E M Bi tp
T
= EMo, i v i m i thi im dng r vi T /"" <
oe.
1 . ( i ) G i s r l t h i i m d n g i v i (Tn),n k h i u (n) m i n h (n) l t h i i m

n
e N . V i " n i n.
l s n g u y n b n h t p sao cho { r r } /*p. C h n g dmg.

n
(ii) G i s x ,
n N l d y c c b i n n g u n h i n b c h n . t r = min{fc|Xfe = max X },
TI
V =
m\t{k\Xk
min A n } .
v V c p h i l t h i i m d n g khng?
1
2. C h o day ( , n e N ) t r o n g L " t
ri
do = Co, d
- B ( n | i , ...,n -l).
* n = J3
"
C h n g Ttiinh { X
, n G N } l martingale.
327
3. Cho (X ) l martingale khng m v i EX\ r n g vi > 0

n
= 1. C h n g m i n h
(X 4. G i s
> vi n > . l n o ) < 1/A.

n
x = 2^J dfc, n
n
= ,
2,...
fc=i l martingale bnh p h n g k h tch sao cho

oo
n=l
Chng minh ( X ) hi t hu chc chn. 5. Chng minh nh l ba chui tng q u t sau. G i s {ni^n} l dy t n g thch, T = { 0 , O } , v c l hng s d n g . K h i , chui ^ 2 n hi t nu ba chui sau h i t h u chc chn
n
E C I ^ - i l - E V a r ( | . F _ ) , 5 > { | | > cl^n-O,

n 1 n
TI
trong , I { | n | < c}. 6 . B Borel-Cantelli suy rng: G i s {T , n 6 N) l d y k h n g gim cc ( 7 - t r n g con, v (A ,n e N) l d y cc b i n c sao cho -<4n ^-"n, n N . Chng minh rng
n n
c=
ao
oo
Cl
A
< oe} = {YsHAnTn-x)

n=
< 00}
P- (h.c.c).
n=
Hn na, trn t
p
00
{^P(^ |^ _t)
n n
= 00}
n=l
328
- ^ - ^
fc=i
,1
P-(h.C.c).
7 . Gi s ( n ) l dy cc bin ngu nhin c lp, cng phn phi vi P( = 0) = 2) = 1/2.

n
nu =
Xn=n&> ' '-T
n=1 2
Chng minh (X ) l martingale v X 0, nhng khng phi l martingale chnh quy. 8 . Gi s ( ) v (7 ) l hai dy cc bin ngu nhin sao cho
n n n n
(ii"-,n)
n n
c m t l / ( x
, x
) ;
(771, . . . , T ) c m t
n
5 ( x i , x ) , n = , 2,
v
Chng minh rng

fn(vu--,rin)
r,
_
n
_ , n , z , ....
0
l martingale. 9 . Gi s ( ) l dy cc bin ngu nhin c lp v

n
- 0. hi t hu
TI
= 1,2,...,
^r^ffc. Chng minh rng, nu (Xu)

n
chc chn ti Xoe vi EXool < 0 0 th ( x ) l martingale chnh quy. T suy ra i vi martingale, lo
i ny, i u kin Doob supEXnl < 0 0
n
ko theo tnh chnh quy ca n. 1 0 . Cho chng minh y ca nhng kt qu trong v d 7 v 8 mc 9.3.2.
32!)
C h n g 10 XCH M A R K O V VI T H I G I A N R I R C u t h k X X . A.A.Markov (14.6.1856 - 20.7.1922) - nh Ton hc- v Vt l ni ling ngiri Nga a ra

ca Tut
TH
hnh ton ny
hex; m t s tha}' i t nguyn m sang ph m t ngc- li 20.000 t

trong mt
kch
ca
Puskin. V
sau
TH h n h
c pht t r i n v s dng trong nhiu lnh vc khc (nh vt l. c hc. sinh hc, y hc, kinh t, v.v... ) v c mang tn l: Qu trnh Markov. Trong nhng nm gn y, qu trnh Markov c ng dng rt nhiu trong t h n g nghip, t i n hc, vin thng, v.v... v l rut mn hc b t buc i vi sinh vin ca nhiu tr ng (li hc. Xch Markov l tr ng hp ring ca qu trnh Markov (khi ta c th n h s c cc trng thi). hiu xch Markov, bn chi cn bit nhng khi nim c bn nht ca xc sut. (dc bit l xc sut c i u kin. cng thc xc sut. y ) , d i s tuyn I inh v cch gii mt s phng trnh sai phn d n gin. 10.1 10.1.1 T n h Markov Dini ngha
Gi t h i t chng ta nghin cu s t i n t r i n theo thi gian ca mi h vt l hoc sinh thi no (c t h l phn t, ht c bn. n g i hoc mt sinh vt no , v.v... ). K hiu X(l) l v tr
330
ca h t i t h i i m
t. T p h p c c v t r c t h c c a h c s h trng
g i l k h n g g i a n t r n g t h i . G i s t r c t h i i m thi no . cn thi i m thi im t t r o n g t n g lai s h trng thi (t > s)
. T a c n b i t t i j v i xc th
h trng thi
s u t l bao n h i u ? N u x c s u t n y ch p h t h u c v o s,t.,i,j
i u ny c ngha l: s t i n t r i n c a h t r o n g t n g l a i c h phu t h u c v o h i n tai v d c lp v i q u k h . Markov. H c t n h c h t n y c g i l q u t r n h Xt) Xt) l t n h
Markov. t (trong
C h n g h n . n u gi t n g l a i ) , t h c t h xem v c lp v i q u k h . c a hc, v . v . . . h c t n h
l d n s t i t h i i m
ch p h t h u c v o d n s h i n t i
Ni chung, c c h (sinh t h i , v t l h o c
) k h n g c t r n h ( m e m o r y ) h o c sc , l n h n g
Markov. E t p gm cc gi tr ca Xt). Nu X(t) x(t) X(t) v gi E l v
Ta k h i u
k h n g gian t r n g t h i ca E
c tnh Markov
n h s c ( m c ) , t h 0, , 2,...
c g i l x c h
Markov. Markov
T h m vo . nu
th ta c khi nim xch
v i t h i g i a n r i rc, c n n u M a r k o v v i t h i gian lin tc.
t e |0; oo)
th ta c kh i nim xch
V p h n g din t o n hc. t n h M a r k o v c t h i n h nh inh sau: ngha.

n + l
ngha
Ta ni rng )= j\X(to) {X(t

n + l
Xt)
c tnh
n
Markov
n
nu: '}
P{X(
i,...,X( _l)
n
-t _l,*(<n)
) =j\X(t ) = i},
n
vi
bt k
to < t < < t
< t
< ... v
lo,....
i -,i,j e
n
E.
331
Ta xem
l hin t i ,
n +
1 l (trang lai, (o, t i , _ i )

n
q u kh. V t h biu thc trn chnh l tnh Markov ca t p(s,i,t,j) thi Jj(s,i,t. = {X(t) = - i} , (s < )s
X(t). l xc trng
sut c i u kin h (hay qu trnh) t i thi i m i, n t h i i m j) t chuyn sang trng thi
j. V t h ta gi
l x c sut c h u y n c a h (hay qu trnh).
Nu xc sut chuyn ch ph thuc vo ( s), tc l, p(s,i,t,j) = p(s + h,i,t + h,j),
th ta ni h (hay q u trnh) l thun nht theo thi gian. T r o n g g i o t r i n h n y , khi k h n g ni g t h m , c h n g ta ch x t x c h M a r k o v t h u n nht. 10.1.2 V d 1. V d o,i, . . . , , . . . l dy bin ngu nhin ( i l ng l t p hp cc gi tr ca Ek (: = 0, , . . . . n , . . . ) .
Cho
ngu nhin) r i rc, c lp, Ek h u hn hay m c

oe
Ek, r rng E l tp hp khng qu m c. fc=o Khi , ta thy t E =

P { n + l = Mu vi P{n+l n = to, - n - 1 = ' n - l , n } = " +-!./) 6 En + .
= 3} = P { n + l = . / k ' n = } = E l , . . . , i_i
n
(| (),
En-li
En,
Nh t h w d . Cho
( ; n = 0,1.2,...)
l xch Markov.
o,?7i, ,?n, l dy bin ngu nhin ( i l ng
ngu nhin) r i rc, c lp, nhn cc gi tr l nhng s nguyn.
332
t
P{^n
x = o + /1 + 7/2 + + f/n ( - 1.2, ) + l = j|o
Ta v
O . - ^ l - i. .... / Y _ t -- i _ ] . x r , = i l o - /'(). //: =

:
/'} -
- P{X + r /
n + 1
- /(..... ?,, = I - 7_1} '/ - '-1 }
P {//4 - j - / Co = 'o, ??1 = i i - i()

i i ./->}
P{*1
?{A'
:
j|X
I r/
n + 1
}
-= j | o f '/! + ... I //,1-1 f /n
:
P{'/nt
j -
'k"o
'/
f + }n-\
+ /n
/}
Nh t h c/- .
( X ; n - 1,2,...)
n
l xch Markov.
Ni.chung cc xch Markov v d v 2 trn y khn"; . . . . ( , . . . l dy bin ngu nhii (.; TI 0. . 2. ...
thun nht. Nu t rong v d cho ri rc. c lp v cng )hn plii xc sut. th l xch Markov thun nht, v ngc l i . Cn trong v d 2, nu cho 1.2,...)
7/1.7/2
//..... l dy bin ngai (X: li
nhin ri rc. c: lp v cng )hn phi xc sut. th trn ta c
l xch Markov thun nhai,. Tht vy. b

n g lp lun lm
P{X
j\X
+ //3
- i,}
Prin + rin 2 + ... I n h --- P { x h + 1

-
3 - )
;}
- {r
I ... + rt, ---3-1}
v i m i r " 1.2,... ; h = 1.2,... : 7, j 6 ' C N .
333
10.2 10.2.1
Xch Markov ri rc v thun Ma trn ( X

n
nht
xc
sut
chuyn l x c h M a r k o v r i rc v t h u n (f2. ., P) l k h n g g i a n
Gi s nht. xc
) [l -- 0 . 1 . 2 . . . .
N i m t c c h c h n h x c l: g i s sut. x : n > E
l b i n ( i l n g ) n g u n h i n n h n g i
tr t r o n g t p m c E. E l k h n g gian t r n g t h i , c c p h n t ca n c k h i u l
i,j,k,...
( c chi s hoc k h n g ) . K h i . ( X ) c ngha l:

n
t n h M a r k o v v t n h t h u n n h t ca Pij - P(X
W(X. --\
n
j\x
= ) = l). .... X - \
n
j\X{)
i -l,Xn
n
- )
khng ph thuc vo T . p bc. pij l x c sut, c i u k i n h t i t h i i m . c h u y n sang t r n g t h i ri ( h i n t i ) l

=
( ij)
c g i l m a
t r n x c sut
chuyn
sau
trng thi ( t n g lai).
ti thi dim
N u t c c b i n c
A (XH --- j ) , B ( X = ), c .-: {Xo ----2 0 , . i _ i ) .
t h t n h M a r k o v c ngha l P(A\B) T suy ra (ABC) P(B)
(A\BC).
F(AC'\B) =
{BC)(A\BC) P(B) .P(C

1 B
nge|gdw
)P(A|B),
334
t c l, q u k h v t n g l a i l c l p v i n h a u k h i cho t r c h i n ti. C h r n g t c n g t h c x c s u t y suy r a m a t r n p = (Pij) c t n h c h t 0<Pij < 1 .
ViJeE
; ]T
P l j
= 1 .
Ma trn c tnh cht n h t h c gi l m a t r n nhin.
ngu
X c sut chuyn sau 7 1 b c c n h ngha theo cng thc: v

[
= P(X
= j \ x
= i) = {X
= j \ x
= i). -, sau r
y l xc sut h t i t h i i m ban u trng thi b c c h u y n sang t r n g t h i p(> = . R rng

1 n u i= j
P = Pij. T a q u y c
I
\
nu
7^
j
ri
v
t bc.
p(
n )
= (pjj*) . l m a t r n x c s u t c h u y n s a u
T c n g t h c x c sut y v t t n h M a r k o v t a c V) 0,1,2...
/'!;
p& T a g i (10.1) thun.
f
tl!
E/wir=
(10-1
(U)
EpW
fceE
l p h n g t r i n h n g c , (10.2)
l p h n g t r n
335
T n g q u t h n V n , ??; - 0, , 2 , . . . t a c
(n+m) Pii
v^")
= Z-r
(m.) Pifc P f c i
/ m o \
fc
(10.3) i r c g i l p h n g t r n h C h a p m a n - K o l m o g o r o v . Gii thch. c h n g m i n h (10.1) t a l p l u n n h sau: H i, sau n + 1 b c c h u y n sang t r n g t h i i, sau bc
x u t pht t trng thi j
l k t q a ca vic h x u t p h t t t r n g t h i k
c h u y n sang t r n g t h i thi
no ; t h ri h xut pht t trng
/, sau n b c t i p t h e o c h u y n sang t r n g t h i j. V v y . t Tht
c n g t h c x c s u t y v t n h M a r k o v t a suy r a (10.1). vy, do cng t h c x c sut y ta c p;

+ 1 )
r.v(x
n+x
=j\Xo
= i)
= i, x
x
= J 2 P ( * n + 1 = j\Xo
= fc|Xo -
i)
^
kE
P(x
1 = j | X x - Jfc).P(Xi = fc|Xo = ) (do t n h M a r k o v )
VikV^j
{o t n h t h u n
nht).
iu n y chng minh
(10.1).
C c c n g t h c (10.2) v (10.3) c c h n g m i n h t n g t . C c p h n g t r n h t r n c d n g m a t r n n h sau:

p(" * ' ,- ppi " p(" t p(n+m) _
:
p(")p p(n)p(rn)
T suy r a
p(n) _ pi
336
P h n phi h u han c h i u ra qu trnh Markov c tnh heo cng thc sau:
va
V(Xo ' Oi X\ i\,
=io)
Pi .
0
X _ 1 = i n - 1 1 - X n ) -- Pm'Pion
' P i n . ri-
10.2.2 nh
Phn ngha. sau:
phi
ban
u Ti. c. cho bi
Phn phi ca h ti thi im.
cng thc
p
i n<
n)
n)
=P(,Y
n)
./) ; H
0,1,2,... ; j e E.
0
= (p
, i 6 E)
v gi n = rt '
/ pAn
tan
u ca h . Ta quy c vit d n g thy rng:

n
n^
n)
(fj
?)
l vc t hng.
( . i
n ]
( n ) n' p
n ,
f[( + ) + n (n+m)
-j(l)p(n) _ -j(n)p(m)
T h t vy, theo cng thc xc sut y ta c
p*
+ m )
= P(x,
=
l + m
j)
= i).P(X = j\X 0
E
6E
(n> . Pi -/'
337
P h n p h i ban u c gi l dng nu ph thuc vo n, tc l r i = n
( n )
n(
n )
khng
, hay l r = np.
Nh vy, m h n h c a m t x c h Markov r i rc v t h u n nht l b ba (x )

n
( X , n , p ) , trong :
n
l dy cc ai l ng ngu nhin ri rc, l phn phi ban u,
n F
l ma t r n xc sut chuyn. 7Tj = lim py

n > c c
N h n g v n c h n h i v i x c h M a r k o v l: T m i u kin tn ti k h n g ? v cch t m n. Cc m h n h c trnh by trong mc 1.3 tip theo s lm s n g t thm ngha thc t i n ca nhng v n ny. Nhn xt. Xch Markov hon ton c xc nh mt cch duy
n
d c lp v i . c duy nht
P h n phi dng c t n tai k h n g ?
nht bi b ba (x ,u,).
nhng nu thay
bi
( 2 )
th t n h
duy nht khng cn n g na. Chng hn, vi
th
hoc
338
10.3 10.3.1
Mt s m hnh xch Markov M hnh kim k (Inventory Model)
Gi t h i t phi d t r trong kho mt loi h n g no p ng nhu cu lin tc ca khch hng. H n g c nhp kho t i cui cc chu k n
0,
2,...
Gi s tng s l ng hng cn phi p ng nhu cn trong chu k T. l bin ngu nhin t h i gian: Vn =
0,1,2,...
c p h n phi c lp vi chu k
th
oo
F{
= k} = a
(k
0,1,2,...)
; Qfc>0,
JÔfc =
fc=o
l .
(10.4)
Mc hng d t r c kim k t i cui m i chu k. nhp hng cn c vo hai ch s tiu chun 5 v s s (s < S)
Cch nh
sau: N u cui mi chu k l ng hng d t r nh h n hay b n g th ngay tc khc phi nhp h n g c s hng d t r bng s, th khng cn nhp hng. T v tr c
nhu
S; N u h n g d t r hin c lm hn K hiu x
n
l l ng hng hin c t i cui chu k

n
khi nhp hng. Cc trng thi ca qu trnh ( X ) l cc s l ng

h n g d tr: s, s , 1 , 0 , , 2 , . . . trong gi tr m l
cu khng c tho m n m s c p ng ngay sau khi nhp hng. Theo cch kim k hng ha nu trn, cc mc h n g d t r t i hai chu k lin t i p c mi lin h sau:
An+1 U n <
n
n+i
nu nu
s <
x
n
x <s,
n
{ b' q +i
n
< s. i, 2, l dy
(10.4),
trong l tng l ng hng yu cu ca khch t i chu k t h n. Nu ta gi s rng dy cc nhu cu lin tip: cc bin ngu nhin c lp c cng p h n phi xc sut th
339
d y cc gi tr d tr: xc sut chuyn Pij = P { X

n +
Xo, Xi, x ,...

2
lp t h n h xch Markov vi
i = j\x
= i} = nu
nu
_ f P(n + 1 = * - j )
~ I p(n+l = S - j )
s<i<
i < s .
s,
s
Xi
k \ \ \ \ \
2 3
^3
Si
\ \
1
5 u trnh kim
k hng ha
minh ha , ta xt m hnh kim k ph t n g thay t h , trong yu cu c t h l 0, hoc 2 om v ph t n g cn thay trong m t chu k b t k, vi p h n phi xc sut thuc loi (3.1) n h sau: {u v gi
s 0} = 0,5; P { = l } = 0 , 4 ; P {
n n
= 2} = 0 , l Vn = 0 , l , 2 , . . .
s 0,
s
=
2. Cc gi tr c t h ca
X
Khi
l 2, , 0, .
Cc xc sut chuyn c tnh n h sau:

Ta xt Pin P{^n+1 = 0 \ X
n
}.
x.
n +
th
khng cn nhp p h tng v trng thi t i p theo X Vn + I
\ = 0 l do
(x
y ra vi xc sut 0,4 ) , vy Pio = 0,4.
,340
By gi, nu X = 0 th phi nhp ph tng ngay cho t ti s = 2 v trng thi tip theo X X = 0 l do ] = 2 (xay ra vi xc sut 0,1), do Poo = 0, 1.
n
n +
Tip tc nh th ta c xch Markov vi khng gian trng thi l E = { 1,0,1,2} v ma trn xc sut chuyn l /0,0 0,0 0,1 \0,0 0,1 0,1 0,4 0,1 0,4 0,4 0,5 0,4 0,5\ 0,5 0,0 0,5/
Gii thch.- Ngoi Pio dng tnh c P-1-1 = { X

n +
v poo d tnh trn, ta c th d
= -l\x
n
= - 1 } = P { 0 } = 0.0 ,
p_!0 = P { X
p_u = P { X p_
1 2 n
n + 1
= 0\x
= -} = {
n
n+
= 2} = 0. .
1} = 0.4 .
n +
i = l|X
= - 1 } = {
n+l
= P { x + 1 = 2|* = - 1 } = P{+1 = 0} = 0. 5 .
n ) 1
P2-1 - P { X
= -lix
2} = P { 0 } = 0,0 .
2} 0. .
P20 = P { * + 1 = 0|X - 2} = P{e+1
P21 = P{Xn+i = 1|X = 2} = P { e

P22 =
p{*n+l =
+l
= 1} = 0,4 , = 0} = 0, 5 ,
2|X
= 2} = p {
n + 1
v.v... t p
n )
= P{X - j}, ta th ng quan tm n cc i lng sau lim

nIOC '
v J
'
li
n o o ^ '
jP j
J
j<0
j >0
ngha ca cc i l ng ny l: i l ng t h nht bng lim F(X

n 0 0
< 0), l xc sua
khng p ng c nhu c
u ca khch hng ti chu k TI tron: tng lai xa.
341
i l ng t h hai bng s l ng h n g d t h a t r u n g b n h ri trong t n g lai xa.
t i chu k
i u ny ch r t m quan trng ca n h n g k t q u v
(n)
lim p)
ri00
J
= K,
10.3.2
hnh
bnh
Ehrenfest 2a q u cu (c t h cha k chn
Gi t h i t chng ta c 2 container cha qu v container B chia (2a k) qu.
xem mi qua cu l mt p h n t ) . G i s container ngu nhin t tng s la
Mt. qu c
qu v cho v o container kia (xem n h
p h n t khuych t n ngu nhin qua m n g mng). R r n g cc q u cu lun .chuyn gia hai container theo quy lut chung: chuyn t bnh c nhiu qu h n sang bnh c t q u h n . G i s t X
n
Y
n
l s q u cu trong
t i giai o n t h
= Y
a . {n} l xch Markov c cc t r n g t h i l a,

o
Khi ,
+ , 1 . 0,
, a
v i xc sut chuyn a i
i + 2a 0
a
nu
nu
j = i + ,
. j = 1-1
trong cc t r n g hp cn l i .
Gii thch. p
t]
Ta thy = j\x
n + l n
= F{X
n+l
=t}= = j - i
P{V = \
n + 1
= a + j\Y
= a 4 1} ,
- Y
342
j i ngha l A c thm qu cu t B c a qu cu, j i = ngha l A mt qu cu trong s a + qu cn ca ne iu-chng ta cn bit trong m hnh ny l phn phi cn bng ca cc qu cu trong mi bnh. 10.3.3 M hnh phc vu m ng (l thuyt xp hng)
Gi s c mt ca hng phc v. Khch n xp hng ch phc v v ca hng ch phc v tng khch mt. Khi c khch th ca hng phc v ngay, khi khng c khch ca hng s ch khch n phc v. Khi ca hng ang phc v khch no , th cc khch mi c th ti v ngi ch. Gi s trong mi chu k thi gian, ca hng ch phc v mt khch v gi s s khch n ca hng trong chu k th n l bin ngu nhin n c phn phi xc sut nh sau: xc sut c k khch hng ti trong mt chu k cho bi cng thc:
(u = k) = a
k
k = 0,1,2,...
f c
>0,Ôfe = l
k
(phn phi ny c lp i vi r). Ta gi thit rng i , f 2 > - " l cc bin ngu nhin c lp. Nh vy ( ) l dy cc bin ngu nhin c lp cng phn phi. Trng thi ca h (ca hng) ti thi i m u ca chu k l s khch xp hng ch phc v. Nu hin ti h trng thi i, th sau mt chu k h ri vo trng thi
n
i + ^ X
nu i > , nu 1 = 0,
( l bin ngu nhin c phn phi (ctfc) trn).
343
Ta k hiu k n. K h i
l s k h c h t i t h i i m x u t p h t c a
chu
= (x
vi x
+
1)
n
+ n , nht)
= m a x ( 0 , X).
R rng
( X ) l xch Markov (thun
v i k h n g gian t r n g t h i chuyn l
E = {0,1,2,...}
v ma t r n xc sut
/ao ao 0 0
ai
C12
a.2
a3
0,3
a-4
CL4
Vo
Ta ch rng
d ao 0 0
ai ao
I
keif,
a d ao
2
CL2
ai
.../
l s t r u n g b n h k h c h t i t r o n g
m i k phc v. B n g t r c gic ta cm n h n c r n g n u E > t h s n g i x p h n g ( c h p h c v ) n g y c n g t n g . N u E <
t h s n g i x p h n g s t t i t r n g t h i c n b n g theo ngha sau y:

n
l i m (X
n00
= k\x
= j ) = n >0
k
; Vk = 0 , 1 , 2 . . .
(V7T
*
f e
= 1) .
Trong m h n h n y cn hai i lng quan t r n g na cn t n h n . l: 7fo l x c s u t k h n g c k h c h , t c l, t l t h i gian c a ca.
h n g k h n g c k h c h so v i t h i gian c a h n g m
T h i gian t r u n g b n h m t k h c h t r o n g c a h n g b n g
344
10.4
10.4-1
Xch Markov c h u h n t r n g t h i
Xch c hai trang thi
By gi ta xt t r n g hp n gin nht ca xch Markov: khng gian trng thi hiu E = { 0 , 1 } . Gi s ma trn xc sut chuyn ca xch l a a \ b l - )
b v i
ca xch
( X ) gm hai phn t . Ta k
n
,-. , 0<a,6<l.
2;...
C t h kim tra li rng F{X
a = b khi v ch khi X],

n
l cc bin ngu nhin c lp cng p h n phi vi {X

n
- 0} = , = 1) = a .
= 1} = a, nu ta xem F(x
= 0) = b , (x
Do , khi a Markov.
b th
(A" ) l dy ph thuc, n h n g c tnh

n
T n h trc t i p ta thy
1P>2
( - (? + ab 6(1 - a + - b)
a(a + - b) ( - )) + ub
2
Bng quy np ta c (b a + b \ b a\ aJ ( l - a - b ) +6 b a + 1 th b a a + b a
n
a \-b
a b
lim p
n too
a +b b
345
iu ny ni ln rng, trong tng lai (xa xi) h s ri vo trang thi 0 vi xc sut sut
v ri vo trang thi vi xc
a + b
a + b
M hnh xch Markov hai trng thi c ngha thc tin nh sau: Gi s ta nghin cu mt vn x hi (ti phm, nghin ht, mi dm, v.v...) trong mt lp ng i no . Ta k hiu 0 l trang thi khng mc vn x hi v l trng thi mc vn x hi. Chng hn, thng k tnh trng nghin ht ca 1.200 sinh vin ta c s liu ban du sau: 1.000 khng nghin, 200 nghin. Vy t l ban u l
1 0 0 0
5
Po = = - = 0, 833 1200 6 '

0
ann
, '
Pi = = - = 0,167 . 1200 6
Sau ba thng, do bn bun bn ma ty hot, ng mnh v do nhng bin php x hi (tuyn truyn gio dc, cai nghin, v.v...) nn c nhng sinh vin (trong s 1.200 ny) s t 0 chuyn thnh 0 hay , hoc t chuyn thnh 0 hay 1. 0 > 0 c ngha l tr c y khng nghin, nay vn khng nghin. 0 > c ngha l trc y khng nghin, nay nghin. > 0 c ngha l trc y nghin, nay khng nghin. * c ngha l trc y nghin, nay vn nghin. Cc. s liu ny c th thu thp c, chng hn: 0 0 / 990 y 24 10 \ 176/ '
346 Ta c 990 poo Pit) 1000 24 200 0,99 0,12 10 pen Pi '
=
176 200 (Xu)
= 0,OI , 0, 88 sau:
N h v y t a c m h n h xch M a r k o v K h n g gian t r n g t h i E = {0,1} .
P h n p h i b a n u n = (po , Pi) = ( 5 / 6 , 1/6) M a t r n xc sut chuyn Poo Pio Poi Pu 0,99 0,12 0,01 0,88
= (0, 833 , 0 , 1 6 7 ) .
T h e o m h n h t r n t h a = 0, OI , b = 0,12. V t h
R rng
11 ct 6| < 1.
/
lim
ri>oc
71
a + 6 b \ a + b
a + b a a f b
0,923 0,923
0,()77\ 0,077 )
K t l u n : t r o n g t n g lai s c p h n p h i c n b n g : T l n g i k h n g n g h i n l x p x T l n g i n g h i n l x p x i 8%. P". Trong TI c n 92%.
Tt. n h i n , ta cn p h i t n h n tc h i t ca t h
c t , c t h d n g m y t n h d t n h thit. Nu n = 24, t h c ngha l p ,p ,...
2 3
v rt, ra
24 X 3 t h n g 6 n m s c
p h n p h i c n b n g ni t r n .
Sau 3 t h n g u t i n t a c t l n g i k h n g n g h i n v n g i nghin l
= HP = (5/6 , 1/6) (o,12 M s )
= ( 0
'
8 4 5
' '
1 5 5 )
347
d b o 3 t h n g t i p theo tnh h n h s ra sao ta cn tnh n< > .= ra* = (5/6 , 1/6)

2 2
( llll l f %)
Q : 7
= (0,855 , 0,145) .
e d b o cho 3 t h n g sau na th cn tnh n(3) - n p 3 _ (Ka /R /0,973731

n
0,026269 \
Khi
^ T = 24 nW li
' ta c
24
(, 0:315228
oi 684772 J = (0.864.0.130) .
= ra* -11F
= rs/6 1 /6 f < -(5/M/6) 8904407 = (0,9199 , 0,0801) .
0, 0742034 \ 0,1095593 J
10.4- 2
inh l
ergodic
tn
Trong cc v d trn, ta thy r cn phi nghin cu nhng i u k i n xch Markov c tnh cht ergodic theo ngha sau: ti cc gii hn 71"j l i m p-"'
noo
J
khng ph thuc vo i
sao
cho 7Tj > 0 V j e E,
5^7^
= 1.
Ta cn n
m vng ni dung ca k t qu sau: i n h l. Markov (i) Nu Gi s (Xu) F = (p. ) l ma trn xc sut. chuyn E = ca xch
c khng gian trng thi hu hn chnh quy theo ngha sau: tn tai minp i,j
o )
{ 1 , 2 , N }
no
sao cho (10.5)
> 0
348
th ton ti cc s 1 \ , 7 T sao cho
TTj > 0
5^7Tj = l
j E
(10.6)
v vi mi
j 6 E lim p g = 7 T j . (10.7)
/to m n r c
(li)
Ngc Cc s
li, nu tn ti cc s v (10.7)
7ri,...,7Tjv
7 T x , . . . , 7T/V
iu
kin (10.6) (iii)
th s tn ti l nghim
no
tho mn
(10.5). trnh (10.8)
ca h phung '
6
]C
fees kin
Xj
1/ / nghim
duy nht tho mn iu

X j >
0 , V j 6
new
(10.5)
c /ic /lin.
Chng (i)
minh. t m'
J
n )
rainp-"'
J
MJ
n )
= raaxp.13
-
T p h n g trnh Chapman-Kolraogorov ta c
E
T suy ra
A-
fc
n )
Vy
n )
<m
n + l )
hay
(m )
l dy n i u t n g .
349
Tng t ta c A j > M j hay ( M j ) l dy n i u gim. V vy chng minh (10.7) ta ch cn chng t A/j

n )
f,)
n + l )
n )
- m
n )
-> 0
khi
TI
> oo
; V j = , 2 , N .
o)
; Gi s = minp|" v ta c
o)o )
> 0. Khi
p> p " - q#> py > 0 (ti sao?)
pr
+n)
= p r ^ L y = E Mr> - g?]P+PPP' (")1 ,

-
( o)
(2n) _
(n)/
(2
> mA T ta c
fc
p' - ep}fc'J + ep
(n + n)
= m} ( - e) + ep
(2n)
> m]Tng t ta c
( - ) + p}}
T hai bt ng thc ny ta c
M
j n o + n )
(no+n)
<
j n ) _
( n )
T suy ra
M
( f c n o + n,
(fcno+n)
<
( n ) ) ( j _ e)fc 0
khi fc -> oo .
Dy
(Mhf
n )
- m.) - m
n )
n i u giam (ti sao?), c dy con hi t - 0 khi - oe ; V j = , 2 , N .
ti 0 . nn
T.
350
N h vy, ta chng m i n h c rng, t n t i

TTj
=
lim
Ti>rv-i
m)
J
(n)
lim
M.
(n)
lim 7 ?
(n)
C n c h r n g , theo c c h c h n g m i n h t r n t h k h i
(n)
n > no
ta c
<M
(")
3
( )
rin,-
<
)l / ol-l
t c l, s h i t ca nhn. N g o i ra, (ii) t h i l h u (iii) m ^

n
p"' ti
7Tj
din ra v i tc cp
> m
n o )
> > 0
khi' T > no
, do
Ij > 0. trng
H i n n h i n t (10.6) v (10.7) suy ra (10.5) v s hn. (10.8) l h q u t r c t i p c a (10.7) .
T h t v y , v s t r n g t h i l h u h n , n n
lim
=
= J i m VpiV -j
rioo * * = ^TTfcP/cj **
V lim p ?Pfej ** n toe
k d i y. ln
T n h d u y n h t c a n g h i m suy ra t n h l 1.4.5 Ch . Ta c t h chng m i n h c l u t s A c nn nu ( X
i vi xch
M a r k o v c t n h ergodic. C t h l, g i s t, ^ 1T = 2_jK
v A
E ----- { 1 , 2 . N ) .
X X
f ,
A
6 A t A , ) .
(x) 0
i&A
{n)
A
( X
) + - - - +
351 L u t s ln khng nh rng: nu (X )

n
l xch Markov ergodic th
Ve > 0 lim P ( | ^ ( n ) - 7 T ^ | > e ) = 0 .
10.4-3 inh bin)
Phn ngha.
phi Nghim ^j
dng khng m = , c
(iTi,TM)
ca phng dng (hay
trnh bt
(10.8) sao cho
gi l phn phi
ca xch Markov
vi ma trn xc sut chuyn
F (pij).
Ta gii thch nghi ca p h n phi dng: N u ta l y tc l, K h i ,

.(1) { i \ , T M )
l p h n phi ban u ca xch Markov,
= F(X
=j) =
= (X =
Y^n
kPk
Tng q u t ta c Xo, X i , X
n
I ^
j )
Tj,
tc l, cc bin ngu * i v i mi bt
, . . .
c phn phi xc sut nh nhau. khng ph thuc vo
Ta c t h chng minh p h n phi ng thi ca nhin (Xk. Xk--1,Xk+m) m.
Q u trnh c tnh cht n h t h c gi l qu trnh dng.
V i t d i dng ma trn, th phn phi dng l v c t c t b i n i v i m a t r n c h u y n vi c a p, tc l,

V2\ P12 P22 VN2
\
PNN
\
7T
2
PIN
P2N
\7Tyv
\ T
352
10.4-4 inh
Phn ngha.
phi
gii
han v phn
phi
ergodic nu phu hn.
Ta ni rng xch Markov ton tai cc gii han v thoa mn
c phn phi gii hn, l J = lim p ^

T
V j = ,2,...,N thuc vo i
khng
71 oe
'
cc iu kin:
2
Ij > 0 , 517Tj
Trong trng
hp ta gi (ni, 7 T . 7 T / v ) t p/in p i gii c tnh ergodic, nu lim p | " ' khng phu thuc vo ergodic.
Ta ni rng xch Markov tn ai cc g i i /lan 7Tj = mn cc iu kim gi

(ni,
7 T 2 , T N )
\/j - 1, 2,.... iV v thoa hp ta
7Tj > 0 , 7Tj = . Trong trng l phn phi
Theo c) ca nh l
ergodic trn th p h n phi gii hn (v
p h n phi ergodic) l phn phi dng. i u ng c l i k h n g n g , tc l. c nhng qu trnh c phn phi dng. n h n g k h n g c p h n phi gii hn. Chng hn
- 0 ' )
trnh
-Mi' )
^ ' - ( i ?)
do khng tn t i cc gii hn
lim p|'. Tuy nhin, h p h n g
( )
c (1/2 , 1/2) nht. 10..5 inh l. phi dng duy nht.
'
'
l nghim duy nht, - l p h n phi dng duy
Nu tn ti phi} phi gii hn, th l phn
353
Chng minh. Gi s c phn phi gii hn (cng l phn phi dng) ( i , 7 T 2 , 7 T / v ) v phn phi dng ( T , 7 T 2 , 7 T A T ) - Khi
*j 2 ^
A
- j
XI
F E
P&
(n)
Theo gi thit 7Tj = l ii 7>[ , nn ta c

ri* co
n )
A -
Nh vy, theo nh l kin
ergodic mc
0
10.4.2 trn th i u
minpT ' > 0 i,3
m bo tn ti duy nht phn phi dng, d l: Ij ----- l im p

r*oc
J
(n)
V du . Nu xch Markov c ma trn xc sut chuyn l 0,40 0,05

0, 05
0,50 oi 70
. 50
0,10'
0,25 0,45
t h phn phi dng l nghim khng m a h phng trnh

' 0. 4071-! + 0, 057T2 + 0, 057T3 0, 50*1 I ( 0, 707T2 + 0, 507T3 0, 257T2 4
Ti 2
= =
l 7T
2
0, 107TJ + T i
0.457T3
7T3
I2
7 1 "3
. , 7T = 31/104 .
3
ta c
7Ti = 1 / 1 3
, 7 T = 5/8
354
V d 2 ( Ma trn ngu nhin kp). Ta ni rng ma t r n p = \pij) l ma t r n ngu nhin kp n u
Y^Pik = ^Vki =
k k
, Vi.J .
E = {, 2,.... N} v ma
Xt xch Markov c N t r n xc sut chuyn p p
trng thi:
ca n l ma t r n ngu nhin kp. Nu
chnh quy, tc l, t n t i no sao cho p>0 , Vz,je,
th phn phi gii hn duy nht l phn phi u

n = (1/N,/N,...A/N) .
T h t vy, v p chnh quy nn h phng trnh

N
x
^^Xkk
k=
, ( j = 1,2...., AO
C n g h i m duy nht. Do t a ch c n k i m t r a xem p h n p h i u
c l nghim ca h p h n g trnh ny khng. S dng tnh ngu nhin kp ta c
= fe=i ^^ fc=i
v gi Y chia Y
n n
> (V; = 1 , 2 , . . , A O . 7 7 ln
Chng hn, nu ta tung con xc s

c cn i , ng cht cho 7. K h i ( x ; n -= , 2,...)
l tng s chm xut hin. Gi Xn l phn d khi

n
l xch Markov vi
355
khng gian trng thi l sut chuyn l 0 0

] ]
E = {0,1,2,3,4,5,6}
v nia t r n xc
2 1/6 1/6 0 1/6 1/6 1/6 1/6
3 /1/6 /1/6 /1/6 0 /1/6 /1/6 /1/6
4 1/6 1/6 1/6 1/6 0 1/6 1/6
5 1/6 1/6 1/6 1/6 1/6 0 1/6
6 1/6 \ 1/6 1/6 1/6 1/6 1/6

0
1/6 0 1/6 1/6 1/6 1/6 1/6
1/6 1/6 1/6 1/6 1/6
2 = 3 4 5 6
y l ma trn ngu nhin kp. Ma t r n ny chnh quy v 0 0 / 2 p

2
1 5/36 1/6 5/36 5/36 5/36 5/36 5/36
2 5/36 5/36 1/6 5/36 5/36 5/36 5/36
3 5/36 5/36 5/36 1/6 5/36 5/36 5/36
4 5/36 5/36 5/36 5/36 1/6 5/36 5/36 5/36 5/36 5/36 5/36 5/36 1/6 5/36 5/36 \ 5/36 5/36 5/36 5/36 5/36 1/6 J
1/6. 5/36 5/36 5/36 5/36 5/36
= 3 4 5
6 \ 5/36 tc l, Pif > 0
; V i , j = 0,1,...,6 .
Vy p h n phi gii hn l 11 = ( 1 / 7 , Suy ra {Y

n
1/7,
1/7,
1/7,
1/7,
1/7,
1/7) .
l bi ca 7 ) = P ( X = 0) = 1/7 .
35G
10.5
M h n h p h n chia t h i
G i s ta c N
trng
ca h n g c n g b n m t sn p h m n o . N ca h n g ny. vic h chn hng
K h c h h n g c t h mua h n g
c a h n g n o l t y theo s t h c h ca h v h c t h b c a
n y n c a h n g k i a (v m t l do n o ) . C c c a h n g s c n h t r a n h ( q u n g c o . k h u y n m i , v . v . . . ) li k o k h c h h n g . Ta c m hnh sau: T t c cc k h c h h n g di rc (lng nht
n h m t i m vt cht chuyn ng c N t r n g t h i ( n g v i N ca h n g ) . pij hng hng y l x c h M a r k o v c N t r n g t h i . x c sut, c h u y n ca ca
c ngha l x c s u t k h c h h n g h i n t i d a n g t h c h . sau j. Gi Xi) l s p h n chia k h c h h n g giai o n a u (E { , 2, 3 } ) v i 1.000 m t chu k t h i g i a n c h u y n sang m u a hng
(thng khch
G i n g ) . C h n g hn, c 3 ca h n g hng v P ( X o = 1) 20% ,
P(X() = 2) = 50%
F(A" = 3) = 30% .
c ngha l t r o n g giai o n u : * c a h n g s c h i m 20% k h c h h n g ( c 200 k h c h ) ,
c a h n g s 2 chin) 50% k h c h h n g ( c 500 k h c h ) . * c a h n g s 3 c h i m 30% k h c h h n g ( c 300 k h c h ) .
Sau m t chu k t h i gian ( c h n g h n t h n g ) , t n h h n h c t h t h a y i : M i ca h n g c t h g i c k h c h , h o c d c- t hem k h c h v c t h mt. k h c h . G i giai o n t h n h t , c h n g h n F(Xi ) = 22% , (X = 2) = 49% , F(Xi 3) 29% , X] l s p h a n chia t h t r n g t
c n g h a l sau m t chu k h o t n g :
* ca hng chim 22% th tr ng (thu thm c 2% khch hng), * ca hng 2 chim 49% th tr ng ( m t 1% khch hng), * ca hng 3 chim 29% th tr ng (mt 1% khch hng). M i thot nhn ta cho rng trong chu k t h n g c 10 khch h n g chuyn t ca h n g 2 sang ca hng v c l o khch h n g chuyn t ca hng 3 sang ca hng 1. Tuy nhin, nu i u tra chi tit Ta c bng sau:
ch 1 2 3
khch t h n g 1 200 500 300
khch c thm 60 40 35
khch mt i 40 50 45
khch thng 2 220 490 290
Nn i u tra chi t i t thm na. la c cc s liu sau:
ch khch thng 1 1 2 3 200 500 300
thu t ca hng mt cho ca hng 1 0 20 20 2 35 0 15 3 25 20 0 0 35 25 1 2 20 0 20 3 20 15 0
khch t h n g 2 220 490 290
358
Nh vy, t h n g u ( t h n g Ging) ca hng c 200 khch hng. Sau t h n g (thng Hai), tnh hnh ca ca hng n h sau: * g i c 160 khch, * m t 20 khch cho ca hng 2 v m t 20 khch cho ca hng 3 (tc l, c 20 khch chuyn t ca h n g sang ca h n g 2 v c 20 khch chuyn t ca hng sang ca hng 3). * hng 3 . Ta l gii t n g t cho cc ca h n g 2 v 3 . Ta c cc xc sut chuyn sau: 160 Vu
P2I P31
thu c 35 k h c h t ca hng 2 v 25 khch t ca
~ 2 35 ~ 5 25 ~ 3
= 0,800 ; 0, 070 ; ^ 0,083 ;
20
p\2
P22 P32
2 450 = 0,900 ; = 5 20 = 0,067 ; = 3
0. 100 ;
20
7'K
'2'
200 15 = 500 255 3
0,100 0.030 0,850
P33 =
Tm l i , v i cc s liu trn, n u chn m h n h l xch Mar OV th: * khng gian t r n g thi l cc ca hng: E - { 1 . 2 , 3 } . * p h n phi ban u l r i := (0, 20 , 0, 50 , 0. 30) , * ma t r n xc sut chuyn l /0,800 p = 0,070 \ 0,083 0,100 0,900 0,067 0,100\ 0, 030 0,850/
Nh m hnh ny ta c t h tnh:
n
(D
(0,20 , 0,50 , 0,30)P
(0,22 , 0.49 . 0.29),
(ta t r l i s liu v khch h n g ca t h n g Hai).
359
n( ) = - n ^ p = (0,22 , 0,49 0,29)P = (0,234 , 0,483 , 0,283). Vy, ta c th d bo trong thng Ba: * ca hng c 234 khch, * ca hng 2 c 483 khch, * ca hng 3 c 283 khch. Tip tc qu trnh nh th ta c th tnh n<
u )
= n
( 1 0 )
p - np
( 1 0 )
= nip
10
= (0,270. 0,459, 0,271)
thu c. d bo khch hng cho thng Chp: * ca hng c 270 khch, * ca hng 2 c 459 khch, * ca hng 3 c 271 khch. d bo s phn chia th tr ng cho tng lai ta cn tnh ( n + i ) _ (n)p Ngu trong tng lai th tr ng s cn bng (ngha l mi ca hng s c mt lng khch n nh) th n ( ~ n( ' khi T kh ln. y l l do v sao chng ta cn phi tm phn phi dng, tc l tm nghim khng m ca h phng trnh
n + l ) n
I
rang do
' 0.800x + 0,070x + 0 , 0 8 3 X 3 0,100:/-! + 0. 900x + 0, 0 6 7 X 3 0 , 1 0 0 X 1 { 0 , 0 3 0 X 2 + 0. 850x

t 2 2
= =
3
Xi x
2
*3
- .
Ta c ti 4 phng trnh xc nh 3 n. Tuy nhin, cn ch

(pij)
l xc sut chuyn nn
y~]pij
---
v th 3 phng
trnh u ph thuc tuyn tnh. Khi b i trong 3 phng trnh u, ta tm c XX = 0,272 , x = 0,455 , x = 0,273
2 3
360
tc l, trong t n g lai * ca hng s c l ng khch n nh l 272 . * ca hng 2 s c l ng khch n nh l 455 . * ca hng 3 s c l ng khch n nh l 273 . Ch . Trn thc t c nhng ca hng phc v t t n mc khi khch tng n mua hng ca hng ny th khng bao gi chuyn sang ca hng khc. C a hng (trng thi) n h t h gi l ch t r n g (hay trang t h i h t , hay trang t h i hp t h ) . Chng hn, nu nia t r n xc sut chuyn l /0,90 p = 0, l \ 0
0,05 0,75 0
0,05\ 0,10 1,00/
th ca hng 3 s dn dn chim lnh ton b th tr ng
(j>3i
VAI 0 ) P33 = 1,00). Vy 3 l ch trng (hay l trng thi h t ) . Cn nu ma t r n xc sut chuyn l
p.=
/ 0, 90 0 \ 0
0,05 0,50 0,50
0,05 \ 0,50 0,50/
tc l, 7J21 V'i\
0 ) th ca hng dn dn m t ht khch hng,
cn hai ca hng 2 v 3 s dn dn chim lnh th tr ng. y l ch trng gm hai trng thi. 10.6 M h n h t r c h i hai u t h G i s .i >2i ...,n vi l cc bin ngu nhin Bernoulli (lc lp
P(6 =
1) = p , (ii
= - 1 ) = q , V e (0; 1) , JH q = ;
I =
, 2,
. . . . T
Mi I
t So = 0 , s
=-- i + 62 . . . + & ; < fc < n . K h i c th 0. l v tr ca ht t i thi i m '.
xem So . S ,... . <S' l qu o ca ht di ng ngu nhin trn n g thng xut pht t

(A- B) ?
Ta xt bi ton vi xc: sut l bao nhiu ht, v t ra ngoi khong
C t h l: Cho tr c hai s nguyn A, B sao cho A < 0 < /:?. V i xc sut l bao nhiu sau (A; B)' A (hoc. B) ? l m hnh tr chi hai u th: Gi s c hai (ln th chi m t tr chi no . Ban u u t h t h nht c vn l B. Nu thng cuc (trong vn) Vy y u t h t h hai c vn l TI b c ht khng cn nm trong V i xc sut l bao nhiu hin t ng n} xy ra (lim
th c thm 1. thua cuc th phi tr (cho ng i kia). t h nht v l tin thua cuc ca u th t h hai nu R rng khi s\. -- B (hy '/,. .4)
St = f 2 + + ,k l tin thng cuc (sau - vn) ('lia u th Sk > 0.
th ng i t h hai ( t h
nht) ht t i n , lc tr chi kt, thc. gii quyt bi ton t ra, ta a vo cc k hiu san: Gi s l s nguyn sao cho v T
x k
A < .1: < B. t
=- X St ; '
0, , . . . . li
= min{0 <l<k: r
Sf = A nu
hay
57 = } . < B i vi mi
trong ta quy c 0 < < k.
---- k
.4 < Sf
K h i , {T. -= / } l bin c: di ng ngu nhin 5() , S'f , . . . . xut pht t X ln u tin ra khi (i4; # ) t i thi i n /.
362
B i n C { T = / , Sf
= A} A
(hoc (hoc t i
/ . Sf
=. B})
l h i n
c: h i n t n g t r n x y ra t i k =
B ) . t
\J{r
fe
= l, Sf
= A}
B=UK'
fc--0 a .(.r) = P ( ^ )
A
= i
' -Sf--=}
, vi fc 0, , . . . . r i .
/Jfc(x) = p ( / )
N h vy th
Qfc (a;)
l x c s u t u t h t h nht, t h u a cuc ( h t t i n )
trong vng k vn. ' v n . Do t n h Markov v cng thc xc sut y ta c (gii 0k(x) l x c s u t u t h t h hai t h u a cuc t r o n g v n g
t h c h ? ) c c h t h c t r u y h i sau: a (x)
k
= pa -(x
k
- 1) - qa-k-\i-r. = 0 ;
- 1);
vi
X <E (A; B)
, k < TI-
a (A)
t
= , a (B)
t
vi mi
0 < < 77 , vi
X
(h{x)
vfh-x
= - 0 . Pi(B)
l i ) qh--r. : ;
- 1);
e ( / 1 ; f) , -<
/I
vi mi
( ) < / < . da 3 (. v
R l n g cv (x)
0
A)(:r) - 0 v i X e (A\ B) . V t h c the
v o c c h t h c t r u y h i t r n t n h 1 ( x ) , . . . . a ( : c ) v f.j] (./:) Ch rng {cvfc(x)| v {Pk(-r)} tn ti , /3(:r) l u n pn(x) . l c c d y k h n g g i m
b c h n ( b i 1), n n k h i a(x) --- l i m
n + oo tt (x)
n
363
T v t cc h t h c t r n ta c a(x) a(A)= 0(x)= 0(x+

P
= pa(x ,
1) 4 qa(x a(B) = 0,
- )
l ) + q 0 ( x - ) , 0(B) = .
(3(A) = 0
T cc )hng trnh n y ta t n h c: Trng hp (q/p)

a ( x ) = B
p -/ q -(q/pV
, pe(0;l) , ,
M
ta c (<//p) -l
B S
(?/p)
{
f l
- (7/p)"
B A
' '
"~ (q/p) -(q/p)

1
M=
( q / p ) - ( q / pA )
Mf^
B
)
m
'
w
(l/p) -(ri/p)
- '
B
(f//p) 4
A
T r n g h])
p = r/ = / 2
X
ta c r
A A '
= B f
- B
4
.1
/ /, i i n : trn ta c (.;:)
,1
'
K h i cho p h p s v n c h i l n t y t h v i c c c n g t h c
l x c s u t t hua cuc ( h t sch v n ) c a u t h X A ),
t h n h t (c v n ban u l f(x)
l x c sut t h u a cuc (ht sch v n ) ca d u t i m B

X
t h hai ( c v n ban u l a.(:r) fi{x) = ,
),
v.r \A\ B ,
Vp e ( 0 ; 1 ) .
364
Nhn 1) l A
xt. Nu X 0 ( t c l, v n ban u ca u t h t h nhai B) . t h x c sut t h u a cuc cua
v ca u t h t h hai l
u t h t h n h t l m a = w tt'(U)
n
(7/p) -l
(q/p)B (q/p)A
Khi
p < q
( t c l, k h n n g c h i c a u t h t h n h t k m
h n u t h t h hai) , ta t h a y i t i n t h n g cuc t r o n g m i v n c h i ch c n 1/2 ( t c l, = 1/2) = p , P(& = - 1 / 2 ) '/) .
t h x c s u t t h u a cuc ca n g i t h n h t s l ( q / p )
2 B
-
2 A
( q / p )
(q/p)
B
-
A
0?/p)
(q/p)
B
+ l
to/pj*
"1/2
( q / p )
- ( q / p )
(q/p)
/ / / /
'{<lv)
' " +
> n
A
(chy
p<q.
A < l ) . th
(q/p)
Do d . r i u u t h t h n h t
chi k m h n u
t h hai t h vic t n g t i n t h n g c u c t r o n g m i v n ln hai l n s l m g i m x c s u t t h u a c u c c a a n h 2)

s
ta.
N u u t h t h n h t c v n l A c n u t h t h h a i t h x c s u t thua cuc c a u t h t h n h t s l a(0) nu
c v n B > 00
p < q
{<lv)~
nu
V > '
v x c sut u t h t h nht, k h n g bao g i ht Lin (ngha l t r c h i c t i p t c m i ) l
0(0) = - tt(0) .
365
c 'h . 1) tin
C c k t q u sau c c h n g m i n h : T c h i t ca 3(0) tt
n
a (0)
n
tt
a:(0)
c a
.#(<)) n 13
r t n h a n h . C t h l. t n t i ( e (0; ] )
sao ch) 0 < tt - a 2)

n
< c" v 0 < rn (x)

k
< e" v i ? l n . c h n h l d i t r u n g b n h ca c -.r. A).
i lng
- Er^
c u c c h i . B n g n h n g l p l u n n h t r n ta c t h t n h vi p q th n.(x) th ~ \ B f j ( x ) Aa(x) rn(x) - (B - j){x -
v i p = ( = 1/2
c b i t k h i hai u t h c v n ban u n h n h a u ( L c l. B - A) t h n () B .
2
N h vy, c h n g h n m i v n chi c t i n tr
t h a n g c:uc l 1$ , t h k h i m i u t h c v n b a n - u l 100$. c h a i v t r u n g b n h s k t t h c v n t h 777,(0) = Oi)

2
().()()().
Bi t o n t r c h i t r n v n h i u b i t o n k h c ca l t huyt, x c sut lin q u a n n q u o ca q u t r n h n g u n h i n . C c v n (li y m i n h ha i u ny.
10.7
P h n tch bc t h nht
10.7.1
Trng
hp n
qin
N i ( l u n g ca p h n g p h p n y l: t n h c c k h nang ca h sau b c t h n h t n h p d n g c n g t h c x c s u t y chi. C c v d d i y m i n h h a i u n y .
366
V d . Tr chi c ha Ta xt xch Markov thi E = {(}, 1,2} (X
n
; T - 0,1,2,...) c khng gian trng
v ma t r n xc sut chuyn l
p =
ri
a
0 6 0
c )
a > 0 , 6 > 0 . oi)

, vi
<
! 6 -f c , - 1 .
y l m hnh tr chi hai u th: mi ng i c vn ban u l , tin thng cuc. hng . a l xc sut thua ca u thu t h nht, b l xc sut ha, c l xc sut thng ca u t h t h nht.. X
n
l s tin ca u thii t h nht t i vn 0 v
r.
R rng, i vi xch Markov ny ht (hay hp t h ) . Hai vn cn nghin cu l:
2 l cc trng thi
Qu trnh s b ht vo trang thi no (0 hay 2)? Sau bao lu th hin t ng trn xy ra? bc
P h n g p h p gii quyt hai v n ny l: P h n t c h t h nht. t T mm{n > 0 :x

n
hoc
2} .
D l thi i m qu trinh s b h t (ngng l i ) . Ta cn phi tnh t = P{ Y = (lAo = 1} , -- F { X r ---- 2\Xo V = E{T\X

0
1} .
1} .
367
N h vy th t l x c sut. p h s n ( h t t i n ) ca u t h t h n h t . l x c s u t p h s n ( h t t i n ) ca u t h t h h a i ,
V l t h i g i a n (s v n ) t r u n g b n h t r c h i k t t h c . c 3 k h n n g : X ri, , r. N u vYi 0, 0
Sau b c t h n h t ( v n t h n h t ) Xi X] ---- , X i 2 hoc u. D o ta c : P{A"r P { '7 OI X i = 0} , . , X\ 2 th
v i x c s u t t n g n g l T = 1. n u X\
th tr chi li l p l i t
F { K y = 2|A"i = 0} {X
T
0 .
2} = 0 - OI X i =
l
= 2 "; - 2 } - , --= 2\X; = 1} - .
P { A > = 0\X
= 1}
F{X
S d n g c n g t h c x c s u t y v t n h M a r k o v ta c :
2
li =-- {X
2
= 0\X = 1} =
5^P{X
*=<)
= 0, ",
-|X() -
1} -
= ^r?{A>
k
2 0
-- OI Xo = . A'l = k}.{X,
-- k\Xo
1}
J>{Xr
k- t .a suy r a
I
0|A"I =
k}.P{X
k Xa = 1}
7 .6 I o.c
4 lib. f r).
? = o / ( l b) = / ( a
3GS
T i p theo
2
P{Xf
2 > { * T
2\XQ
- 1}
X>{A>
A--0
2. X i
/>|A'o
2\Xo = , X = A-}.P{.Y, = fc|X = 1}
fc=o
2
- r { A > = 2\x,
fc=o = (). f .b + L e suy ra
= k}.F{X,
fi + r . c/(o
= k\x
= 1}
- r / ( l 6)
f r) .
C t h t h y r n g (gii thch?) V = 2{7',A'() suy

ra T > ---
1} = ,/.() i 6.1! f c o
/(r + ).
I n .
1/(1 - b)
Hoc l, ta d d n g t h y r n g ( g i i t h c h ? )
{r>m\x
nen E{T|Xo
1} = &"'
(ni = 0 , 1 , 2 , . . . ) .
- 1} =
m=0
> l*<> =
} =
I ')
V li?/ . trng thi

1
Ta x t x c h M a r k o v
0
( v Y ; T
0. 1,2,...) c k h n g gian
- { 0 . 1 , 2 , 3 }
0 0
v nia t r n x c sut, c h u y n l
\
PVi P23
'
va > 5>y
0,
1 { i J
Pit)
P20
Vu
P21
V\2
P22
v i
'
'
309
t T = mmn > 0 : x 0 hoc x 3} .
l t h i i m q u t r n h s b h t . Ui Vi T-Xr = OI A o } , . nht c: tng t
S{7'|A'o = / }
( = 1,2)
S dng p h n g p h p P h n
tch bc t h
n h t r n g h p q u trnh c 3 trng thi, ta t h u

Ui =- PU) f PH UI - PV2U2 ;
"2
V
- P20
-t >2\11\
I 7'22"2 .
--
-
II T>2\'-'
-f 7^2 '2 ,
i P22''2
'2
N h c c p h n g t r n h t r n ta t n h c 10.7.2 Gi Phn s tch ( A n bc th nht tng l xch
j . V2 . ' . '2 qut
; T
0,1,2....)
Markov
c k h n g
gian
trng thi h
u hn
E = {(), . . . . . ; V } . thi 0. , . . . . 7- l c c t r n g thi truyn
Gi s cc trng ng (hay trang thi lim

ritoe
di chuyn)
{ ]
theo ngha .
J> ''
>
= 0
0 < i . < r -
cn cc trng
thi
l cc trng
thi h p t h u (hay
trng
thi h t ) theo ngha Pii = , r < i < N .
370
K h i , ma t r n xc sut chuyn c dng
\o
t r o n g o l m a t r n c l m a t r n a n v c vi q
tj
)
g m t o n s k h n g , v Q l nia t r n r )
(N - r -- 1) X r
(N - r + 1) X (N - r + )
-- Pij , 0 < i,j r

P i i
< r - 1 , c n E l m a t r n c p rx(N r. . . . , i V . Xo .0 < < r {0, , r }
vi r
( j
0,.... r - , j
X u t p h t t trng thi
qu
trnh
cn lu l i trng thi t r u y n ng
t r o n g Tut- t h i
g i a n n o , n h n g c u i c n g q u t r n h s b h t v o m t t r o n g c c trng thi Bi ton {r,.... 1. N}. hp
T h i gian t r u n g b n h q u t r n h l u l i t r o n g t p {0. , r 1} b n g bao n h i u ?
cc trng thi Bi ton 2.
P h n phi xc sut t i cc trng thi t i d
qu
t r n h b h p t h ? Ta x t b i t o n 2 t r c . U. Ui ( t a b ch s k C nh k {r,...,N}. K h i u hp
t i n cho c c h v i t )
l xc. sut,
th vo trng thi
k khi h xut pht t trng thi
A"() = . T h e o
p h n t c h b c t h n h t ta c
371
Tm l i , i vi t r n g thi hp t h k xc sut qu trnh b ht vo k kh xut p h t t Xo = l nghim ca h p h n g trnh sau

r-1
Ui = Pik+2pijUj
( = 0, , ...,r - 1)
(10.9)
y l c n g t h c t n h x c sut q u t r n h bi h p t h u v o trang t h i k khi x u t p h t t trang t h i i.
By g i ta xt bi t o n 1. t T = min{n > 0 : x
n
> r} . g(i) l
l t h i gian cho t i lc q u trnh b hp t h . G i s hm s p h thuc trng thi truyn ng

r-1
i. Ta t
Wi
N u chn g(i) =
=E[J2a(X )\Xo
n
n=0
vi mi 2 = 0, , r W = Vi= E[T\X
0
th
= i\
l thi gian trung b n h cho n lc hp t h (tc l, t h i gian trung bnh qu trnh cn cc trng thi truyn ng: 0, , r 1 ) . Nu k l trng thi truyn ng v chn
g(i) = ik = th
nu
*
= k
. . .
( 0
W =
nu
ik
372
l S l n trung bnh q u t r n h ri vo trng thi k (0 < k < r --1) t r c khi b hp th. Theo p h n tch b c t h nht, ta c
r - l
<]{>) I ^2/Vij i
j=0
'
( = 0,1, . . . , r - ;
c b i t , ta thu c
r-1
= + y^JHjVj
j=0
('
0. i
(10.10)
y l c n g t h c t n h t h i g i a n t r u n g b n h cho ti q u t r n h bi hp thu.
r-1
lc
lk
lk
+ ^PijW
j=0
jk
(i = 0 , l , . . . , r - l )
(10.11) ri
y l c n g t h c t n h s l n t r u n g b n h q u t r i n h vo trang thi V d (M cung). k (0 < k <r ) trc k h i b h p th.
Cho mt con th vo m cung (l mt chu

ng
c nhiu ngn) n h hnh v 7
Thc n
373
Ta c th gi thit th chy ngu nhin. Gi s x l ngn th vo giai o n th n (mi n v thi gian th vo ngn bn cnh). Ngn 7 cha thc n, ngn 8 c by. Tnh xc sut th vo ngn c thc n tr c khi b by. Trong tr ng hp ny ma trn xc sut chuyn l
n
0 /0 1 1 3 1 2 3 3 0 4 0 5 0 6 0 7 0 8 Vo
1
1 2
2
1 2
3 0
1 3 1 3
4 0 0 0
1 4
5 0 0 0
1 4
6 0 0 0 0
1 3 1 3
7 0
1 3
8 0\ 0
1 3
0 0
1 4
0 0
1 4
0
1 3 1 3
0 0
1 3
0 0 0 0 0
0 0 0 0 0
0 0
1 2
0 0
1 2
0 0
1 3
0 0 0
0 0
0 0
0 1 0
0 0
Gi s U(7) l xc sut hp th vo ngn 7 khi th i t ngn i . Theo (8.1) ta c

U
=
-Ui
-U2
"1
= 3 + 3 0 t- 3 3 4 1 4
l
>
1 3
l
4 = -
1 3
i
+
1 4
i
1 4
) 6 = 7T 4 +
7
I r6 5 =
"
5
x3 + r6
'
Gii ra ta c
Uo = c, =
1/2
, li = u
= 2/3 ,
Ii
= 5
= 1/3 , u-i = 1/2
374
Bi tp 1. thi Cho xch Markov (X

n
; n = 0,1,2,...)
vi khng gian trng
E = {0, , 2} v ma t r n xc sut chuyn
B i t p h n phi ban u l
P0 = (X
0
= 0) = 0,3 ; P! = P(Xo = 1) = 0,4;
P2 = P ( X o = 2) = 0 , 3 . Tnh 2. P(*o = 0, X i = , x = 2) ? thng X
Xt bi t o n truyn mt bc i n gm cc tn hiu 0, Xo
qua k n h c nhiu t r m v m i t r m nhn sai tn hiu v i xc sut c n h b n g a 6 (0; 1) . G i s l t n hiu nhn c t i t r m l tn hiu truyn i v (X
n n
T. . Cho bit
;n = 0.1,2,...)
l p t h n h xch Markov vi cc xc sut chuyn l

/'OI)
Vu
= a
Pin = Pin
Oi
a) T n h (XQ = 0, Xi = 0, X2 0) t n h i u cho t i t r m b) T n h F(Xo c) T n h trm. F(X = 0, x
, l xc sut, khng nhn sai -- 0, Xi \.x 0),
TI = 2. = 0, x
2
= 0) -+ F(x
()
l x c sut nhn n g tn hiu c

a t r m
5
ri = 2.
= Q\x
= 0), l xc sut nhn n g tn hiu qua 5
375
3. thi
Cho xch Markov E = {0, , 2}
(X
; n = 0,1,2,...)
vi khng gian
trng
v ma t r n xc sut chuyn /0,1 0,2 \0,6 0,2 0,2 0,1 0,7\ 0,6 0,3/ = l Xo = 0). vi khng gian trng
p =
Tnh 4. thi
{Xi
l i X i = 0) , P(Xs ( X
n
Cho xch Markov E = {0,1,2}
; n = 0,1,2,...)
v ma t r n xc sut chuyn /0,0 0,5 0, 5 0,0 \ 0, 5 * 0. 5 0,5\ 0,5 0,0/
p =
Tnh 5. *
F(X
= 0\x (X E
n n
= 0) , i v i ; n = 0,1,2,...) f(x)
T. = 0 , 1 , 2 , 3,4. l x c h M a r k o v v i k h n g g i a n E . Hi khng?
G i s
trng thi rng ( f ( x
l h m s n o x c n h t r n c lp t h n h xch Markov
) ; T, = 0 , 1 , 2 , . . . )
t i sao? 6. G i s X
n
l c h t l n g ca chi t i t t h
n
T t r o n g d y c h u y n c ngha l "xu". trn
sn x u t v i X G i a s ( x
n
= 0 c ngha l "ti"
, x
; r = 0 , 1 , 2 , . . . )
lp t h n h xch Markov v i ma 0.01 \ 0,88 ;
xc sut c h u y n
=
/0,99 \ 0. 12
Tnh 7.
(X
= \X
). ( X
n
G i i t h c h ngha ca x c s u t n y ? 0.1,2,...) vi E {OA} v nia
Cho xch Markov
; TI
t r n xc s\it c h u y n
376
Chng minh rng khi ( z ) ( ( X - 1 , x ) ; T 0, , 2,...) lp thnh xch Markov vi bn trng thi (0,0), (0,1), (1,0), (1,1)
n
n
Tm ma trn xc sut chuyn Q ca

8.
(Z ).
n
* Cho oii> ;m l dy bin ngu nhin ri rc, c lp, cng phn phi xc sut F(k = ) = P(fc = 1) -- 2 k = 0, ,.... l i . . . .
t
X u
>
n+\
n-n+l
r = 17
i=0
Un
max 0<i<n
&
V,
I :)
vi
= , ?(-l,l) = 2 , y>(l,-l) = 3 ,
n n n
<p{,l)
= 4
Hi rng trong cc dy (X ), (Y ), (z ), (r), (

n ) , ( V n ) ; r = 0,1,2,... c dy no lp thnh xch Markov? ti sao ? Nu lp thnh xch Markov, hy tm cc ma trn xc sut chuyn ca chng. Kt qu s nh th no nu cho bit -- - 1 ) = V , Hik = 1) = - V
n
0< V<
k - 0.1.2...
9. Cho bit ( X ) ; H = 0, , 2,... l xch Markov vi P{yY(, 0} 1. khng gian trng thi E-----{0,1,2} v ma trn xc sut chuyn 3/7 1/11 1/11
t
3/7 2/11 4/11 nu nu

X
1/7 8/11 6/11

t .
Yn
x /
377
Chng t rng
(Y )
n
; n
- 0, , 2,... l x c h M a r k o v v t m m a
t r n x c sut chuyn ca n. 10. * Cho i , n, l d y b i n n g u n h i n r i rc, d c l p , c 1,2,...
c n g p h n p h i x c s u t p(fc = 1) = F(k = 1) = 2 ' k = t So = 0 , s

m
= 5
n
_ i + C m ; 1 = 1,2,... l xch Markov.
Chng minh rng Gi
( 5 ' ) ; 77. = 0 , 1 , 2 , . . .
n
T/v = m i n { n : \S \
T,
= N} . , Er
2
Tnh
3
, Er .
T n g q u t han, chng minh rng 11. C h o p = ( ij)

J
ETJV
N.
< , i < ni
l ma t r n ngu nhin v A
l g i t r r i n g c a n , t c l, A l n g h i m c a p h n g t r n h c trng det(F AI) 0 , v i o = l ma t r n n v. l m t gi tr ring, ng t h i c c
Chng minh rng
g i t r r i n g c n l i u c g i t r t u y t i k h n g l n h n 1. 12. * xch a) Cho Xo,X ...,X ,...

u n
Vu. Vi
;....
l hai
Markov. ( x
n
Hi rng
- Y ) ; ri = 0 , 1 , 2 , . . .
n
c l p t h n h xch
Markov
k h n g ? t a i sao? b) Cho o, i ) f m l d y b i n n g u n h i n r i r c , c'
l p t n g ira t . Hi rng t a i sao? c) X

n
( ) ; TI - 0 , 1 , 2 , . . .
c l p t h n h xch Markov
khng?
Cho xch Markov X -.\

n
( x
) ; T, = 0 , 1 , 2 , . . .
v t
378 Hi rng t i sao? 13. Cho b i t ( X ) ; n = 0,1,2,... l x c h M a r k o v v i k h n g gian (Y )

n
; n = 0,1,2,...
c lp t h n h xch Markov
khng?
trng thi
' = { 1 , 2 , 3 } 0 a 1/3
v ma t r n xc sut chuyn a 0 1/3 a - a 1/3

I
, a 6 |0;lj .
t Yn = Chng t rng (Y )
n
nu nu
< 3 ,
=3
; n = 0,1,2,... l xch Markov v tm m a
t r n x c s u t chuyn ca n . 14. thi Cho o! d i 2 1 l d y b i n n g u n h i n r i rc, c l p , dng
Hn = k)=
t
n
Pk
, p
f c
e[0;l|
(fc = 0 , l , 2 , . . . ) .
x = eo + 6
+ ... + n ( X ) ; n = 0, , 2,...
n
Chng minh rng
l p t h n h xch Markov
v t m m a t r n x c s u t c h u y n ca n . 15. X t m h n h k i m k p h t n g thay t h v i
n
s -0
s ----- 3
l c c mc cn c nhp h n g cng v i y u c u t r o n g chu k ri . B i t r n g P { n = 1} = 0,3 ;
l lng h n g k h c h
riu = 0 }
X
n
= 0,4.;
P{e
= 2} = 0,3 . ( X
n
X c n h x c s u t c h u y n ca x c h M a r k o v l s p h t n g c n l i t i c u i chu k n .
) , trong
379
16. n,
n
Xt m hnh kim k: X
l s h n g cn l i t i cui chu k (s, S) l cc
l s hng khch yu cu trong chu k TI v
mc cn c nhp hng,
ti)
G i s
s2
C
1,5
- 4 v
4
Xo - s = 4. N u
5
Si = 2,
= 3, 6 = 4,
= 0, = 2, a = ,
= 2, & = 2 ?
th
A n l bao nhiu i vi mi chu k n = , 2 , 8 b) G i s
i , 2 ) l cc bin ngu nhin c lp cng p h n
phi sao cho
P{
0} = 0, ;
P{n
P{
= 1} = 0,3 ; P { p{6,
= 2} = 0,3
= 3} = 0 , 2 ;
1} - 0. .
Khi 17.
Xi).X\,...
lp t h n h xch Markov. Xc nh J 4, cha t t c
p4\ v
P()4?
Cho hai bnh
jV qu cu. T i t h i i m N qu. Sau chn v n.
n = 1,2,... B
chn ngu nhin qu trong
ngu nhin bnh theo quy tc: A c chn vi xc sut Xu ny. K hiu
c chn vi xc sut p A t i thi i m

n
(/ , ri cho qu cu va chn vo bnh
l s qu cu trong bnh
Xc nh ma t r n xc sut chuyn ca xch Markov ( X ) ny. 18. bnh Hai bnh J 4, B cha tt, c Af qu cu. T i thi i m )
/1 cha n g k qu cu. T i thi i m
( T . + 1) chn ngu c k)/N. hoc
nhin bnh theo t l s qu cu cha trong , tc l, A chn vi xc sut k/N v B c chn vi xc sut (N Sau chn ngu nhin qu cu t bnh vi xc sut p
380
t bnh
v i xc sut X
n
q , r i cho q u c u v a c h n v o b n h A t i t h i i m T..
n
chn. K hiu
l s q u c u t r o n g b n h
X c n h m a t r n x c s u t c h u y n ca x c h M a r k o v ( X 19. Hai b n h A, B k c h a t t c N qu cu.
) ny. r
Ti thi im
bnh- A
cha n g
qu cu. T i thi i m
(r. + 1) c h n n g u
n h i n q u c u v c h n n g u n h i n b n h theo t l s qua cu c h a t r o n g , t c l, q u c u c c h n t b n h k/N hoc t b n h B v i xc sut (N k)/N A v i x c sut
. Sau d cho que A c chn (N k)/N.
cu v a chn vo m t trong cc bnh, trong binh vi xc sut k/N v bnh B
c chn v i x c sut
X c n h x c s u t c h u y n ca x c h M a r k o v v i c c t r n g t h : l s q u c u t r o n g b i n h 20. A.
T n h p h n p h i g i i h n c a x c h M a r k o v c m a t r n x c sut
c h u y n l: a) /2
p =
/2
1/3 1/2
)
1/3 1/3
1/3 1/6
b)
0,2 0,0 0,0 0.3 0,3 0,6
0.4\
0,4 0, 4
, 3 ( 0
0,0
\ ] , 0
0. 0
0,0/
21.
C h n g m i n h r n g n i a t r n x c sut, c h u y n
/ 0 1/2 1/3 0 1/2 1/3 0 0 1/2 1/2 1/2 1/2 0 0 1/3 0 0 0 0 0 1/2 / \
V1/2
381
l chnh quy, tc l, tha mn i u kin (4.1) . Tnh phn phi gii hn? 22. Chng minh rng i vi xch Markov c hu hn trng thi lun lun tn ti phn phi dng. 23. Chng minh rng ma trn xc sut chuyn /1/4 1/3 1/2 0 1/4 0 0 0 0 1/3 -0 0 0 1/3 1/2 l/2\ 1/2 1/2
Vo
khng thoa mn i u kin (4.1). Phn phi dng c tn ti khng? 24. Xc nh phn phi dng ca xch Markov c ma trn xc sut chuyn l: a) /1/3 1/2 1/4 1/3 1/2 1/4 1/2 1/3 0 0 0 \ 0 1/2 1/2/ l/2\ 0 1/5 1/2 0 /
V
b) / 0 0 1/5 V 0 1/2 0 1/5 1/2 1/2
0 0 1 0 1/5 1/5 1/2 0
382
25. Kim tra tnh ergodic ca xch Markov vi ma trn xc sut chuyn sau y: /1/2 1/2 i 0 V1/2 b) 1/2 1/2 1/2
0 0 0 0 0 0 0 1/4
0 \ 0 1/2 1/2/ \ 0 0 1/4/

0
1/2 V1/4
0 0 1/2 1/4
Tm phn phi ergodic (nu c)? 26. Cho xch Markov ergodic vi 2 trng thi c phn phi gii hn l (p , p). Hy xc nh ma trn xc sut chuyn? 27. * Cho xch Markov ergodic vi hu hn trng thi v
l
lim
n>oo
(n)
Chng minh rng tn ti cc hng s

( )
n
0 < g < v c ; Vi, j , n .

{1,2,...,7V}
w
sao che
Pij
- ^
<
c /"-<
ri
28. Cho xch Markov ( X ) c E = sut chuyn

n
v ma trn xc
/ P l
P2
PI
P3 p2 P4
PN PN-l Vi
P2
P3
383
N
trong
0 < Pi < , y~] Pi = . C h n g m i n h r n g

1=1
lim ( X
= j) =
29.*
Cho
( A n ) v
(y )
n
l hai xch Markov v i h u h n t r n g p = (j>ij) , c p h n p h i
thi, cng m t ma t r n xc sut chuyn b a n u t o m g n g l

(PI,P2,-,PN) v
(<7i,<?2, ...,QN)
Chng minh rng nu

N
Tainpij
> e > 0
th
,(n)
J2\pi
30. 7T
t
n)
- Q
n)
< 2(1 -Ne)"
.trong
nx
= k)
= k) .
F(Y Cho = 7T
2
( x
) l x c h M a r k o v v i E { , 2 , 3 } , p h n p h i d n g v ma t r n xc sut chuyn Chng minh rng p = (Pij) c v
7T3 = 1/3
Pn
Pl3
= P22 = P33 = 0.
= P21 P32-
P12 = P23 = P31
31.
M i m t n g i d n ca t h t r n
./V
c m t trong ba
ngh sut th
(A,B,C).
C o n ci h n i t i p n g h ca cha m n h v i ' x c , 1/4). N u k h n g theo n g h cha,
t n g n g l (3/5 , 2/3
c h n g chn m t trong hai ngh cn l i v i x c sut n h nhau. H y tm: a) P h n p h i theo n g h n g h i p ca d n c t h t r n t h h
t i p theo, n u t h h h i n t i c p h n p h i theo n g h n g h i p l 20% c n g h b) A , 30% c n g h v 50% c n g h .
P h n p h i g i i h n theo n g h n g h i p c a d n c t h t r n
t h h t n g l a i (xa x i ) .
384
c) P h n p h i c a s d n c k h n g t h a y d i n g h n g h i t
t h h n y sang t h h k h c . 32. Ta b N qu cu e n v N qu cu trng m t cch N qu n*u cu. 7 =
n h i n v o h a i chic b n h sao cho m i b n h c n g Gi X

n
l s q u c u e n t r o n g b n h t h n h t t i t h i i m
0,1,2,... . T i mi thi im
(71 + 1) . l y n g u n h i n l m i t n h ( X ) l xt h M a i k o v
n
q u cu ri b vo b n h kia. C h n g to l n g v i p h n phi d n g l 33. T = (C ) /(

k N k 2
' \
2
: />' E
0. 1.2,.... A \ - {1.2,3} v
C h o x c h M a r k o v v i k h n g gian t r n g t h i p = ( j ) j ) c tnh cht
ma t r n xc sut chuyn
Chng ca xch th
t r n g n u
n =
(iT\,7T ,...,
2
T N )
"l p h n phi d n g
35.
X t t r c h i v i hai d u t h : u t h B c
10$
5$
v xc sut
t h n g cuc l p = 0,4929 ; u t h cuc l
v x c sut, t h n g $ . Tnh
q = p ; t i n t h n g cuc cho m i v n c h i l
x c s u t A t h u a cuc.
385
36. Xt tr chi 2 u t h : u th A c 50$ v xc sut t h n g cuc l p; u t h B cng c 50$ v xc sut thng cuc l q = p ; t i n thng cuc cho m i vn chi l 1$ . T n h xc sut A thua cuc khi a) b) p = 0,492929 , V = 0, 5029237 . J4 thua cuc khi A va B cng c 500$ .
T n h xc sut 37.
Hv xem xt t t c cc k t qu trnh by trong mc 1.6 p = 0 v p = ?
cho cc t r n g hp 38.
Xt tr chi sau: c hai u th, mi n g i tung mt ng ln, hon ton c lp v i nhau. n ln tung ng xu n i a m i
xu d i xng n a) nhau l
Chng minh rng sau
n g i , xc sut s l n thu c m t sp ca hai n g i b n g
2 - " (C'*) , k=0

2
t suy ra n g thc
f>'*)
fc=o
CV
2
b)
Gi n l thi i m ln u tin s ln thu c m t T ln tung ng xu ca m i n g i ) . Hy t n h
sp ca hai n g i bng nhan (tu coi n = 77 + 1 nu thi i m khng xy ra sau E n i i n (n, r) . 3 9 . M t ht chuyn ng trn n g t r n qua cc i m 0 , 1 , 2 , 3 , 4 ( t h t theo chiu kim ng h). T i m i b c ht chuyn sang phi (theo chiu kim ng h) vi xc sut p v chuyn sang t r i (theo ng c chiu kim ng h) v i xc sut l v t r ca ht t i b c t h n. p . K h i u Xn
386
a) Chng minh ( X ) l xch Markov, tm nia t r n xc sut

n
chuyn. b) 40. T n h p h n phi gii hn. {x ,n

n
n
G i s
t Y
> 0} l xch Markov ergodic.
= . ( * _ ! , X n ) ; n = 1,2,...
a) b)
{ y , n > 1} c phi l xch Markov khng? t i sao? N u phi th tnh ma t r n xc sut chuyn v tnh
lim P|K = (*.j) .

noo
41.
Cho xch Markov
( X ) vi khng gian t r n g thi

n
E = { 0 , , 2,3}
v ma t r n xc sut chuyn /1,0 0,4 0,1 0,0 0,3 0,3 0,0 0,0 0,2 0,3 0,0 0,0\ 0,1 0,3 1,0/
Vo ,0
Tnh Ui , u
2
, Vi , 1>2 ?
n
42. Cho xch Markov ( x ) v ma t r n xc sut chuyn
vi khng gian trng thi E = { 0 . , 2}
p=
/0,5 0,5 \0,0
0,5 0,0 0,0
0,0\ 0,5 1,0/
T n h t h i gian trung bnh h ri vo trng thi 2 khi x u t pht t 0 ?
387 43. Cho x c h M a r k o v (X )

n
v i k h n g gian t r n g t h i
E {(), , 2, 3 }
v ma t r n x c s u t c h u y n

p h t t 0? 44.
/0,4 0,0 0,0
Vo,0
0,3 0,7 0,0 0,0
0,2 0,2 0,9 0,0
0,1\ 0,1 0,1 1,0/
T n h t h i gian t r a n g b n h h r i v o t r n g t h i 3 k h i x u t
T h t h v o n g n 4 trong m cung n h h n h v.
3 Thc n
7 By
T n h x c s u t t h t m c t h c an t r c k h i b m c 45. M t n g t i n x u c t u n g cho n k h i hai l n m t s p
by. lin
t i p x u t h i n . T n h s l n t r u n g b n h c n t u n g . 46. M t n g t i n x u c t u n g cho n k h i hoc hai l n m t sp
lin t i p h o c hai l n m t n g a lin t i p x u t h i n . G i s l n .tung
388
t h nht ng t i n xut hin mt sp. Tnh xc sut tr chi kt t h c v i hai ln m t nga lin tip xut hin. 47. Cho xch Markov vi khng gian trng thi E = { 0 , , 2,3,4}
v ma t r n xc sut chuyn
q q q
7
p
0 0 0 0
p
0 0 0
0 0
p
0 0
0\ 0 0 p
V
trong 0 < p , q < l , p + q= t c trng thi
li
l . Xc nh thi gian trung bnh 0 .
4 khi x u t p h t t trng thi
48. M t b phn ca m y tnh c thi gian sng l bin ngu nhin T vi p h n phi xc sut (T = k) = a
k
(k = 1,2,...)
Ta bt u v i b phn cn mi nguyn v thay ci m i n u hng. K hiu x

n
l t u i ca b phn t i t h i i m T. . K h i
(x )
n
l xch Markov chy lin t i p . a) b) D i n t cc xc sut Pi v Qi . Ta thay b phn ny khi n hng hoc khi n c N
t u i . D i n t cc xc sut P v i . 49. Chng minh rng nu ma t r n xc sut chuyn ca xch
Markov vi hu hn trng thi c hai gi tr ring vi gi tr tuyt i bng , th xch ny khng c tnh ergodic.
38
50. Cho (An); Ti. - 0,1.2,... l xch Markov ri rc, thun nht vi khng gian trng thi E {0,1.2, 3.4} v ma trn xc sut chuyn 0 0 / 0 0 0 3/4 0 0 0 1/2 0 1/2 0 0 0 1/4 3/4 0 / \ 0 0 a) Xch ( x ) c ergodic khng? v sao?
n
b) Hy s dng phng php phn tch bc th nht i vi xch ny.
BNG K H I U
Tp cc s t nhin Tp cc s hu t Tp cc s thc Tp cc s thc v oo, oe Tp cc s nguyn Tp cc s phc Khng gian 77-chiu a thuc .4 a khng thuc A Tn ti a A Vi mi a A
Q R
R
z
c
R
n
a v4 a ^ i4 3a VaeA 0 A
Tp rng . A l tp con ca B (A b cha trong B) tp c a A v B

(lao ra A v B
i4cfl
/lu B
,1 \ /
X \ x e /'} ,4''
Hin ( lia /1 v f Tp rc phn t X Phan h c a J4
6 X c tnh
cht
391
HA)
nh ca i4 qua / Nghch n h ca B qua / Dy (s hoc dy cc phn t )
r (B)
Hp c c t p Ai Giao c c t p Ai Tng c c s Ui
)Ai
[Ai
Tch cc s ai
i
T!
Tch s
1 ...1
(2n)!! (2n + 1)!!

1*1 I N
Tch cc s chan 2.4...2n Tch cc s l 1.3...(2n+l) Gi tr t u y t i ca X Chun c a X Phn n g u y n ca X Cn t r n n g ca E Cn d i n g ca E Gi tr l n nht ca E Gi tr b n h t ca E a tcrng n g v i 0 a l v c n g b bc cao h n v cng b 0
[xi sup E inf max min E a ( x ) ~ /?(x) a = o(0)
392
/ := y f : X Y
n h ngha
/ l /
nh x / t X vo Y Dy x
n
hi t n
fog lim
7 1 >
H m h p ca / v g Gii hn trn Gii hn di K h n g gian x c sut X c s u t ca A
= l i m sup
n>oo
lim
noc
= liminf
(f,P) F(A)
X c s u t c i u k i n ca A i v i T /f{yj)dfi Jn EX E
r
T c h p h n Lebesgue K v n g ca X
:=
/ Jo
X(w)dP E(X\F)
( X ) = / Vo
K v n g c i u k i n c a X d i v i ~ T c h p h n Wiener o h m Raon-Nicodym
/(s,w)dWi i/ d/i
(0
=> ( w )
( i ) suy ra ( l i ) ( i ) suy ra ( i i ) v n g c l i Khong cch t X n
(0 <=> (")
rf(x,2/)
r
B
C
H m gamma H m beta T p c c h m k h v i lin t c t i c p ri
(n)
3 9 3
TI L I U T H A M K H O
[1] Nguyn Duy Tin; 2000, Cc m hnh xc sut v ng dng, Phn : Xch Markov v ng dng, Phn IU: Gii tch ngu nhin, Nh xut bn i hc Quc Gia, H Ni [2] Nguyn Vit P h , Nguyn Duy T i n ; 1983 C s l thuyt Xc sut, Nh xut bn i hc v Trung hc chuyn nghip, H Ni:
;
[3] Y . s. Chow, and H . Teicher; 1988, Probability Theory: Inde pendence, Intel-changeability, Martingales, Springer-Verlag, Berlin and New York. [4] K a i Lai Chung; 1974, A Course in Probability Theory, 2nd ed, Academic Press, New York. [5] J . L . Doob ; 1953, Stochastic Processes, Willey and Sons, New York. [6] G . A . Edgar and Louis Sucheston; 1992 Stopping Times and Directed Processes, Cambridge Univ. Press. [7] w . Feller; 1968 A Introduction to Probability and its Appli cations, vol I , I I , Wiley, New York.
394
[8] B . V . Gnedenco; 1976, The Theory of Probability, Mir Publisher. Moscow. [9] P. Hall, c. c. Heyde; 1980, Martingale Limit Theon and its Application, Academic Press, Inc. New York. [l] A . N. Kolmogorov; 1956, Foundations of the Theo }' of Probabilty, Chelsea, New York. [11] s. Kwapien, w. A. Woyczynski; 1992, Random Series and Stochastic Integrals, Birkhauser, Boston . Basel . Berlin. [12] M . Loeve; 1977, Probability Theory I , I I , 4th ed, SprhgerVerlag, Berlin and New York. [13] P. A . Meyer; 1972, Martingales and Stochastic Integiales, Lecture Notes i n Math. V. 284, Springer-Verlag, Heidelberg, New York. [14] P. A. Meyer; 1968, Probability and Potentials, Blaiidell Publishing Co. [15] J . Neveu; 1965, Mathematical Foundations of Culculis of Probability, Holden-Day, San Francisco. [16] J . Neveu; 1975, Discrete-Parametre Martingales, NcrthHolland Pub]:, Amsterdam. [17] s. M. Ross; 1993, Introdution to Probability Models. 5th ed., Academic Press, Inc. New York. [18] B . A. Sevastyanov, V . p. Chistyakov, A.M.Zubcov; 1985. Problems in the Theory of Probability, Mir Publishers, Moscow
-
395
[19]
A.
N.
Shiryaev;
1996, Pro bability, Springer-Verlag, New
York. H . M , T a y l o r , s . K a r l i n ; 1998, An Introduction to Stochastic Modeling, Academic Press, Inc. New Yo rk.
[20] [21] P. UI. JIun v,ep. A. H. IUupsree; 1974, CmamucmuKa n Cjiy auHbix
lpoeccoe, [22]
3dameAbcmeo
"HayKa",
MocKGa. H. r. Yuian oe; "Hay n a", 1986, 3adauu
A. B. poxopoe,
B. r. YiuaKoe,
no Teopuu
BepoxmHocmeii,
MsdameAbcmeo
MocKea.
Chu trch nhim xut bn : Gim c NG TRN I Tng bin tp v DNG T H Y
Bin lp ni dung : NGUYN TRNG B Trnh by ba : ON HNG Ch bn : KHOA TON (TR NG I HC KHTN H NI)
L THUYT XC SUT
In 2.000 cun, kh 14,3 X 20,3 ti X nghip In Ph Th. S in : 235. Giy php xut bn s: 562/116-01 Cc xut bn cp ngy 25 thng 4 nm 2001 (QD s 19 STK).. In xong v np lu chiu thng 8 nm 2001.

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NGUYN DUY TIN - v VIT YN

6.7 Phn phi chun nhiu chiu Bi tp

minh ha ta xt mt php t h r khng q u m c cc k t qu n gin nht: Theo trn, mi

M t con x c x c c gieo lin t i p n l n .

M t n g t i n c gieo lin t i p cho n k h i l n u

T r o n g k h n g gian m u v i k h n g q u m c p h n t , s g i m i t p con A c l m t b i n c . N h v y n u t h s b i n c s l 2". ca A x y ra.

AUB=BUA (A B ) U C = U ( / n B = B n A (AnB)nC = An ( n). C);

l h o n t o n x c n h ' T r o n g v d 2, x t / = B = {NS, A ( t n g n g B) sp" {SS,SN,NS}, SN, NN}.

l b i n c : "c t n h t m t l n x u t h i n m t Ta c: A u B = 0 , ,45 = {NN} {SN.NS} cn

"c n g m t ln x u t hin m t sp",

16 1.1.2 Xc sut ca bin c

Khi vi mi bin c A c n ta nh ngha PM)=

2) i vi hai bin c A, B b t k F(A U B ) =

c b i t nu cc Ai i mt xung khc (hay xung khc tng cp), ngha l AA th = 0, (i )

m cc kt, qu c cng kh nng xut hin' ngha l: P M = P M =...=nN)

Khi , theo (1.3) xc sut ca bin c A c xc nh bng c.ri thc

19 N h vy, Ui c N cch rt, (12 c N cch rt,..., a cch rt. T \A\ = A

20 m h n h hoa. c c q u c u e n c n h s , . . . . M c n c c q u t r n g c n h s t M 4 n N. T r o n g bi t o n ny. phn T q u c c h n l k h c n h a u . v k h n g p h n b i t t h t . V v y k t q u c a s l a c h n l mt, t p con n p h n t c a t p N t. K h n g gian m u c dng

Am = {t = ( a ! , a , . . . , a ) Vky\A \=C%.C Z^.

* > - ( I - > <

N u JV = T oo t h P M o ) - 0,368. e C7m . T r o n g c n g t h i c (1.5) s rn c n t h o a m n max(0 ,7? + M - N) < m < rain(M, n).

V t 3. X p n g u n h i n TI q u c u p h n b i t v o N c i h) p h n b i t . T n h xc. sunt sao cho

a) H p t h n h t c V qua, h p t h i ! h a i c r 2 q u ' p t h AT c TIN q u ; h) H p . t h c chrc n g m q u .

a) M i cch x p l mt b ( 1 , 0 2 : <n) trong

- vo. N h vy l s thir t ca hp m ta phn hi qu t h = {u/ = (i., 2 , . . . . ) : fr X, k - , 2 * v = {1,2.... jV". ,N) T},

Gi s .4 l b i n c cn tnh xc sut v u > 6 A N h vy trong dy hu hn ui = ( a i , . . . , a ) c ng T! s 1,...,JV s Af. T

suy ra _ 141= f7> T* va

V s k chitn m v t r trong ) v tr. Cn cc v tr cn l i l cc s / 6 { N}\{k}. T | | = C.(N - ) " - ' " , v do

1) N u cc q u cn khng c p h n bit th s cch x p TI q u C H U v o N h p p h n bit l s c c nghim nguyn khng m r a phcmg t r n h

S A(n, N) ny chnh l h s ca x ly tha ca hm sinh sau:

trong khai t r i n t h n h chui

, ( > _ (n + N - 1 ) i4(n ,J\r) = f / W ( 0 ) = 7i!(iV - 1)! '

2) N u qu cu khng p h n bit th s cch x p n qu cu vo N hp khc nhau sao cho mi hp cha k h n g q u mt q u l h s ca, x

trong khai t r i n chnh tc a thc:

( - ' - " X E ' " ' ) ( -' " )

nh ngha xc sut theo quan i m thng k. C t h l ta tha

sao cho t n s u t n{A)/n

vic nghin cu dng iu

B y g i t a c h u y n sang m t k h i n i m q u a n t r n g k h c . 1.3 X c suat i u kin. S dc lp

l $ i i nghin c u cc hin tng ngu nhin xut hin mt vn sau: x c s u t c a m t b i n c s t h a y i t h n o k h i m t b i n sau.

ngha c i n c a x c s u t F(A) = 6/36,

nu P (4 )P (B) ^ 0. Bng quy np, ta c cng th

Cng thc xc sut ton phn H cc bin c { B i , 2?2> ) B } gi l h y nu

a) xung khc tng i mt,

V d om gin v h y l h {B, Gi s { B i , F(B )

> 0, Vfe. Khi vi bin c A bt k ta c P(i4) = J > ( f t ) P ( i 4 | f l i ) .

G i s (A) > 0 v {B, B , . . . . Bu)

l h y cc bin c vi (B) > 0, V i . K h i ta c

(- = 1,2.... , n ) . T h t vy theo (1.9) ta c P(i4 I fc) = P ( A ) P ( f l . I .4). t d

By gi ta trnh by khi nim c lp. H u h t cc k t qu ca xc sut c i n u c g i t h i t c lp. Bn cn <1<K- k cc mc d i y.

27 1.3.5 Dinh, S c lp ca hai bin c

Hai bin c A v B gi l c lp nu (AB) =P(>4)P(B). (1.13)

> 0 th d thy rng A v B c lp khi v ch khi P(A li) - F().

H cc bin c Ai, A'2,. .. , An gi l c lp

ton th ) nu vi mi 2 < k < n v mi b k ch s < i\ < . .. < < n ta c ?(,1, /t,,...,l,,)

R r n g t s c ]) (trong ton th) suy ra tng cp } v i cc kt qu cng kh nng. Cc bin c

c lp. n h n g i u ng c li khng n g . thy i u . xt --- {uj. u>2. ^3,

c lp tng cp n h n g khng c lp trong ton th v {ABC) = - ( == P(A)P(B)(C).

Trong nhiu t r n g hp, xc sut ch c tnh trn mt lp. c th A gm cc b i n c

(trong ton th) nu h bt k Ai,... = , . : . ,n l c lp.

.An sao cho Ai 6 Ai, , Bn l ci- bin c b t

D d n g k i m tra c rng v i Bi,...

k. i u kin cn v cc i s (ri, 0, B], Bi), (i, 0, B. #2)> (f, 0. B , B ) dc lp l h cc bin c B , . . . , B c lp.

2,... ,n, O i , . . . , * _ ! e {1,2,... Vi > (cu,... , a ). t