Khai triển trực giao của các hàm ngẫu nhiên

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Khai trin trc giao ca hm ngu nhin
LI M U
Xc Sut Thng K l lnh vc Ton hc ng dng, n i hi mt c s ton hc su sc. Ngy nay cc m hnh Xc Sut thc s c ng dng rng ri trong Khoa Hc T Nhin cng nh Khoa Hc X Hi. Trong lun vn ny, nghin cu v khai trin trc giao ca hm ngu nhin. V mt l thuyt chng c nhiu tnh cht th v lin h vi cc qu trnh ngu nhin khc. V mt ng dng chng tr thnh cng c ton hc c hiu lc cho nhiu vn trong cc lnh vc khc nhau nh ton hc, vt l, sinh hc, c hc, khoa hc tri t, kinh t Lun vn ny gm 3 chng : Chng 1 : MT S KIN THC C BN Trong chng ny nghin cu v nhc li kin thc c bn cn cho lun vn ny, cn c k cc khi nim v nm vng cc kt qu nh c m u bng vic gii thiu khng gian Hilbert gm cc bin ngu nhin bnh phng kh tch vi v hng l hip phng sai ca hai bin ngu nhin, dng php chiu trc giao xy dng php xp x tuyn tnh v lp phng trnh d on, tip theo nu khi nim k vng c iu kin v chng t rng k vng c iu kin l d on tt nht. Khai trin chnh tc ca qu trnh ngu nhin cng c nghin cu trong chng ny. Ngoi ra cn nghin cu qu trnh Wiener v tch phn Ito l hai khi nim quan trng khi nghin cu v qu trnh ngu nhin. y l nhng khi nim c bn v l c s nghin cu nhng vn tip theo. Chng 2 : A THC HERMITE V KHAI TRIN FOURIER HERMITE
2 Lun vn thc s ton hc Trn Th Vn Anh
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Chng ny nghin cu cc nh ngha, cc tnh cht v b ca a thc Hermite v tnh cht ca khai trin Fourier Hermite. Mt vi b ng dng c chng minh trong chng ny l cng c chnh ta s dng tip cho chng sau. Chng 3 : QU TRNH NGU NHIN DNG HERMITE Chng ny m rng a thc Hermite ca chng 2 l nghin cu qu trnh ngu nhin dng Hermite. Bt u khi nim v qu trnh ngu nhin dng Hermite. Sau m rng khi nim l xc nh hm Hermite chun suy rng, s dng chng thu c tp trc chun y trong L2 ( R ) v L2 ( R n ) . Cui cng nghin cu v nu c mt s c tnh ca vi phn ngu nhin i vi qu trnh ngu nhin dng Hermite.
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MC LC
Trang
Li cm n . Li ni u . Mc lc ... CHNG I MT S KIN THC C BN.
1 2 4 7 7 7 7 8 9
1.1 Khng gian L2 ( , F , P) .. 1.1.1 Bin ngu nhin 1.1.2 nh ngha 1.1.3 nh ngha .... 1.1.4 Tnh cht
1.1.5 nh l (nh l v php chiu trong khng gian Hilbert) 9 1.1.6 Tnh cht ca php chiu ... 12 1.1.7 Php xp x tuyn tnh trong L2 12 1.1.8 Phng trnh d on . 13 1.1.9 K vng c iu kin v d on tt nht trong L2 14 1.2 Khai trin chnh tc ca qu trnh ngu nhin .16 1.2.1 Qu trnh ngu nhin biu din di dng tng cc hm ngu nhin c bn 16 1.2.2 Khai trin chnh tc qu trnh ngu nhin 18 1.2.3 a qu trnh ngu nhin v dng chnh tc 20 1.2.4 Mt s khai trin chnh tc c bit 22 1.3 C s trc giao v trc chun trong khng gian Hilbert 25
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Khai trin trc giao ca hm ngu nhin 1.3.1 nh ngha (Trc giao v trc chun) 25 1.3.2 nh ngha ( C s ) 25 1.3.3 nh ngha ( C s trc giao v trc chun ) 1.4 Qu trnh Wiener 26 27 1.3.4 nh ngha ( Php chiu trc giao ) 26 1.4.1 nh ngha ( Qu trnh Wiener ) 27 1.4.2 Cc tnh cht qu trnh Wiener v o 27 1.4.3 Qu trnh Wiener n - chiu 37 1.5 Tch phn Ito 39 1.5.1 nh ngha .. 39 1.5.2 Cc tnh cht c bn ca tch phn Ito 40 1.5.3 Tch phn Ito nhiu chiu 43 1.5.4 Vi phn ngu nhin ca hm hp, cng thc Ito ......... 44
CHNG 2
A THC HERMITE V KHAI TRIN FOURIER HERMITE
2.1 a thc Hermite ..48 2.1.1 nh ngha ..48 2.1.2 Lin h gia a thc trc giao v a thc Hermite 49 2.1.3 o hm ca a thc Hermite 50 2.1.4 Cc b ca a thc Hermite 53 2.2 Khai trin Fourier Hermite ca hm bin ngu nhin Gauss 57 2.2.1 Khai trin Fourier Hermite 57 2.2.2 Tnh cht CHNG 3 3.1 QU TRNH NGU NHIN DNG HERMITE 58 60
Khi nim v qu trnh ngu nhin dng Hermite 60 3.1.1 nh ngha ..60
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Khai trin trc giao ca hm ngu nhin 3.1.2 Cc v d 60 3.2 Tp trc chun y trong L2 ( R ) v L2 ( R n ) ... 62
3.2.1 nh ngha 62 3.2.2 Cc tnh cht 62 3.2.3 nh ngha . 64 3.2.4 Tnh cht 65 3.3 Mt s c tnh ca vi phn ngu nhin 66 3.3.1 nh ngha ..66 3.3.2 nh l 67 3.3.3 B 67 3.3.4 H qu 69 3.3.5 Cc tnh cht ca qu trnh dng Hermite 70 KT LUN 74 TI LIU THAM KHO.. 75
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CHNG 1 MT S KIN THC C BN

1.1 KHNG GIAN L2 ( , F , P)
Phn ny gii thiu khng gian cc bin ngu nhin bnh phng kh tch L2( , F , P ) 1.1.1 BIN NGU NHIN
Bin ngu nhin l i lng m gi tr ca n ph thuc vo kt qu ca th nghim . Ta nh ngha chnh xc bin ngu nhin l : Xt php th ngu nhin vi tp v - i s F cc bin c Bin ngu nhin l nh x X : R = ( , + ) sao cho:
( X ( ) x ) ={ \ X ( ) x } F,
hoc :
X 1 ( B ) = { \ X ( ) B} F ,
x R
B B
vi B l tp cc tp Borel trong R . Ta ch xt nhng tp B sao cho X 1 ( B ) l bin c, tc F, khi lp tt c cc bin c X 1 ( B ) l lp bin c cm sinh bi bin s ngu nhin X ( ) .
1.1.2 NH NGHA
Ta xt khng gian xc sut ( , F , P ) v lp cc bin ngu nhin bnh phng kh tch c nh ngha trn v tha mn iu kin :
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EX 2 =
( ) P(d ) <
Khi , ta c :
E ( cX ) = c 2 EX 2 ,
2
c R, X
Mt khc:
(X +Y)
Nn , ta cng c :
2 X 2 + 2Y 2 <
E ( X + Y ) 2 EX 2 + 2 EY 2 < , X , Y
2
K hiu L2 ( , F , P ) l khng gian Hilbert cc i lng ngu nhin X sao cho EX 2 < . Vi hai phn t X , Y ta nh ngha tch v hng trong L2 ( , F , P ) l
< X , Y > : = E ( X .Y ) = X ( ) Y ( ) P( d ) .
(1.1)
Khng gian L2 (, F , P) l tp cc lp tng ng vi tch v hng c nh ngha theo cng thc (1.1), mt khc v mi lp tng ng c xc nh duy nht bng cch ly mt phn t bt k no ca lp lm i din nn ta vn dng k hiu X, Y ch cc phn t ca L2 ( , F , P ) , ta c th dng ngn gn L2 v vn gi l nhng bin ngu nhin bnh phng kh tch v ta ch rng nu ch c X th hiu rng X l i din cho c mt lp cc bin ngu nhin tng ng vi X.
1.1.3 NH NGHA
L S hi t trong L2 l s hi t bnh phng trung bnh vit l X n X
2
ngha l, dy cc phn t { X n } , { X n } L2 c gi l hi t n X nu v ch nu :
8
Lun vn thc s ton hc Trn Th Vn Anh
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Xn X
2

: = E Xn X
2
khi n
xy dng tnh y ca L2 l khng gian Hilbert ta cn phi xy dng tnh y ca L2 ngha l nu X m X n

L cho: X n X
2
0 khi m, n th tn ti X L2 sao
Ta xt tnh cht :
1.1.4 TNH CHT
Nu X n L2 v
X n +1 X n 2 n ; n = 1, 2, 3 th tn ti mt bin
2
L ngu nhin X trn (, F , P ) sao cho X n X .
Chng minh:
Chn X 0 = 0 t Xn : =
j =1
X j X j 1 , khi theo bt ng thc Cauchy Schward, ta c :

< X ,Y > X . Y
E ( X j X j 1 ) =
j =1
j =1
E X j X j 1
j =1
X j X j 1
j =1
2 j <
T , suy ra tn ti lim
n j =1
X j X j 1 v gii hn hu hn.
Nh th
lim ( X j X j 1 ) = lim X n tn ti.
n j =1 n n
1.1.5 NH L (nh l v php chiu trong khng gian Hilbert)
Nu A l mt khng gian con ng ca khng gian Hilbert H v x H th: a) Tn ti duy nht mt phn t x ' A sao cho x x ' = inf x y
yA
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y A
b) x ' A v x x ' = inf x y
nu v ch nu x ' A v ( x x ' ) A
x c gi l chiu (trc giao) ca x ln A, vit l x ' : = PA x nh l ny c gi l nh l v php chiu trc giao.

Chng minh:
a) Nu d : = inf x y
yA
th tn ti mt dy
{ yn } ,
yn A sao cho
yn x 2 0 .
Hn na, vi k, l bt k thuc khng gian Hilbert, theo quy tc ng cho hnh bnh hnh ta c :
k l
2 2
+ k+l
= 2 k
+ l
Do , xt ym x A, Ta c:
yn x A
ym x + yn x + ym x + x yn
= 2 ym x +
2 2 + yn x
2 yn x
tc l:
ym + yn 2 x + y m yn
2 2
= 2 ym x
Mt khc, v:
( ym yn ) A,
2
0 ym yn
y yn = 4 m x 2
+2
ym x
+ yn x
4 d + 2 ( ym x
+ yn x
)0
khi m, n
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T theo tiu chun Cauchy, x' H sao cho yn x ' 0 v v A ng nn

x' A v v tnh lin tc ca tch v hng nn :
2
x x'
= lim x yn
n
=d
chng minh tnh duy nht ca x ta gi s c y ' A sao cho:

2 2
x y'
= x x'
=d
khi dng tnh cht hnh bnh hnh ta c :

2
0 x ' y '
x' + y' x = 4 2 4 d + 4d = 0 y' = x'
+ 2 x ' x
+ y ' x
b) Nu x ' A v ( x x ') A th x l phn t duy nht ca A c nh ngha trong a) v vi bt k y A c :

2
x y
= x x ' + x ' y, x x ' + x ' y
= x x ' + x ' y
x x'
du = t c khi v ch khi y = x ' . Ngc li, nu x ' A v ( x x ') A th x khng l phn t ca A v c phn t x :
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x '' = x ' + ay y 2
vi x gn x hn x, vi y l phn t bt k ca A sao cho:

< x x '', y > 0 v a = < x x ', y >
Tht vy,
x x '' = < x x ' + x ' x '', x x ' + x ' x '' >
a y
2 2
= xx
' 2
2 2
+ 2 < x x ' , x ' x '' >
= x x'
a y
x x'
1.1.6 TNH CHT CA PHP CHIU
i) ii)
PA ( x + y ) = PA x + PA y . x
2
= PA x
( I PA ) x
trong I l php ng nht. iii)

x H tn ti duy nht mt biu din:
x = PA x + ( I PA ) x PA x Ai ;
( I PA ) x A
iv) v) vi) vii)
PA xn PA x khi v ch khi xn x 0
x A khi v ch khi PA x = x .
x A nu v ch nu PA x = 0 .
A1 A2 nu v ch nu PA1 PA 2 x = PA1 x, x H .
1.1.7 PHP XP X TUYN TNH TRONG L2
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Gi s X1, X2 v Y l nhng bin ngu nhin trong L2, nu ch c th quan st c X1, X2 m ta c lng gi tr ca Y bng cch dng t hp tuyn tnh: Y ' = 1 X 1 + 2 X 2 , 1 , 2 R sao cho sai st M di y c trung bnh bnh phng t gi tr nh nht, ngha l sao cho:
M : = E Y Y ' = E Y ( 1 X 1 + 2 X 2 ) = Y 1 X 1 2 X 2
2 2 2
min
Ta c th vit :
2 M = EY 2 + 12 EX 12 + 2 EX 2 2 21 E (YX 1 ) 2 2 E (YX 2 ) + 1 2 E ( X 1 X 2 ) .
Ly o hm ring ca M ln lt i vi 1 , 2 , dn n h phng trnh cho nghim ti u 1 , 2

1 E ( X 12 ) + 2 E ( X 1 X 2 ) = E (YX 1 ) 2 1 E ( X 2 X 1 ) + 2 E ( X 2 ) = E ( YX 2 )
(1.4)
Ngoi ra, ta c th dng nh l hnh chiu trong khng gian Hilbert L2 . Ta t vn tm phn t Y trong tp ng A :
A : = { X L2 \ X : = a1 X 1 + a2 X 2 }
vi a1 , a2 R ,
sao cho :
Y Y ' = inf
X A
X Y
vi X A .
Nh vy, theo nh l chiu trong khng gian Hilbert Y ' A v Y tha iu kin trn khi v ch khi Y ' A v Y Y ' A v do
< Y 1 X 1 2 X 2 , X > = 0 ,
tc l :
< Y 1 X 1 2 X 2 , X 1 > = 0 < Y 1 X 1 2 X 2 , X 2 > = 0
p dng tnh cht ca tch v hng nh ngha trn ta suy ra (1.4).

1.1.8 PHNG TRNH D ON
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Cho khng gian Hilbert L2 , mt tp con ng A L2 v mt phn t

X L2 , nh l chiu trong khng gian Hilbert khng nh rng tn ti duy nht
mt phn t X ' A sao cho:

< X X ', Y > = 0, Y A
(1.5) l d
Phng trnh (1.5 ) gi l phng trnh d on v phn t X ' : = PA X chiu ca X trong A.
on tt nht ca X trong A. Hay ta c th ni d on tt nht ca X trong A l
1.1.9 K VNG C IU KIN V D ON TT NHT TRONG L2

L Nh ta ni trn, nu X n L2 , X L2 th X n X khi v ch khi:
2
Xn X
= E Xn X
0 khi n
Mt s tnh cht ca s hi t theo ngha bnh phng trung bnh

L Nu X n X th khi n
2
i)
L EX n = < X n ,1 > < X ,1 > = EX

2
2
L ii) E X n = < X n , X n > X , X > = E X <

2
L iii) E ( X n , Yn ) = < X n , Yn > < X , Y > = E < X , Y >
nh ngha 1: ( D on bnh phng trung bnh tt nht ca Y)
Nu A l mt khng gian con ng ca L2 th d on bnh phng tt nht ca Y trong A c nh ngha l phn t Y ' A sao cho :
Y Y'
2
: = inf Y Z = inf E Y Z
Z A Z A
nh ngha 2: ( K vng c iu kin E A X )
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Nu A l mt khng gian con ng trong L2 v cha cc hm hng, nu

X L2 th ta nh ngha k vng c iu kin ca X vi A cho trc l php
chiu
E A X = PA X
Mt khc, v ton t E A X l ton t chiu trn L2 nn E A c cc tnh cht php chiu :

i)
E A ( aX + bY ) = a E A X + b E AY , a, b R
2
L ii) E A X n E A X
L nu X n X
iii) E A1 ( E A 2 X ) = E A1 X nu A1 = A2
1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8
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1.2 KHAI TRIN CHNH TC CA QU TRNH NGU NHIN

1.2.1 QU TRNH NGU NHIN BIU DIN DI DNG TNG CC HM NGU NHIN C BN nh ngha ( Hm ngu nhin c bn )
Hm ngu nhin c bn l hm c dng :
( t ) = C. ( t )
trong : C l mt i lng ngu nhin
(1.6)
( t ) l hm khng ngu nhin ca bin s t T

Cc c trng ca hm ngu nhin c bn
i) trong :
K vng : E ( t ) = EC . ( t ) = ( t ) . EC
EC l k vng ca i lng ngu nhin C
* Nu EC = 0 th E ( t ) = 0 * Khi xt cc hm ngu nhin c bn c k vng bng khng , ta k hiu l ( t )

=> E ( t ) = 0
0
ii)
Hm t tng quan ca hm ngu nhin c bn ( t ) :

2 K t , t ' = E ( t ) . t ' = ( t ) . t ' . E ( C ) = ( t ) . t ' . DC
( )
( )
( )
( )
trong :
DC l phng sai ca i lng ngu nhin C
iii)
i vi cc hm ngu nhin c bn, ta c cc php bin i tuyn tnh

'
+ Php ton o hm : ' ( t ) = C. ( t )
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ti + Php ton tch phn xc nh :

T
( t ) dt = C. ( t ) dt
0 0
iv)
Nu G l mt ton t tuyn tnh , ta c : G { ( t )} = C G { ( t )}
nh ngha ( Qu trnh ngu nhin theo cc hm c bn)
Cho qu trnh ngu nhin :
( t ) = E ( t ) + Ci .i ( t )
i =1
(1.7)
trong : Ci l cc i lng ngu nhin c k vng bng 0, i =1, n

E ( t ) l k vng ca ( t ) .
Biu thc (1.7) c gi l khai trin ca qu trnh ngu nhin ( t ) theo cc hm c bn. vi : + cc i lng ngu nhin Ci ( t ) , i =1, n c gi l h s khai trin. + cc hm khng ngu nhin i ( t ) , i =1, n c gi l cc hm ta .
c trng ca qu trnh ngu nhin theo cc hm c bn
Gi s ( t ) biu din c di dng (1.7) , khi : Xt mt ton t tuyn tnh G tc ng ln ( t ) , ta s c : `
( t ) = G { ( t )} = G { E ( t )} + Ci G {i ( t )}
i =1
t G { E ( t )} = EG ( t ) v G {i ( t )} = i ( t ) Khi :
( t ) = EG ( t ) + Ci i ( t )
i =1
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Ta thu c ( t ) theo cc hm c bn vi cc h s C1 , C2 ,...., Cn . Nh vy, nu qu trnh ngu nhin ( t ) khai trin di dng tng cc hm c bn, qua php bin i tuyn tnh G th cc h s khai trin khng thay i, cn k vng v cc hm ta b tc ng theo php bin i tuyn tnh.
1.2.2 KHAI TRIN CHNH TC CA QU TRNH NGU NHIN
Gi s qu trnh ngu nhin khai trin di dng :
( t ) = E ( t ) + Ci .i ( t ) ,
i =1
trong : Ci , i =1, n l cc i lng ngu nhin c k vng bng 0 v ma trn tng quan ki j . Xt hm t tng quan v phng sai ca ( t )
0 0 K t, t ' = E (t ) , t '
( )
( )
trong :
( t ) = Cii ( t )
i =1 n
t = Cii t '
' i =1
( )
( )
()
' = E CiC j i ( t ) j t ij
Khi :
K
( )
n t , t ' = E Ci .C ji ( t ), j t ' ij=11 =

2
()
vi :
E ( Ci Ci ) = E [Ci ] = Di ( Di c gi l phng sai ca Ci )
E Ci C j = kij , i j , i, j = 1, n
)
Trn Th Vn Anh
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Lun vn thc s ton hc
ti
Nh vy :
K t , t ' = i ( t )i t ' Di +
i =1
( )
( )
i ( t ) j ( t ' ) .ki j
i j
(1.8)
t t = t ta c phng sai ca ( t ) :
D ( t ) = i ( t ) Di + i ( t ) j ( t ) ki j
i =1 i j n 2
(1.9)
* Ch : Nu cc h s Ci i = 1, n khng tng quan vi nhau , ngha l ki j = 0 ( i j ) . Khi ta ni (1.7) l khai trin chnh tc ca hm ngu nhin ( t )
Nhn xt
* Khai trin chnh tc ca qu trnh ngu nhin ( t ) l khai trin c dng :
( t ) = E ( t ) + Ci .i ( t )
i =1
trong :
E ( t ) l k vng ca qu trnh ngu nhin ( t )
i ( t ) i =1, n l cc hm ta
Ci i =1, n l cc i lng ngu nhin khng tng quan vi nhau v u
c k vng bng 0 * Nu ( t ) c khai trin chnh tc th hm t tng quan ca n c dng l

K t , t ' = i ( t )i t ' Di
i =1
( )
( )
* Nu ( t ) c khai trin chnh tc th phng sai ca ( t ) c dng l :

D ( t ) = (i ( t ) ) Di
i =1 n 2
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1.2.3 A QU TRNH NGU NHIN V DNG CHNH TC
Cho qu trnh ngu nhin ( t ) biu din di dng :
( t ) = M i . i ( t )
i =1
(1.10)
trong :
i ( t ) i =1, n l cc hm khng ngu nhin

M i l cc i lng ngu nhin tng quan c ma trn tng quan :
D1 .... k12 .... k1n D2 .... k2 n KM = .... Dn
vi :
ki j = E ( M i Ei ) M j E j 0, i, j = 1, n, i j
v EM i = Ei 0 Biu thc dng (1.10) ca ( t ) cha phi l dng chnh tc , do ta cn a n v dng chnh tc. Ta vit biu thc(1.10) di dng :
n n
( t ) = Ei i ( t ) + ( M i Ei ) i ( t )
i =1 i =1
t : Khi :
M i = M i Ei , E ( t ) = Ei . i ( t ) , i =1, n
( t ) = E ( t ) + M i i ( t )
i =1
Biu thc trn cn c th vit di dng :
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*
( t ) = M . ( t )
*
* T
(1.11)
vi : ( t ) = ( t ) E ( t ) v M , ( t ) l cc ma trn ct v T biu din php chuyn v ca ma trn Ma trn tng quan c vit di dng :
* * KM = E M M T
Chn ma trn A sao cho vect : C = A. M c cc thnh phn Ci , i =1, n l cc i
lng ngu nhin khng tng quan

* * * * C.C T = E A M M T AT = AE M M T AT KC = E = A K M AT = DC
(1.12)
vi :
DC l ma trn ng cho m cc phn t trn ng cho l phng sai
ca Ci , i =1, n
DC1 0 ... DC2 ... 0 DC = ... .... ... 0 0 0 0 0 ... DCn
Biu thc ( 1.12) ta thy ma trn A chuyn ma trn tng quan K C v dng ng cho Ma trn K M l i xng v thc , v vy tn ti ma trn trc giao A tha :
A = ai j
n n
Ta c :
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* * T T

* * ( t ) = M ( t ) = A1 A M ( t ) = A M T
(A )
1 T
(t ) = CT (t )
vi :
C = AM
( t ) = A1 ( t ) = AT
( )
( )
( t ) = A ( t )
(do A l ma trn trc giao nn A1 = AT )
Nh vy ta c qu trnh ngu nhin c a v dng chnh tc :
( t ) = E ( t ) + Ci .i ( t )
i =1
1.2.4 MT S KHAI TRIN CHNH TC C BIT Khai trin Karhunen Love
Qu trnh Wiener {W ( t ) ,0 t 1} khai trin theo cng thc :

Wt ( ) = X i ( )i ( t )
i =0
trong : X i l cc i lng ngu nhin c lp c phn phi chun :

EX i = 0 , DX i = 1 ( 2i +1)2 2 , i = 0,1, 2,..., n
i ( t ) l cc hm khng ngu nhin xc nh bi :
i ( t ) = 2 sin
* vi :
( 2i +1) t , i = 0,1, 2.... 2
Dy hm {i ( t )} c th xem nh mt h trc chun y trong L2 [ 0,1]
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1
(i , j ) = i ( t ) j ( t ) dt = 0 ,
0
i =0
i j
i ( s ) j ( t ) = min( s, t )
Mt khc, dy hm {i ( t )} c th xem nh hm ring ca ton t B c
xc nh bi cng thc:
B ( t ) = B ( s, t ) ( t ) ds
0 1
vi B ( s, t ) = min( s, t ) Cc gi tr ring ca ton t B l :
i =
( 2i +1 ) 2
, i = 0, 1, 2 .
Khai trin theo cc hm Schauder
Xc nh cc hm Haar bi cc biu thc sau :

I1 ( t ) =1 0 t1
1 I2 (t ) = 1
khi 0 t < khi
1 2
1 t <1 2
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n 2 2 n I 2n + 1 = 2 2 0
n +1 khi 0 t < 2 ( ) n +1 khi 2 ( ) t < 2 n
khi 2 n t < 1
i 1 I 2n + i ( t ) = I 2n +1 t n i =1, 2,,...., 2n 2
Cc hm Haar { I n ( t )} to nn mt h trc chun y trong L2 [ 0,1] . Tch phn cc hm Haar ta c cc hm Schauder

Z k ( t ) = I k ( x ) dx
0 T
Cho 1 , 2 .... n l dy cc i lng ngu nhin c lp c cng phn phi chun

N ( 0,1) . Khi qu trnh ngu nhin xc nh bi Wt = i Z i ( t ) s l mt
i =1
chuyn ng Brown tiu chun vi 0 t 1
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1.3 C S TRC GIAO V TRC CHUN TRONG KHNG GIAN HILBERT

1.3.1 NH NGHA ( Trc giao, trc chun )
Hai phn t x, y ca khng gian Hilbert c gi l trc giao, x y nu:

x, y = 0 .
Cho tp hp S H ta vit x S nu mi y S , x y . Phn b trc giao cho tp S trong H, k hiu S , l tp tt c x H sao cho x S . Tch v hng trn khng gian Hilbert H c xc nh:
x = x, x
Tp hp hm
{ k } k K
trong khng gian H l tp trc giao nu mi phn t l

i j , i, j K N
trc giao. Chng hn, i , j = 0,
Nu hm c chun ha sao cho k = 1, k khi tp hp c gi l tp trc chun.

1.3.2 NH NGHA (C s)
Nu tp hp { k }k K bao gm cc hm c lp tuyn tnh trong H c gi l c s ca H. S nhng phn t c s c gi l chiu ca H. Cho c s B = { k }k K ca khng gian Hilbert H, tn ti vi bt k
x H mt tp duy nht h s
{ xk }k K
kK
sao cho : (1.13)
x xk k = 0
H s ny c gi l h s khai trin ca x i vi c s B. T (1.13 ) vit n gin l:
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x=
k K
x
k
(1.14)
1.3.3 NH NGHA (C s trc giao v trc chun)
C s trc giao ca khng gian Hilbert H l tp trc giao { k } k K trong H. Nu trong hm cng tnh k l chun, chng hn k = 1, k , khi n l c s trc chun. Tnh cht ca c s trc chun l khai trin h s xk bi tch v hng ca x vi hm c s trc chun k :
xk = x, k
(1.15)
Bt k tp hp ca hm c lp trong khng gian Hilbert H c th bin i thnh tp trc chun. Hin nhin bt k tp trc giao c th thnh trc chun do c chun ha n gin. Do , hu nh ta xt trc chun hn tp trc giao v c s khng mt tnh tng qut. Xt khng gian con S ca khng gian Hilbert H. Khi ta xc nh php chiu trc giao trn S nh sau:
1.3.4 NH NGHA ( Php chiu trc giao )
Xt c s trc chun
{ k }kK
ca khng gian con S ca H. Php chiu
trc giao ca x H trn S, k hiu: PS x , c cho:

PS x = < x, k > k
kK
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1.4 QU TRNH WIENER

Qu trnh Wiener l mt v d rt quan trng i vi l thuyt xc sut thng k. Qua th nghim ca Brown qu trnh ngu nhin ny c dng lm m hnh chuyn ng ca ht di tc ng va chm hn lon ca cc phn t .
1.4.1 NH NGHA ( Qu trnh Wiener )
Ta gi qu trnh W ( t ) l qu trnh Wiener tha mn cc iu kin sau: i) W(0) = 0 ( h.c ) ii) Vi mi 0 t0 < t1 < ... < tn cc i lng ngu nhin
W (t1 ) W ( t0 ) ,W ( t2 ) W (t1 ),...,W (tn ) W (tn 1 ) l i lng c lp
iii) W(t) c phn phi chun vi k vng bng 0 v phng sai t
1 P {W(t) ( a,b )} = 2 t
e a
u 2 2t
du
iv) W ( t ) l qu trnh lin tc, tc hu ht cc qu o ca W ( t ) l hm lin tc. * Mt qu trnh Wiener W ( t ) vi tham s phng sai bng 1 c gi l qu trnh Wiener tiu chun ( hay chuyn ng Brown tiu chun ). * Nu ta thay W(0) = 0 bi W(0) = x ta s c qu trnh Wiener xut pht t x
1.4.2 CC TNH CHT QU TRNH WIENER V O WIENER Tnh cht 1:
Nu W ( t ) l qu trnh Wiener khi :

E {W ( t ) W ( h )} = t h
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t h = min (t , h)
trong :
Chng minh:
Gi s, h t 0 , ta s c :
E W ( t )W ( h ) = E (W ( h ) + W ( t ) W ( h ) )W ( h ) = h + E (W ( t ) W ( h ) ) E W ( h ) = h = ht = E W 2 ( h ) + E (W ( t ) W ( h ) )W ( h )
Do W ( h ) c phn phi chun N ( 0, h ) v W ( t ) W ( h ) l c lp vi W ( h ) .

Tnh cht 2 :
Cho X = [ a, b ] v Y = [ c, d ] , trong a < b v c < d xc nh :

W(X) = W(b) - W(a) W(Y) = W(d) - W(c)
Khi :
E {W(X)W(Y)} = ( X Y )
trong : l o Lebesgue
Chng minh:
Khng mt tnh tng qut, gi s vi a c , khi :

0 ( X Y ) = b c d c khi b c khi c < b d khi d < b
(1.16)
Ta c:
E {W ( X ) W (Y )} = E ( W ( b ) W(a) ) ( W ( d ) W ( c ) )
= E {W ( b ) W ( d )} E {W ( b ) W ( c )} E {W ( a ) W ( d )} + E {W ( a ) W ( c )} Khi theo tnh cht 1 ta c :
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0 E {W ( X ) W ( Y )} = b c d c khi b c khi c < b d khi d < b
Kt hp (1.16) ta c :
E {W ( X ) W ( Y )} = ( X Y )
Tnh cht 3:
Vi j R v t j 0 , trong j = 1, 2, , n :
n 1 E exp i j W( t j ) = exp j =1 2
j , k =1
j k ( t j tk )
Chng minh :
Khng mt tnh tng qut gi s vi 0 t1 t2 ... tn Ta chng minh tnh cht ny bng php quy np trn n. Vi trng hp n =1 , ta thy rng :
E { exp ( i 1W ( t1 ) ) } = exp - 12 t1
1 2
(1.17)
Tht vy ,v tri (1.17) =
1 - x2 exp ( i1 x ) exp ( ) dx 2 t1 2 t1
x = y t1
Khi v tri (1.17)
=
=
y2 exp i1 y t1 exp - dy 2 t1 2 t1
2 1 exp - 12 t1 2 2
1 = exp 12 t1 2
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Vy (1.17) tha mn. Bng phng php quy np ta gi thit :

k-1 1 E exp i j W ( t j ) = exp j=1 2 tl )
j ,l = 1
(t
j l
k 1
(1.18)
vi mi s k, ta ch ra rng tnh cht ny ng vi n = k Ta xt :

i j W ( t j ) = i
j =1 k
W ( t ) + i W ( t )
j =1 j j k k k 1 j =1
k 1
= i j W ( t j ) + i k W ( t k -1 ) i k W ( t k -1 ) + i k W ( t k ) = i k W ( t k ) W ( t k -1 ) + i 'j W ( t j ) j =1
k 1
trong : 'j = j vi j =1, 2,..., k 2 v k' 1 = k 1 + k . Nh vy:

k E exp i j W ( t j ) j =1 k -1 W ( tk ) W ( t k -1 ) exp i j' W ( t j ) = E exp i k j=1
Do tnh cht s gia c lp ca W ( t ) , khi t j t j + 1 ta c W ( t k ) W ( t k -1 ) c lp vi mi W ( t j ) vi j k 1 Bi vy :

k E exp i j W ( t j ) j=1 k -1 W ( t k ) W ( t k -1 ) E exp i j' W ( t j ) = E exp i k j=1
{ (
)}
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1 = E exp i k W ( t k ) W ( t k -1 ) exp 2
{ (
)}
j ,l = 1
(t
' j ' l
k 1
tl )
do gi thit (1.18). Khi W ( t k ) W ( t k 1 ) c cng phn phi vi W ( t k tk 1 ) Ta c :

E exp i k W ( t k ) W ( t k -1 ) = E exp i k W ( t k tk 1 )
{ (
)}
{ (
)}
1 = exp - k2 ( tk tk 1 ) 2 t c s trn ta c cng thc (1.17) Nh vy ta c:

1 k 1 E exp i j W ( t j ) = exp - k2 ( tk tk 1 ) 2 2 j=1
j , l =1
'j l' ( t j tl ) (1.19)
k 1
m :
1 2 1 k ( t k t k 1 ) + 2 2
i , l =1
k 1
' j
l' ( t j tl )
k 2 1 k 2 ' ' 1 ' 2 1 2 1 2 ' = j l (t j tl ) + k 1 'j t j + ( k 1 ) tk 1 + k tk k tk 1 2 j , l =1 2 2 2 j =1
1 k (t t ) 2 j1 j l j l ,l =
(1.20)
thay (1.20) vo (1.19) ta c:

k 1 E exp i j W ( t j ) = exp - j l ( t j tl ) . 2 j=1
Bng php quy np ta suy ra iu phi chng minh.

o Wiener :
Cho 0 < t1 < t2 < ... < tn v xc nh :
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A = { : ( t1 ) B1 , ( t2 ) B2 ,..., ( tn ) Bn } .
trong : Bi l tp hp Borel ca ng thng thc vi i =1, 2,..., n Khi :
( A) =
1 2 t1
1 1 ... 2 ( t2 t1 ) 2 ( tn tn 1 )
2 (x n xn 1 ) 2 x1 ( x 2 x1 )2 ... exp exp ... exp 2( tn tn 1 ) Bn 2 t1 2(t2 t1 )
B1 B2
dx1dx2 ...dxn
Chng minh :
Ta c:
( A) = P { (t1 ) B1 , (t2 ) B2 ,..., (tn ) Bn }

= P {W ( t1 ) B1 , W ( t 2 ) W ( t1 ) + W ( t1 ) B2 ,..., W ( t n ) W t n -1 + W t n -1 Bn
( )
( )
= P {W ( t1 ) dx1 , W ( t2 ) W ( t1 ) + W ( t1 ) B2 ,...,
B1
W ( t n ) W ( t n - 1 ) + W ( t n -1 ) Bn
= ... P {W ( t1 )dx1 , W ( t 2 ) W ( t ) + x1 dx2 ,...,

1
B1 B2
Bn
W ( tn ) W ( tn 1 ) + xn 1 dxn
}.
Hn na, W ( ti ) W ( ti 1 ) c cng phn phi vi W ( ti ti 1 ) . Nh vy :
( A) = ... P { W ( t1 )dx1 , W ( t 2 t1 )dx2 ,..., W ( t n tn1 ) + xn 1 dxn }

B1 B2 Bn
Wx ( t ) k hiu l qu trnh Wiener ti x, khi :
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( A) = ... P {W ( t1 )dx1 , Wx ( t2 t1 )dx2 ,..., Wx

1
n-1
(t
tn 1 dxn
B1 B2
Bn
Khi , do tnh cht ca s gia c lp, ta c :
( A) = ... P {W ( t1 )dx1} P {Wx ( t2 t1 )dx2 } ,....,

1
B1 B2
Bn
P Wx n -1 t n tn 1 dxn
Nh vy :
1 2 t1 1 2 ( t2 t1 ) 1 2 ( tn tn 1 )
( A) =
...
2 ( x2 x1 )2 ( xn xn 1 ) x12 B ... B exp 2t1 .exp 2 ( t2 t1 ) ... 2 ( t t ) dx1dx2 ... dxn B1 2 n n 1 n
Tnh cht 4 :
Tng bnh phng cc gia s ca qu trnh Wiener ng vi phn hoch

a = t0 < t1 < ... < tn = b ca on t a n b hi t n b a theo bnh phng trung
bnh khi lm mn phn hoch :

max ( t i+1 ti ) 0
lim
( X
n 1 i=0
ti + 1
X ti
=b a
Chng minh:
Ta c :
E X ti +1 X ti
i=0 n 1
E(X
n 1 i=0 n 1 i=0 i +1
ti + 1
X ti
D( X
n 1 i=0
ti + 1
X ti
) = (t
ti ) = b a
Do tnh c lp ca X ti +1 X ti ( i = 0,1,, n 1 )
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n 1 D X ti + 1 X ti i=0
n 1 = D X ti + 1 X ti i=0
= E X ti + 1 X ti i=0
n 1
E X ti + 1 X ti
n 1
2 2 2 3 ( ti +1 ti ) ( ti +1 t i ) = 2 ( ti +1 ti ) i =0 i=0 n 1
n1
2 max ( t i +1 ti ) ( ti + 1 ti ) = 2 ( b a ) max ( t i +1 ti )
i=0
n 1 Vy : khi max ( t i +1 ti ) 0 th D X ti +1 X ti i =0
) )
T :
E
(X
n 1 i =0
ti + 1
X ti
(b a ) = D
(X
n 1 i =0
ti + 1
X ti
khi max ( t i +1 ti ) 0
n 1 hay E X ti +1 X ti i =0
( b a)
khi lm mn phn hoch
Tnh cht 5:
Cho W(t) l qu trnh Wiener tiu chun, khi qu trnh :

1 K (t ) = t W( ) ; t > 0, t K (0) = 0,
cng s l qu trnh Wiener tiu chun.

Chng minh:
chng minh tnh cht ny ta dng phng php hm c trng Khi t > u ta xt :
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1 1 E exp i ( K ( t ) K ( u ) ) = E exp i tW uW t u
1 1 1 = E exp i W ( t u ) u W W t u t
2 2 2 1 21 u 1 = exp ( t u ) t 2 u t 2
2 = exp - ( t u ) 2 Nh vy K ( t ) K ( u ) c phn phi chun N (0, t -u ).
(1.21)
Tnh c lp ca cc s gia ca qu trnh K(u) , c suy ra t h thc sau:

E ( K (u ) K (0) )( K (t ) K (u ) = E K ( u ) ( K ( t ) K ( u ) ) 1 1 1 = E uW tW uW u t u 1 1 1 = E u W t W u 2 W 2 t u u
= uu =0 T (1.21) v (1.22) ta suy ra K(u) l mt qu trnh Wiener tiu chun.

Tnh cht 6
(1.22)
Cc qu o ca qu trnh Wiener hu ht khng u kh vi, cho d chng lin tc hu chc chn : P { : Wt ( ) l kh vi } = 0

Tnh cht 7 :
Hu chc chn hm W ( t ) khng c bin phn b chn trn bt k khong hu hn no :
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n 1 P : W ( ti +1 ) W ( t i ) > A 1 i =0 A > 0
Tnh cht 8:
W(t) tun theo lut lga lp, ngha l :

W(t) P limsup =1 = 1 t 2t ln lnt P liminf t = 1 = 1 2t ln lnt W(t)
Lut lga lp a phng ca qu trnh Wiener :

W(t) P limsup = 1 = 1 t 0 1 2t ln ln t P liminf t 0 W(t) = 1 = 1 1 2t ln ln t
Tnh cht 9:
W ( t ) l mt Mactingan i vi Ft W
Tnh cht 10 : (c trng Levy ca qu trnh Wiener )

W ( t ) l qu trnh Wiener khi v ch khi :
+ W ( t ) l mt mactingan , W ( 0 ) = 0 hu chc chn. + W ( t ) t l mt mactingan ( i vi Ft W )

2
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1.4.3 QU TRNH WIENER n - CHIU
Mt qu trnh Wiener n - chiu l vect W ( t ) sao cho :

W ( t ) = ( W1 ( t ) , W2 ( t ) ,..., Wn ( t ) )
trong : Wi ( t ) l qu trnh Wiener mt chiu v, vi i j , qu trnh Wi ( t ) v

Wj ( t ) c lp.
Tnh cht 1:
Nu W ( t ) l qu trnh Wiener n - chiu :

E {Wi ( h ) Wj ( t )} = i , j ( h t )
Chng minh :
R rng nu i j khi Wi ( h ) ) v Wj ( t ) c lp v bi vy :
E {Wi ( h ) Wj ( t )} = E {Wi ( h )} E {Wj ( t )} = 0
Hn na, nu i = j ta d dng c tnh cht 1.

Tnh cht 2 :
Vi j = ( j 1 , j 2 ,..., jn ) R n v t j 0 trong j = 1, 2,..., m :

m 1 E exp i j .W ( t j ) = exp j =1 2
j ,k = 1
j . k ( t j tk )
Chng minh :
Theo tnh cht 3 trn , khi s dng tnh c lp ca thnh phn qu trnh Wiener W ( t ) ta c :
m m n E exp i j .W ( t j ) = E exp i jk Wk ( t j ) j=1 j =1 k =1
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n

m E exp i jk .Wk ( t j ) = k =1 j=1 1 m = exp - j k l k ( t j tl ) k =1 2 j ,l = 1
n
1 = exp 2 1 = exp 2
j ,l = 1 k = 1 m

j l
jk
lk ( t j tl )
tl )
j , l =1
(t
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1.5 TCH PHN ITO

1.5.1 NH NGHA
Gi s trn khng gian ( , F , P ) cho h hm tng cc - i s

Ft F , t 0 v qu trnh Wiener W ( t ) , t 0 , W(0) = 0 vi qu o lin tc
tng thch vi h Ft sao cho s gia W ( h ) W ( t ) sau thi im t c lp vi

- i s Ft .
Cho T l mt s khng m , ta xt NT l lp cc hm ngu nhin

f :[ 0, T ] R tha cc iu kin sau :
T
i)
E f (t ) 0
dt <
ii) f( t ) l hm o c iii) ft l tng thch i vi Ft , ngha l f t l Ft o c xy dng khi nim tch phn Ito ca hm ngu nhin thuc lp NT trc ht ta xt cc hm s cp, ngha l hm c dng :
f (t ) =
n 1
k =0
f (tk )
tk , tk +1
(t )
(1.23)
trong : 0 = t0 < t1 < t2 < ... < tn = T l mt phn hoch ca [ 0,T ] , f (tk) l cc bin ngu nhin o c i vi Ft , vi k = 0, 1, 2, , n ;
I l hm ch tiu
Vi cc hm s cp c dng (1.23) ta xc nh tch phn Ito ca hm ngu nhin c bn bi :

T
f (t ) dW(t) =
k=0
f ( tk ) ( W ( t k + 1 ) W ( t ) )
n -1
k
Vi f NT s tn ti dy hm s cp f n (t ) b chn sao cho : 39

ti
lim E
n T n
( f (t ) f (t ))
dt = 0
T ta nh ngha tch phn Ito cho hm ngu nhin thuc lp NT theo h thc sau
T T
f (t ) dW(t) : = lim
n
f n (t ) dW(t)
1.5.2 CC TNH CHT C BN CA TCH PHN ITO Tnh cht 1: ( tuyn tnh )
T T T
( f (t ) + g (t ) ) dW(t) = f (t ) dW(t) + g (t) dW (t) ,

0 0 0
trong :
, : l nhng hng s
Chng minh:
Ta gi s :
f (t ) =
k =0
n 1
f (tk ) t
,t k k +1
(t ) (t )
g (t ) =
k =0
g (tk ) t ,t
n 1
n 1
k k +1
Do nh ngha
T
( f (t ) + g (t ) ) dW (t) =
0
k =0
( f (t ) + g (t ) ) ( W (t
k k
n 1
k
k +1
) W (t k ) )
k =0
f ( t ) ( W ( t ) W ( t ) ) + g (t ) ( W ( t ) W ( t ) )
k
k +1
n 1
k =0
k +1
= f (t ) dW(t) + g (t ) dW(t)
0 0
Tnh cht 2:
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T E f (t ) dW(t) = 0 0
Chng minh:
f ( tk ) v W ( t k+1 ) W ( t k ) c lp vi nhau
Bi vy:
E f ( tk ) W ( tk + 1 ) W ( t k )
Khi theo nh ngha :
T E f (t ) dW (t) = 0
= E { f ( tk ) } E W ( t k +1 ) W ( t k )
1 E { f (tk ) W ( t k +1 ) W (tk ) } k=
n 1
E { f ( t )} E { W ( t ) W ( t ) }
n 1 k =1 k k +1 k
= 0
Tnh cht 3: (ng c Ito )
T T T E f ( t ) dW ( t ) g ( t ) dW ( t ) = E f ( t ) g ( t ) dt 0 0 0
Khi f ( t ) g ( t ) ta s c :
T T 2 E f ( t ) dW ( t ) = E f ( t ) dt 0 0
2
Chng minh:
Do nh ngha
E f ( t ) dW ( t ) g ( t ) dW ( t )
0
0
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n 1 = E f ( t i ) W ( t i +1 ) W ( t i ) g ( tk ) W ( t k +1 ) W ( t k ) i , k = 0
Nu i < k khi do tnh cht c lp Ta c :
E f ( ti ) W ( t i +1 ) W ( t i ) g ( tk ) W ( t k +1 ) W ( t k )
}
}
= E f ( ti ) W ( t i +1 ) W ( t i ) E g ( tk ) W ( t k +1 ) W ( t k ) = 0 Nh vy,
} {
T 2 T n 1 E f (t ) dW(t) g (t) dW(t) = E f ( tk ) g ( tk ) W ( t k +1 ) W ( t k ) 0 k = 0 0
= =
E { f ( t ) g ( t )} E
k =0 k k n 1 k =0 k k
n 1
{ E { f ( t ) g ( t )} E { W ( t
W ( t k +1 ) W ( t k ) tk )
2
k +1
k =0
T
E { f ( tk ) g ( tk )} ( tk +1 tk )
n 1
E { f (t ) g (t )} dt
0
Tnh cht 4 :
T
f (t ) dW(t)
0 T
l hm o c i vi Ft
Chng minh:
Khi
f (t ) d W(t) =
k =0
f (t ) ( W ( t ) W ( t ))
k k +1 k
n 1
V do nh ngha f ( s ) v W ( s ) o c i vi Ft , nn:
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f (t )dW(t)
0
o c i vi Ft
Tnh cht 5
X (T ) = f (t ) dW(t) l mt martingale i vi Ft
0 T
Chng minh :
Vi s < T , do tnh cht 2 , tnh cht 4 v tnh cht s gia c lp Ta c :

E {X ( T ) \ Fs } = X ( s ) + E { X (T ) X ( s ) \ Fs } = X ( s ) + E { X (T ) X ( s )} = X ( s )
Tnh cht 6 :
Vi 0 s < u T
T
f (t )dW =
t
f (t )dWt + f (t ) dWt
u
Tnh cht 7:
T
f .I[
0
t1 ,t2 ]
dWt = f . W ( t 2 ) W ( t1 ) .
trong : f l bin ngu nhin ty o c i vi Ft1 ( t1 t2 ) v bnh phng kh tch

1.5.3 TCH PHN ITO NHIU CHIU
Vect ngu nhin

W ( t ) = ( W1t ,...., W n t )
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c gi l qu trnh Wiener n - chiu nu : + Mi thnh phn Wtk (k = 1, 2,...n) l qu trnh Wiener 1 chiu + Cc thnh phn Wtk , k = 1,..., n l nhng qu trnh ngu nhin c lp
Gi s a = aij ( t ) l ma trn m n sao cho mi aij (t ) thuc NT . Khi ta nh ngha :

X = a dW ( t )
0
l ma trn m 1 ( hay vect ct m - chiu ) m thnh phn th i ca n l : X i = aij dWtj ,

j =1 0 n T
i = 1,..., m
1.5.4 VI PHN NGU NHIN CA HM HP, CNG THC ITO
Trong php tnh vi phn thng thng c vi phn ca o hm hp nh sau : Gi s X t l hm kh vi sao cho :
dX ( t ) = a dt
Gi s g (t, x) l hm hai bin kh vi. Khi cng thc tnh vi phn ca hm s hp Y = g ( t , X ( t ) ) dng :
dY ( t ) = g ( t , X ( t ) ) dt + g ( t , X ( t ) ) dX ( t ) t t g g = ( t , X ( t ) ) + ( t , X ( t ) ) a dt x t
Ta xt vi phn ngu nhin Ito , ta c :

Cng thc Ito 1- chiu : nh ngha:
Tch phn ngu nhin Ito hay qu trnh Ito (1chiu ) l qu trnh ngu nhin lin tc X ( t ) trong L2 c dng :
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ti

dX ( t ) = a ( t ) dt + b ( t ) dWt
nu:
X (t ) = X (0) + a ( s ) ds + b( s ) dWs ,0 t T
0 0
trong : a ( t ) v b ( t ) l cc qu trnh ngu nhin tng thch i vi F ( t ) o c sao cho :

T P a ( t ) dt < =1 0 T 2 P b ( t ) dt < =1 0
Cng thc Ito :
Nu X(t) l qu trnh Ito dng : dX ( t ) = a ( t ) dt + b ( t ) dWt v g ( t , x ) l mt hm mt ln kh vi lin tc theo t, hai ln kh vi lin tc theo x. Khi qu trnh ngu nhin Y ( t ) = g ( t , X ( t ) ) c vi phn tnh theo cng thc sau :
dY (t ) = g g 1 2 g t , X (t ) ) .b 2 (t ) dt ( t , X (t ) ) dt + ( t , X (t ) ) dX (t ) + 2 ( t x 2 x
hay c th vit cch khc :

g 1 2 g g dY (t ) = ( t , X (t ) ) + a ( t ) ( t , X (t ) ) + ( t , X (t ) ) .b 2 ( t ) dt x 2 x 2 t
+ b (t )
g ( t , X (t ) ) dW(t) x
Cng thc Ito nhiu chiu :
Gi s {W(t), t [ 0,T ]} l qu trnh Wiener nhiu chiu, tc l, cc thnh phn ca n c lp vi nhau, v mi thnh phn ca n : {Wi (t ), t [ 0, T ]} l mt qu trnh Wiener mt chiu ( i = 1,,n)
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nh ngha:
Tch phn ngu nhin Ito hay qu trnh Ito n - chiu l qu trnh ngu nhin vect lin tc X ( t ) = ( X 1 (t ),..., X n (t ) ) sao cho mi thnh phn ca n l qu trnh Ito:
X i (t ) = X i (0) + ai (t ) dt + bij dWi (t ), 0 t T
0 0 j =1
trong : {ai (t )} , i = 1,..., n v tng thch i vi Ft sao cho :

P
T
{b (t )} , i, j =1,..., n
ij
l cc qu trnh ngu nhin
a (t ) dt < = 1
i 0
T 2 P bij (t ) dt < =1 0
Trong trng hp nh th ta ni X t c vi phn ngu nhin v ta vit :

dX t = Adt + B dWt
Cng thc Ito nhiu chiu:
Cho qu trnh ngu nhin Wiener n - chiu

W(t) = ( Wt1 , Wt2 ,..., Wtn )
V mt qu trnh ngu nhin k - chiu
(t ) = ( 1 (t ), 2 (t ),..., k (t ) )
C vi phn ngu nhin:
dX (t ) = A(t ) dt + B (t ) dW(t)
(1.24)
trong A(t) l hm vect

A(t ) = ( a1 (t ), a 2 (t ),..., a k (t ) )
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i = 1, 2,..., k j =1, 2,..., m
v B (t ) l ma trn cc hm o c bi j (t ) Ta c th vit di dng ta nh sau :
1 1 dX t1 = a1 dt + b1 dWt1 + ... + bm dWtm 2 2 2 2 2 m dX t = a dt + b1 dWt + ... + bm dWt ............................... dX k = a k dt + b k dW k + ... + b k dW m m 1 t t t
Cng thc vi phn Ito m rng c dng :
Vi qu trnh ngu nhin k- chiu , c vi phn ngu nhin (1.21) v Y(t) l hm kh vi lin tc mt ln theo t , hai ln theo xi v xj ng thi cc o hm ring
Y b chn x i
Ta c:
n k Y dY (t ) = i (t ).bij (t ) dWi j + j =1 i =1 x
k n Y 1 k 2Y Y (t ) + i (t )a i (t ) + i j (t ) bli (t )bl j (t ) dt 2 i , j =1 x x i =1 x l =1 t
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CHNG 2 A THC HERMITE V KHAI TRIN FOURIER HERMITE

2.1 A THC HERMITE
Trn trc thc R = ( , + ) vi o Gauss :
(dx) = ( x) dx ,
trong
( x) =
(2.1) .
1 x2 e 2
2.1.1
l :
NH NGHA
Ta nh ngha khng gian cc hm bnh phng kh tch vi o Gauss

+ L ( R, ) = f ( x), f ( x)2 (dx) <
2
Tch v hng trong khng gian ny c xc nh l : < f , g > =

+
f ( x) g ( x) (dx) =
f ( x) g ( x) ( x) dx
Gi s, l bin ngu nhin Gauss chun vi phn phi N ( 0,1) ,khi :

< f , g > = E [f ( ) g( )]
vi E l ton t k vng Ta k hiu khng gian Hilbert trong nh ngha trn l L2 ( R, )
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2.1.2 LIN H GIA A THC TRC GIAO V A THC HERMITE
a thc Hermite c xc nh l:
Pn ( x ) = ( 1)
n
x2 e2
x d n 2 e , n = 0,1, 2... dx n
(2.2)
Pn ( x ) l a thc trc giao i vi o Gauss
n , m N ,
< Pn , Pm > = E Pn ( ) Pm ( ) = n ! ( n, m ) 0 , n m = n! , n = m
Do a thc Hermite chun ha c xc nh :

1 x n Pn ( x) 2 ( 1) n e 2 d 2 ) Hn ( x) = = (n!) n (e dx n!
x2
2
(2.3)
2
{H n ( x ) , n = 0,1,...} l c s trc chun trong khng gian Hilbert L ( R, ) .

Khi H 0 ( x ) =1 , ta c:
E H n ( ) = H n ( x) d ( x) = ( H n ,1) = 0, nu n 0
+
(2.4)
Bi vy a thc Hermite ca bin ngu nhin Gauss chun c k vng bng 0 Cng nh hu ht nhng a thc trc giao, a thc Hermite c hm sinh
z2 + z x ( x, z ) = e 2
(2.5)
Khai trin ( x, z ) thnh chui Taylor ca bin z ( x c xem nh mt tham s) Ta c:
n ( x, z ) ( x, z ) = z n n=0
zn ) z =0 ( n!
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Mt khc,
( x, z ) = e
=e
z2 + zx 2
= e e
n
x2 2
( z x )2
2
x2 2
( 1)
n=0
dn . n ! dx n
x e 2
n z
n=0
Pn ( x ) n z n!
(2.6)
Bi vy h s khai trin Taylor ( x, z ) l a thc Hermite

n ( x, z ) Pn ( x ) = z n
z =0
(2.7)
Hm sinh (2.5) l hm ly tha trong tnh cht ca a thc Hermite

2.1.3 O HM CA A THC HERMITE
o hm 2 v cng thc (2.2) i vi x ta c :

x x dn x d n + 1 x2 2 2 2 P ( x ) = ( 1) x e e e e dx n dx n + 1
2 2 2 2
' n
=> Pn' ( x ) = x Pn ( x ) Pn + 1 ( x )
(2.8)
Mt khc, o hm 2 v (2.6) i vi x ta c :
( x , z ) = z ( x , z ) = x =

n=0
Pn ( x ) n! Pn' ( x ) n!
z n +1 zn
n=0
S chuyn ly ch s tch phn trong
n=0
Pn ( x ) n!
n +1
=
n=0
Pn' ( x ) n!
zn
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n =1
Pn 1 ( x )
Pn' ( x ) n z = z ( n 1)! n n! =0
n
So snh h s z n ta c : Pn' ( x ) = n Pn 1 ( x )
( n 1)
(2.9)
H thc quy ca a thc Hermite :
Ta c th s dng h thc quy o hm php ton Hermite Kt hp cng thc (2.8) v (2.9) trn
Pn' ( x ) = x Pn ( x ) Pn + 1 ( x ) Pn' ( x ) = n Pn 1 ( x )
Ta suy ra c :
x Pn ( x ) Pn + 1 ( x ) = n Pn 1 ( x )
Hay
Pn + 1 ( x ) = x Pn ( x ) n Pn 1 ( x ) , n =1, 2,...,
T cng thc (2.8) ta c :

Pn + 1 ( x ) = x Pn ( x ) Pn' ( x ) , n =1, 2,...
(2.10)
o hm i vi x ta c :
Pn' + 1 ( x ) = Pn ( x ) + x Pn' ( x ) Pn'' ( x ) (n +1) Pn ( x ) = Pn ( x ) + x Pn' ( x ) Pn'' ( x )
hay
Pn'' ( x ) x Pn' ( x ) + n Pn ( x ) = 0
(2.11)
y l php ton a thc Hermite S dng h thc quy (2.10)

Pn + 1 ( x ) = x Pn ( x ) n Pn 1 ( x ) , n =1, 2,...,
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vi P1 ( x ) = 0, P0 ( x ) = 1 Ta c th d dng c cc a thc Hermite l :

P ( x ) = x P0 ( x ) = x.1 = x 1 P2 ( x ) = x P ( x ) P0 ( x ) = x. x 1= x 2 1 1 P3 ( x ) = x P2 ( x ) 2 P ( x ) = x ( x 2 1) 2 x = x3 x 2 x = x3 3 x 1 P4 ( x ) = x P3 ( x ) 3 P2 ( x ) = x ( x3 3 x ) 3 ( x 2 1) = x 4 3 x 2 3 x 2 + 3 = x 4 6 x 2 + 3 P5 ( x ) = x P4 ( x ) 4 P3 ( x ) = x5 10 x3 + 15 x
H thc quy ca a thc Hermite chun:
Ta c :
H n ( x ) = ( n !)
1 2
( 1)
x2 2
dn dx n
x e 2
o hm 2 v ta c :
' H n ( x ) = ( n !) 1 2
x2 d n x2 ( 1) x e 2 n e 2 dx
n
x x d n +1 2 2 e + e dx n + 1
2
' H n ( x ) = x H n ( x ) + H n + 1 ( 1) n + 1
(2.12)
S chuyn ly ch s tch phn v so snh h s zn ta c :

' H n ( x ) = n H n 1 ( x )
(2.13)
Vi a thc Hermite chun, kt hp (2.12) v (2.13) h thc quy tr thnh

x H n ( x ) n + 1 H n + 1 ( x ) = n H n 1 ( x )
n + 1 H n + 1 ( x ) x H n ( x ) + n H n 1 ( x ) = 0
(2.14)
vi H 1 ( x ) = 0,
H 0 ( x ) =1
Vy theo quy tc o hm ta c
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' H n ( x ) = n H n 1 ( x )
2.1.4 CC B CA A THC HERMITE B 1 :
( x ) H n +1 ( x ) =
d ( x ) H n ( x ) , n + 1 dx
(2.15)
trong ( x) l mt Gauss (2.1)

Chng minh :
Do php tch phn v h thc quy (2.14) ta c:

d [ ( x) H n ( x)] = '( x) H n ( x) + ( x) H 'n ( x) dx
Theo cng thc (2.13) : nn :
' H n ( x ) = n H n 1 ( x )
d ( x ) H n ( x ) = x ( x) H n ( x) + n ( x) H n1 ( x) dx = ( x ) x H n ( x ) + n H n 1 ( x ) = do cng thc (2.14) Chia 2 v cho

B 2:
n + 1 , ta c (2.15)
n + 1 ( x) H
n +1
( x)
Vi bt k s nguyn k v l khng m , k hiu k l = min {k , l} Ta c:
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H k ( x) H l ( x) =
trong :
h k l
Z ( k , l , h) H k + l 2 h ( x )
(2.16)
k Z ( k , l , h ) = ( k )( l )( k +lh2h) h h
1/ 2
(2.17)
Chng minh:
T cng thc (2.6) ta c :
( x, z ) ( x, ) =
k =0 l =0
Pk ( x ) Pl ( x ) k l z k !l !
(2.18)
Mt khc:
( x, z ) ( x, ) = e
=e
z2 + zx 2
.e
2
2
+ x
z2 + 2 + ( z + ) x 2
x2 2
= e z e e =
=
( z + x )2
2
h=0
( z )
h!
v=0
Pv ( x ) v!
( z + )
h =0 v =0
Pv ( x) 1 ( z ) h ( z + )v h! v!
h =0 v =0
Pv ( x)
h!
0 u v
1 u u + h v+ hu z v! v
Cho v = u + s khi u v th tng ng s 0 . Cng thc trn c th vit:
( x, z ) ( x, ) =
h = 0 u = 0 s =0
Pu + s ( x ) h !u !s !
z u + h s + h
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k hiu u + h = k , s + h = l Khi u = k h 0, s = l h 0 , ta c h k l Thay i tng trn ta c:

Pu + s ( x ) k l ( x, z ) ( x, ) = z k = 0 l = 0 u + h = k h !u ! s ! s + h=l

k =0 l = 0 h k l
h !( k h )!( l h )! Pk + l 2 h ( x )
Pk + l 2 h ( x )
z k l
Bi vy , ta c:
( x, z ) ( x, ) =
k =0 l =0 hk l
h !( k h )!( l h )!
z k l
(2.19)
So snh cng thc trn vi (2.18) ta c:
Pk ( x ) Pl ( x ) =
m Pn ( x ) = ( n !)
1/ 2
hk l
h!( k h )!( l h )! P
h k l
k !l !
k + l 2h
( x)
(2.20)
H n ( x ) nn :
H k ( x ) Hl ( x ) =
k + l 2h
( x ) Z ( k , l , h) .
B 3:
Gi s Hn(x) l a thc Hermite chun v l bin ngu nhin Gauss chun. Khi : trong : a l hng s ty .
Chng minh:
E [ H n ( + a)] =
an n!
T hm sinh (2.6) ta c:
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( x + a , z) =
Mt khc:
Pn ( x + a) n z n! n=0
z2 + z ( x + a) 2 z2 +xz az 2
( x + a, z ) = e
=e
a i i Pj ( x ) j = z z i =0 i ! j = 0 j ! a i Pn i ( x ) n = z n = 0 i = 0 i ! ( n i )!
So snh 2 cng thc trn ta c:

Pn ( x + a ) n a i Pni ( x) n n! z = i ! (n i)! z n=0 n=0 i =0
Pn ( x + a ) = a
i =0
n! Pn i ( x ) i ! ( n i )!
Ly k vng 2 v :
E [ P( n i ) ( )] => E Pn ( + a ) = i = 0 i ! ( n i )!
= a n E P0 ( ) vi i = n
ai
n!
*** Ch :
E[ Pk( ) ] = k ,0 =
0 khi k 0 1 khi k = 0
Nh vy ,ta c :
E H n ( + p) =
E [ Pn ( + a)] n!
an n!
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2.2 KHAI TRIN FOURIER - HERMITE CA HM BIN NGU NHIN GAUSS

2.2.1 KHAI TRIN FOURIER - HERMITE
Khi a thc Hermite l c s trc giao trong L2 ( R, ) , vi bt k hm

f ( x) L2 ( R, ) tn ti khai trin Fourier - Hermite f ( x ) = f n H n ( x)
n =0
trong
f n = f ( x ) H n ( x ) ( dx )
Mt khc, ta xem f L2 ( R, ) nh mt hm ca bin ngu nhin n v Gauss vi E f 2 ( ) < + . Bi vy hm ngu nhin f ( ) c khai trin Fourier - Hermite :
f ( ) = f n H n ( )
n =0
f n = E f ( ) H n ( )
iu ny nht qun vi khai trin Fourier Hermite (2.21) v rng : E H n ( ) = 0 , vi n > 0 T nh l Parseval, ta c: E[f2( )]=
2
(2.21)
n=0
fn
(2.22)
Thng thng khai trin Fourier - Hermite l cng thc cho hm tt nh trong khng gian u L2(R) vi o Lebesgue. Xc nh hm Hermite l:
n ( x ) = 1/ 2 ( x ) H n ( x )
trong ( x) l phn phi Gauss (2.1)
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Dng hm Hermite { n ( x )} l c s trc chun trong L2(R). Vi bt k hm g ( x ) L2 ( R ) , c khai trin:

g ( x) = g n n ( x)
n
(2.23) (2.24)
f n = g ( x) n ( x) dx
R
Lin quan khai trin (2.21) n (2.24) , vi bt k hm f ( x ) L2 ( R, ) , ta c

F ( x) = f ( x) 2 ( x)
1
Khi khai trin (2.21) l tng ng
F ( x ) = Fn n ( x )
n
Fn = F ( x ) n ( x ) dx
R
2.2.2 TNH CHT
Gi s f ( x ) B k ( R ) , khi h s Fourier - Hermite f n = ( f , H n ) l:

( 1)n n E f ( ) ( ) , n! fn = k ( 1) E f k , n... n k + 1 ( ) ( ) nk
(2.25)
n>k
trong :
E l k vng i vi o Gauss n v .
Chng minh:
Da vo cng thc (2.15) ta c

f n = f ( x )H n ( x ) ( x ) dx
+
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1 d = f ( x) [ H n1 ( x) (dx)] dx n 1 = f '( x) H n1 ( x ) ( x)dx n

do php quy np ta d dng c cng thc (2.25) Khai trin Fourier Hermite (2.21) c th m rng thnh a chiu. Vi ch s hu hn = ( 1 , 2 ,..., d ) vi thnh phn s nguyn khng m, xc nh a thc Hermite nhiu bin bng tch v hng
H ( x ) = H i ( xi )
i =1 d
Khi { H ( x ) } l c s trc giao trong khng gian Hilbert L2 ( R d , d ) , trong d l o Gauss d chiu trn R d . K hiu = (1 , 2 ,..., d ) l vect ngu nhin vi nhng thnh phn c lp. Gi s l hm ca bin ngu nhin vi E q 2 ( ) < khi
q (.) L2 ( R d , d ) v tn ti khai trin Fourier Hermite : q ( ) = q H ( )
vi q = E q ( ) H ( ) Mt khc, ta c :
E q ( ) = q0 , E q 2 ( ) = q
Khai trin ph hp vi khng gian hu hn chiu L2 ( R d , d ) vi d <
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CHNG 3 QU TRNH NGU NHIN DNG HERMITE

T khi nim v qu trnh ngu nhin Wiener kt hp vi cc a thc Hermite ta s xy dng c qu trnh ngu nhin dng Hermite . Chng s tr thnh c s trc giao ca khng gian cc qu trnh ngu nhin. V vy trong chng ny ta tp trung nghin cu v nu c mt s c tnh ca vi ngu nhin i vi qu trnh ngu nhin dng Hermite. V mt l thuyt chng c nhng tnh cht l th v cng c nhiu ng dng quan trng. T a thc Hermite mt bin chng 2 ta m rng a thc Hermite hai bin chng 3. Ta bt u khi nim v qu trnh ngu nhin dng Hermite
3.1 KHI NIM V QU TRNH NGU NHIN DNG HERMITE

3.1.1 NH NGHA
a thc Hermite bc n l a thc xc nh bi :

u2 2t
H n ( u, t )
(t ) =
n!
u2 d n 2 t e , n du
n = 0,1, 2....
(3.1)
3.1.2 CC V D
Theo nh ngha trn, ta c :
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Khi n = 0 : Khi n = 1 : Khi n = 2 : Khi n = 3: Khi n = 4 :
H 0 ( u , t ) =1 H 1 ( u, t ) = u u2 t H 2 ( u, t ) = 2 2
*
u 3 tu H 3 ( u, t ) = 6 2
*
H 4 ( u, t ) =
u 4 tu 2 t 2 + 24 4 8
..
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3.2 TP TRC CHUN Y TRONG L2 ( R ) V L2 ( R n )

Trong phn ny ta xc nh hm Hermite chun suy rng.
3.2.1 NH NGHA
Vi m = 0, 1, 2, v t [ 0, T ] , ta xc nh a thc Hermite suy rng trong

v a (t ) b (t )
bc m l
( v a ( t ) )2 d m ( v a ( t ) )2 exp m exp 2b(t ) 2b(t ) dv
Qm ( v, t ) = ( 1)
(b (t ))
m 2
(3.2)
Cng thc (3.2) c gi l a thc Hermite suy rng vi hai bin (v, t) Theo nh ngha t (3.2) ta s thu c Khi m = 0 : Khi m = 1 :
Q0 ( v, t ) =1 Q1 ( v, t ) = v a (t ) b (t )
2
Khi m = 2:
v a (t ) Q2 ( v, t ) = 1+ b (t )
3.2.2 CC TNH CHT Tnh cht 1:

Q 'm (v, t ) = m Qm1 (v, t ) b(t )
(3.3)
Ch :
Vi m = 0, 1, v t [ 0, T ]
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o hm 2 v biu thc (3.2) theo bin v ta c :

1 v a (t ) Qm+1 (v; t ) = Qm (v; t ) ( b(t ) ) 2 Q 'm (v; t ) b(t )
(3.3)
Vi m = 1,2, v t [ 0, T ] t (3.3) v ( 3.3) Ta c

v a (t ) Qm+1 (v, t ) .Q (v, t ) + mQm1 (v, t ) = 0 b(t ) m
Tnh cht 2:
Vi bt k s nguyn m v k khng m ,
( v - a (t) )2 I = exp Qk (v; t )Qm (v; t )dv 2 b(t ) R k m 0, = k =m k ! 2 b(t ),
(3.4)
Chng minh :
Gi s vi m k Cho
Khi :
( v -a ( t ) )2 k k exp Qk ( v, t ) = ( 1) ( b ( t ) ) 2 k ( v, t ) 2b ( t )
( v - a( t ) )2 (v; t ) = exp 2 b( t )
S dng cng thc trn thay vo cng thc (3.4) ta c :

I ( 1) ( b(t ) ) 2 ( k ) (v, t )Qm (v, t )dv
k R k
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p dng cng thc tnh tch phn tng phn ta c :

k k k 1 I ( 1) ( b(t ) ) 2 ( ) (v; t )Qm (v; t )

(
R
k 1)
' (v; t ) Qm (v; t ) dv
= ( 1)
k +1
' ( b(t ) ) 2 ( k 1) (v; t ) Qm (v; t ) dv
Tip tc cch ny ta c
( I = ( 1) k + m ( b(t ) ) 2 ( k m ) (v; t ) Qmm ) (v, t ) dv
Ta xt 2 trng hp : + Trng hp 1: Nu m < k th I = 0 +Trng hp 2: Nu m = k , s dng cng thc (3.3) trn

I = ( 1)
2k 2 ( v - a (t) ) exp du k 2 b(t ) b(t ) 2
( b(t ) )
R
k 2
k!
( v - a (t) )2 = k ! exp du 2 b(t) R
= k ! 2 b ( t ) Vy tnh cht 2 chng minh xong.

3.2.3 NH NGHA
Vi m = 0,1.. v t [ 0, T ] ta xc nh hm Hermite suy rng bc m l :

( v - a (t) )2 hm (v; t ) = Qm (v; t ) exp 4 b(t )
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V ta xc nh hm Hermite chun suy rng bc m l

K m (v; t ) = m ! 2 b(t )
1 2
hm (v; t )
(3.5)
3.2.4 TNH CHT
Tp hp hm { K m }m=0 xc nh bi (3.16) l tp hp c s trc giao L2 ( R )
Chng minh:
S dng cng thc (3. 5) trn vi mi s nguyn k v m khng m
(v; t ) K m (v; t )dv 2 b(t )
(k!
1 2
hk ( v; t ) m! 2 b(t ) 2 b(t )
1 2
hm ( v ; t ) dv
= k ! 2 b(t ) = k ,m W
) ( m!
1 2
1 2
( v - a (t) )2 Qk (v, t )Qm (v, t )exp - 2b(t ) dv R
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3.3 MT S C TNH CA VI PHN NGU NHIN I VI QU TRNH NGU NHIN DNG HERMITE
3.3.1 NH NGHA
Cho { Wt :t 0 } l qu trnh Wiener tiu chun mt chiu (chuyn ng Brown ), khi ta xc inh cng thc Hermite bi cng thc truy hi sau :
H 0 ( Wt , t ) : =1 H 1 ( Wt , t ) : = Wt Wt2 t 2 2 * W 3 tW H 3 ( Wt , t ) : = t t 6 2 4 * Wt t Wt2 t 2 H 4 ( Wt , t ) : = + 24 4 8 H 2 ( Wt , t ) : =
* * *
---------------------------------------- * * 1 H n ( Wt , t ) : = Wt H n 1 ( Wt , t ) t H n 2 ( Wt , t ) , n
*
n = 2,3...
Hoc ta c th xc nh cch khc bi cng thc truy hi sau :

H n ( Wt , t ) : =
*
( t )
x2 exp n! 2t
dn n dx
x 2 exp - 2t
x = Wt
Vy
H n ( Wt , t ) , n N
l qu trnh ngu nhin v ta gi chng l qu trnh
ngu nhin dng Hermite.
66
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3.3.2 NH L
Cho H n = H n ( Wt , t ) l qu trnh ngu nhin dng Hermite. Khi vi m nguyn v ln hn 1 ta s c vi phn ngu nhin
* m 1 * m ( m 1) * m 2 * 2 * m d H n =mH n d H n + H n H n 1 dt 2
(3.6)
chng minh nh l trn ta cn chng minh b sau

3.3.3 B :
i vi qu trnh ngu nhin dng Hermite ta s c

d H n ( Wt , t ) = H n 1 ( Wt , t ) dWt
* *
(3.7)
Chng minh:
Trc ht ta nhn xt :
u2 exp 2t dn n d dn 2t = n exp u 2 d =0 = ( t )
n
( u - t )2 exp 2t
= 0
u 2 dn exp - du n 2t
suy ra :
dn d n
n u2 u2 2t n d = exp exp u exp ( t ) 2 du n 2t 2t =0
(***)
M theo (3.1)
H n ( u, t )
*
( t ) =
u2 d n u2 exp n exp - n! 2t du 2t
n * u2 u2 n d => exp ( t ) exp - = n ! H n ( u , t ) du n 2t 2t
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Thay vo (***) ta c :
* dn 2t = n ! H n ( u, t ) exp u 2 dn =0
2t Vy theo khai trin Taylor i vi hm exp u ti = 0 ta s c : 2 2t exp u = 2
H ( u, t )
n n=0
Mt khc , nu ta p dng cng thc It cho hm
t = exp Wt

2t
= 2
H n ( Wt , t ). n
n=0
(3.8)
Ta s c t li l nghim ca phng trnh vi phn ngu nhin

dt = t dWt ( 0 ) =1 t =1 + s dWs
0
t
T , ta c:
n H n =1+ n H n dWs =1+ n H n 1 dWs

n=0
(3.9)
0 n =0
n =1
H n ( Wt , t ) = H n 1 ( Ws , s ) dWs
0
Vy
d H n ( Wt , t ) = H n 1 ( Wt , t ) dWt
Vy b chng minh xong.
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ti
* Chng minh nh l 3.3.2 p dng cng thc It cho hm Y ( X t , t ) = X tm vi m nguyn , ln hn 1 v

X t H n ( Wt , t )
*
T cng thc Ito

Y Y 1 2Y dY (t ) = t , X (t ) ) .b 2 (t )dt ( t , X (t ) ) dt + ( t , X (t ) ) dX (t ) + 2 ( t x 2 x
V (3.7) ta suy ra c (3.6) Vy nh l 3.3.2 chng minh xong.

V d :
Vi m = 2 t cng thc (3.6) ta c :

* * * 2 * 2 d H n = 2 H n d H n + H n 1 dt
(3.10)
Ch :
Cng thc (3.8) cn c th thu c t nhn xt sau: Gi s X 1 v X 2 c vi phn ngu nhin tng ng l: dX 1 = a1dt + b1dWt dX 2 = a2 dt + b2 dWt Khi :
d ( X 1 . X 2 ) = X 1dX 2 + X 2 dX 1 + b1b2 dt
Vi X 1 X 2 H n ( Wt , t ) S dng cng thc (3.7) ta c c cng thc (3.10)

3.3.4 H QU:
Cho H n ( Wt , t ) l cc qu trnh ngu nhin dng Hermite, ta s c :
69
ti
*
n
H (W ,t ) = e
n=0
t 2
exp ( Wt )
(3.11)
Tht vy khi s dng cng thc (3.8) vi = 1 ta s c c (3.11)

3.3.5 CC TNH CHT CA QU TRNH DNG HERMITE
*
Cho H n ( Wt , t ) , n =1, 2,3..., t 0 l cc qu trnh ngu nhin dng Hermite , ta s c:
a) E H n ( Wt , t ) = 0 .
t * 2 tn *2 b) E H n ( Wt , t ) = E H n 1 ( Ws , s ) ds = . 0 n!
* t * c) E H n ( Ws , s ) H n 1 ( Ws , s ) dWs = 0 . 0
(3.12)
(3.13)
(3.14) (3.15)
d) d H n + 1 ( Wt , t ) = H n ( Wt , t ) dWt .
t * t * * * t E H n ( Ws , s ) dWs H m ( Ws , s ) dWs = E H n1 ( Ws , s ) H m1 ( Ws , s ) ds = 0, 0 e) 0 0
n, m N , n m
(3.16)
Chng minh:
Chng minh tnh cht (a) v (b)
Ta c :
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ti
H n ( Wt , t ) L2 ( 0, t )
*

n =1, 2,3,...; t > 0
v t (3.7) ta c :
H n ( Wt , t ) = H n 1 ( Ws , s ) dWS
0 * * t *
(3.17)
Ta chng minh (a) v (b) i vi cc hm bc nhy, H n 1 ( Ws , s ) v gi s rng H n 1 ( Ws , s ) = H n 1

* * (k )
khi sk s sk + 1 ; H n 1 l
* (k )
F ( sk ) - o c v
F ( sk ) c lp vi - trng sinh bi chuyn ng Brown trong tng lai sau
thi im sk a) Ly k vng 2 v (3.17)

* t * E H n ( Wt , t ) = E H n 1 ( Ws , s ) dWS 0
* (k ) = E H n 1 W ( s k +1 ) W ( s k ) k =0
n 1
=
* (k )
* (k ) E H n1 k =0
n 1
E W ( s k +1 ) W ( s k ) = 0
do H n 1 v W ( s k +1 ) W ( s k ) c lp vi nhau Vy E H n ( Wt , t ) = 0 b) =>
2 t * n 1 ( (j E H n 1 dWS = E H nk)1 H n )1 W ( s k +1 ) W ( s k ) W ( s j +1 ) W ( s j ) 0 k, j =0
)(
)}
Vi j < k
71
ti

* (k ) *
khi W ( s k +1 ) W ( s k ) c lp vi H n 1 H n 1 W ( s j+1 ) W ( s j ) Ta c :
* (k ) * ( j) E H n 1 H n 1 W ( s k +1 ) W ( s k ) W ( s j+1 ) W ( s j ) = (k ) * ( j) * E H n 1 H n 1 W ( s j +1 ) W ( s j ) E W ( s k +1 ) W ( s k ) = 0
( j)
( (
)(
) (
(do E W ( s k +1 ) W ( s k ) = 0 ) Do :
2 t * E H n 1dWs = 0
* ( k ) 2 2 E H n 1 W ( s k +1 ) W ( s k ) 0 k= * ( k ) 2 n 1 2 = E H n 1 E W ( s k +1 ) W ( s k ) k =0
n 1
* ( k ) 2 = E H n 1 ( s k +1 s k ) k =0 t * 2 = E H n 1 dt 0
n 1
Vy
t * 2 *2 E H n ( Wt , t ) = E H n 1 ( Ws , s ) ds 0
Chng minh (c )
t t * 2
T h thc (3.10) ta c :
H
2 n
( W t ) = 2 H ( W , s ) H ( W , s ) dW + H ( W , s ) ds
t, n s n 1 s s n 1 s 0 0
Ly k vng 2 v
72
ti
* t * t * 2 *2 => E H n ( Wt, t ) = 2 E H n ( Ws , s ) H n 1 ( Ws , s ) dWs + E H n 1 ( Ws , s ) ds 0 0
Theo tnh cht (b)

*2 t * E H n ( Wt , t ) = E H n21 ( Ws , s ) ds 0
nn
* t * 2 t * t * 2 E H n 1 ( Ws , s ) ds = 2 E H n ( Ws , s ) H n 1 ( Ws , s ) dWs + E H n 1 ( Ws , s ) ds 0 0 0
Vy
H n ( Ws , s ) H n 1 ( Ws , s ) dWs = 0
Vy tnh cht (c) chng minh xong Chng minh tnh cht (d) : ng thc (3.15) chnh l ng thc (3.7) m ta chng minh Chng minh tnh cht (e) : da vo tnh ng c Ito ca tch phn ngu nhin.
73
ti
KT LUN
Khai trin trc giao ca hm ngu nhin c nhiu vn hp dn, th v cng nh nhng ng dng thc t ca chng trong cuc sng ca chng ta. Ti rt mun nghin cu thm v a ng dng thc t ca chng vo lun vn ny c c nhng kt qu tt p v mt l thuyt cng nh ng dng vo thc tin. Khi nghin cu v nhng vn v lun vn chng ta nu c mi lin h gia a thc Hermite, qu trnh ngu nhin dng Hermite, a thc Hermite suy rng bc m v mt s c tnh vi phn ngu nhin i vi qu trnh ngu nhin dng Hermite. Hng pht trin tip theo s nghin cu su v h s Fourier Hermite suy rng v hm Fourier Hermite suy rng. Khi c c tp trc chun y trong L2 ( Ca ,b [ 0, T ]) . Ngoi ra cng c th nghin cu tip php bin i khng gian hm Fourier Wiener suy rng.
74
ti
TI LIU THAM KHO

TING VIT
[1] A .D. VENTXEL
Gio Trnh L Thuyt Qu Trnh Ngu Nhin NXB Mir Maxcova, 1987 ( Bn dch t ting Nga sang ting Vit ca Nguyn Vit Ph v Nguyn Duy Tin)
[2] DNG TN M
Qu Trnh Ngu Nhin Phn M u NXB i Hc Quc Gia Thnh Ph H Ch Minh, 2006
[3] DNG TN M
Qu Trnh Ngu Nhin Phn I : Tch Phn v Phng Trnh Vi Phn Ngu Nhin NXB i Hc Quc Gia Thnh Ph H Ch Minh, 2007
[4] INH VN GNG
L Thuyt Xc Sut V Thng K NXB Gio Dc, 2000

[5] NGUYN BC VN
Xc Sut V X L S Liu Thng K NXB Gio Dc, 2000
75
ti
[6]
NGUYN DUY TIN, NG HNG THNG
Cc M Hnh Xc Sut V ng Dng Phn I : - Xch Markov V ng Dng Phn II: - Qu Trnh Dng V ng Dng Phn III: - Gii Tch Ngu Nhin NXB i Hc Quc Gia H Ni, 2000 2001
[7] NGUYN DUY TIN, NGUYN VIT PH
C S L Thuyt Xc Sut NXB i Hc V Trung Hc Chuyn Nghip H Ni, 1983

[8] NGUYN DUY TIN, NGUYN VIT PH
L Thuyt Xc Sut NXB Gio Dc H Ni, 2000

[9] NGUYN H QUNH
Chui Thi Gian : Phn Tch V Nhn Dng NXB Khoa Hc V K Thut H Ni, 2004
[10] TRN HNG THAO
Tch Phn Ngu Nhin V Phng Trnh Vi Phn Ngu Nhin NXB Khoa Hc K Thut H Ni, 2000
76
ti
TING ANH
[1] A. J. CHORIN
Hermite Expansion In Monte Carlo Simulations J. Comput Phys, 8 : 472 482, 1971
[2] BERNT OKSENDAL
Stochastic Differential Equation An Introduction With Application 6th edition, Springer, 2005
[3] DEBNATH. L AND MIKUSINSKI
Introduction To Hilbert Spaces With Application Academic Press ,1990

[4] F. H. MALTZ AND D . L . HITZL
Variance Reduction In Monte Carls Computations Using Multi Dimensional Hermite Polynimals. J. Comput Phys, 32 : 345 376, 1979
[5] R . H. CAMERON
The Orthogonal Development Of Non Linear Functionals In Series Of Fourier Hermite Functionals. Ann Of Math, 48 (1947), 385 392,
[6] R . H. CAMERON
Some Examples Of Fourier Wiener Transforms Of Analytic Functionals. Duke Math. J. 12 (1945), 485 488
77
ti
[7]
R . H . CAMERON AND W. T. MARTIN
Fourier Wiener Transforms Of Analytic Functionals Duke Math. J. 12 (1945), 489 507
[8] SEUNG JUN CHANG AND HYUN SOO CHUNG
Generalized Fourier Wiener Function Space Transforms J. Korean Math. Soc. 46 (2009), No 2, 327 345
[9] WUAN LUO
Wiener Chaos Expansion And Numerical Solutions Of Stochastic Partial Differential Equations Californial Institute Of Technology Pasadena , California Defended May 2, 2006
78

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Khai trin trc giao ca hm ngu nhin

2 Lun vn thc s ton hc Trn Th Vn Anh

Khai trin trc giao ca hm ngu nhin

3 Lun vn thc s ton hc Trn Th Vn Anh

Khai trin trc giao ca hm ngu nhin

Li cm n . Li ni u . Mc lc ... CHNG I MT S KIN THC C BN.

4 Lun vn thc s ton hc Trn Th Vn Anh

A THC HERMITE V KHAI TRIN FOURIER HERMITE

5 Lun vn thc s ton hc Trn Th Vn Anh

6 Lun vn thc s ton hc Trn Th Vn Anh

Khai trin trc giao ca hm ngu nhin

CHNG 1 MT S KIN THC C BN

7 Lun vn thc s ton hc Trn Th Vn Anh

Khai trin trc giao ca hm ngu nhin

Khai trin trc giao ca hm ngu nhin

xy dng tnh y ca L2 l khng gian Hilbert ta cn phi xy dng tnh y ca L2 ngha l nu X m X n

L ngu nhin X trn (, F , P ) sao cho X n X .

X j X j 1 , khi theo bt ng thc Cauchy Schward, ta c :

1.1.5 NH L (nh l v php chiu trong khng gian Hilbert)

Khai trin trc giao ca hm ngu nhin

b) x ' A v x x ' = inf x y

x c gi l chiu (trc giao) ca x ln A, vit l x ' : = PA x nh l ny c gi l nh l v php chiu trc giao.

Khai trin trc giao ca hm ngu nhin

T theo tiu chun Cauchy, x' H sao cho yn x ' 0 v v A ng nn

chng minh tnh duy nht ca x ta gi s c y ' A sao cho:

khi dng tnh cht hnh bnh hnh ta c :

x' + y' x = 4 2 4 d + 4d = 0 y' = x'

b) Nu x ' A v ( x x ') A th x l phn t duy nht ca A c nh ngha trong a) v vi bt k y A c :

= x x ' + x ' y, x x ' + x ' y

Khai trin trc giao ca hm ngu nhin

vi x gn x hn x, vi y l phn t bt k ca A sao cho:

+ 2 < x x ' , x ' x '' >

1.1.6 TNH CHT CA PHP CHIU

trong I l php ng nht. iii)

iv) v) vi) vii)

1.1.7 PHP XP X TUYN TNH TRONG L2

Khai trin trc giao ca hm ngu nhin

Ly o hm ring ca M ln lt i vi 1 , 2 , dn n h phng trnh cho nghim ti u 1 , 2

< Y 1 X 1 2 X 2 , X 1 > = 0 < Y 1 X 1 2 X 2 , X 2 > = 0

p dng tnh cht ca tch v hng nh ngha trn ta suy ra (1.4).

Khai trin trc giao ca hm ngu nhin

Cho khng gian Hilbert L2 , mt tp con ng A L2 v mt phn t

mt phn t X ' A sao cho:

Phng trnh (1.5 ) gi l phng trnh d on v phn t X ' : = PA X chiu ca X trong A.

on tt nht ca X trong A. Hay ta c th ni d on tt nht ca X trong A l

1.1.9 K VNG C IU KIN V D ON TT NHT TRONG L2

Mt s tnh cht ca s hi t theo ngha bnh phng trung bnh

L EX n = < X n ,1 > < X ,1 > = EX

L ii) E X n = < X n , X n > X , X > = E X <

L iii) E ( X n , Yn ) = < X n , Yn > < X , Y > = E < X , Y >

nh ngha 1: ( D on bnh phng trung bnh tt nht ca Y)

nh ngha 2: ( K vng c iu kin E A X )

Khai trin trc giao ca hm ngu nhin

Nu A l mt khng gian con ng trong L2 v cha cc hm hng, nu

Mt khc, v ton t E A X l ton t chiu trn L2 nn E A c cc tnh cht php chiu :

1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8

Khai trin trc giao ca hm ngu nhin

1.2 KHAI TRIN CHNH TC CA QU TRNH NGU NHIN

Hm ngu nhin c bn l hm c dng :

( t ) l hm khng ngu nhin ca bin s t T

* Nu EC = 0 th E ( t ) = 0 * Khi xt cc hm ngu nhin c bn c k vng bng khng , ta k hiu l ( t )

Hm t tng quan ca hm ngu nhin c bn ( t ) :

i vi cc hm ngu nhin c bn, ta c cc php bin i tuyn tnh