Bai Tap Xac Suat

Mc lc
Cc khi nim c bn v l thuyt xc sut v qu trnh ngu nhin
1.1. Cc tnh cht ca hm phn phi
. . . . . . . . . . . . . . . . . . . . . . . . .
1.2. o hu hn l mt hm lin tc
. . . . . . . . . . . . . . . . . . . . . . . .
1.2.1. o hu hn l mt hm lin tc bn tri . . . . . . . . . . . . . . . .
1.2.2. o hu hn l mt hm lin tc bn phi
. . . . . . . . . . . . . . .
1.3. nh l Radon-Nicodym . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.4. Cc tnh cht ca k vng c iu kin . . . . . . . . . . . . . . . . . . . . . .
1.5. Quan h gia cc kiu hi t
1.5.1. Nu
. . . . . . . . . . . . . . . . . . . . . . . . . . .
{n } hi t hu chc chn v
{n } hi t theo xc sut v
. .
1.5.2. nh l
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.5.3. nh l
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
10
1.5.4. Nu
{n } hi t theo bnh phng trung bnh v
sut v
1.5.5. Nu
th
th
{n } hi t theo xc
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
{n } hi t yu v
. . . . . . .
10
1.5.6. Tiu chun Cauchy v s hi t theo xc sut . . . . . . . . . . . . . . .
11
1.5.7. Tiu chun Cauchy v s hi t h.c.c
. . . . . . . . . . . . . . . . . . .
12
. . . . . . . . . . . . . . . . . . . . . . . . .
12
1.7. nh l: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
13
1.8. B Fatou:
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
14
1.9. nh l hi t b chn (Lebesgue) . . . . . . . . . . . . . . . . . . . . . . . . .
15
1.10.Chng minh cc bt ng thc . . . . . . . . . . . . . . . . . . . . . . . . . . .
15
1.6. nh l hi t n iu (B.Levy)
th
10
MC LC
1.10.1.Bt ng thc Holder:
. . . . . . . . . . . . . . . . . . . . . . . . . . .
1.10.2.Bt ng thc Minkovski:
. . . . . . . . . . . . . . . . . . . . . . . . .
16
1.10.3.Bt ng thc Jensen: . . . . . . . . . . . . . . . . . . . . . . . . . . . .
17
1.10.4.Bt ng thc Chebyev: . . . . . . . . . . . . . . . . . . . . . . . . . . .
18
1.11.B Borel-Cantelli (lut 0-1) . . . . . . . . . . . . . . . . . . . . . . . . . . .
18
1.12.nh l Fubini
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
19
1.13.nh l 1.10 (Tiu chun Kolmogorov cho tnh lin tc) . . . . . . . . . . .
20
1.14.Nu
15
{t }tT
l qu trnh gia s c lp th
{t }tT
l qu trnh Markov . . . . .
21
1.15.Chng minh cc tnh cht ca thi im Markov . . . . . . . . . . . . . . . . .
21
1.16.V d v thi im Markov
23
. . . . . . . . . . . . . . . . . . . . . . . . . . . .
Martingale trn khong thi gian ri rc v lin tc
24
2.1. Mt s v d v Martingale
. . . . . . . . . . . . . . . . . . . . . . . . . . . .
24
2.2. nh l . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
26
2.3. nh l 2.3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
26
2.4. H qu 2.5 (bt ng thc Kolmogorov)
. . . . . . . . . . . . . . . . . . . . .
27
2.5. H qu 2.6
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
27
2.6. H qu 2.7
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
28
2.7. Mt s bi tp trang 146 trong sch Cc m hnh xc sut v ng dng . . . . .
29
Qu trnh Wiener - Tch phn ngu nhin Ito - Phng trnh vi phn ngu nhin
31
3.1. Mt s bi tp trang 165 trong sch Cc m hnh xc sut v ng dng . . . . .
31
3.2. Gii phng trnh vi phn ngu nhin . . . . . . . . . . . . . . . . . . . . . . .
33
Chng 1
Cc khi nim c bn v l thuyt xc
sut v qu trnh ngu nhin
1.1.
Cc tnh cht ca hm phn phi
a) Khng gim:
F (x1 ) F (x2 ), vi x1 x2 .
b) Lin tc tri trn
c)
R.
F () = lim F (x) = 0, F (+) = lim F (x) = 1

x
x+
Chng minh.
a) Trc ht ta chng minh tnh cht: Nu

Tht vy, Ta c:
M r rng vi
Do :
b) Vi
th
P (A) P (B)
B = A (B \ A). Do : P (B) = P (A) + P (B \ A) P (A)
x1 x2
th
{ : () < x1 } { : () < x2 }
F (x1 ) F (x2 ), vi x1 x2 .
x0 R ty ta phi chng minh lim F (x) = F (x0 )
Ta vit li
Ly dy
Ta thy
V
AB
xx0
1
F (x) = P ( (, x)) = P (, x)
{xn } tha x1 < x2 < < xn < < x0
xn % x0
Bn = (, xn ) % B0 = (, x0 )
P 1 l o nh v o l 1 hm lin tc nn F (xn ) = P 1 (Bn ) % P 1 (B0 ) =
F (x0 )
Chng1. Cc khi nim c bn v LTXS v QTNN
c) Ly dy
Ta thy
Do
{xn } tha x1 > x2 > > xn >
Cn = (, xn ) &
F () = lim F (x) = 0
x
Tng t ly dy
{xn } tha x1 < x2 < < xn <
Do :
P 1 (Dn ) % P 1 (, +) = 1
Tc l:
F (+) = lim F (x) = 1

x+
o hu hn l mt hm lin tc
Gi s
1.2.1.
: F R l o hu hn
o hu hn l mt hm lin tc bn tri
Chng minh.
Gi s c dy
{An } F
tha
A 1 A2 An
A0 =
Bn = An \ An1 , n = 1, 2, . . .
Ta c:
xn % +
Dn = (, xn ) % (, +)
Th
xn &
P 1 (Cn ) & P 1 () = 0
Tc l:
1.2.
Bi
P
n=1
Bj = , i 6= j
S
Bn =
An = A
n=1
X
X
Bn ) =
(Bn )
(A) = (
n=1
= lim
(Bk )
k=1
= lim
n
n=1
n
X
n
X
k=1
= lim (An )
n
Trng Ngc Hi - K16
Bk
An % A
1.2.2.
o hu hn l mt hm lin tc bn phi
A 1 A2 An
T
A=
An =
Ak
n=1
kn
T
S
An =
Ak
(Ak AC
k+1 )
Chng minh.
Gi s
An & A
Ta c:
kn
kn
(An ) = (
Ak ) +
kn
(Ak AC
k+1 )
k=n
= (A) +
(Ak AC
k+1 )
k=n
n
(A) (V chui
(Ak AC
k+1 ) < )
n=1
1.3.
nh l Radon-Nicodym
P << Q. Khi , tn ti duy nht (theo ngha tng ng ngu nhin i

R
vi Q) i lng ngu nhin 0 : P (A) =
dQ, A F
Gi s
A
Chng minh.
GS
Chng minh s tn ti
P, Q l cc o hu hn, P 0
K = { : R,
R
t I = sup dQ
t
khng m v
dQ P (A), A F}
K
Khi :
t
{n } K : lim
n dQ = I
n () = max n ()
Ta c:
1kn
n K. Tht vy, A F , ta c: A =
n
P
Ak , Ak F
n () = k () trn Ak
k=1
n () =
n
X
k ()Ak
k=1
n dQ =
A
Trng Ngc Hi - K16
Z X
n
A k=1
k Ak =
n Z
X
k=1
Ak
k dQ
n
X
k=1
P (Ak ) = P (A)
= sup n n
Ta thy:
n %
n
Do :
Z
n dQ P (A), A F
dQ = lim
Cn CM:
Z
(A) = P (A)
dQ = 0, A F
A
Ta thy
l o hu hn trn F
Phn chng, GS
<< Q
A F : (A) 6= 0
+
n N, +
n F, Q(n ) > 0 sao cho:
1
+
+
Q(A +
n ) (A n ) = P (A n )
n
Z
dQ, A F
A+
n
Xt
=+
1
+ . Ta c:
n n
Z
Z
1
dQ = dQ + Q(A +
n)
n
A
A
Z
Z
dQ + P (A +
dQ
n) =
A+
n
dQ + P (A +
n)
A\+
n
+
P (A \ +
n ) + P (A n ) = P (A)
K. V l v
Z
1
Q(+
n)
n
Z
Z
> dQ = sup n dQ
dQ =
dQ +
Z
n dQ lim
> sup
Mu thun vi
I = sup dQ.
K
Vy
(A) = 0, A F
Trng Ngc Hi - K16
n dQ = I
dQ, A F l duy nht (theo ngha tng ng ngu nhin).

R
R
Tht vy, GS 1 , 2 tha
1 dQ = 2 dQ = P (A), A F
tha
P (A) =
(1 2 )dQ = 0 1 = 2 (h.k.n)
A
1.4.
a)
Cc tnh cht ca k vng c iu kin
E(|G) 0, 0;
b) Nu c l hng s th
c)
E(a1 + b2 |G) = aE(1 |G) + bE(2 |G) (P-h.c.c);

G -o c v E(), E() th E(|G) = E(|G) (P-h.c.c);
d) Nu
e) Nu
G1 G2
f) Nu
g)
E(c|G) = c (P-h.c.c);
th
E[E(|G2 )|G1 ] = E(|G1 ) (P-h.c.c);
c lp th
E(|G = E
E(|Gmin ) = E, E(|Gmax ) = ;
(P-h.cc);
Gmin = {, }, Gmax = 2 .
vi
Chng minh.
a) Ta c:
A G
th
R
A
E(|G)dP =
R
A
dP 0
E(|G) 0 (P-h.c.c)
b) Ta c:
c)
A G
E(c|G)dP =
A
R
A
cdP,
A G E(c|G) = c (P-h.c.c).
ta c:
Z
E(a1 + b2 |G)dP =
(a1 + b2 )dP
Z
= a 1 dP + b 2 dP
A
ZA
Z
= a E(1 |G)dP + b E(2 |G)dP
A
Z A
= [aE(1 |G) + bE(2 |G)]
A
Z
Trng Ngc Hi - K16
E(a1 + b2 |G) = aE(1 |G) + bE(2 |G) (P-h.c.c)

Gi s , 0 :
n
P
* TH1: =
xk Ak , trong xk R, Ak = { : () = xk } G
d)
k=1
Khi :
A G
ta c:
Z
E(|G)dP =
A
Z X
n
xk Ak E(|G)dP =
A k=1
n
X Z
xk
Z
xk
dP =
dP =
n
X
Z
xk
k=1
Z X
n
E(|G)dP
AAk
k=1
AAk
k=1
Z X
n
n
X
Ak dP =
Z X
n
xk Ak dP
A k=1
E(|G)dP
A k=1
A k=1
E(|G) = E(|G)(P h.c.c)

* TH2:
Go c bt k. Khi : {n } bc thang tha n .
Theo TH1 trn th

M
n E(|G) = E(n |G)
n E(|G) E(|G) E(n |G) E(|G)
Do tnh duy nht ca gii hn
Trng hp ,
E(|G) = E(|G) (P-h.c.c)
ty :
= +
= +
E(|G) = E[( + )( + )|G)]
= E( + + |G) E( + |G) E( + |G) + E( |G)
= + E( + |G) + E( |G) E( + |G) + E( |G)
= + E[( + )|G] E[( + )|G]
= ( + )E[( + )|G]
= E(|G)
A G2
R
R
R
R
E[E(|G2 )|G1 ]dP = A E(|G2 )dP = A dP = A E(|G1 )dP
A
e)
A G1
ta c:
E[E(|G2 )|G1 ] = E(|G1 ) (P-h.c.c)

Trng Ngc Hi - K16
A G th v A c lp.
R
R
R
Do :
E(|G)dP = A dP = A A dP = E(A ) = EEA
A
R
R
R
= E A dP = E A dP = A EdP
f) V
c lp nn
E(|G) = E
A = hoc A =
R
R
R
Vi A = th: A E(|Gmin )dP = A dP = 0 = A EdP
R
R
R
Vi A = th: A E(|Gmin )dP = A dP = E = A EdP
g) Vi
A Gmin
(P-h.c.c)
th
E(|Gmin ) = E (P-h.c.c)
R
R
A Gmax ta c: A E(|Gmax )dP = A dP
V
1.5.
Gmax o c nn E(|Gmax ) =
(P-h.c.c)
Quan h gia cc kiu hi t
{n } l dy i lng ngu nhin,

1.5.1.
Nu
l i lng ngu nhin
{n } hi t hu chc chn v
th
Ta c:
Chng minh.
An =
P[
{|k | }] 0, > 0
k=n
{|k | }
k=n
Bn = {|n | } An
Ta thy
Do :
0 P (Bn ) P (An ) 0
lim Bn = 0.
n
Vy
n
.
Note. iu ngc li ni chung khng ng.
1.5.2.
Nu
nh l
n & (%) th n (P-h.c.c)
Tht vy, khng mt tnh tng qut ta xt dy n
Trng Ngc Hi - K16
&,
0 (v nu n &,
th n &,
0)
10
Phn chng, gi s
n 9 0(P h.c.c)
> 0 : P {
{k }} > > 0

S
{k } {n }
kn
V
{n } & nn
kn
Do :
P {n } P (
{k }) > > 0 (Mu thun vi n

)
kn
1.5.3.
nh l
{nk } {n } : nk (P h.c.c)
P
Tht vy: Ly {n } & 0; {n } :
n <
Nu
th
n=1
V
Rj =
P[
nn ta chn c
nk
{|nk | k } = lim P (
j
lim
j k=j
P {|nk | k } k
{|nk | k } &
k=j
S
T
j=1 k=j
P[
sao cho:
{|nk | k }
k=j
P {|nk | k } lim
j k=j
k = 0
{|nk | k } = 0. Tc l nk (P h.c.c)
j=1 k=j
1.5.4.
Nu
{n }
hi t theo bnh phng trung bnh v
theo xc sut v
Chng minh.
GS
th
{n }
= l.i.mn n . Tc l E(|n |2 ) =
|n |2 dP 0
ty , t Bn = { : |n | }
R
R
2
Khi : E(|n | ) =
| |2 dP + Bn C |n |2 dP
Bn n
R
R
Bn |n |2 dP 2 Bn dP = 2 P (Bn )
Vi
lim Bn = 0
n
Vy
1.5.5.
Nu
Chng minh.
Vi
Ta cn chng minh
th
{n } hi t yu v
Fn (x) F (x), x C(F )
x0 , x00 R tha x0 < x < x00 . Ta cn chng minh

F (x0 ) lim Fn (x) lim Fn (x) F (x00 )
Trng Ngc Hi - K16
()
hi t
11
T (*) cho
x0 % x, x00 & x ta c: Fn (x) F (x)
Nh vy chng minh c (*) l xong. Tht vy
F (x0 ) = P { < x0 } = P { < x0 ; n < x} + P { < x0 ; n x}

P {n < x} + P { < x0 ; n x}
= Fn (x) + P { < x0 ; n x}
Ta thy
Suy ra
lim P { < x0 ; n x} lim P {|n | < x x0 } = 0 (Do n

)
F (x0 ) lim Fn (x)
Tng t, ta xt
Fn (x) = P {n < x} = P {n < x; < x00 } + P {n < x; x00 }

F (x00 ) + P {|n | > x0 x0 }
lim Fn (x) F (x00 )

1.5.6.
Tiu chun Cauchy v s hi t theo xc sut
nh ngha. Dy
{n } c gi l dy Cauchy theo xc sut nu: > 0

P {|n m | > } 0 khi n, m
nh l. Dy
{n } hi t theo xc sut khi v ch khi n l dy Cauchy theo xc
sut.
Chng minh.
iu kin cn. Gi s
n
. Khi , > 0, ta c:
n,m

P {|n m | > } P {|n | > } + P {|m | > } 0
2
2
iu kin . Ta tha hng mt kt qu: Nu
tn ti dy con
{n }
l dy Cauchy theo xc sut th
{nk } hi t theo xc sut n bin ngu nhin no . T bt ng thc:

P {|n | > } P {|n nk | > } + P {|nk | > }
2
2
Cho
n, nk ta suy ra iu phi chng minh.
Trng Ngc Hi - K16
12
1.5.7.
Tiu chun Cauchy v s hi t h.c.c
{n } c gi l dy Cauchy P-h.c.c nu: > 0
nh ngha. Dy
P { sup |k l | } 0 khi n
k,ln
nh l. Dy
{n }
hi t P-h.c.c khi v ch khi
{n }
l dy Cauchy theo ngha
P-h.c.c
Chng minh.
iu kin cn. Gi s
h.c.c
n .
Ta c:

P { sup |k l | } P {sup |k | } + P {sup |l | }
2
2
k,ln
kn
ln
V
h.c.c
nn
P {sup |k | 2 } 0 v P {sup |l | 2 } 0
kn
Suy ra
ln
P { sup |k l | } 0
k,ln
iu kin . Gi s
{n } l dy Cauchy theo ngha P-h.c.c.
Ta c mt kt qu: Nu
{n }
l dy Cauchy theo ngha P-h.c.c th vi xc sut 1, cc
{n ()} l dy Cauchy trong R

Do :
n () ()
no . t
(
()
() =
0
Khi :
1.6.
Nu
ti
ti
m gii hn tn ti
m gii hn khng tn ti
h.c.c
nh l hi t n iu (B.Levy)
G F, n %
(P-h.c.c) v
M 1 <
(hoc
n &
E(n |G) % E(|G) (hoc E(n |G) & E(|G) tng ng)
Trng Ngc Hi - K16
(P-h.c.c) v
M 1+ < )
th
13
Chng minh.
Ta c:
Gi s
n %
M 1 <
0 n + 1 % + 1 , n 1
1 2 n
Tht vy, V
1 = max{1 , 0} nn
+) Vi
1 = 0 1 0 n + 1 = n 1 0, n 1
+) Vi
1 = 1 1 < 0 n + 1 = n 1 0, n 1
A G
ta c:
Z
lim E(n |G) +
n
A
E(1 |G)]dP
Z
=
[ lim E(n |G) + E(1 |G)]dP

n
Z
=
lim E[(n + 1 )|G]dP
n
A
Z
=
lim
E[(n + 1 )|G]dP
A
Z
lim
(n + 1 )dP
A
Z
=
( + 1 )dP
A
Z
E[( + 1 )|G]dP
A
Z
E(1 |G)dP
E(|G)dP +
=
A
lim E(n |G) = E(|G) (P-h.c.c)

n
1.7.
Trng hp
n &
(P-h.c.c) v
M 1+ < ) chng minh tng t.
nh l:
{ }U
kh tch u khi v ch khi
0 kh tch: | |
Chng minh.
iu kin cn. Gi s
Khi , ta c
{ }U
kh tch u.
sup E| | < +. Do , ta chn = 0
iu kin . Gi s
Ta c:
0 kh tch: | | L
|()| | ()| > x
Trng Ngc Hi - K16
E0 = sup E| | l tha.
{ : | ()| > x} { : |()| > x}

R
R
x
sup
| |dP
||dP 0
U {| |>x}
{||>x}
R
x
sup
| |dP 0
(V
14
{|| > x} khi x )
U {| |>x}
{ }U
Vy
1.8.
kh tch u.
B Fatou:
{n }n1
Nu dy
kh tch u th:
a)
E(lim n |G) lim E(n |G)
b)

Chng minh.
a) Ta c:
V
inf m % lim n
(*)
mn
{n }n1
kh tch u nn
0 kh tch: |n | n
n n () = . Do : ( inf m ) ()
Vi
mn
E( inf m ) E < +
(**)
mn
T (*) v (**), theo nh l B.Levy ta c:
lim E( inf m |G) = E(lim n |G)

n
mn
lim E( inf m |G) lim E(n |G)
Vy
mn
b) Tng t ta cng c:
sup m & lim n

mn
(sup m )+ + =
E(sup m )+ E < +
mn
Trng Ngc Hi - K16
15
lim E(sup m |G) = E(lim n |G)

mn
V
lim E(sup m |G) lim E(n |G)

mn
Vy
1.9.
nh l hi t b chn (Lebesgue)
Nu dy
Chng minh.
(P-h.c.c) v
L1 : |n |
th
h.c.c
E(|n ||G) 0.
Yn = sup |m |
mn
Ta thy:
Yn & 0
0 Yn 2
E(Yn |G)dP =
Yn dP 0
E(Yn |G) 0 (P-h.c.c)

Mt khc:
|n | sup |m | = Yn
mn
Vy
E(|n ||G) 0 (P-h.c.c).
1.10.
Chng minh cc bt ng thc
Cho cc i lng ngu nhin
1.10.1.
, .
Bt ng thc Holder:
E(||) kkp .kkq , p, q > 1 :
1 1
+ = 1,
p q
vi
kkp = [E(||p )] p
Trc ht ta chng minh bt ng thc sau:

1
1
a b
1 1
+ a p .b q ; a, b > 0, p, q > 1 : + = 1
p q
p q
p
Tht vy, ta thy hm f (x) = x , vi p > 1 l hm li trn (0, +)
(1)
Chng minh.
(1.1)
f (x) f (1) f 0 (1)(x 1), x > 0

xp 1 p(x 1)
a p1
Thay x = ( ) , a, b > 0 vo (1.2) ta c:
b
Trng Ngc Hi - K16
(1.2)
16
a
a p1
1 p[( ) 1]
b
b
1
1
1
1
1
1
a b
a
1
a b
1
1
a p .b1 p b + (1 )b a p .b1 p + a p .b q (t = 1 )
p p
p
p
p q
q
p
Chng minh bt ng thc Holder:

+) Gi s
kkp .kkq 6= 0 :
E||
1
kkp .kkq
|| p
|| q
p dng bt ng thc (1.1) cho a =
,b =
kkp
kkq
(1)
ta c kt qu:
1 || p 1 || q
||.||
+
p kkp
q kkq
kkp .kkq
Hay
+) Nu
E|.|
1 E(||p ) 1 E(||q )
p +
q
p (kkp )
q (kkq )
kkp .kkq
1=
E|.|
1 E(||p ) 1 E(||q )
+
p
q
p E(|| ) q E(|| )
kkp .kkq
kkp .kkq = 0 E(||p )E(||q ) = 0
Khng mt tnh tng qut ta gi s
E(||p ) = 0
= 0(P h.c.c) E|.| = 0(P h.c.c) (Lc xy ra ng thc)

1.10.2.
Bt ng thc Minkovski:
k + kp kkp + kkp , p 1.
Chng minh.
(2)
Trc ht ta c bt ng thc sau (s chng minh sau):
(a + b)p 2p1 (ap + bp ), a, b > 0, p 1

Trong bt ng thc (2.1), ly
a = ||, b = || ta c:
| + |p (|| + ||)p 2p1 (||p + ||p )

Vi p = 1 th (2.2) E| + | E(||p ) + E(||p ) (chnh l (2) trong TH p =1)
Vi p > 1 :
| + |p = | + |.| + |p1 ||| + |p1 + ||| + |p1
Trng Ngc Hi - K16
(2.1)
(2.2)
17
E| + |p E(||| + |p1 ) + E(||| + |p1 )

1 1
+ = 1 v p dng bt Holder ta c:
Ly q > 1 :
p q
1
(2.3)
E(||| + |p1 ) (E||p ]) p .(E| + |(p1)q ) q =

1
1
1 1
(E||p ) p .(E| + |p ) q = ( v + = 1 p = (p 1)q)
p q
1 p
(E||p ) p .(E| + |p ) p . q = kkp (k + kpp ) q

1
Tng t:
V
E(||| + |p1 ) kkp (k + kpp ) q
E| + |p = k + kpp
Thay vo (2.3), ta c:
1
k + kpp (kkp + kkp )(k + kpp ) q

1 1q
1
1
k + kpp
kkp + kkp
(1 = )
q
p
Hay
k + kp kkp + kkp
Cui cng ta CM bt ng thc (2.1) trn
Xt hm s
f (x) = (a + x)p 2p1 (ap + xp ), x > 0
D dng thy
f (x) f (a) = 0, x > 0
Do vi
x = b th (a + b)p 2p1 (ap + bp )
1.10.3.
Bt ng thc Jensen:
Cho hm
f : R R li, L1 , E(|f ()|) < .Khi :

f (E) Ef ().
Chng minh.
Ly
f (x) f (x0 ) k(x0 )(x x0 ), trong :

(
f 0 (x0 ) nu f 0 (x0 )
k(x0 ) =
f 0 (x0 + ) nu f 0 (x0 + )
V f l hm li nn ta c
x0 = E, x =
th ta c:
f () f (E) k(E)( E)
E[f () f (E)] k(E)E( E) = 0
Vy
Ef () f (E)
Trng Ngc Hi - K16
18
1.10.4.
Bt ng thc Chebyev:
P {|| > a}
E||
, L1 , a > 0
a
Chng minh.
Z
Ta c:
||dP =
E|| =
P {|| > a}
Z
||dP +
{||>a}
{||a}
Ef || =
{||>a}
Ef ||
, L1 , a > 0
f (a)
f ||dP +
{||>a}
1.11.
||dP a.P {|| > a}
f : R+ R+ , khng gim th
P {|| > a}
P {|| > a}
||dP
E||
a
Tng qut: Nu
Tht vy,
f ||dP
{||a}
f ||dP f (a).P {|| > a}
{||>a}
Ef ||
f (a)
B Borel-Cantelli (lut 0-1)
Cho dy cc bin c
{An }n1 F, A := lim An :=
Am . Khi :
n=1 m=n
a)
P (An ) < P (A ) = 0.
n=1
b) Nu thm gi thit dy
{An }n1
c lp th:
P (An ) = P (A ) = 1.
n=1
Chng minh.
a) Ta c
Am }n1
m=n
P (A ) = lim P (
n
m=n
Trng Ngc Hi - K16
l dy gim nn
Am ) lim
n m=n
P (Am ) = 0 (V
P
n=1
P (An ) < )
19
{An }n1
b) Gi s
P(
Am ) =
{An }n1
c lp
c lp
P (Am ) Do ta c:
m=n
m=n
0 P(
Am ) =
P (Am ) =
m=n
m=n
P (Am )
(1 P (Am ))
m=n
() = e
P (Am )
m=n
= e = 0
m=n
P(
Am ) = 0 hay P (
m=n
((*) s dng bt ng thc
1.12.
Am ) = 1 P (A ) = 1
m=n
x
1 x e , 0 x 1)
nh l Fubini
{t }tT
Cho qu trnh ngu nhin
a)
(t, ) o c theo t T
(P-h.c.c);
b) Nu
Et , t th mt := Et
c) Nu
o c trn
o c. Khi :
o c theo t;
T = [0, +) v
E|t |dt < th:
|t |dt < (P h.c.c)

RS
R
E|t |dt = E |t |dt

S
Chng minh.
a) Ta c:
{(t, ) T : (t, ) B} BT F, B B
Do , vi mi
c nh th
{t T : (t, ) B} BT , B B
(, ) : T R o c (theo t).
b)
m : T R, t 7 mt := Et
B B : {t T : mt B} = {t T :
Trng Ngc Hi - K16
t dP B} B
20
c)
CM
|t |dt < (P-h.c.c)
(3.1)
E|t |dt < E|t | < (P-h.c.c)
|| < (P-h.c.c), t S,
R
|t |dt < (P-h.c.c)
S
R
R
CM E|t |dt = E |t |dt
S
(V
(3.2)
o c trn
Phn hoch on
T = [0, +) nn S = [a, b], vi 0 a b < +
[a, b] thnh n on nh:
a = x0 < x1 = a + h < < xn = a + nh = b,

V
vi
h=
ba
n
|t |dt < (P h.c.c) nn:
S
n
1X
n
(a + ih, )
In =
h i=1
Li c:
n
P
1
E(a
n h i=1
Et dt = lim
1.13.
t dt
S
E|t |dt < nn:
R

+ ih, ) = lim EIn = E lim In = E t dt
n
nh l 1.10 (Tiu chun Kolmogorov cho tnh lin

tc)
Nu vi
T = [a, b], > 0, > 0, c > 0 : t, t + t [a, b], E(|t+t t | ) c|t|1+
th qu trnh ngu nhin
Chng minh.
{t }tT
c i din lin tc.
gii quyt bi ny ta p dng nh l phn 2.2.2 trang 62 (Cc m hnh xc
sut v ng dng, phn III, Nguyn Duy Tin).
p dng bt ng thc Markov, ta c:

P {|t+t t | d}
Ly
g(t) = |t| , 0 < <
Ta thy
c|t|1+
E(|t+t t | )
d
d
(1)
g(t) & khi t & v
g(2
n=1
Trng Ngc Hi - K16

X
1 n
)=
< (v vi > 0
2
n=1
th
1
< 1)
2
21
Thay
d = g(t) = |t|
vo (1) ta c:
P {|t+t t | |t| }
Ly
c|t|1+
= c.|t|1+
|t|
q(t) = c.|t|1+ . Ta thy q(t) & khi t &) v
2 q(2
n=1

X
1 n
1
)=
c < (v > 0 < 1)
2
2
n=1
Vy theo nh l phn 2.2.2 trang 62 th
1.14.
Nu
{t}tT
{t }tT
c i din lin tc.
l qu trnh gia s c lp th
{t}tT
l qu
trnh Markov
1.15.
Chng minh cc tnh cht ca thi im Markov
Trong phn ny nhng b m thy chng minh r trong gio trnh th

ghi l "Ri".
B 1.1:
Ri
B 1.2:
Ri
B 1.3:
Nu
1 , 2
l cc thi im Markov th cc thi im
1 2 := min{1 , 2 }, 1 2 := max{1 , 2 }, 1 + 2
cng l cc thi im Markov.
Chng minh.
1 2
1 2
l thi im Markov: Ri
l thi im Markov, tht vy:
t T : {1 2 t} = {1 t} {2 t} Ft
Trng Ngc Hi - K16
22
1 + 2
l thi im Markov, tht vy:
t T : {1 + 2 t} = {1 = 0, 2 = t} {1 = t, 2 = 0}

S
({1 < a} {2 < b}) Ft

a+bt; a,bQ; a,b>0
B 1.4:
a) Nu
{n }n1
l dy cc thi im Markov th
sup n
cng l thi im Markov.
n1
b) Nu thm gi thit dng
{Ft } lin tc phi th inf n , lim n , lim n cng l cc thi im

n1
Markov.
Chng minh.
a)
{sup n t} =
n1
b)
t T , ta c:
{n t} Ft
n1
{inf n < t} =
n1
{n < t} Ft
n1
{lim n < t} = {inf sup k < t} Ft

n1 kn
{lim n < t} = {sup inf k < t} Ft

n1 kn
B 1.5:
Ri
B 1.6:
Ri
B 1.7:
Nu
l cc thi im Markov th
{ < }, { }, { = } thuc F F .
{ < } F F , tht vy: t T , ta c:

S
{ < } { t} =
({ < r} {r < t}) Ft
Chng minh.
r<t,rQ
{ < } F
Trng Ngc Hi - K16
23
Tng t:
{ < } { t} =
({ r} {r < } { t} {t < }) Ft
r<t,rQ
{ < } F . Vy { < } F F
{ } = \ { > } F F
{ = } = { } \ { < } F F
1.16.
V d v thi im Markov
V d 1. Gi s
l tp m trong
Chng minh.
{(t , Ft )}tT
{t } lin tc phi,
R. Khi C := inf{t 0 : t C} l thi im Markov.
ri
V d 2. Gi s
Khi
l qu trnh ngu nhin lin tc phi, dng
{(t , Ft )}tT
l qu trnh ngu nhin lin tc,
D := inf{t 0 : t D}
l thi im Markov i vi
l tp ng trong
F := (Ft )tT
Ft := (s , s t).
Chng minh.
C := R \ D. V C
m nn
{Kn }nN
ng:
C=
Kn .
nN
s T , ta c:
{D s} =
T S
n
t<s,tR {t
Trng Ngc Hi - K16
/ Kn } =
T S
n
r<s,rQ {r
/ Kn } Fs
R.
, trong
Chng 2
Martingale trn khong thi gian ri rc
v lin tc
2.1.
Mt s v d v Martingale
V d 1. Nu
Martingale th
X := {(xn , Fn )}1nN , Y := {(yn , Fn )}1nN
U := {(un := xn yn , Fn )}1nN
xn yn , Fn )}1nN
Chng minh.
Gi s
X, Y
l cc super (hoc sub)
l super Martingale (hoc
V := {(vn :=
l sub Martingale tng ng)
Nu
X, Y
l super Martingale th
l sub Martingale. Khi :
l super Martingale: ri
n m, ta c:
E(vn |Fm ) E(xn |Fm ) xm

E(vn |Fm ) E(yn |Fm ) ym
E(vn |Fm ) xm ym = vm
V d 2.
z L th X := {(xn , Fn )}1nN , vi xn = E(z|Fn ) l Martingale.
Chng minh.
n m, ta c:
E(xn |Fm ) = E(E(z|Fn )|Fm ) =() E(z|Fm ) = xm

V d 3. Ri
24
(() v
Fm Fn )
25
Chng2. Martingale trn khong thi gian ri rc v lin tc
{n L}n1 , En = 1, pn :=
V d 4. Cho dy cc i lng ngu nhin c lp
n
Q
i , Fn := (1 , . . . , n ). Kho X := {(pn , Fn )}1nN
l Martingale.
i=1
n m, ta c:
Chng minh.
n
Y
E(pn |Fm ) = E(pm .

= pm .E(
n
Y
i |Fm ) = pm .E(
i=m+1
n
Y
i |Fm )
i=m+1
n
Y
i ) = p m .
i=m+1
Ei = pm , n 1
i=m+1
V d 5. Cho dy cc i lng ngu nhin khng m
{n L}n1 , Sn =
n
P
i , Fn :=
i=1
(1 , . . . , n ). Khi X := {(Sn , Fn )}1nN

Chng minh.
l sub Martingale.
n m, ta c:
m
n
X
X
E(Sn |Fm ) = E[(
i +
i )|Fm ]
i=1
m
X
i + E(
i=1
i=m+1
n
X
i )|Fm )
i=m+1
Sm
X := {(xn , Fn )}1nN
V d 6. Nu
, n th Y := {(f (xn ), Fn )}1nN

Chng minh.
l Martingale, hm
f : R R li vi E|f (xn )| <
l sub Martingale.
n m, p dng bt ng thc Jensen, ta c:

E(f (xn )|Fm ) f (E(xn |Fm )) = f (xm )
V d 7. Nu
li vi
nu
X := {(xn , Fn )}1nN
E|f (xn )| < , n
X := {(xn , Fn )}1nN
Trng Ngc Hi - K16
th
l sub Martingale, hm
Y := {(f (xn ), Fn )}1nN
l Martingale th
f :RR
khng gim,
l sub Martingale. c bit,
{E|xn |p }1nN
l dy khng gim
26
n m, p dng bt ng thc Jensen, ta c:
Chng minh.
E(f (xn )|Fm ) f (E(xn |Fm )) f (xm )

Y := {(f (xn ), Fn )}1nN
Ta c
l sub Martingale.
f (x) = |x|p , vi p 1 l hm li. Do {|xn |p , Fn } l sub Martingale.
E|xn |p E|xm |p , n m (s chng minh sau), ngha l {E|xn |p }1nN
khng
gim.
2.2.
Nu
nh l
{(xn , Fn )} l sub Martingale th dy {Exn } khng gim.
Chng minh.
Vi
m n,
ta c:
Exm E(E(xn |Fm )) = Exn .
Vy
{Exn }
l dy khng
gim.
2.3.
nh l 2.3
Gi s
X := {(xn , Fn )}1nN
l sub Martingale. Khi
> 0 ta c:
1
P {max xn }
nN
xN dP
1 +
Ex
N
{max xn }
nN
Z
P {min xn } Ex1 +
xN dP
nN
{ min xn >}
nN
Chng minh.
CM
P {maxnN xn }
R
{max xn }
xN dP 1 Ex+
N : Gio trnh CM ri
nN
Gii thch thm:
() =
l thi im Markov v
1.13 th
inf{n N : xn () },
nu
max xn
N,
nu
max xn <
xn ()
l thi im Markov.
Trng Ngc Hi - K16
tc l
xn () [, +)
nN
nN
tp ng. Do theo v d 2, bi
27
CM
P {min xn } Ex1 +
nN
xN dP :
{ min xn >}
nN
Tng t xt thi im Markov sau:
() =
inf{n N : xn () },
nu
min xn
N,
nu
min xn >
nN
nN
B = {min xn }
nN
Ta c:
Z
Ex1 Ex =
Z
x dP +
x dP
ZB
P (B) +
xN dP
BC
Vy
P {min xn } Ex1 +
nN
xN dP
{ min xn >}
nN
2.4.
H qu 2.5 (bt ng thc Kolmogorov)
Gi s X
:= {(xn , Fn )}1nN
l sub Martingale v
Chng minh.
Ta c:
l Martingale bnh phng kh tch. Khi :
> 0 ta c: P {max |xn | }

nN
{(x2n , Fn )}1nN
{(x2n , Fn )}1nN
Ex2N
.
2
l sub Martingale.
Do theo bt ng thc trong nh l 2.3 ta c:
P {max x2n a}
nN
Ly
a = 2
ta c bt ng thc cn chng minh.
E|xn |p < , n, p 1
ExPN
.
l sub Martingale v > 0 ta c: P {max |xn | }
nN
p
Tng qut: Nu
{(|xn |p , Fn )}1nN
2.5.
Ex2N
, a > 0
a
X := {(xn , Fn )}1nN
l Martingale vi
H qu 2.6
Gi s
X := {(xn , Fn )}1nN
l Martingale bnh phng kh tch. Khi :
E{max x2n } 4Ex2N

nN
Trng Ngc Hi - K16
th
28
Ta c:
Chng minh.
{(|xn |, Fn )}1nN
l sub Martingale.
p dng bt ng thc trong nh l 2.4 ta c:

E{max x2n } = E{max |xn |}2 4Ex2N
nN
2.6.
nN
H qu 2.7
a) Nu
X := {(xn , Fn )}1n<
tn ti
b) Nu
ti
x := lim xn
n
(P-h.c.c)
X := {(xn , Fn }1n<
x := lim xn
n
l sub Martingale m (hoc super Martingale dng) th
l sub Martingale m (hoc super Martingale dng) th tn
(P-h.c.c) v vi
F := (
Fn ), X := {(xn , Fn )}1n
cng l
n=1
sub Martingale m (hoc super Martingale dng tng ng)
c) Nu
X := {(xn , Fn )}1n<
l sub Martingale th:
sup Ex+
n < sup E|xn | <
n1
n1
Chng minh.
{(xn , Fn )}1n<
a) Gi s
Khi :
l sub Martingale m.
sup Ex+
n = 0.
n1
Vy theo nh l 2.6, ta suy ra tn ti

Tng t, nu
{(xn , Fn )}1n<
x = lim xn
n
(P-h.c.c)
super Martingale dng th
{(xn , Fn )}1n<
l sub
Martingale m.
Do theo trn th
b) Gi s
X := {(xn , Fn }1n<
chng minh
minh
x = lim (xn ) (P-h.c.c) Hay x = lim xn

n
l sub Martingale m.
X := {(xn , Fn )}1n
E(x |Fm ) xm
(P-h.c.c)
cng l sub Martingale m, th ta ch cn chng
l .
Tht vy, p dng kt qu a) v b Fatou, ta c:
E(x |Fm ) = E( lim xn |Fm ) lim E(xn |Fm ) xm

n
Nu
{(xn , Fn }1n< l super Martingale dng th {(xn , Fn }1n< l sub Martingale
m
Trng Ngc Hi - K16
29
Do theo kt qu trn,
Vy
c)
{(xn , Fn }1n
{(xn , Fn )}1n
l sub Martingale m.
l super Martingale dng.
(=) l hin nhin.
(=) Gi s sup Ex+

n <
n1
Vi xn > 0 E|xn | = Exn , Ex+

n = Exn
E|xn | = Ex+
n <
Vi xn 0 E|xn | = Exn
V
{(xn , Fn )}1n<
Exn Ex0
2.7.
hay
l sub Martingale nn
{Exn } l dy khng gim.
E|xn | = Exn Ex0 <
Mt s bi tp trang 146 trong sch Cc m hnh xc

sut v ng dng
1. Gi s
l thi im dng i vi
{Fn }. Vi mi n, k hiu (n) l s nguyn b nht
p sao cho { = n} Fp . Chng minh (n) l thi im dng.

{ = n} Fn (n) n < (P-h.c.c)
Sp1
V {(n) = p} = { = n} Fp \
l=1 Fl Fp
Tht vy,
2. Cho dy
{n }nN . t
d0 = 0 ,
dn = n E(n |0 , . . . , n1 ),
Xn =
n
X
k=0
Chng minh
{Xn }nN
Trng Ngc Hi - K16
l Martingale.
dk ,
n N.
30
Chng minh. Vi
n m ta c:
n
X
E(Xn |Fm ) = E(
dk |Fm )
k=0
= E[0 +
n
X
(k E(k |0 , . . . , k1 ))|Fm ]
k=1
= E(0 |Fm ) +
n
X
E(k |Fm )
k=1
= 0 +
m
X
k=1
= 0 +
m
X
E(k |Fm )
k=m+1
m
X
E(k |0 , . . . , k1 )
k=1
n
X
k +
n
X
m
X
E(k |0 , . . . , k1 )
k=1
E(k |0 , . . . , k1 )
k=1
k=1
= Xm
3. Cho
{Xn } l Martingale khng m vi EX1 = 1. Chng minh rng vi > 0 th

n 1 :
P {Xn > }
p dng bt ng thc Kolmogorov, ta c:
Chng minh.
1
1
EX1+ =
1
Nu c EXN = 1 th ta cng c P {max Xn > }
nN
P {X1 > }
4. Gi s
Xn =
n
P
dk
l Martingale bnh phng kh tch sao cho
Ed2n < .
Chng
n=1
k=1
minh
{Xn } hi t hu chc chn.
Chng minh.
p dng h qu 2.5, ta c:
N
X
1
1
2
P { sup |Xn+p Xn | } 2 E|XN Xn | = 2 E|
dk |2

n+pN
k=n+1
N
X
N n X
2 N
Ed 0 (v
Ed2n < )
2 k=n+1 k
n=1
{Xn }n1
l dy Cauchy h.c.c
{Xn }n1
hi t h.c.c
Trng Ngc Hi - K16
Chng 3
Qu trnh Wiener - Tch phn ngu nhin
Ito - Phng trnh vi phn ngu nhin
3.1.
Mt s bi tp trang 165 trong sch Cc m hnh xc

sut v ng dng
1. Kim tra cc
Xt
sau c phi l Martingale khng?
(a)
Xt = Wt + 4t;
(b)
Xt = Wt2
(a) Cn kim tra xem
E(Xt |Fs ) = Xs , t s?
E(Xt Xs |Fs ) = 0
E(Wt Ws |Fs ) + 4(t s) = 0
4(t s) = 0
Vy
Xt
khng ng vi
t>s
khng phi l qu trnh Martingale.
(b) Kim tra
E(Xt |Fs ) = Xs , t s
E(Xt Xs |Fs ) = 0
E(Wt2 Ws2 |Fs ) = 0
E[(Wt Ws )2 |Fs ] + E[2Ws (Wt Ws )|Fs ] = 0
t s + 2Ws E[(Wt Ws )|Fs ] = 0
ts=0
Vy
Xt
khng ng vi
khng phi l qu trnh Martingale.

31
t>s
Chng3. QT Wiener - TP ngu nhin Ito - PTVP ngu nhin
2. Chng minh
Mt = Wt2 t l martingale. Mt
32
c phi l qu trnh Wierner khng?
Tht vy,
E(Mt Ms |Fs ) = E[(Wt2 Ws2 (t s))|Fs ]

= E[(Wt2 Ws2 )|Fs ] (t s)
= t s (t s) = 0
(Theo bi trn ta c
Kim tra
Mt
E[(Wt2 Ws2 )|Fs ] = t s)
c phi l qu trnh Wierner khng?
E(Mt Ms )2 |Fs ] = E[(Wt2 Ws2 (t s))2 |Fs ]

= E[(Wt2 Ws2 )2 |Fs ] 2(t s)E[(Wt2 Ws2 )|Fs ] + (t s)2

2
= E [(Wt Ws )2 + 2Ws (Wt Ws ) |Fs ] 2(t s)2 + (t s)2
= E[(Wt Ws )4 |Fs ] + 4Ws E[(Wt Ws )3 |Fs ]+
+ 4Ws2 E(Wt Ws )]2 |Fs ] (t s)2
= 3!!(t s)2 + 4Ws .0 + 4Ws2 .(t s) (t s)2
= 2(t s)2 + 4Ws2 .(t s) 6= t s
Vy
Mt
khng phi l qu trnh Wierner.
3. Chng minh
Nt = Wt3 3tWt
l Martingale.
Tht vy, ta c:
E(Nt |Fs ) = E(Wt3 3tWt |Fs )

= E[(Wt Ws + Ws )3 |Fs ] 3tE[(Wt Ws + Ws )|Fs ]
= E[(Wt Ws )3 |Fs ] + 3Ws E[(Wt Ws )2 |Fs ]
+ 3Ws2 E[(Wt Ws )|Fs ] + Ws3 3tE[(Wt Ws )|Fs ] 3tWs
= 3Ws (t s) + Ws3 3tWs
= Ws3 3sWs = Ns
Trng Ngc Hi - K16
0 l qu trnh gia s c lp vi X0 = 0, EXt = 0, F (t) = E|Xt |2 < .
4. Gi s {Xt }, t
F (t) l hm khng gim.
Chng minh
Chng minh.
Cn chng minh
F (t) F (s) 0, t s
E|Xt |2 E|Xs |2 0
E(Xt2 Xs2 ) 0
E[(Xt Xs + Xs )2 Xs2 ] 0
E(Xt Xs )2 + 2E[Xs (Xt Xs )] 0
E(Xt Xs )2 + 2EXs E(Xt Xs ) 0
E(Xt Xs )2 0 ng.
3.2.
Gii phng trnh vi phn ngu nhin
1.
(
dyt = yt dWt
y0 = u, u > 0 P-h.c.c
Gi nghim
yt
c dng:
yt = C(t).et
dt = a(t)dt + b(t)dWt
Ta c:
yt
C 0 (t)
=
.yt
t
C(t)
yt
2 yt
=
= yt
t
t2
Theo cng thc Ito ta c:
dyt = (
So snh vi
33
1
C 0 (t)
yt + yt a(t) + yt b2 (t))dt + yt b(t)dWt
C(t)
2
dyt = yt dWt ta suy ra:

0
1
C
+ a(t) + b2 (t) = 0
C
2
b(t) = 1
Trng Ngc Hi - K16
0
1
C
+ a(t) + = 0(1)
C
2
b(t) = 1
1
a(t) = C = 1 yt = et
2
0
y0 = e = u 0 = lnu
d = 1 dt + dW
t
t
t
Vy yt = e , vi
2
= lnu
Trong (1), chn
2.
dy = 1 y dt + y dW
t
t
t
t
2
y = u, u > 0 P-h.c.c
0
Gi nghim
yt
c dng:
yt = C(t).et
Ta c:
yt
C 0 (t)
=
.yt
t
C(t)
2 yt
yt
=
= yt
t
t2
dyt = (
So snh vi
C 0 (t)
1
C(t)
2
dyt = 21 yt dt + yt dWt
0
1
C
+ a(t) + b2 (t) =
C
2
b(t) = 1
ta suy ra:
0
C
= a(t)
C
b(t) = 1
1
2
Chn a(t) = 0
C=1
b(t) = 1
yt = et
y0 = e0 = u 0 = lnu
(
dt = dWt
Vy yt = e t , vi
0 = lnu
3.
t2
dyt = yt dt + tyt dWt

2
y = u, u > 0 P-h.c.c
0
Gi nghim
yt
c dng:
yt = C(t).et
Trng Ngc Hi - K16
34
Ta c:
C 0 (t)
yt
=
.yt
t
C(t)
yt
2 yt
=
= yt
t
t2
dyt = (
So snh vi
dyt =
t2
y dt
2 t
C 0 (t)
1
C(t)
2
+ tyt dWt
0
1
C
+ a(t) + b2 (t) =
C
2
b(t) = t
ta suy ra:
0
C
= a(t)
C
b(t) = t
t2
2
Chn a(t) = 0
C=1
b(t) = t
yt = et
y0 = e0 = u 0 = lnu
(
dt = tdWt
Vy yt = e t , vi
0 = lnu
4.
dy = 3 y dt + y dW
t
t
t
t
2
y = u, u > 0 P-h.c.c
0
Gi nghim
yt
c dng:
yt = C(t).et
Ta c:
yt
C 0 (t)
=
.yt
t
C(t)
yt
2 yt
=
= yt
t
t2
C 0 (t)
1
dyt = (
C(t)
2
Trng Ngc Hi - K16
35
So snh vi
3
dyt = yt dt + yt dWt
2
0
1
C
+ a(t) + b2 (t) =
C
2
b(t) = 1
3
2
36
ta suy ra:
0
C
= a(t) + 1
C
b(t) = 1
Chn a(t) = 1
C=1
b(t) = 1
yt = et
y0 = e0 = u 0 = lnu
(
dt = dt + dWt
Vy yt = e t , vi
0 = lnu
5.
(
dyt = dt + dWt
y0 = u
Gi nghim
yt
c dng:
yt = C(t).tm
Ta c:
C 0 (t)
yt
=
.yt
t
C(t)
m1
1
yt
= mC m .yt m
t
m2
2
2 yt
m .y m
=
m(m
1)C
t
t2
dyt = (
m1
m2
m1
1
2
1
C 0 (t)
1
yt +mC m .yt m .a(t)+ m(m1)C m .yt m b2 (t))dt+mC m .yt m .b(t)dWt
C(t)
2
So snh vi
dyt = dt + dWt ta suy ra:
m2
2
C 0 (t) y + mC m1 .y m1
1
2
m
m .y m b (t) = 1
.a(t)
+
m(m
1)C
t
t
t
C(t)
2
m1
mC m1 .y m .b(t) = 1
t
Chn
b(t) = 1
m2
C (t)
2
yt + a(t) + 12 m(m 1)C m .yt m = 1
C(t)
C 0 (t)
Chn m = 1 :
yt + a(t) = 1
C(t)
Trng Ngc Hi - K16
Chn
37
a(t) = 1 C = 1 yt = t
y0 = 0 = u
(
dt = dt + dWt
Vy yt = t , vi
0 = u
6.
(
dyt = (yt + et )dt + et dWt
y0 = u
Gi nghim
yt
c dng:
yt = C(t).tm
Ta c:
C 0 (t)
yt
=
.yt
t
C(t)
m1
1
yt
= mC m .yt m
t
m2
2
2 yt
m .y m
=
m(m
1)C
t
t2
dyt = (
m1
m2
m1
1
2
1
C 0 (t)
1
yt +mC m .yt m .a(t)+ m(m1)C m .yt m b2 (t))dt+mC m .yt m .b(t)dWt
C(t)
2
So snh vi
dyt = (yt + et )dt + et dWt
ta suy ra:
m2
2
C 0 (t) y + mC m1 .y m1
1
2
t
m
m .y m b (t) = y + e (1)
.a(t)
+
m(m
1)C
t
t
t
t
C(t)
2
m1
mC m1 .y m .b(t) = et
(2)
t
(
m=1
(2)
C.b(t) = et
0
(
C
C = et
=1
(1) C
C.a(t) = et
a(t) = 1
yt = et .t
y0 = 0 = u
(
dt = dt + dWt
t
Vy yt = e .t , vi
0 = u
Trng Ngc Hi - K16
7.
38
m1
m 1 m2
dy = (y m1
m
m
m
+
y
)dt
+
y
dWt
t
t
t
2m t
y = u (u > 0 h.c.c nu m = 2k, k N
0
Gi nghim
yt
c dng:
yt = C(t).tn
Ta c:
C 0 (t)
yt
=
.yt
t
C(t)
n1
1
yt
= nC n .yt n
t
n2
2
2 yt
n .y n
=
n(n
1)C
t
t2
dyt = (
n1
n2
n1
1
1
2
C 0 (t)
1
yt + nC n .yt n .a(t) + n(n 1)C n .yt n b2 (t))dt + nC n .yt n .b(t)dWt
C(t)
2
m1
So snh vi
dyt = (yt m +
m1
m 1 m2
yt m )dt + yt m dWt
2m
ta suy ra:
n2
m1
m 1 m2
2
C 0 (t) y + nC n1 .y n1
1
2
n
n .y n b (t) = y m
yt m
.a(t)
+
n(n
1)C
+
t
t
t
t
C(t)
2
2m
m1
nC n1 .y n1
n
.b(t) = y m
t
Chn
n = m ta suy ra:
C(t) = 1
1
b(t) =
m
a(t) = 1
m
yt = tm
y0 = 0m = u 0 =
d = 1 dt + 1 dW
t
t
m
Vy yt = t , vi
m
m
= m u
0
8.
(
dyt = [a(t)yt + b(t)]dt + n(t)dWt
y0 = u
Trng Ngc Hi - K16
yt
Gi nghim
39
c dng:
yt = C(t).tm
dt = g(t)dt + h(t)dWt
Ta c:
C 0 (t)
yt
=
.yt
t
C(t)
m1
1
yt
= mC m .yt m
t
m2
2
2 yt
= m(m 1)C m .yt m
2
t
dyt = (
m1
m2
m1
1
2
1
1
C 0 (t)
yt +mC m .yt m .g(t)+ m(m1)C m .yt m h2 (t))dt+mC m .yt m .h(t)dWt
C(t)
2
dyt = [a(t)yt + b(t)]dt + n(t)dWt
So snh vi
ta suy ra:
m2
2
C 0 (t) y + mC m1 .y m1
m
.g(t) + 12 m(m 1)C m .yt m h2 (t) = a(t)yt + b(t)
t
C(t) t
m1
mC m1 .y m .h(t) = n(t)
t
Chn
m = 1. Ta suy ra:
0
C
C = a(t)
C.g(t) = b(t)
C.h(t) = n(t)
R
yt = t .e
R
y0 = 0 .e
C = e a(t)dt
b(t)
g(t) = eR a(t)dt
h(t) = Rn(t)
e a(t)dt
a(t)dt
a(t)dt
= u.e
a(t)dt
0 = u.e
a(t)dt
b(t)
n(t)
dt = R a(t)dt dt + R a(t)dt dWt

a(t)dt
Vy yt = t .e
, vi
e
e
= u.e R a(t)dt
R
Trng Ngc Hi - K16

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Mc lc

Cc khi nim c bn v l thuyt xc sut v qu trnh ngu nhin

1.1. Cc tnh cht ca hm phn phi

1.2.1. o hu hn l mt hm lin tc bn tri . . . . . . . . . . . . . . . .

1.2.2. o hu hn l mt hm lin tc bn phi

1.4. Cc tnh cht ca k vng c iu kin . . . . . . . . . . . . . . . . . . . . . .

1.5. Quan h gia cc kiu hi t

{n } hi t theo bnh phng trung bnh v

1.5.6. Tiu chun Cauchy v s hi t theo xc sut . . . . . . . . . . . . . . .

1.5.7. Tiu chun Cauchy v s hi t h.c.c

1.9. nh l hi t b chn (Lebesgue) . . . . . . . . . . . . . . . . . . . . . . . . .

1.10.Chng minh cc bt ng thc . . . . . . . . . . . . . . . . . . . . . . . . . . .

1.10.1.Bt ng thc Holder:

1.10.2.Bt ng thc Minkovski:

1.10.3.Bt ng thc Jensen: . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1.10.4.Bt ng thc Chebyev: . . . . . . . . . . . . . . . . . . . . . . . . . . .

1.11.B Borel-Cantelli (lut 0-1) . . . . . . . . . . . . . . . . . . . . . . . . . . .

1.13.nh l 1.10 (Tiu chun Kolmogorov cho tnh lin tc) . . . . . . . . . . .

1.15.Chng minh cc tnh cht ca thi im Markov . . . . . . . . . . . . . . . . .

1.16.V d v thi im Markov

Martingale trn khong thi gian ri rc v lin tc

2.4. H qu 2.5 (bt ng thc Kolmogorov)

2.7. Mt s bi tp trang 146 trong sch Cc m hnh xc sut v ng dng . . . . .

3.1. Mt s bi tp trang 165 trong sch Cc m hnh xc sut v ng dng . . . . .

3.2. Gii phng trnh vi phn ngu nhin . . . . . . . . . . . . . . . . . . . . . . .

Cc tnh cht ca hm phn phi

b) Lin tc tri trn

F () = lim F (x) = 0, F (+) = lim F (x) = 1

a) Trc ht ta chng minh tnh cht: Nu

B = A (B \ A). Do : P (B) = P (A) + P (B \ A) P (A)

x0 R ty ta phi chng minh lim F (x) = F (x0 )

{xn } tha x1 < x2 < < xn < < x0

P 1 l o nh v o l 1 hm lin tc nn F (xn ) = P 1 (Bn ) % P 1 (B0 ) =

Chng1. Cc khi nim c bn v LTXS v QTNN

{xn } tha x1 > x2 > > xn >

{xn } tha x1 < x2 < < xn <

F (+) = lim F (x) = 1

Trng Ngc Hi - K16

Chng1. Cc khi nim c bn v LTXS v QTNN

P << Q. Khi , tn ti duy nht (theo ngha tng ng ngu nhin i

Trng Ngc Hi - K16

Chng1. Cc khi nim c bn v LTXS v QTNN

Trng Ngc Hi - K16

Chng1. Cc khi nim c bn v LTXS v QTNN

dQ, A F l duy nht (theo ngha tng ng ngu nhin).

Cc tnh cht ca k vng c iu kin

E(a1 + b2 |G) = aE(1 |G) + bE(2 |G) (P-h.c.c);

E[E(|G2 )|G1 ] = E(|G1 ) (P-h.c.c);

Trng Ngc Hi - K16

Chng1. Cc khi nim c bn v LTXS v QTNN

E(a1 + b2 |G) = aE(1 |G) + bE(2 |G) (P-h.c.c)

E(|G) = E(|G)(P h.c.c)

Go c bt k. Khi : {n } bc thang tha n .

Theo TH1 trn th

n E(|G) = E(n |G)

n E(|G) E(|G) E(n |G) E(|G)

Do tnh duy nht ca gii hn

E(|G) = E(|G) (P-h.c.c)

E[E(|G2 )|G1 ] = E(|G1 ) (P-h.c.c)

Chng1. Cc khi nim c bn v LTXS v QTNN

Quan h gia cc kiu hi t

{n } l dy i lng ngu nhin,

l i lng ngu nhin

{|k | }] 0,  > 0

{|k | }] 0, > 0

{k }} > > 0

{k }) > > 0 (Mu thun vi n

{n } c gi l dy Cauchy theo xc sut nu: > 0

{n } c gi l dy Cauchy P-h.c.c nu: > 0