Chuong 2

Chng 2.
Qu trnh dng

ng Hng Thng
Qu trnh ngu nhin v tnh ton ngu nhin
NXB i hc quc gia H Ni 2007
Tr 64 -142.

T kho: Qu trnh dng, Hm t tng quan, do ph, mt ph, Biu din
ph, Ting n trng, Trung bnh trt tch phn.

Ti liu trong Th vin in t H Khoa hc T nhin c th s dng cho mc
ch hc tp v nghin cu c nhn. Nghim cm mi hnh thc sao chp, in n
phc v cc mc ch khc nu khng c s chp thun ca nh xut bn v
tc gi.

Chng 2
Qu trnh dng
2.1 Qu trnh dng thi gian ri rc . . . . . . . . . 65
2.1.1 Hm t tng quan . . . . . . . . . . . . . . . . . 65
2.1.2 Mt s dy dng quan trng . . . . . . . . . . . . 71
2.1.3 o ph v mt ph . . . . . . . . . . . . . . 86
2.1.4 Biu din ph . . . . . . . . . . . . . . . . . . . . . 95
2.1.5 Bi ton d bo . . . . . . . . . . . . . . . . . . . 107
2.1.6 Tnh cht ergodich . . . . . . . . . . . . . . . . . . 111
2.2 Qu trnh dng thi gian lin tc . . . . . . . . . 119
2.2.1 Hm t tng quan, o ph, biu din ph . . . 119
2.2.2 Ting n trng, trung bnh trt tch phn . . . . 124
2.2.3 Phng trnh vi phn, d bo v tnh ergodic . . . 130
2.3 Bi tp . . . . . . . . . . . . . . . . . . . . . . . . . 139
Trong chng 1 ta nghin cu s tin trin theo thi gian ca mt h
thng vt l m tng lai ch ph thuc vo hin ti v c lp vi qu kh.
2.1. Qu trnh dng thi gian ri rc 65
Tuy nhin trong thc t c bit l trong cc lnh vc kinh t, th trng
chng khon, c hc thng k, kh tng thu vn... ta thng gp cc h
ngu nhin m trong qu trnh pht trin tng lai khng ch ph thuc vo
hin ti m cn ph thuc c vo qu kh na. Khi d bo cho tng lai ca
mt qu trnh nh vy chng ta khng ch quan tm ti hin ti m cn phi
quan tm ti qu kh ca h na. M hnh xc sut m ta qu trnh nh
vy gi l qu trnh dng. Ngy nay qu trnh dng tr thnh mt trong
nhng lnh vc quan trng v c nhiu ng dng cu L thuyt xc sut.
Chng ny c chia lm hai phn. Phn th nht trnh by qu trnh
dng vi thi gian ri rc. Phn th hai trnh by cc kt qu tng ng
cho trng hp qu trnh dng vi thi gian lin tc. Tuy nhin do khun
kh cun sch trong phn B chng ti tp trung vo vic gii thiu cc khi
nim, nh ngha. Cc nh l c nu ra v gii thch ngha, nu v d
minh ho ch khng chng minh chi tit.
2.1 Qu trnh dng thi gian ri rc
2.1.1 Hm t tng quan
Cho dy (X
n
) cc LNN vi tp ch s n Z=0, 1, 2, .... Khi ta ni
(X
n
) l mt qu trnh ngu nhin vi thi gian ri rc. K hiu
m(k) = EX
k
, r(k, h) = cov(X
k
, X
h
) = E(X
k
m(k))(X
h
m(h)).
Ta gi m(k) l hm trung bnh cn r(k, h) l hm t tng quan ca dy.
nh ngha 2.1. (X
n
) c gi l mt qu trnh dng (cn gi l dy dng
hoc chui thi gian) nu hm trung bnh l mt hng s v hm tng quan
r(k, h) ch ph thuc vo hiu [k h[.
Nh vy nu (X
n
) l mt qu trnh dng th tn ti hm K(h) xc nh
trn tp s nguyn Z sao cho vi mi n Z
K(h) = cov(X
n+h
, X
n
).
66 Chng 2. Qu trnh dng
Hm K(n) gi l hm t tng quan (autocovariance function) ca dy (X
n
).
Ta c
DX
n
= cov(X
n
, X
n
) = K(0).
nh l 2.1. Hm t tng quan K(n) c cc tnh cht sau
1. K(n) l mt hm chn K(n) = K(n).
2. [K(n)[ K(0), n Z .
3. K(n) l mt hm xc nh khng m trn Z tc l vi mi s nguyn
dng n, vi mi s thc hay phc a
1
, a
2
, ..., a
n
ta c
n
i=1
n
j=1
a
i
a
j
K(i j) 0 .
Chng minh.
1. Hin nhin do nh ngha.
2. Ta c theo bt ng thc Cauchy-Schwartz
[K(n)[
2
= [E(X
n
m)(X
0
m)[
2
(DX
n
)(DX
0
) = [K(0)[
2
.
3.
0 D
_
n
i=1
a
i
X
i
_
= Cov
_
n
i=1
a
i
X
i
,
n
i=1
a
j
X
j
_
=
=
n
i=1
n
j=1
b
i
b
j
Cov[X
i
, X
j
] =
n
i=1
n
j=1
a
i
a
j
K(i j).
Ngc li ta c kt qu sau (cng nhn khng chng minh):
nh l 2.2. Nu K(n) l mt hm chn xc nh khng m trn Z th tn
ti mt qu trnh dng Gaussian (X
n
) nhn K(n) lm hm t tng quan.
V d 2.1. Cho W
n
l dy cc LNN khng tng quan vi EW
n
=
0, EW
n
W
m
=
mn
v DW
n
=
2
. Ta c
r(k +n, k) = EW
k+n
W
k
= 0 nu n ,= 0.
Do W
n
l mt qu trnh dng vi hm t tng quan
K(h) =
_
_
_
2
nu h = 0
0 nu h ,= 0
.
Ta gi W
n
l dy n trng vi tham s .
V d 2.2. Xt dy (X
n
) xc nh nh sau
X
n
= W
n
+rW
n1
trong r l hng s thc. Ta c
r(n +h, h) = cov(X
n+h
, X
h
)
= E[(W
n+h
+rW
n+h1
)(W
n
+rW
n1
)]
= EW
n+h
W
n
+rEW
n+h
W
n1
+rEW
n+h1
W
n
+
+r
2
EW
n+h1
W
n1
.
Do nu h = 0 th r(n, n) =
2
(1+r
2
). Vi h = 1 th r(n+1, n) = rDX
n
=
r
2
vi h = 1 th r(n1, n) = rDX
n
= r
2
v r(n+h, n) = 0 nu h ,= 1.
Thnh th (X
n
) l mt qu trnh dng vi hm t tng quan l
K(h) =
_
2
(1 +r
2
) nu h = 0
2
r nu h = 1
0 nu [h[ > 1
chng minh mt hm l xc nh khng m ta thng chng minh
bng cch chng t rng n l hm t tng quan ca mt qu trnh dng
no .
V d 2.3. a. Chng minh rng hm K(h) =
2
cos h l hm xc nh
khng m, l mt s thc, l mt s dng cho trc.
b. Tng qut hn cho trc cc s thc
1
, ...,
n
v cc s dng
1
, ...,
n
.
Chng t rng hm
T(h) =
n
k=1
2
k
cos
k
h
l hm xc nh khng m.
Gii:
a. Tht vy gi s U v V l hai LNN khng tng quan EU = EV =
0, EU
2
= EV
2
=
2
. Xt dy (X
n
) xc nh bi
X
n
= U cos n +V sinn.
Ta c m
n
= cos nEU + sin nEV = 0 .
r(k, h) = EX
k
X
h
= E [(U cos k +V sink)(U cos h +V sink)]
= E[U
2
cos k cos h +V
2
sink sinh
+UV cos k sinh +UV sink cos h]
=
2
(cos k cos h + sink sinh)
=
2
cos (h k) = K(h k).
Vy (X
n
) l mt qu trnh dng vi hm t tong quan K(h) =
2
cos h.
b. Tip theo, gi s U
1
, U
2
, ..., U
m
v V
1
, V
2
, ..., V
m
l cc LNN vi EU
k
=
EV
k
= 0 , EU
2
k
= EV
2
k
=
2
k
, EU
i
U
k
= 0 (i ,= k) EV
i
V
k
= 0 (i ,=
k) EU
i
V
j
= 0,
1
, ...,
m
R . Xt dy (X
n
) xc nh bi
X
n
=
m
k=1
(U
k
cos
k
n +V
k
sin
k
n).
Tnh ton tng t nh trn ta c (X
n
) l qu trnh dng vi hm t tng
quan
T(h) =
m
i=1
2
i
cos
i
h.
V d 2.4. Chng ta s chng minh rng hm sau y
K(h) =
_
_
1 nu h = 0
nu h = 1
0 nu [h[ > 1
l hm xc nh khng m nu v ch nu [[ 1/2. Tht vy gi s [[ 1/2.
Theo v d 2.2 trn ta ch cn chng t rng tn ti cc s , r sao cho
2
(1 +r
2
) = 1
2
r =
c nghim. Qu vy, t hai phng trnh trn suy ra
(1 +r
2
) =
r
.
T
r =
1
1 4
2
2
,
2
=
1
1 +r
2
.
o li nu > 1/2 xt cc s a
1
= 1, a
2
= 1, a
3
= 1, ..., a
n
= (1)
n1
.
Khi
n
i=1
n
j=1
a
i
a
j
K(i j) =
n
i=1
a
2
i
+ 2
n1
i=1
a
i
a
i+1
= n 2(n 1) < 0
nu chn n > 2/(21). Vy K(h) khng l hm xc nh khng m. Tng
t nu < 1/2 ta xt cc s a
1
= a
2
= = a
n
= 1 ta thu c
n
i=1
n
j=1
a
i
a
j
K(i j) = n + 2(n 1) < 0
nu n > 2/(2 1).
V d 2.5. (Dy t hi quy cp 1 hay dy AR(1).) Gi s (X
n
) l mt qu
trnh dng tho mn phng trnh sai phn sau y
X
n
= pX
n1
+W
n
trong p l mt hng s [p[ < 1 v EW
n
X
m
= 0 nu m < n. Dy vi tnh
cht ny c gi l qu trnh t hi quy cp 1 hay qu trnh AR(1) (Sau ny
ta s chng minh c tn ti mt qu trnh dng c cc tnh cht nu trn).
Ta hy tm biu thc hm tng quan ca dy AR(1). R rng EX
n
= 0 .
Thnh th vi h > 0
K(h) = EX
nh
X
n
= EX
nh
(pX
n1
+W
n
) =
pEX
n1
X
nh
+EX
nh
W
n
= pK(h 1).
Suy ra
K(h) = p
h
K(0).
Li c
K(0) = EX
n
X
n
= EX
n
(pX
n1
+W
n
)
= pK(1) +E(W
n
X
n
) = pK(1) +pE(W
n
X
n1
) +EW
2
n
= pK(1) +
2
= p
2
K(0) +
2
.
Suy ra
K(0) =

2
1 p
2
.
Tm li
K(h) =
p
|h|
2
1 p
2
.
V d 2.6. (Du ng ngu nhin.) Cho (X
n
) l dy cc LNN c lp cng
phn b vi k vng 0 v phng sai l
2
. Xt dy S
n
cho bi
S
n
= 0 nu n 0, S
n
= X
1
+X
2
+ +X
n
.
Ta c vi h > 0
r(n +h, n) = ES
n+h
S
n
= E(S
n
+X
n+1
+ X
n+h
)S
n
= DS
n
= n
2
ph thuc vo n. Vy S
n
khng phi l qu trnh dng.
Nu (X
n
) l mt qu trnh dng th t nh ngha ta suy ra vi mi s
nguyn h, n vc t (X
1
, ..., X
n
) v vc t (X
1+h
,...,X
n+h
) c cng gi tr trung
bnh v c cng ma trn tng quan. Tuy nhin cha chc chng c cng
phn b. Mt qu trnh dng mnh l qu trnh m hai vector trn khng
ch c cng gi tr trung bnh v ma trn tng quan m c cng lut phn
b. Ta c nh ngha sau:
nh ngha 2.2. Dy (X
n
) c gi l mt qu trnh dng mnh nu mi
s nguyn h, n hai vector ngu nhin (X
1
, ..., X
n
) v vector (X
1+h
, ..., X
n+h
)
c cng phn b.
R rng mt qu trnh dng mnh vi EX
2
n
< n s l mt qu
trnh dng. Ngc li, c v d chng t rng mt dy khng nht thit l
qu trnh dng mnh. Tuy nhin nh bit nu hai vector ngu nhin c
phn b Gauss m c cng vector trung bnh v ma trn tng quan th s
c phn b nh nhau. Thnh th mt dy dng Gauss cng l mt dy dng
mnh.
Nu (X
n
) l mt dy cc LNN c lp c cng phn b th hin nhin
y l mt dy dng mnh. Nh vy c th xem khi nim dy dng l s
m rng ca khi nim dy cc LNN c lp cng phn b.
2.1.2 Mt s dy dng quan trng
Ta cn mt s kin thc chun b.
K hiu L
2
(, T, P) l khng gian Hilbert cc LNN X sao cho E[X[
2
<
. Tch v hng trong L
2
(, T, P)
< X, Y >= E(XY ) =
_
X()Y ()dP.
S hi t trong L
2
(, T, P) c gi l s hi t bnh phng trung bnh
(bptb). Nh vy dy (X
n
) hi t bnh phng trung bnh ti X khi v ch
khi
lim
n
E(X
n
X)
2
= 0
v ta vit
lim
n
X
n
= X trong L
2
hay
L
2
lim
n
X
n
= X.
Ta ni chui S =
n=1
X
n
hi t bptb ti S nu dy tng ring S
n
=
n
k=1
X
k
hi t bptb ti S. Ta c cc tnh cht c bn sau y ca s hi t bptb.
nh l 2.3.
1. iu kin cn v dy (X
n
) hi t bptb l
lim
m,n
E[X
n
X
m
[
2
= 0
hoc tn ti
lim
m,n
EX
n
X
m
. (2.1)
2. Nu
lim
n
X
n
= X , lim
n
Y
n
= Y trong L
2
th
(i) lim
n
EX
n
= EX.
(ii) lim
n
EX
2
n
= EX
2
.
(iii) lim
n
lim
n
EX
n
Y
n
= EXY .
(iv) lim
n
cov(X
n
, Y
n
) = cov(X, Y ).
Chng minh.
1. Do tiu chun Cauchy trong khng gian Hilbert L
2
(, T, P).
2. Nu tn ti gii hn trong (2.1) bng c th
lim
m,n
E[X
n
X
m
[
2
= lim
n
EX
n
X
n
2 lim
m,n
EX
n
X
m
+ lim
m
EX
m
X
m
= c 2c +c = 0.
o li nu X
n
X trong L
2
th do tnh lin tc ca tch v hng
suy ra
lim
m,n
EX
n
X
m
= lim
m,n
< X
n
, X
m
>=< X, X > .
Theo bt ng thc Cauchy-Schwartz
lim
n
[EX
n
EX[ lim
n
_
E[X
n
X[
2
= 0
Li c v cov(X
n
, Y
n
) =< X
n
.Y
n
> (EX
n
)(EY
n
)nn
lim
n
cov(X
n
, Y
n
) =< X, Y > (EX)(EY )
= cov(X, Y ).
nh l 2.4. Gi s W
n
l mt dy n trng vi tham s
2
v (h
i
), i Z
l dy s tho mn
iZ
[h
i
[
2
< .
Khi chui
X
n
=
iZ
h
i
W
ni
hi t bptb v dy (X
n
) l mt qu trnh dng vi hm t tng quan
K(h) =
2
iZ
h
i
h
i+h
.
Chng minh. t S
n
=
|i|n
h
i
W
ni
Khi
S
n
S
m
=
m<|i|n
h
i
W
ni
.
S dng tnh cht EW
i
W
j
= 0, (i ,= j) suy ra
E[S
n
S
m
[
2
=
m<|i|,|j|n
h
i
h
j
EW
i
W
j
=
2
(
m<|i|n
[h
i
[
2
).
Vy chui
X
n
= lim
n
S
n
=
iZ
h
i
W
ni
hi t bptb v
K(h) = lim
n
ES
n+h
S
n
= lim
n
|i|,|j|n
h
i
h
j
EW
ni
W
n+hj
=
iZ,jZ
h
i
h
j
EW
ni
W
n+hj
.
Nhng
EW
ni
W
n+hj
=
_
_
_
2
nu i = j h
0 nu i ,= j h
.
Suy ra
K(h) =
2
iZ
h
i
h
i+h
.
nh ngha 2.3.
1. Qu trnh (X
n
) c biu din di dng
X
n
=
iZ
h
i
W
ni
c gi l mt trung bnh trt hai pha.
2. Qu trnh (X
n
) c biu din di dng
X
n
=
i=0
h
i
W
ni
c gi l mt trung bnh trt (moving average) mt pha. K hiu
l MA().
3. Qu trnh (X
n
) c biu din di dng
X
n
=
q
i=0
h
i
W
ni
c gi l mt trung bnh trt cp q k hiu l MA(q).
Qu trnh (X
n
) trong v d 2.2 l mt trung bnh trt cp 1 MA(1).
V mt qu trnh trung bnh trt mt pha l qu trnh trung bnh trt
hai pha vi h
i
= 0 nu i < 0 nn ta c hm t tng quan ca qu trnh
trung bnh trt mt pha l
K(h) =
2
i=0
h
i
h
i+h
.
Tng t, mt qu trnh MA(q) l qu trnh MA() vi h
i
= 0 vi i > q
do hm t tng quan ca n l
K(h) =
_
_
_
qh
i=0
h
i
h
i+h
nu 0 [h[ q
0 nu [h[ > q
.
Mt qu trnh dng c tnh cht : nu [k h[ > q th X
h
v X
k
khng tng
quan vi nhau c gi l mt qu trnh q-tng quan. Mt qu trnh m
cc s hng ca n i mt khng tng quan ( chng hn nh dy n trng)
l mt qu trnh 0-tng quan. Nh vy mt qu trnh trung bnh trt cp
q l mt qu trnh q-tng quan. iu th v l khng nh ngc li cng
ng
nh l 2.5. Nu (X
n
) l mt qu trnh q-tng quan vi gi tr trung bnh
0 th n l mt qu trnh trung bnh trt cp q.
Mt qu trnh trung bnh trt c th xem nh c to thnh bi mt
php bin i tuyn tnh dy n trng W
n
.Tng qut hn ta c
nh l 2.6. Cho (Y
n
) l mt qu trnh dng vi trung bnh khng v hm
t tng quan K
Y
(h). Cho dy s thc (h
i
) tho mn
iZ
[h
i
[ < .
Khi chui
X
n
=
iZ
h
i
Y
ni
hi t hu chc chn v hi t bptb. Dy (X
n
) l mt qu trnh dng vi
hm t tng quan
K(h) =
iZ
h
i
h
j
K
Y
(h +i j).
Chng minh. Ta c
E[h
i
Y
ni
[ = [h
i
[E[Y
ni
[
[h
i
[
_
K
Y
(0)
Vy th
iZ
E[h
i
Y
ni
[
_
K
Y
(0)
iZ
[h
i
[ <
Suy ra
iZ
[h
i
Y
ni
[ < hu chc chn
Vy chui
X
n
=
iZ
h
i
Y
ni
hi t hu chc chn .
Tip theo, t S
n
=
|i|n
h
i
Y
ni
. Khi
S
n
S
m
=
m<|i|n
h
i
Y
ni
.
Vy th
E[S
n
S
m
[
2
=
m<|i|,|j|n
h
i
h
j
EY
i
Y
j
m<|i|,|j|n
[h
i
[[h
j
[[K
Y
(i j)[
K
Y
(0)
m<|i|,|j|n
[h
i
[[h
j
[
= K
Y
(0)
n<|i|<m
[h
i
[ 0 khi m, n .
Vy chui
X
n
= lim
n
S
n
=
iZ
h
i
W
ni
hi t bptb v
K(h) = lim
n
ES
n+h
S
n
= lim
n
|i|,|j|n
h
i
h
j
EY
ni
Y
n+hj
=
iZ,jZ
h
i
h
j
K
Y
(h +i j).
V d 2.7. Cho trc s thc p. Qu trnh dng (X
n
) c gi l mt qu
trnh t hi quy cp 1 hay mt qu trnh AR(1) nu X
n
tho mn phng
trnh sai phn sau y
X
n
= pX
n1
+W
n
.
Sau y ta s chng minh rng nu [p[ ,= 1 th tn ti v v duy nht dy
AR(1) (X
n
). Ngoi ra khi [p[ < 1 th (X
n
) l c biu din trung bnh trt
mt pha AM( ):
X
n
=
i=0
p
i
W
ni
cn khi [p[ > 1 th (X
n
) l c biu din trung bnh trt dng
X
n
=
1
i=
(p
i
)W
ni
.
Khi [p[ = 1 th khng tn ti dy AR(1).
Tht vy, xt trng hp [p[ < 1. t
X
n
=
i=0
p
i
W
ni
.
V
i=0
p
2i
< nn theo nh l 2.4 dy (X
n
) tn ti v
X
n
pX
n1
=
i=0
p
i
W
ni

i=0
p
i+1
W
n1i
=
i=0
p
i
W
ni

i=1
p
i
W
ni
= W
n
.
S tn ti c chng minh. Tip theo gi s (Y
n
) l mt dy AR(1) bt k.
Ta c
Y
n
= pY
n1
+W
n
= W
n
+p(pY
n2
+W
n1
= W
n
+pW
n1
+p
2
Y
n2
.
T bng quy np ta c vi mi k = 0, 1, ...
Y
n
=
k
i=0
p
i
W
ni
+p
k+1
Y
nk1
. (2.2)
K hiu K
Y
(h) l hm t tng quan ca (Y
n
).Ta c
E[Y
n

k
i=0
p
i
W
ni
[
2
= [p[
2(k+1)
E[Y
nk1
[
2
[p[
2(k+1)
K
Y
(0) 0 khi k .
Vy Y
n
=
i=0
p
i
W
ni
= X
n
.
Tip theo xt trng hp [p[ > 1. t
X
n
=
i=1
p
i
W
n+i
.
V
i=1
p
2i
< nn theo nh l 2.4 dy (X
n
) tn ti v
X
n
pX
n1
=
i=1
p
i
W
n+i
+
i=1
p
(i1)
W
n+(i1)
=
i=1
p
i
W
n+i
+
i=0
p
i
W
n+i
= W
n
.
S tn ti c chng minh. Tip theo gi s (Y
n
) l mt dy AR(1) bt k.
Ta c
Y
n+1
= pY
n
+W
n+1
Y
n
= p
1
Y
n+1
p
1
W
n+1
= p
1
(p
1
Y
n+2
p
1
W
n+2
) p
1
W
n+1
= p
1
W
n+1
p
2
W
n+2
+p
2
Y
n+2
.
T bng quy np ta c vi mi k = 0, 1, ...
Y
n
=
k
i=1
p
i
W
n+i
+p
(k+1)
Y
n+k+1
.
L lun tng t nh trn ta suy ra
Y
n
=
i=1
p
i
W
n+i
= X
n
=
1
i=
(p
i
)W
ni
.
Xt trng hp [p[ = 1. Gi s tn ti dy AR(1) (X
n
). T ng thc
(2.2) ta c
E(X
n
p
k+1
X
nk1
)
2
=
k
i=0
[p
2i
E[W
ni
[
2
=
2
(k + 1). (2.3)
Mt khc v tri ca ng thc (2.3) l
EX
2
n
+E[X
nk1
[
2
2E(X
n
X
nk1
)
= 2K(0) 2K(k + 1) 4K(0).
Suy ra vi mi k
2
(k + 1) 4K(0).
l iu v l. Vy khng tn ti dy AR(1) khi [p[ = 1.
nh ngha 2.4. Dy (X
n
) c gi l mt dy t hi quy cp p hay mt
dy AR(p) nu n l mt dy dng c trung bnh 0 v tho mn phng trnh
sai phn sau
X
n
=
1
X
n1
+
2
X
n2
+
p
X
np
+W
n
Ta c cc kt qu sau y (xem chng minh nh l 2.9 v 2.10).
nh l 2.7. Dy AR(p) tn ti v duy nht khi v ch khi a thc kt hp
(z) = 1
1
z
2
z
2

p
z
p
khng c nghim trn vng trn n v [z[ = 1
nh l 2.8. Dy AR(p) c biu din trung bnh trt mt pha
X
n
=
i=0
h
i
W
ni
khi v ch khi a thc kt hp
(z) = 1
1
z
2
z
2

p
z
p
khng c nghim bn trong vng trn n v [z[ 1.
M hnh tng qut bao hm c m hnh t hi quy v m hnh trung
bnh trt l m hnh hn hp t hi quy trung bnh trt.
nh ngha 2.5. Dy (X
n
) c gi l mt dy hn hp t hi quy trung
bnh trt cp (p, q) hay mt dy ARMA(p, q) nu n l mt dy dng c
trung bnh 0 v tho mn phng trnh sai phn sau
X
n
=
1
X
n1
+
2
X
n2
+
p
X
np
+
q
i=0
i
W
ni
(2.4)
h
0
= 1 v hai a thc (z) = 1
1
z
2
z
2

p
z
p
, (z) =
q
i=0
i
z
i
khng c nhn t chung (tc l chng nguyn t cng nhau).
Nh vy dy t hi quy cp p AR(p) chnh l dy ARMA(p, 0) v dy
trung bnh trt cp q chnh l dy ARMA(0, q).
K hiu B l ton t li mt bc xc nh bi
BX
n
= X
n1
.
Khi
B
i
X
n
= X
ni
.
Nu P(z) =
m
i=0
c
i
z
i
l mt a thc bc m th ton t P(B) c nh
ngha nh sau
P(B)X
n
=
m
i=0
c
i
B
i
X
n
=
m
i=0
c
i
X
ni
.
Khi phng trnh sai phn (2.4) ca dy ARMA(p, q) (X
n
) c dng sau
(B)X
n
= (B)W
n
. (2.5)
nh l 2.9. Dy ARMA(p, q) tn ti v duy nht khi v ch khi a thc
(z) = 1
1
z
2
z
2

p
z
p
khng c nghim trn vng trn n v [z[ = 1
Chng minh. Gi s a thc (z) khng c nghim trn vng trn n v
[z[ = 1. Khi t mt kt qu ca l thuyt hm bin phc tn ti > 0
sao cho
(z) =
1
(z)
=
i=
c
i
z
i
trong min 1 < [z[ < 1 + vi
i=
[c
i
[ < . t
H(z) =
(z)
(z)
= (z)(z) =
i=
h
i
z
i
v
X
n
= (B)(B) = H(B)W
n
=
i=
h
i
W
ni
.
Khi (X
n
) l mt dy dng trung bnh trt hai pha v
(B)X
n
= (B)H(B)W
n
(B)
(B)
(B)
W
n
= (B)W
n
.
S tn ti c chng minh. Ta chng minh s duy nht. Gi s c ng
thc (2.5). Khi tc ng (B) vo hai v ca (2.5) ta c
X
n
= (B)(B)W
n
= H(B)W
n
Ta tha nhn phn o ca nh l.
nh l 2.10. Dy ARMA(p, q) c biu din trung bnh trt mt pha
X
n
=
i=0
h
i
W
ni
(2.6)
khi v ch khi a thc
(z) = 1
1
z
2
z
2

p
z
p
khng c nghim bn trong vng trn n v [z[ 1.
Chng minh tng t nh trn da trn s kin c khai trin thnh chui
lu tha
(z) =
1
(z)
=
i=0
c
i
z
i
do
H(z) =
(z)
(z)
= (z)(z) =
i=0
h
i
z
i
.
Cc h s (h
i
) trong biu din trung bnh trt mt pha (2.6) c xc nh
t quan h
H(z) =
(z)
(z)
(z)H(z) = (z)
(1
1
z
p
z
p
)(h
0
+h
1
z + ) = 1 +
1
z + +
q
z
q
Suy ra
h
0
= 1
h
1
=
1
+
1
h
2
=
2
+
1
h
1
+
2
...................
...................
h
j
=
j
+
j
k=1
k
h
jk
, j = 0, 1, ...
trong
j
= 0 nu j > q v
k
= 0 nu k > p.
V d 2.8. Xt dy t hi quy cp 2 (X
n
) sau y
X
n
= 0, 7X
n1
0, 1X
n2
+W
n
.
a thc (z) = 1 0, 7z + 0, 1z
2
c hai nghim z
1
= 2, z
2
= 5 nm ngoi
vng trn n v do dy(X
n
) tn ti duy nht v c biu din trung bnh
trt mt pha
X
n
=
i=0
h
i
W
ni
.
Cc h s h
i
c xc nh truy hi nh sau
h
0
= 1
h
1
=
1
+
1
= 0, 7
h
2
=
2
+
1
h
1
+
2
= (0, 7)(0, 7) (0, 1) = 0, 39
h
j
= 0, 7h
j1
0, 1h
j2
j = 2, 3, ....
V d 2.9. Xt dy ARMA(1, 1) (X
n
) nh sau
X
n
= X
n1
+W
n
+W
n1
(2.7)
trong [[ < 1, [[ < 1.
Ta c
(z) = 1 z, (B) = 1 B
1
z
=
1
1 z
=
i=0
i
z
i
.
Vy
H(z) = (1 +z)(
i=0
i
z
i
)
=
i=0
i
+
i=0
i
z
i+1
=
i=0
i
+
i=1
i1
z
i
= 1 +
i=1
(
i
+
i1
)z
i
= 1 + ( +)
i=1
i1
z
i
.
Thnh th
X
n
= H(B)W
n
= W
n
+ ( +)
i=1
i1
W
ni
Tip theo da vo biu din trung bnh trt ny ta hy tm hm t tng
quan ca (X
n
). Nhn hai v ca (2.7) vi X
nh
ta c
X
n
X
nh
X
n1
X
nh
= W
n
X
nh
+W
n1
X
nh
.
Ly k vng hai v ta c
K(h) K(h 1) = EW
n
X
nh
+EW
n1
X
nh
.
Vi h = 1 ch rng EW
k
X
m
= 0 nu k > m v EW
k
X
k
=
2
ta c
K(1) K(0) =
2
.
Cho h = 0 ta c
K(0) K(1) =
2
+( +)
2
=
2
(1 + +
2
).
Vi h 2 th EW
n
X
nh
= 0, EW
n1
X
nh
= 0 do
K(h) K(h 1) = 0.
T vi h 2
K(h) =
h1
K(1).
T h
K(1) K(0) =
2
K(0) K(1) =
2
+( +)
2
d dng tm c
K(1) =
2
_
+ +
( +)
2
1
2
_
K(0) =
2
_
1 +
( +)
2
1
2
_
v
K(h) =
h1
K(1) nu h 2.
2.1.3 o ph v mt ph
Trong tit ny chng ta s trnh by mt c trng quan trng ca dy dng:
l khi nim o ph.
nh l 2.11. Gi s K(h) l hm t tng quan ca dy dng (X
n
). Khi
tn ti v duy nht mt o hu hn trn [, ] sao cho K(h) c
biu din tch phn sau
K(h) =
_

e
ihx
d(x).
o c gi l o ph ca dy dng X
n
.
Chng minh. Do K(n) l hm xc nh khng m nn vi z
j
= e
ixj
ta c
n
j=1
n
k=1
K(j k)e
ix(jk)
=
n1
m=(n1)
K(m)e
ixm
(n [m[) , x .
t
f
n
(x) =
1
2
n1
m=(n1)
K(m)e
ixm
_
1
[m[
n
_
.
Ta c f
n
(x) 0 , x v
_

f
n
(x)dx = K(0)
(v
_
e
imx
dx = 0 nu m ,= 0). Gi
n
l o trn [, ] vi hm mt
f
n
(x). H o
n
l compact yu nn ta trch ra c mt dy con
n
k
hi t yu ti o hu hn . Ta chng t l o cn tm. Tht
vy vi mi m c nh ta c
_

e
imx
d
n
k
(x) =
_

e
imx
f
n
k
(x)dx =
= K(m)
_
1
[m[
n
k
_
, vi n
k
[m[.
Cho n
k
ta c
_

e
imx
d(x) = K(m) .
o l duy nht. Tht vy gi s v l hai o tho mn
K(n) =
_

e
inx
d(x) =
_

e
inx
d(x) .
V mi hm lin tc g(x) hon ton c th xp x u bng cc a thc
lng gic
n
k=1
c
k
e
ikx
, do ta suy ra
_

g(x)d(x) =
_

g(x)d(x) , vi mi hm lin tc g(x) .

Vy ta c = .
Ch . Nu X
n
nhn gi tr thc th K(h) nhn gi tr thc. Khi ta
c
K(h) =
_

cos hxd(x).
Nu o tuyt i lin tc d = f(x)dx th mt f(x) ca c gi
l mt ph ca X
n
. Trong trng hp ny ta ni X
n
c ph lin tc. Nh
vy ta c:
nh ngha 2.6. Hm f(x) c gi l mt ph ca dy dng (X
n
) vi
hm t tng quan K(h) nu f(x) 0 vi mi x [, ] v
K(h) =
_

e
ihx
f(x)dx.
nh l sau y cho bit khi no mt hm l hm mt ph ca mt
dy dng.
nh l 2.12. Hm f(x) khng m xc nh trn on [, ] l hm mt
ph ca mt dy dng khi v ch khi
1. f(x) l hm chn: f(x) = f(x) x [, ]
2.
_
f(x)dx < .
Chng minh. iu kin cn chng ta chng minh. By gi ta gi thit
hm f(x) c cc tnh cht va nu. t
K(h) =
_

e
ihx
f(x)dx.
i bin u = x ta c
K(h) =
_

e
ihx
f(x)dx
=
_

e
ihu
f(u)du
=
_

e
ihu
f(u)du
= K(h).
Vy K(h) l hm chn. Hn na nu a
1
, ..., a
n
l cc s phc tu th
n
r,s=1
a
r
a
s
K(r s) =
_

r,s=1
a
r
a
s
e
ix(rs)
f(x)dx
=
_

r=1
a
r
e
ixr
2
f(x)dx
0.
Do K(h) xc nh khng m . Vy theo nh l tn ti dy dng (X
n
)
nhn K(h) l hm t tng quan do nhn f(x) l hm mt ph.
nh l sau y cho ta mt iu kin dy (X
n
) c ph lin tc.
nh l 2.13. Nu
h=
[K(h)[ <
th (X
n
) c ph lin tc v mt ph ca n c cho bi cng thc sau
f(x) =
1
2
h=
e
ihx
K(h). (2.8)
Chng minh. u tin nhn xt rng chui (2.8) hi t tuyt i do hm
f(x) c xc nh ng n. Vi mi s m nguyn dng ta t
f
m
(x) =
1
2m
E
X
k
e
ikx
2
=
1
2m
E
_
m
r,s=1
X
r
X
s
e
irx
e
isx
_
=
1
2m
|h|<m
(m[h[)e
ihx
K(h).
R rng f
m
(x) khng m vi mi m v
f
m
(x)
1
2
h=
e
ihx
K(h) = f(x)
khi m nn f(x) khng m. Tip theo ta c
_

e
ikx
f(x)dx =
_

1
2
h=
e
i(kh)x
K(h)dx
=
1
2
h=
K(h)
_

e
i(kh)x
dx
= K(k).
Vy f(x) l mt ph ca dy X
n
.
H qu 2.1. Mt hm chn K(h) kh tng tuyt i
h=
[K(h)[ <
s l hm t tng quan ca mt dy dng khi v ch khi
f(x) =
1
2
h=
e
ihx
K(h) 0. (2.9)
Trong trng hp ny f(x) chnh l mt ph ca dy dng.
Chng minh. iu kin cn ta va chng minh. Gi s f(x) tho mn (2.9).
Do K(h) chn nn d thy f(x) chn. Mt khc t cng thc (2.9) suy ra
K(h) =
_

e
ihx
f(x)dx.
T chng minh ca nh l 2.12 ta suy ra K(h) xc nh khng m. Vy
n l hm t tng quan ca mt dy dng .
H qu trn cho ta mt phng php rt hiu lc kim tra mt hm
chn kh tng tuyt i c phi l hm t tng quan hay khng. Phong
php ny t ra n gin hn so vi vic kim tra tnh xc nh khng m
ca hm ang xt. Xt v d sau (so snh n vi v d 2.4).
V d 2.10. Ta s chng minh rng hm sau y
K(h) =
_
_
1 nu h = 0
nu h = 1
0 nu [h[ > 1
l hm xc nh khng m nu v ch nu [[ 1/2. Tht vy K(h) r rng
l hm chn v kh tng tuyt i. Vy theo h qu trn n s l hm t
tng quan khi v ch khi hm
f(x) =
1
2
h=
e
ihx
K(h)
=
1
2
[1 + 2 cos x]
l khng m vi mi x [, ]. Nhng iu ny xy ra khi v ch khi
[[ 1/2.
Nu o ph l o ri rc ta ni dy dng (X
n
) c ph ri rc.
Chng hn gi s U v V l hai LNN khng tng quan EU = EV =
0, EU
2
= EV
2
=
2
v l mt s thc. Xt dy (X
n
) xc nh bi
X
n
= U cos n +V sinn.
Khi (X
n
) l dy dng vi hm t tng quan K(h) =
2
cos(h).
Khng gim tng qut c th gi s [, ]. Gi l o ri rc nh
sau
= =

2
2
.
Khi d thy
2
cos(h) =
_

e
ihx
d(x).
Vy l o ph ri rc ca X
n
.
Tng qut hn gi s U
1
, U
2
, ..., U
m
v V
1
, V
2
, ..., V
m
l cc LNN vi
EU
k
= EV
k
= 0, EU
2
k
= EV
2
k
=
2
k
, EU
i
U
k
= 0, (i ,= k), EV
i
V
k
= 0 (i ,=
k), EU
i
V
j
= 0 . Xt dy (X
n
) xc nh bi
X
n
=
m
k=1
(U
k
cos
k
n +V
k
sin
k
n)
trong
1
, ...
m
[, ] .Nh v d 2.3 ch ra (X
n
) l dy dng vi
hm t tng quan
K(h) =
m
k=1
2
k
cos
k
h.
Khi d thy o ph l o ri rc tp trung ti cc im
k
vi
khi lng
k
=
k
=

2
k
2
.
V d 2.11. (Mt ph ca dy n trng.) Nu W
n
l dy n trng vi
tham s
2
th t cng thc (2.8) v biu thc hm t tng quan ca n (
xem v d 2.1) ta suy ra mt ph ca n l
f(x) =

2
2
.
l mt hm hng s.
V d 2.12. (Mt ph ca dy MA(1).) Gi s (X
n
) l dy MA(1) xc
nh nh sau
X
n
= W
n
+rW
n1
trong r l hng s thc. T cng thc (2.8) v biu thc hm t tng
quan ca n ( xem v d 2.5) ta suy ra mt ph ca n l
f(x) =

2
2
(1 +r
2
+r(e
ix
+e
ix
))
=

2
2
(1 + 2r cos x +r
2
).
V d 2.13. (Mt ph ca dy AR(1).) Gi s (X
n
) l mt dy AR(1)
tho mn phng trnh sai phn sau y
X
n
= pX
n1
+W
n
trong p l mt hng s [p[ < 1. T cng thc (2.8) v biu thc hm t
tng quan ca n (xem v d 2.5) ta suy ra mt ph ca n l
f(x) =

2
1 p
2
_
1 +
h=1
p
h
(e
ihx
+e
ihx
)
_
=

2
1 p
2
_
1 +
pe
ix
1 pe
ix
+
pe
ix
1 pe
ix
_
=

2
2
(1 2p cos x +p
2
)
1
.
nh l 2.14. Cho (X
n
) l mt dy dng vi trung bnh khng v hm mt
ph l f
X
(x). Cho dy s thc (h
k
) tho mn
kZ
[h
k
[ < .
Khi chui
Y
n
=
iZ
h
i
Y
ni
hi t hu chc chn v hi t bptb v dy (Y
n
) l mt dy dng vi trung
bnh khng v c mt ph l
f
Y
(x) = [H(e
ix
)[
2
f
X
(x) = H(e
ix
)H(e
ix
)f
X
(x)
trong H(z) =
kZ
h
k
z
k
.
Chng minh. Theo nh l 2.6 dy (Y
n
) l mt dy dng vi trung bnh
khng v hm t tng quan
K
Y
(h) =
kZ
h
k
h
j
K
X
(h +k j).
V X
n
c mt ph f
X
(x) nn ta c
K
X
(h +k j) =
_

e
i(h+kj)x
f
X
(x)dx.
Thay vo ta c
K
Y
(h) =
j,kZ
h
j
h
k
_

e
i(h+kj)x
f
X
(x)dx
=
_

jZ
h
j
e
ijx
__
kZ
h
k
e
ikx
_
e
ihx
f
X
(x)dx
=
_

e
ihx
jZ
h
j
e
ijx
2
f
X
(x)dx.
T ng thc cui suy ra Y
n
c mt ph f
Y
(x) l
f
Y
(x) =
kZ
h
k
e
ikx
2
f
X
(x).
H qu 2.2. Nu (X
n
) l mt dy ARMA(p,q) tho mn phng trnh sai
phn
(B)X
n
= (B)W
n
th n c mt ph cho bi cng thc
f(x) =

2
2
[(e
ix
)[
2
[(e
ix
)[
2
.
Tht vy ta c
H(z) =
(z)
(z)
=
i=
h
i
z
i
v
X
n
= H(B)W
n
=
i=
h
i
W
ni
.
Khi theo nh l 2.14 trn
f
X
(x) = [H(e
ix
)[
2
f
W
(x)
=

2
2
[(e
ix
)[
2
[(e
ix
)[
2
.
V d 2.14. (Mt ph ca qu trnh ARMA(1,1).) Xt qu trnh ARMA
(1,1)
X
n
X
n1
= W
n
+W
n1
trong [[ < 1, [[ < 1 Khi mt ph ca X
n
l
f(x) =

2
(1 +e
ix
)(1 +e
ix
)
2(1 e
ix
)(1 e
ix
)
=

2
(1 + 2 cos x +
2
)
2(1 2 cos x +
2
)
.
2.1.4 Biu din ph
Trong mc ny chng ta s chng minh mt nh l c bn ca dy dng
gi l nh l biu din ph. Ta cn mt cng c mi: Tch phn i vi mt
o ngu nhin gia s trc giao.
Cho n nay ta mi ch xt cc i lng ngu nhin nhn gi tr thc.
By gi chng ta xt c cc LNN nhn gi tr phc. Vic ny lm cho
nhiu cng thc trong l thuyt qu trnh dng tr nn n gin hn. Gi s
(, T, P) l khng gian xc sut c bn. K hiu L
2
(, T, P) l khng gian
cc LNN X nhn gi tr phc sao cho E[X[
2
< . Khi L
2
(, T, P) l
khng gian Hilbert vi tch v hng xc nh bi
< X, Y >= EXY .
S hi t trong L
2
(, T, P) c gi l s hi t bnh phng trung bnh
(bptb).
Gi s (S, /) l khng gian o c no . Hm gi tr thc (hay phc)
Z(A) = Z(, A) xc nh vi , A / c gi l o ngu nhin
cng tnh hu hn nu
a) Vi mi A / ta c E[Z(A)[
2
< .
b) Vi bt k hai tp A
1
, A
2
/ ri nhau A
1
A
2
= th
Z(A
1
A
2
) = Z(A
1
) +Z(A
2
) (P h.c.c) .
o ngu nhin cng tnh hu hn Z c gi l o ngu nhin nu
vi bt k dy cc tp A
1
, A
2
, ... / i mt khng giao nhau th
E
Z
_

_
k=1
A
k
_
k=1
Z(A
k
)
2
0 (n ) ,
hay
Z
_

_
k=1
A
k
_
=
k=1
Z(A
k
) ,
trong chui trn hi t bptb. y l tnh cht cng tnh m c.
Tng t nh i vi o thng thng tnh cht cng tnh m c
ca o ngu nhin tng ong vi tnh cht lin tc sau
E[Z(A
n
)[
2
0 khi A
n
, A
n
/ .
o ngu nhin Z c gi l trc giao ( hay l o vi gi tr trc giao)
nu vi hai tp bt k A
1
, A
2
/ khng giao nhau th
EZ(A
1
)Z(A
2
) = 0 (hoc EZ(A
1
)Z(A
2
) = 0).
iu ny tng ng vi: Vi hai tp bt k A
1
, A
2
/ th
EZ(A
1
)Z(A
2
) = E[Z(A
1
A
2
)[
2
.
t m(A) = E[Z(A)[
2
ta c m l o hu hn. N c gi l o cu
trc ca Z. Tm li ta c nh ngha sau y v o ngu nhin trc giao
ng vi mt o cu trc cho
nh ngha 2.7. Gi s (S, /, m) l khng gian c o. nh x Z : /
L
2
(, T, P) tho mn tnh cht sau
a) < Z(A
1
), Z(A
2
) >= m(A
1
A
2
) , A
1
, A
2
/ .
b) Vi A
n
n=1
l dy cc tp i mt ri nhau thuc / th
Z
_

_
n=1
A
n
_
=
n=1
Z(A
n
) ,
trong chui trn hi t bptb c gi l o ngu nhin trc giao ng
vi o cu trc m.
Ngi ta chng minh c rng vi mi o hu hn m cho trc
lun tn ti o ngu nhin trc giao ng vi o cu trc m.
Tip theo ta s xy dng tch phn ca mt hm (gi tr thc hoc phc)
i vi mt o ngu nhin trc giao.
Cho Z : / L
2
(, T, P) l mt o ngu nhin vi o cu trc m.
Ta xy dng tch phn
_
S
f(t)dZ(t) vi f L
2
(S, /, m) nh sau:
K hiu I
A
l hm ch tiu ca tp hp A tc l
_
_
_
I
A
(t) = 1 nu t A
0 nu t / A.
Trc ht nu f(t) l hm n gin f(t) =
n
k=1
c
k
I
A
k
(t) ta nh ngha
I(f) =
n
k=1
c
k
Z(A
k
).
D kim tra nh ngha ny l ng n v I l nh x tuyn tnh t khng
gian tuyn tnh cc hm n gin | vo khng gian L
2
(, T, P) . Ta c
|I(f)|
2
=< I(f), I(f) >=
n
i=1
n
j=1
c
i
c
j
< Z(A
i
), Z(A
j
) >
=
n
i=1
[c
i
[
2
m(A
i
) =
_
S
[f(t)[
2
dm.
Vy I : | L
2
(, T, P) l php ng c gia | v mtk b phn ca
L
2
(, T, P). V | tr mt trong L
2
(S, /, m) nn I c m rng thnh mt
ng c t ton b khng gian L
2
(S, /, m) ln mt b phn ca L
2
(, T, P).
Ta k hiu
I(f) =
_
S
f(t)dZ(t)
v gi d l tch phn ngu nhin ca f i vi o ngu nhin trc giao
Z.
Tnh cht tuyn tnh, ng c ca I c pht biu li thnh cc tnh
cht sau y ca tch phn ngu nhin.
nh l 2.15. Tch phn ngu nhin c cc tnh cht sau
1. Tuyn tnh: Vi cc hng s , ta c
_
S
[f
1
(t) +f
2
(t)]dZ(t) =
_
S
f
1
(t)dZ(t) +
_
S
f
2
(t)dZ(t).
2. Bo ton tch v hng
_
_
S
f(t)dZ(t),
_
S
g(t)dZ(t)
_
=
_
S
f(t)g(t)dm
3. ng c
E
_
S
f(t)dZ(t)
2
=
_
S
[f(t)[
2
dm.
4. Lin tc bptb
f
n
(t) f(t)
trong L
2
(S, /, m) khi v ch khi
_
S
f
n
(t)dZ(t)
_
S
f(t)dZ(t)
bnh phng trung bnh.
Cho Z l o ngu nhin gi tr trc giao trn (S, /) vi o cu trc
m. Vi g L
2
(S, /, m) ta c th nh ngha mt o ngu nhin U trn
(S, /) nh sau
U(A) =
_
A
g(t)dZ(t) =
_
S
I
A
(t)g(t)dZ(t).
T nh l trn ta d dng suy ra U cng l mt o ngu nhin gi tr
trc giao. Khi ta vit
dU(t) = g(t)dZ(t).
Gi l l o cu trc ca U . Ta c
l(A) = E
_
S
I
A
(t)g(t)dZ(t)
2
=
_
A
[g(t)[
2
dm.
Vy dl(t) = [g(t)[
2
dm(t).
nh l 2.16. Nu dU(t) = g(t)dZ(t) th vi mi f(t) L
2
(S, /, l) ta c
fg L
2
(S, /, m) v
_
A
f(t)dU(t) =
_
A
f(t)g(t)dZ(t).
Tht vy h thc trn ng vi hm n gin. Vi f L
2
(S, /, l) bt
k chn dy hm n gin (f
n
) sao cho f
n
f trong L
2
(S, /, l). Khi
f
n
g fg trong L
2
(S, /, m). V
_
S
f
n
(t)dU(t) =
_
f
n
(t)g(t)dZ(t).
Cho n ta c iu phi chng minh.
H qu 2.3. Nu dU(t) = g(t)dZ(t) v g(t) > 0 th dZ(t) =
1
g(t)
dU(t).
Tht vy k hiu h(t) =
1
g(t)
. V
_
S
[h(t)[
2
dl(t) =
_
S
[h(t)[
2
[g(t)[
2
dm(t) = m(S)
nn h(t) = L
2
(S, /, l) .Vy
_
A
h(t)dU(t) =
_
A
h(t)g(t)dZ(t) =
_
A
dZ(t) = Z(A).
Tip theo da trn khi nim tch phn ngu nhin i vi mt o ngu
nhin ta c th nh ngha tch phn ngu nhin dng
_
R
f(t)dX(t).
X(t) l mt qu trnh gia s trc giao nh sau:
Cho X(t) l mt qu trnh ngu nhin gia s trc giao L
2
lin tc bn
tri tc l
a) Nu t
1
< t
2
< t
3
< t
4
th
_
X(t
2
) X(t
1
), X(t
4
) X(t
3
)
_
= 0
b) X(t) X(t
0
) theo ngha bptb khi t t
0
t bn tri t
0
.
Ta chng t rng c mt hm thc khng gim, lin tc bn tri F(t) sao
cho vi s < t th
F(t) F(s) = E[X(t) X(s)[
2
.
Tht vy, chn c nh mt im t
0
no v nh ngha
F(t) =
_
_
_
E[X(t) X(t
0
)[
2
nu t t
0
E[X(t) X(t
0
)[
2
nu t t
0
.
Khi vi t
0
s < t ta c
F(t) F(s) = E[X(t) X(t
0
)[
2
E[X(s) X(t
0
)[
2
.
Mt khc
E[X(t) X(t
0
)[
2
= E[X(t) X(s) +X(s) X(t
0
)[
2
= E[X(t) X(s)[
2
+E[X(s) X(t
0
)[
2
(do X(t) c gia s trc giao).
Suy ra F(t) F(s) = E[X(t) X(s)[
2
. Cc trng hp khc kim tra
tng t.
Tnh lin tc bn tri ca F(t) suy ra t tnh cht L
2
- lin tc bn tri
ca X(t) v h thc F(t) F(s) = E[X(t) X(s)[
2
.
Gi m l o hu hn sinh bi hm thc khng gim, lin tc bn tri
F(t). Gi Z
X
l o ngu nhin trc giao trn R nhn m l o cu trc.
Ta nh ngha
_
R
f(t)dX(t) =
_
R
f(t)dZ
X
(t).
Ngc li nu cho trc o ngu nhin trc giao Z trn R th ta c th
xy dng mt qu trnh ngu nhin X(t) gia s trc giao L
2
- lin tc bn
tri bng cch t
X(t) = Z(, t).
D kim tra rng Z = X
X
.
nh l 2.17. Nu hm f(t) lin tc trn [a, b] th
_
b
a
f(t)dX(t)
l gii hn bptb ca tng Riman
n
i=0
f(s
i
)
_
X(t
i+1
) X(t
i
)
_
,
khi [[ 0 trong l phn hoch tu a = t
0
< t
1
< t
2
< ... < t
n+1
= b
, s
i
l im tu thuc [t
i
, t
i+1
] [[ = max [t
i+1
t
i
[.
Chng minh. Gi m l o cu trc ca Z
X
. V f(t) lin tc trn [a, b]
nn n lin tc u trn [a, b] ( theo nh l Canto). Do > 0 , > 0
sao cho nu [t s[ < th [f(t) f(s)[ < .
t
g
(t) =
n
i=0
f(s
i
)I
(t
i
,t
i+1
]
trong [[ < , ta suy ra
_
b
a
[f(t) g
(t)[
2
dm
2
m[a, b] .
Mt khc
E
i=0
f(s
i
)[X(t
i+1
) X(t
i
)]
_
b
a
f(t)dX(t)
2
=
= E
_
b
a
[g
(t) f(t)]dX(t)
2
=
_
b
a
[f(t) g
(t)[
2
dm

2
m[a, b]
Thnh th
n
i=0
f(s
i
)[X(t
i+1
) X(t
i
)]
_
b
a
f(t)dX(t) .
bnh phng trung bnh khi [[ 0.
By gi ta s pht biu v chng minh nh l v biu din ph ca dy
dng
nh l 2.18. Cho (X
n
) l dy dng (gi tr thc hoc phc). Khi tn
ti o ngu nhin trc giao Z ( c th c gi tr phc) trn [, ] sao
cho
X(n) =
_

e
in
dZ() , n Z.
Chng minh. K hiu M l tp hp tt c cc t hp tuyn tnh hu hn
n
k=1
c
k
X
k
, trong c
k
C , k Z . Gi H(X) l bao kn ca M trong
L
2
(, T, P), l o ph ca X
n
.
Xt nh x S : M L
2
([, ], ) xc nh nh sau
S
_
n
k=1
c
k
X
k
_
=
n
k=1
c
k
e
ik
.
Ta c
_
_
_
n
k=1
c
k
X
k
_
_
_
2
=
_
n
k=1
c
k
X
k
,
n
j=1
c
j
X
j
_
=
=
n
k=1
n
j=1
c
k
c
j
< X
k
, X
j
>
=
n
k=1
n
j=1
c
k
c
j
K(k j)
=
n
k=1
n
j=1
c
k
c
j
_

e
i(kj)
d()
=
_

_
n
k=1
n
j=1
c
k
c
j
e
i(kj)
_
d()
=
_

k=1
c
k
e
ik
2
d() =
_
_
_
n
k=1
c
k
e
ik
_
_
_
2
.
Suy ra S l mt nh x tuyn tnh ng c t M vo L
2
([, ], ) . Do
S c m rng thnh mt nh x tuyn tnh ng c t H(X) vo S(M)
.V tp cc hm lin tc l tr mt trong L
2
([, ], ) v mi hm lin tc
c xp x u bng cc a thc lng gic
n
k=1
c
k
e
ik
, nn
S(M) = L
2
([, ], ).
Nh vy S l mt song nh gia H(X) v L
2
([, ], ). Gi s S
1
:
L
2
([, ], ) H(X). t Z(A) = S
1
(I
A
) . Ta chng t Z l mt
o ngu nhin gi tr trc giao. Tht vy
1. < Z(A), Z(B) >=< S
1
(I
A
), S
1
(I
B
) >= m(A B) .
2. Gi s A =
k=1
A
k
, trong A
k
A
j
= , khi I
A
=
k=1
I
A
k
trong
L
2
([, ], ) do S
1
(I
A
) =
k=1
S
1
(I
A
k
) hay
Z(A) =
k=1
Z(A
k
)
trong L
2
(, T, P) .
Tip theo ta chng minh rng vi mi f L
2
([, ], ) th
S
1
(f) =
_

f()dZ() .
Tht vy vi f l hm n gin th cng thc trn l ng do nh ngha
S
1
(I
A
) = Z(A) =
_

I
A
dZ() .
Vi f bt k trong L
2
([, ], ) th tn ti dy hm n gin (f
n
) hi t
trong L
2
([, ], ) ti f. Khi
S
1
(f
n
) =
_

f
n
()dZ() .
Cho n ta thu c
S
1
(f) =
_

f()dZ().
Mt khc do nh ngha nh x S ta c S
1
(e
ik
) = X
k
. Vy ta c
X
n
=
_

e
in
dZ().
Nu X
n
nhn gi tr thc th ta c th phn tch
Z(A) = U(A) iV (A)
trong U, V l cc o ngu nhin trc giao nhn gi tr thc khng
tng quan ngha l
< U(A), V (B) >= 0
vi mi tp A, B o c. Khi ta c
X
n
=
_

cos ndU() +
_

sinndV ().
Nh vy ta c:
nh l 2.19. Nu (X
n
) l dy dng nhn gi tr thc th n c biu din
X
n
=
_

cos ndU() +
_

sinndV ()
trong U(t), V (t) l hai qu trnh c gia s trc giao khng tng quan vi
nhau.
Theo nh l 2.17 khi X
n
l gii hn bptb ca tng dng
n
k=1
cos
k
nU
k
+ sin
k
nV
k
vi EU
i
U
k
= 0, EV
i
V
k
= 0 (i ,= k), EU
i
V
j
= 0 i, j.
Nh l mt p dng ca nh l biu din ph ta c nh l sau y cho
ta iu kin cn v mt dy dng c biu din trong bnh trt mt
pha.
nh l 2.20. Cho dy dng (X
n
) c mt ph f() > 0. Khi X
n
c
biu din trung bnh trt mt pha
X
n
=
k=0
h
k
W
nk
vi
k=0
[h
k
[
2
< .
khi v ch khi mt ny c dng f() = [g()[
2
trong
g() =
1
k=0
h
k
e
ik
, vi
k=0
[h
k
[
2
< .
Chng minh. t
f
1
() =
1
k=0
h
k
e
ik
= g()
trong h
k
= 0 vi k < 0 . Xt
f
2
() = e
im
f
1
() =
1
k=
h
k
e
i(km)
=
1
l=
h
l+m
e
il
,
Hm t tng quan K(m) ca X
n
l
K(m) =< X
n+m
, X
n
>=
=
_

k=
h(n +mk)W
k
,
k=
h(n k)W
k
_
=
=
k=
h
n+mk
h
nk
=
k=
h
k+m
h
k
.
Mt khc theo ng thc Parseval ta c
_

f
1
()f
2
()d =
k=
h
k+m
h
k
.
Vy
K(m) =
_

f
1
()f
2
()d =
_

[f
1
()[
2
e
im
d .
H thc ny chng t
f() = [f
1
()[
2
= [g()[
2
.
o li, gi s mt ph f() c dng cho. Ta nh ngha o ngu
nhin trc giao U nh sau sau
dU() =
1
2g()
dZ() ,
Nh bit (h qu 2.3) khi
dZ() =
2g()dU().
t
W
n
=
_

e
in
dU() =
_

e
in
1
2g()
dZ().
Ta c W
n
l mt dy n trng. Tht vy
< W
n
, W
m
> =
_

e
in
e
im
f()
2[g()[
2
d =
1
2
_

e
i(nm)
d =
=
nm
trong
mn
=
_
_
_
0 nu n ,= m
1 nu n = m.
Ta p dng nh l 2.16 c
X
n
=
_

e
in
dZ() =
_

e
in
2g()dU()
=
_

e
in
k=0
h
k
e
ik
dU() =
k=0
h
k
_

e
i(nk)
dU()
=
k=0
h
k
W
nk
.
Cu hi t ra tip theo l: Khi no hm mt ph ca X
n
c dng
f() = [g()[
2
> 0 , , trong
g() =
1
k=0
h
k
e
ik
, vi
k=0
[h
k
[
2
< ?
Nh ton hc Nga li lc A.N. Kolmogorov (1903-1987) chng minh c
rng iu ny xy ra khi v ch khi
_

lnf()d > .
Vy ta c
nh l 2.21. Dy dng (X
n
) vi hm mt dng f() > 0 c biu din
trung bnh trt mt pha
X
n
=
k=0
h
k
W
nk
vi
k=0
[h
k
[
2
< .
nu v ch nu
_

lnf()d > .
2.1.5 Bi ton d bo
Xt qu trnh dng (X
n
). Ni dung ca bi ton d bo l: Gi s chng
ta quan st c gi tr ca qu trnh ti cc thi im 1, 2, ..., n l
X
1
, X
2
, ..., X
n
. Trn c s ta mun d bo mt cch " tt nht" gi
tr ca qu trnh X
n+h
ti thi im n +h trong tng lai.
nh ngha 2.8. D bo tuyn tnh ca X
n+h
cn c trn X
1
,X
2
,...,X
n
l
t hp tuyn tnh
S(a
0
, a
1
, a
2
, ..., a
n
) = a
0
+a
1
X
n
+ +a
n
X
1
.
D bo tuyn tnh S(a
0
, a
1
, a
2
, ..., a
n
) c gi l tt nht nu sai s bnh
phng trung bnh
E[X
n+h
S(a
0
, a
1
, a
2
, ..., a
n
)[
2
l nh nht.
K hiu L(X, n) l tp hp tt c cc t hp tuyn tnh a
0
+a
1
X
n
+ +
a
n
X
1
. Khi L(X, n) l mt khng gian con tuyn tnh ca L
2
(, T, P). Gi
H(X, n) l bao kn ca L(X, n) trong L
2
(, T, P). Gi P
n
: L
2
(, T, P)
H(X, n) l php chiu vung gc xung H(X, n). Khi theo l thuyt
khng gian Hilbert d bo tuyn tnh tt nht chnh l P
n
(X
n+h
) , hnh
chiu vung gc ca X
n+h
ln H(X, n). Gi s EX
n
= m. t Y
n
= X
n
m.
Khi EY
n
= 0 v
H(X, n) = H(Y, n).
Ta c P
n
(X
n+h
) = P(Y
n+h
+ m) = m + P
n
(Y
n+h
). Tuy nhin d thy rng
P
n
(Y
n+h
) = P
0
n
(Y
n+h
) P
0
n
l php chiu xung khng gian H
0
(Y, n) l
bao kn ca cc t hp tuyn tnh dng a
1
Y
n
+ +a
n
Y
1
. Thnh th
P
n
(X
n+h
) = m+
n
i=1
a
i
(X
n+1i
m)
trong cc h s a
1
, ..., a
n
tho mn: vi mi j = 1, 2, ..., n
E(Y
n+h

n
i=1
a
i
Y
n+1i
Y
n+1j
= 0
hay
K(j +h 1) =
n
i=1
a
i
K(i j) j = 1, 2, ..., n. (2.10)
Nu dt a
n
= (a
1
, ..., a
n
)
,

K
n
(h) = (K(h), K(h + 1), ..., K(n + h 1)
n
= [K(i j)]
n
i,j=1
ta c h thc (2.10) trn vit thnh
n
a
n
=

K
n
(h). (2.11)
Tm li cc h s a
1
, ..., a
n
tm c t h phng trnh tuyn tnh (2.11)
cn
a
0
= mm
n
i=1
a
i
= m(1
n
i=1
a
i
).
Ta hy tm sai s d bo
E(X
n+h
P
n
X
n+h
)
2
= E(Y
n+h

n
i=1
a
i
Y
n+1i
)
2
= K(0) 2
n
i=1
a
i
K(h +i 1) +
n
i=1
n
j=1
a
i
a
j
K(i j)
= K(0) 2
n
i=1
a
i
K(h +i 1) +
n
i=1
a
i
K(h +i 1)
= K(0)
n
i=1
a
i
K(h +i 1)
= K(0) a
K
n
(h).
V d 2.15. (D bo qu trnh t hi quy cp 1 AR(1).) Xt qu trnh t
hi quy cp 1
X
n
= pX
n1
+W
n
.
Trong trng hp ny v EX
n
= 0 nn a
0
= 0. Ta c
K(h) =

2
p
h
1 p
2
do
1 p
2
2

n
=
_
_
_
_
_
_
1 p . . . p
n1
p 1 . . . p
n2
.
.
.
.
.
. . . .
.
.
.
p
n1
p
n2
. . . 1
_
_
_
_
_
_
1 p
2
K
n
(h) = (p
h
, p
h+1
, ..., p
h+n1
)
.
Thnh th a
1
= p
h
, a
2
= 0, ..., a
n
= 0 do d bo tuyn tnh tt nht sau h
bc l
P
n
X
n+h
= p
h
X
n
.
Sai s ca d bo l
K(0) a
K
n
(h) =

2
1 p
2
p
h

2
p
h
1 p
2
=

2
(1 p
2h
)
1 p
2
.
V d 2.16. (D bo qu trnh t hi quy cp p: AR(p).) Xt m hnh t
hi quy cp p
X
n
=
1
X
n1
+ +
p
X
np
+W
n
.
V EX
n
= 0 nn P
n
= P
0
n
l php chiu xung khng gian H
0
= H
0
(X, n)
Xt n > p. Ta c
X
n+1
=
1
X
n
+ +
p
X
n+1p
+W
n+1
P
n
X
n+1
=
1
P
n
X
n
+ +
p
P
n
X
n+1p
+P
n
W
n+1
=
1
X
n
+ +
p
X
n+1p
v X
n
, X
n1
, ..., X
n+1p
H
0
v W
n+1
H
0
. Tng t
P
n
X
n+2
=
1
P
n
X
n+1
+ +
p
P
n
X
n+2p
=
1
P
n
X
n+1
+
2
X
n
+ +
p
X
n+2p
=
p
i=1
c
i
X
n+1i
vi c
1
, ..., c
p
l cc hng s. Bng quy np ta d thy d bo tuyn tnh tt
nht ca X
n+h
l mt t hp tuyn tnh ca p gi tr X
n
, ..., X
np+1
P
n
X
n+h
=
p
i=1
c
i
(h)X
n+1i
.
Nh vy lm d bo qu trnh AR(p) ta ch cn quan tm ti gi tr hin
ti v p 1 gi tr qu kh l .
2.1.6 Tnh cht ergodich
Ta hy xt v d sau y dn ti khi nim tnh ergodic.
Gi s cc s liu ma o c cc thi dim n = 0, 1, 2, ... ti mt s
ln cc trm quan st H
0
, H
1
, ..., H
m
, .... Gi s x
ij
l lng ma o c ti
thi im i ti trm H
j
. Ta cn phi tnh lng ma trung bnh. Gi s cc
c trng thng k v lng ma ti cc trm quan st l nh nhau.
xc nh lng ma trung bnh nh khoa hc A lm nh sau. Ly s
liu ma ti mt s ln cc trm ti cng mt thi im chng hn ti n
trm H
0
, H
1
, ..., H
n1
ti thi im n = i ri ly trung bnh kt qu
x
i0
+x
i1
+ +x
i,n1
n
.
Nh khoa hc B ngh mt phng php khc n gin hn nhiu: i
ti mt trm no , chng hn trm H
j
v tnh lung ma trung bnh o
c ca trm theo thi gian
x
0j
+x
1j
+ +x
n1,j
n
.
Liu phung php ca cc nh khoa hc A v B c cho ta xc nh ng
n lung ma trung bnh?
Go X
n
l lng ma ti thi im n. (X
n
) l mt qu trnh ngu
nhin vi thi gian ri rc. Mt dy s liu ma o c trm H
j
: :
(x
0j
, x
1j
, ...., x
nj
, ...) l mt th hin ca qu trnh (X
n
). Cc s liu ma ti
cc trm quan st H
0
, ..., H
m
ti thi im i no cho ta mt mu quan
st c lp ca LNN X
i
: (x
i0
, x
i1
, ...., x
im
).
V mt ton hc nh khoa hc A tnh trung bnh tp hp ti mt thi
im c th (n = i)
Y
0
+ Y
1
+ +Y
n1
n
trong (Y
j
) l dy cc LNN c lp cng phn b vi X
i
. Trong khi
nh khoa hc B tnh trung bnh theo thi gian
X
0
() +X
1
() + +X
n1
()
n
i vi mt th hin = (x
00
, x
10
, ...., x
n0
, ...).
Gi s (X
n
) l mt qu trnh dng mnh. Khi (X
n
) c cng phn b
v EX
n
= m. Theo lut s ln ta c
Y
0
+Y
1
+ +Y
n1
n
m (n )
do kt qu ca nh khoa hc A cho mt s xp x m. Vy cch lm ca
A l ng n v c c s khoa hc bi lut s ln. Song vic lm ny i
hi nhiu cng sc, tn km v phi xy dng nhiu trm o ma.
Mun cho kt qu ca nh khoa hc B cng xp x m khi n kh ln th
v mt ton hc ta phi c
X
0
() +X
1
() + +X
n1
()
n
m (n )
vi hu ht th hin .
Gi thit trung bnh theo tp hp v trung bnh theo thi gian l trng
nhau ( khi n ) c gi l gi thuyt ergodic. ng tic rng gi thit
ny khng phi lun lun ng nh mt s cc nh vt l u th k 20
tin tng. Vo khong nm 1931 hai nh ton hc G.D.Birkhoff v A.Ia.
Khinchin chng minh rng trung bnh theo thi gian lun tn ti khi
n v ch ra cc iu kin n trng vi trung bnh theo tp hp.
nh l 2.22. Gi s (X
n
) l qu trnh dng. Khi tn ti gii hn
1
n
n1
k=0
X
k

X
theo ngha bnh phong trung bnh. Ni ring
1
n
n1
k=0
X
k
hi t ti

X theo xc sut.
Chng minh. Khng gim tng qut gi s EX
n
= 0. Xt biu din ph ca
X
n
X
n
=
_

e
in
dZ() .
Khi
1
n
n1
k=0
X(k) =
_

_
1
n
n1
k=0
e
ik
_
dZ() .
t
S
n
() =
1
n
n1
k=0
e
ik
.
Ta c
S
n
() =
_
_
_
1 nu = 0 ,
1e
in
n(1e
i
)
nu ,= 0
Do
lim
n
S
n
() =
_
_
_
1 nu = 0 ,
0 nu ,= 0 ,
hay
lim
n
S
n
() = I
{0}
() .
V [S
n
()[ 1 , nn theo nh l hi t b chn ta c S
n
() hi t ti
I
{0}
() trongL
2
([, ], ) . Vy
1
n
n1
k=0
X
k
=
_

S
n
()dZ()
_

I
{0}
()dZ() = Z(0) .
theo ngha bptb.
Qu trnh dng (X
n
) c gi l ergodic nu
1
n
n1
k=0
X
k
m
theo ngha bnh phong trung bnh trong m = EX
n
. Ni cch khc (X
n
)
l ergodic nu trung bnh thi gian hi t bptb ti trung bnh theo tp hp
hay (X
n
) tun theo lut s ln.
nh l sau dy cho ta iu kin cn v d (X
n
) l ergodic thng qua
o ph ca n.
nh l 2.23. Qu trnh dng (X
n
) l ergodic khi v ch khi 0 = 0.
Chng minh. T nh l trn suy ra (X
n
) l ergodic khi v ch khi Z(0) =
0 h.c.c. M E[Z(0)[
2
= 0. Do Z(0) = 0 h.c.c khi v ch khi
0 = 0
nh l 2.24. Gi s K(h) l hm tng quan ca X(n) . Khi (X
n
) l
ergodic nu v ch nu
lim
n
1
n
n1
m=0
K(m) = 0 ,
tc l K(n) 0 theo ngha trung bnh Cesaro khi n . iu kin
(X
n
) ergodic l lim
n
K(n) = 0 .
Chng minh. Xut pht t biu din ph ca K(h)
K(n) =
_

e
in
d() ,
tng t nh trong chng minh nh l 2.22 ta c
1
n
n1
m=0
K(m) =
_

S
n
()d() .
Thnh th
lim
n
1
n
n1
m=0
K(m) = (0) .
Theo nh l 2.23 ta c iu phi chng minh.
V K(n) 0 ko theo K(n) 0 theo ngha trung bnh Cesaro khi
n nn ta c iu kin (X
n
) ergodic l lim
n
K(n) = 0
nh l 2.22 l mt trng hp ring ca nh l ergodic trung bnh cho
ton t unita do nh ton hc M Von Neuman tm ra.
nh l 2.25. Cho H l khng gian Hilbert v T : H H l ton t tuyn
tnh bo ton tch v hng < Tf, Tg >=< f, g > ( T c gi l mt ton
t unita). Khi vi mi f H tn ti
lim
n
1
n
n1
k=0
T
k
f =

f.
Chng minh. K hiu H
T
l khng gian con bt bin ca T. H
T
= f H :
Tf = f v H
0
l khng gian con ca H sinh bi tp M = g Tg, g H.
B 2.1. Tf = f nu v ch nu T
f = f
Tht vy nu Tf = f th g H ta c
< T
f, g >=< f, Tg >=< Tf, Tg >=< f, g >

Suy ra T
f = f. Ngc li nu T
f = f th
|f Tf|
2
=< f Tf, f Tf >
=< f, f > < f, Tf > < Tf, f > + < Tf, Tf >
=< f, f > < T
f, f > < f, T
f > + < f, f >= 0.

B 2.2. Ta c phn tch sau
H = H
0
H
T
.
Tht vy ta cn ch ra H
T
= H
0
. Gi s f H
T
. Khi
< f, g Tg > =< f, g > < f, Tg >=< f, g > < T
f, g >
=< f, g > < f, g >= 0 g H
do b 1. Suy ra f H
0
. o li gi s f H
0
. Khi
0 =< f, g Tg > =< f, g > < f, Tg >
=< f, g > < T
f, g > g H.
Suy ra T
f = f Tf = f do b 2.1.
Ta bt tay vo chng minh nh l. Cho f H. Theo b 2.2, f = f
1
+

f
trong f
1
H
0
,

f H
T
. K hiu
S
n
=
1
n
n1
k=0
T
k
Ta c S
n
f = S
n
f
1
+S
n

f = S
n
f
1
+

f. Ta cn chng minh
lim
n
S
n
f
1
= 0 (2.12)
Cho > 0. Tn ti g H, v H, |v| < sao cho f
1
= g Tg + v .Ta c
S
n
f
1
= S
n
(g Tg) +S
n
v. D thy
|S
n
(g Tg)| =
_
_
_
_
T
n
g g
n
_
_
_
_
|T
n
g| +|g|
n
=
2|g|
n
v |S
n
v| |v| < . Thnh th
|S
n
f
1
| < 2
vi n ln. Vy (2.12) c chng minh.
Tip theo ta chng minh rng nh l 2.22 l h qu ca nh l Von
Neuman. Gi H l khng gian Hilbert sinh bi X
k
, k Z. Ta nh ngha
ton t T nh sau : Gi M l khng gian tuyn tnh sinh bi X
k
, k Z.
Nu f =
c
i
X
i
M th Tf =
c
i
X
i+1
.
V (X
n
) l qu trnh dng nn < Tf, Tg >=< f, g > f, g M. Do
T thc trin thnh ton t unita trn H. V X
k
= T
k
X
0
nn nh l 2.22
suy t nh l Von Neuman.
Nh nh l 2.22 chng t, trung bnh thi gian hi t bptb ti mt
LNN .Cu hi t ra l liu s hi t ny c phi l hi t hu chc chn
hay khng? Cu tr li l c nu (X
n
) l mt qu trnh dng mnh.
nh l 2.26. Gi s (X
n
) l qu trnh dng mnh vi E[X
n
[ < . Khi

lim
n
1
n
n1
k=0
X
n
=

X (h.c.c) .
Gii hn

X l mt LNN vi E

X = EX
n
.
Cng nh nh l 2.22 l trng hp ring ca dnh l ecgodic trung bnh
ca Von Neuman, nh l 2.26 (cn gi l lut mnh s ln cho qu trnh
dng mnh) l h qu ca nh l sau y c gi l dnh l ecgodic c
nhn do Birkoff v Khinchin tm ra.
nh l 2.27. Gi s (X, /, ) l mt khng gian xc sut v T : X X
l mt nh x bo ton o
(T
1
(A)) = (A) , A /.
Khi vi mi hm f L
1
(X, ) ta c
lim
n
1
n
n1
k=0
f(T
k
x) =

f(x)
tn ti -hu khp ni.
Hm gii hn

f L
1
(X, ) v ta c

f = E[f[/
0
] , trong /
0
l -i
s cc tp bt bin /
0
= C / : T
1
C = C
Chng minh kh phc tp nn chng ta cng nhn v b qua chng minh.
Ta s ch ra rng nh l 2.26 l h qu ca nh l ecgodic c nhn. Tht
vy cho (X
n
) l qu trnh dng mnh. Gi l o cm sinh bi dy (X
n
)
trn khng gian R
. Xt nh x T : R
xc nh bi
T(x
n
)
n=
= (x
n+1
)
n=
, (tc l (Tx)
n
= x
n+1
)
( T c gi l php dch chuyn sang tri).
Khi do (X
n
) l qu trnh dng mnh nn T bo ton o . p
dng nh l ecgodic c nhn cho hm
f(x) = x
0
nu x = (..., x
2
, x
1
, x
0
, x
1
, x
2
, ...)
ta c f(T
k
x) = (T
k
x)
0
= x
k
nu x = (..., x
2
2, x
1
, x
0
, x
1
, x
2
, ...).
Php bin i T c gi l ergodic nu vi mi tp bt bin A /
0
ta
c (A) = 0 hoc (A) = 1 . Khi mi hm /
0
-o c l hng s -hu
khp ni v ta c
f(x) = Ef(x) =
_
X
f(x)d(x) .
Vic nhn bit khi no mt php bin i T l ergodic ni chung l mt cng
vic phc tp. Mt tiu chun m bo tnh ergodic ca T l nh l sau
y:
nh l 2.28. Php bin i T trn khng gian xc sut (X, A, ) l ergodic
khi v ch khi
lim
n
1
n
n1
k=0
(A T
k
B) = (A)(B) (2.13)
Ni ring T l ergodic nu
lim
n
(A T
n
B) = (A)(B) (2.14)
Chng minh. Gi s c h thc (2.13) v B /
0
. Trong h thc cho
A = B th A T
k
B = B . Suy ra (B) =
2
(B) , do (B) = 0 hoc
(B) = 1 . Vy php bin i T l ergodic.
o li nu php bin i T l ergodic ta p dng nh l ergodic c nhn
Birkhoff - Khinchin cho hm f(x) = I
B
(x) th thu c
lim
n
1
n
n1
k=0
I
T
k
B
(x) = (B).
Tch phn hai v trn tp A ta s c h thc (2.13). R rng h thc
(2.13) c tho mn nu ta c h thc (2.14).
iu kin (2.14) c ngha l A v T
n
B l tim cn c lp khi n .
Php bin i T tho mn iu kin (2.14) c gi l c tnh trn. Nh vy
tnh trn ko theo tnh ergodic.
2.2. Qu trnh dng thi gian lin tc 119
Qu trnh dng mnh (X
n
) c gi l ergodic nu php dch chuyn
sang tri T l ergodic i vi o cm sinh bi qu trnh (X
n
).
nh l 2.29. Gi s (X
n
) l qu trnh dng mnh v ergodic. Khi vi
mi hm g : R
m
R ta c
lim
n
1
n
n1
k=0
g[X
k
.X
k+1
, ..., X
k+m1
] =
= Eg(X
0
, X
1
, ..., X
m1
).
Tht vy ch vic p dng nh l Birkhoff - Khinchin cho hm
f(x) = g(x
0
.x
1
, ..., x
m1
) , nu x = (x
n
)
n=
.
Nh vy, nu (X
n
) l qu trnh dng mnh ergodic th ta c th c lng
c cc c trng ca qu trnh (gi tr trung bnh, hm t tng quan)
da trn mt th hin ca n. iu ny c ngha ln trong nghin cu
thng k cc qu trnh dng. Chng hn, vi mi quan st (th hin) ca
qu trnh = (x
0
, x
1
, ...., ) th gi tr trung bnh m v hm t tng quan
K(h) c th xc nh bi
m = lim
n
1
n
n1
k=0
x
k
,
K(h) = lim
n
1
n
n1
k=0
(x
k+h
m)(x
k
m) .
2.2 Qu trnh dng thi gian lin tc
2.2.1 Hm t tng quan, o ph, biu din ph
Cho X(t) l qu trnh ngu nhin vi t R. Hm trung bnh m(t) c nh
ngha bi
m(t) = EX(t).
Hm t tng quan c nh ngha bi cng thc sau
r(s, t) = cov[X(s), X(t)] = E
_
X(s) m(s)
__
X(t) m(t)
_
=
= EX(s)X(t) m(s)m(t) .
V VarX(t) = cov[X(t), X(t)] nn ta c VarX(t) = r(t, t) .
nh l 2.30. Hm t tng quan r(t, s) l i xng v xc nh khng m
tc l
(i) r(s, t) = r(t, s) , s, t T .
(ii) nt
1
, t
2
, ..., t
n
T , b
1
, b
2
, ..., b
n
R
n
i=1
n
j=1
b
i
b
j
r(t
i
, t
j
) 0 .
Chng minh hon ton tng t nh trng hp thi gian ri rc.
V d 2.17. (Qu trnh Wiener.) Qu trnh W
t
, t R c gi l mt
qu trnh Wiener vi tham s
2
nu n c cc tnh cht sau
(i) W(0) = 0 .
(ii) Vi mi s, t R th W(t) W(s) l LNN c phn phi chun vi k
vng 0 v phng sai
2
[t s[ .
(iii) W(t) l qu trnh gia s c lp tc l vi mi t
1
< t
2
< ... < t
n
cc
LNN W(t
2
) W(t
1
) , W(t
3
) W(t
2
) , ..., W(t
n
) W(t
n1
) l c
lp.
Ta hy tm hm trung bnh v hm t tng quan ca W(t). T nh
ngha W(t) c phn b chun N(0, t) thnh th m(t) = 0. Ta tm hm t
tng quan r(t, s). Nu 0 s < t th
r(s, t) = EW(s)W(t) = EW(s)[W(s) +W(t) W(s)] =
= E[W(s)[
2
+E[W(s) W(0)][W(t) W(s)]
= E[W(s)[
2
+E[W(s) W(0)]E[W(t) W(s)]
= E[W(s)[
2
+EW(s)E[W(t) W(s)]
=
2
s.
Tng t nu s < t 0 th
r(s, t) = EW(s)W(t) = EW(t)[W(t) +W(t) W(s)] =
= E[W(t)[
2
+E[W(0) W(t)][W(t) W(s)]
= E[W(t)[
2
+E[W(0) W(t)]E[W(t) W(s)]
= E[W(t)[
2
EW(t)E[W(t) W(s)]
=
2
[t[.
Nu s < 0 < t th EW(s)W(t) = E(W(0) W(s)(W(t) W(0) =
E(W(0) W(s))E(W(t) W(s)) = 0.Vy
r(s, t) =
_
_
_
2
min([s[, [t[) nu rs 0
0 nu rs < 0.
nh ngha 2.9. Qu trnh X(t) c gi l mt qu trnh dng nu hm
trung bnh m(t) l hng s v hm t tng quan r(s, t) ch ph thuc vo
[t s[ . Ni cch khc m(t) = m t R v tn ti hm chn K(t) sao cho
r(t, s) = K(t s).
Hm K(t) cng c gi l hm t tng quan ca qu trnh dng X(t).
Ta c tnh cht sau y ca hm t tng quan
nh l 2.31.
(i) K(t) l hm chn K(t) = K(t) , t R.
(ii) [K(t)[ K(0) , t R .
(iii) K(t) l hm xc nh khng m tc l vi mi t
1
, t
2
, ..., t
n
R v
vi mi b
1
, b
2
, ..., b
n
R th
n
i=1
n
j=1
b
i
b
j
K(t
i
t
j
) 0.
Ta c nh l quan trng sau y:
nh l 2.32. Gi s K(t) l hm t tng quan ca mt qu trnh dng.
Nu K(t) lin tc th tn ti duy nht mt o hu hn trn R sao cho
ta c biu din tch phn
K(t) =
_

e
itx
d(x).
Chng minh. t (t) =
K(t)
K(0)
. Khi (t) l hm xc nh khng m v
(0) = 1. Theo nh l Bochner th (t) l hm c trng ca mt o
xc sut no . t = K(0) ta c biu din cn tm.
o c gi l o ph ca qu trnh dng X(t).
Nu o l tuyt i lin tc d = f(x)dx th f(x) c gi l mt
ph. Khi ta c
K(t) =
_

e
itx
f(x)dx.
Hm f(x) xc nh trn R l mt ph ca mt qu trnh dng no
khi v ch khi
1. f(x) = f(x) vi mi x R
2. f(x) 0 x R
3. v
_

f(x)dx < .
Vi mt s iu kin nht nh c th tm c mt ph t hm tng
quan. C th ta c
nh l 2.33. Nu
_
[K(t)[dt < th o ph c mt f(x) v

f(x) =
1
2
_

e
itx
K(t)dt .
Ch : Nu qu trnh X(t) nhn gi tr thc th K(t) nhn gi tr thc.
Khi ta c
K(t) =
_

cos txd(x).
V d 2.18. Xt hm
K(t) = e
|t|
trong , l cc s dng cho trc.
y l mt hm chn xc nh khng m v th n l hm t tng quan
ca mt qu trnh dng. V
_

[K(t)[dt = 2
_

0
e
t
dt < ,
nn mt ph f(x) l
f(x) =

2
_

e
itx
e
|t|
dt.
Ta hy tnh tch phn trn. Ta c
_

0
e
itx
e
t
dt =
_

0
e
(+ix)t
dt =
e
(+ix)t
( +ix)
0
=
1
+ix
,
_
0
e
itx
e
t
dt =
_
0
e
(ix)t
dt =
e
(ix)t
ix
=
1
ix
.
Vy th
f(x) =

2
_
1
+ix
+
1
ix
_
=

(
2
+x
2
)
.
Tip theo l nh l v biu din ph ca qu trnh dng.
nh l 2.34. Cho X(t) l qu trnh dng c hm t tng quan lin tc.
Khi tn ti o ngu nhin trc giao Z trn R sao cho
X(t) =
_

e
it
dZ() , t R .
Chng minh tng t nh trng hp thi gian ri rc.
2.2.2 Ting n trng, trung bnh trt tch phn
Qu trnh n trng v gn lin vi n l khi nim qu trnh trung bnh trt
trong trng hp thi gian lin tc l g? Qu trnh ngu nhin X(t) c th
coi nh mt hm X : R H xc nh trn R ly gi tr trn H, H l
khng gian Hilbert cc LNN c momen cp 2 tc l H = L
2
(, /, P). V
th ta c khi nim L
2
- kh vi v L
2
-kh tch nh sau:
nh ngha 2.10.
1. Qu trnh ngu nhin X(t) c gi l L
2
- kh vi nu hm t X(t)
t R vo H l kh vi. Ngha l gii hn
lim
h0
X(t +h) X(t)
h
tn ti trong H vi mi t. Gii hn ny c gi l L
2
- o hm ca
X(t) v k hiu l X
(t).
2. Qu trnh X(t) c gi l L
2
- kh vi lin tc nu n L
2
- kh vi v
hm t X
(t) l lin tc.

3. Qu trnh ngu nhin X(t) c gi l L
2
- kh tch nu hm t X(t)
t R vo H l kh tch Riemann. Tch phn
_

X(t)dt
l mt phn t ca H ngha l mt LNN.
Cc nh l sau y cho ta tiu chun mt qu trnh X(t) l L
2
-kh
vi hay L
2
-kh tch thng qua hm trung bnh v hm t tng quan.
nh l 2.35. Qu trnh X(t) l L
2
-kh vi khi v ch khi hm trung bnh
m(t) kh vi v tn ti gii hn
lim
h,k0
1
hk
_
r(t
0
+h, t
0
+k) r(t
0
+h, t
0
) r(t
0
, t
0
+k) +r(t
0
, t
0
)
_
.
Ni ring qu trnh X(t) l L
2
-kh vi nu hm trung bnh m(t) kh vi v o
hm cp 2
2
r(s, t)
st
ca hm t tng quan tn ti v lin tc.
nh l 2.36. X(t) l L
2
-kh tch trn R nu v ch nu hm trung bnh
m(t) kh tch trn R v hm t tng quan r(s, t) kh tch trn R
2
. Trong
trng hp ta c cng thc sau:
E
_
_
R
X(t)dt
_
=
_
R
m(t)dt ,
Var
_
_
R
X(t)dt
_
=
_
R
_
R
r(s, t)dsdt ,
Cov
_
X(s),
_
R
X(t)dt
_
=
_
R
r(s, t)dt .
V d 2.19. Qu trnh Wiener khng L
2
-kh vi. Tht vy qu trnh Wiener
c hm t tng quan l
r(s, t) =
2
min(s, t) nu st > 0.
Vi h = k > 0 ta c
lim
h0
1
h
2
_
r(t
0
+h, t
0
+h) r(t
0
+h, t
0
) r(t
0
, t
0
+h) +r(t
0
, t
0
)
_
= lim
h0
2
h
2
[t
0
+h t
0
t
0
+t
0
] = lim
h0
2
h
= .
Gi s X(t) l qu trnh gia s trc giao trn R. Trong tit 3 chng ta
nh ngha tch phn ngu nhin dng
_
R
f(t)dX(t)
vi mi hm f(t) bnh phng kh tch
_
[f(t)[
2
dm(t) < . Ta c mi lin
h sau y:
Nu qu trnh gia s trc giao X(t) l L
2
- kh vi lin tc th
_
R
f(t)dX(t) =
_
R
f(t)X
(t)dt. (2.15)
Khi ta c th gn mi qu trnh gia s trc giao X(t) l L
2
- kh vi lin
tc vi mt phim hm tuyn tnh ngu nhin xc nh trn khng gian L
2
R
bi cng thc
< f, T >=
_
R
f(t)dX(t) =
_
R
f(t)X
(t)dt =< f, X
(t) > .
Vi mi qu trnh gia s trc giao X(t) bt k ( khng nht thit c L
2
- o
hm lin tc) ta nh ngha L
2
-o hm suy rng ca X(t) l phim hm
ngu nhin tuyn tnh T xc nh trn khng gian L
2
R bi cng thc
< f, T >=
_
R
f(t)dX(t).
Ta cng k hi hnh thc T = X
(t) v tch phn

_
R
f(t)X
(t)dt c hiu
l
_
R
f(t)dX(t).
Gi s W(t) l qu trnh Wiener. Nh thy n khng c L
2
- o hm.
Tuy nhin nhiu vn ca thc tin i hi ta phi gn cho o hm W
(t)
mt ngha no . Nh khi nim L
2
- o hm suy rng ta c th dnh
ngha n trng nh sau
nh ngha 2.11. L
2
-o hm suy rng ca qu trnh Wiener W
(t) ddc
gi l ting n trng (white noise).
(Trong chng 4 chng ta s cp chi tit hn khi nim ting n trng).
T tnh cht ca tch phn ngu nhin trnh by trong mc 3 ta c cc
kt qu sau
E
_
_
R
f(t)dW(t)
_
= 0 ,
E
_
_
R
f(t)dW(t)
_
R
g(t)dW(t)
_
=
2
_
R
f(t)g(t)dt ,
Var
_
_
R
f(t)dW(t)
_
=
2
_
R
f
2
(t)dt ,
E
_
_
c
a
f(t)dW(t)
_
b
d
g(t)dW(t)
_
= 0 , vi a c d b ,
E
_
_
c
a
f(t)dW(t)
_
b
a
g(t)dW(t)
_
=
2
_
c
a
f(t)g(t)dt vi a c b.
By gi ta nh ngha khi nim trung bnh trt tch phn.
nh ngha 2.12. . Cho trc hm h(t) tho mn
_
R
h(t)
2
dt <
. Qu trnh X(t) xc nh bi
X(t) =
_

h(t s)W
(s)ds =
_

h(t s)dW(s) ,
c gi l u ra ca php bin i tuyn tnh n trng vi hm truyn xung
h(t) hay cn gi l mt trung bnh trt tch phn.
Khng gim tng qut ta c th xem W(t) l qu trnh Wiener vi tham
s
2
= 1.
nh l 2.37. X(t) l mt qu trnh dng vi hm t tng quan
K(s) =
_

h(s +v)h(v)dv
v hm mt ph
f() =
1
2
.[g()[
2
,
trong
g() =
_

h(s)e
is
ds .
Chng minh. Ta c
K(s) =< X(t +s), X(t) >=
_

h(t +s u)h(t u)du .

Php i bin v = t u cho ta
K(s) =
_

h(s +v)h(v)dv .
Tip theo v
_

[K(t)[dt
_

h
2
(t)dt < ,
do
f() =
1
2
.
_

e
it
K(t)dt .
Ta c
_

e
it
K(t)dt =
_

dt
_

e
it
h(t +v)h(v)dv =
=
_

e
iv
h(v)dv
_

e
i(t+v)
h(t +v)dt =
=
_

e
iv
h(v)g()dv = g()g() = [g()[
2
.
Vy
f() =
1
2
.[g()[
2
.
Trong trng hp h(s) = 0 , vi s < 0 , th X(t) c gi l trung bnh
trt tch phn mt pha hay cn gi l u ra ca mt b lc kh thi. Trong
trng hp ny, hm mt ca X(t) l
f() =
1
2
.[g()[
2
,
trong
g() =
_

0
h(s)e
is
ds .
nh l sau cho ta iu kin cn v X(t) c biu din trung bnh
trt tch phn mt pha
X(t) =
_
t
h(t s)dW(s).
nh l 2.38.
(i) Qu trnh dng X(t) c biu din trung bnh trt tch phn mt pha
nu v ch nu hm mt ph ca n c dng
f() =
1
2
.[g()[
2
,
trong
g() =
_

0
h(s)e
is
ds .
(ii) iu kin cn v hm mt ph f() c dng trn l
_

lnf()
1 +
2
d > .
V d 2.20. Cho X(t) l qu trnh dng vi hm t tng quan l
K(t) = e
|t|
> 0, > 0.
Trong v d trc ta thy hm mt ca X(t) l
f() =

(
2
+
2
)
.
C th vit li
f() =
1
2
.
2
[ +i[
2
,
do
g() =
2
+i
.
Ta c
1
+i
=
_

0
e
t
e
it
dt ,
nn
g() =
_

0
_
2e
t
e
it
dt ,
do
h(t) =
_
2e
t
.
Vy ta c biu din trung bnh trt tch phn mt pha nh sau
X(t) =
_
t
_
2e
(ts)
dW(s).
2.2.3 Phng trnh vi phn, d bo v tnh ergodic
Nh ta bit mt qu trnh (X
n
) t hi quy cp 1 l qu trnh tho mn
phng trnh sai phn sau y
X
n
= pX
n1
+W
n
hay
(1 p)X
n
pDX
n
= W
n
DX
n
= X
n
X
n1
l sai phn cp 1. Trong trng hp thi gian lin
tc tng t vi phng trnh sai phn l phng trnh vi phn. Xt phng
trnh vi phn ngu nhin cp 1 sau y
a
0
X
(t) a
1
X(t) = W
(t) (2.16)
cc h s a
0
, a
1
> 0 cn W
(t) l n trng ( tc l L
2
-o hm suy
rng ca W(t)). Qu trnh dng X(t) c gi l nghim ca phng trnh
vi phn trn nu ta c
a
0
(X(t) X(t
0
)) a
0
_
t
0
X(s)ds = W(t) W(t
0
) t > t
0
.
Ngi ta chng minh c rng phng trnh (2.16) c nghim duy
nht cho bi cng thc sau
X(t) =
1
a
0
_
t
e
(ts)
dW(s) .
Hm t tng quan ca n l
K(t) =
1
2a
0
a
1
.e
|t|
,
v hm mt ph l
f() =
1
2
.
1
[a
1
+ia
0
[
2
=
1
2(a
2
1
+a
2
0
2
)
.
Tng qut hn ta xt phng trnh vi phn ngu nhin cp p
a
0
X
(p)
(t) +a
1
X
(p1)
(t) +... +a
p
X(t) = W
(t). (2.17)
Nghim ca phng trnh (2.17) c hiu l mt qu trnh dng, L
2
-kh vi
cho ti cp p 1 v tho mn
a
0
_
X
(p1)
(t) X
(p1)
(t
0
)
_
+a
1
_
X
(p2)
(t) X
(p2)
(t
0
)
_
+...+
+a
p1
_
X(t) X(t
0
)
_
+a
p
_
t
t
0
X(s)ds = W(t) W(t
0
) t > t
0
.
C th xem nghim X(t) ca phng trnh vi phn ngu nhin cp p l dng
lin tc ca qu trnh t hi quy cp p. Ta c nh l sau:
nh l 2.39. Nu phng trnh tt nh thun nht tng ng
a
0
x
(n)
(t) +a
1
x
(n1)
(t) +... +a
n
x(t) = 0 .
l n nh th phng trnh (2.17) c nghim duy nht cho bi cng thc sau
X(t) =
_
t
h(t s)W
(s)ds =
_
t
h(t s)dW(s) .
V d 2.21. Phng trnh chuyn ng ca con lc trong cht lng ri.
Phng trnh chuyn ng ca con lc trong cht lng ri c m t nh
sau
X
(t) + 2X
(t) + (
2
+
2
)X(t) = W
(t)
trong X(t) l khong dch chuyn ca con lc so vi v tr ng yn, v
l cc h s cn W
(t) l lc tc ng ngu nhin (lc ny l s va p

ca cc phn t nn c m t bng n trng). Phng trnh thun nht tt
nh tng ng
x
(t) + 2x
(t) + (
2
+
2
)x(t) = 0 ,
c nghim n nh. Thnh th, phng trnh c nghim duy nht cho bi
X(t) =
1
_
t
e
(ts)
sin[(t s)]dW(s) .
Hm t tng quan ca X(t)
K(t) =
e
|t|
4(
2
+
2
)
_
cos [t[ +

sin[t[
_
.
Hm mt ph ca X(t)
f() =
1
2[(
2
2
)
2
+ 4
2
2
]
.
Tip theo, ta xt bi ton d bo qu trnh dng thi gian lin tc. Xt
qu trnh dng X(t) v khng gim tng qut gi s EX(t) = 0. Vi mi T
ta k hiu H(X, t) l khng gian con ca L
2
(, T, P) sinh ra bi cc LNN
X(u), u t. Cc phn t ca H(X, t) l gii hn bptb ca cc t hp
tuyn tnh dng
n
i=1
c
i
X(s
i
) , s
i
t . Ta gi H(X, t) l khng gian tuyn
tnh cc qu kh v hin ti ca X(t) .
Cho h > 0 v ta mun tm mt d bo tt nht ca X(t +h) cn c trn
cc quan st hin ti v qu kh X(u) , vi u t . D bo tuyn tnh tt
nht ca X(t +h) cn c trn cc quan st hin ti v qu kh cho ti thi
im t c nh ngha l mt LNN

X(t +h) H(X, t) sao cho sai s bptb
E[X(t +h)

X(t +h)[
2
l nh nht so vi mi d bo Y (t +h) H(X, t).
Ngha l
E[X(t +h)

X(t +h)[
2
E[X(t +h) Y (t +h)[
2
, Y H(X, t) .
Nh vy

X(t + h) chnh l hnh chiu vung gc ca X(t + h) ln H(X, t).
Thnh th

X(t + h) l d bo tuyn tnh tt nht ca X(t +h) khi v ch
khi

X(t +h) H(X, t) v
E
_
X(t +h)

X(t +h)
_
Y = 0 , Y H(X, t) ,
hay tng ng
(i)

X(t +h) H(X, t) ,
(ii) E
_
X(t +h)

X(t +h)
_
X(u) = 0 , u t.
V d 2.22. Xt bi ton d bo qu trnh dng X(t) l nghim phng
trnh vi phn ngu nhin cp 1 sau
a
0
X
(t) a
1
X(t) = W
(t) , v =
a
1
a
0
> 0 .
Nh bit X(t) c biu din
X(t) =
1
a
0
_
t
e
(ts)
dW(s) .
Ta c
X(t +h) =
1
a
0
_
t
e
(t+hs)
dW(s) +
1
a
0
_
t+h
t
e
(t+hs)
dW(s)
=
1
a
0
e
h
_
t
e
(ts)
dW(s) +
1
a
0
_
t+h
t
e
(t+hs)
dW(s)
=
1
a
0
e
h
X(t) +Y .
Ta chng minh rng
X(t +h) =
1
a
0
e
h
X(t)
chnh l d bo tuyn tnh tt nht. Qu vy r rng

X(t+h) =
1
a
0
e
h
X(t)
H(X, t) .
Vi mi u t ta c
E
_
X(t +h)

X(t +h)
_
X(u) =
=
e
h
a
0
E
_
X(u)
_
t+h
t
e
(ts)
dW(s)
_
=
=
e
h
a
2
0
E
_
_
u
e
(ts)
dW(s)
_
t+h
t
e
(ts)
dW(s)
_
= 0
( y ta s dng kt qu
E
_
_
c
a
f(t)dW(t)
_
b
d
g(t)dW(t)
_
= 0, vi a c d b).
Tng qut, xt qu trnh X(t) l nghim ca phng trnh vi phn ngu
nhin cp p . Ta c kt qu sau y
nh l 2.40. Gi s X(t) l nghim ca phng trnh vi phn ngu nhin
cp p
a
0
X
(p)
(t) +a
1
X
(p1)
(t) +... +a
p
X(t) = W
(t) .
Khi d bo tuyn tnh tt nht ca X(t+h) da trn qu kh X(s) , s
t c dng sau
X(t +h) =
1
(h) +
2
(h)X
(t) +... +
p
(h)X
(p1)
(t) ,
trong
1
(t),
2
(t), ...,
p
(t) l cc nghim ca phng trnh vi phn thun
nht tt nh tng ng
a
0
x
(p)
(t) +a
1
x
(p1)
(t) +... +a
p
x(t) = 0 ,
tho mn iu kin
(k)
j
(0) = 0 (k ,= j 1) ,
(j1)
j
(0) = 1 (j = 1, 2, ..., p) .
Sai s bnh phng trung bnh l
2
h
=
1
a
2
0
_
h
0
2
p
(s)ds .
By gi chng ta xt khi nim ergodic cho trng hp thi gian lin tc.
u tin chng ta c
nh l 2.41. Cho X(t) l qu trnh dng vi trung bnh 0 v o ph .
Khi tn ti gii hn
L
2
lim
T
1
T
_
T
0
X(t)dt = Z(0) ,
trong Z l o ph ngu nhin ca X(t).
Chng minh. Tht vy ta c
X(t) =
_

e
it
dZ() .
Nn
U
T
=
1
T
_
T
0
X(t)dt =
_
T
0
_

e
it
T
dtdZ() .
Thay i th t ly tch phn ta c
U
T
=
_

dZ()
_
T
0
e
it
T
dt .
Ch rng
V (T, ) =
_
T
0
e
it
T
dt =
_
_
_
1 nu = 0 ,
e
iT
1
iT
nu ,= 0.
Thnh th
lim
T
V (T, ) =
_
_
_
1 nu = 0 ,
0 nu ,= 0 .
Suy ra
1
T
_
T
0
X(t)dt =
_

V (T, )dZ() .
Do [V (T, )[ 1 , cho nn V (T, ) hi t ti I
{0}
() trong L
2
(R, ) .
V th
L
2
lim
T
_

V (T, )dZ() =
_

I
{0}
()dZ() = Z(0).
Cho X(t) , t R l mt qu trnh cp 2 vi hm trung bnh m(t) v
hm t tng quan r(s, t) . Ta ni rng X(t) ergodic nu
L
2
lim
t
1
T
_
_
T
0
X(t)dt
_
T
0
m(t)dt
_
= 0
T nh l 2.41 ta suy ra
nh l 2.42. Qu trnh X(t) ergodic nu v ch nu (0) = 0, trong
l o ph ca X(t).
By gi ta tm iu kin ergodic thng qua hm tng quan.
nh l 2.43. Qu trnh X(t) ergodic nu v ch nu
lim
T
1
T
2
_
T
0
_
T
0
r(s, t)dtds = 0 .
Chng minh. t X
0
(t) = X(t) m(t) th X(t) l ergodic nu v ch nu
L
2
lim
t
1
T
_
T
0
X
0
(t)dt = 0 .
iu ny tng ng vi
E
1
T
t
T
0
X
0
(t)dt
2
0 (T ) .
Li c
E
1
T
_
T
0
X
0
(t)dt
2
=
1
T
2
_
T
0
_
T
0
r(s, t)dtds.
Thnh th nh l c chng minh.
Gi s X(t) l qu trnh dng vi hm t tng quan K(t). Khi
m(t) = m = hng s v X(t) ergodic nu
L
2
lim
T
1
T
_
T
0
X(t)dt = m .
iu kin ergodic trong nh l trn tr thnh
lim
T
1
T
2
_
T
0
_
T
0
K(t s)dtds = 0 .
nh l 2.44. Qu trnh X(t) l ergodic nu v ch nu
lim
T
1
T
_
T
0
(1
t
T
)K(t)dt = 0 ,
trong K(t) l hm t tng quan ca X(t). Ni ring X(t) l ergodic
nu lim
t
K(t) = 0.
Chng minh. Trc ht ta c ng thc sau
I =
1
T
2
_
T
0
_
T
0
K(t s)dtds =
2
T
_
T
0
(1
t
T
)K(t)dt .
Tht vy t = t s th
I =
1
T
2
_
T
0
_
Ts
s
K()dds =
=
1
T
2
_
_
T
0
_
Ts
0
K()dds +
_
T
0
_
0
s
K()dds
_
.
Vi tch phn th nht ta i bin u = T s vi tch phn th hai ta i
bin v = th c
I =
1
T
2
_
_
0
T
_
u
0
K()ddu
_
T
0
_
0
s
K(v)dvds
_
=
=
1
T
2
_
_
T
0
_
u
0
K()ddu +
_
T
0
_
s
0
K(v)dvds
_
=
=
1
T
2
_
_
T
0
_
u
0
[K() +K()]ddu
_
=
=
2
T
2
_
T
0
_
u
0
K()ddu .
V X(t) l qu trnh dng nn K() = K(). Li c
_
T
0
_
u
0
K()ddu =
_
T
0
_
T
0
K()I
{u}
ddu =
=
_
T
0
dK()
_
T
0
I
{u}
du =
=
_
T
0
K()(T )d .
Suy ra
I =
2
T
2
_
T
0
K()(T )d =
2
T
_
T
0
(1

T
)K()d
nh l mong mun.
Tip theo gi s lim
t
K(t) = 0.V rng
_
T
0
(1
t
T
)K(t)dt

_
T
0
[K(t)[dt ,
2.3. Bi tp 139
nn ta ch cn chng minh
lim
T
1
T
_
T
0
[K(t)[dt = 0.
Cho > 0 , tn ti T
0
[K(t)[ < nu t > T
0
. Do
_
T
0
[K(t)[dt =
_
T
0
0
[K(t)[dt +
_
T
T
0
[K(t)[dt
_
T
0
0
[K(t)[dt +(T T
0
) .
Vy ta c
lim
T
1
T
_
T
0
[K(t)[dt .
V > 0 nh tu nn ta thu c iu cn chng minh.
2.3 Bi tp
1. Cho W
n
l dy n trng vi tham s
2
v a, b, c l cc hng s. Trong
cc qu trnh sau y ci no l dng? Vi mi qu trnh dng hy tm
gi tr trung bnh v hm t tng quan.
a. X
n
= a +bW
n
+cW
n1
b.X
n
= W
1
cos(cn) +W
2
sin(cn)
c. X
n
= W
n
cos(cn) +W
n1
sin(cn)
d. X
n
= a +bW
0
e. W
0
cos(cn)
f. X
n
= W
n
W
n1
2. Cho X
n
l trung bnh trt cp 2 cho bi cng thc
X
n
= W
n
+rW
n2
.
a Tm hm t tng quan khi r = 0, 8
b Tnh phng sai ca trung bnh (X
1
+X
2
+X
3
+X
4
)/4.
3. Chng minh rng nu (X
n
) v (Y
n
) l hai qu trnh dng khng tng
quan (tc l X
n
v Y
m
l khng tng quan vi mi m, n ) th tng
X
n
+ Y
n
l qu trnh dng vi hm t tng quan bng tng ca hai
hm tng quan ca X
n
v Y
n
4. Cho (Y
n
) l qu trnh AR(1) cng vi mt ting n
Y
n
= X
n
+Z
n
vi (X
n
) l qu trnh AR(1)
X
n
pX
n1
= W
n
vi cov(W
n
, Z
m
) = 0.
a Chng minh rng (Y
n
) l qu trnh dng v hy tm hm t tng
quan ca n.
b Chng minh rng qu trnh U
n
= Y
n
pY
n1
l 1-tng quan do
l mt Qu trnh MA(1)
5. Chng minh rng cc hm sau y l hm t tng quan
a)K(h) = (1)
|h|
b)K(h) = 1 + cos(
h
2
) + cos(
h
4
).
6. Cho (X
n
) l qu trnh dng v [p[ < 1. Chng minh rng vi mi n
chui
S
m
=
m
j=1
p
j
X
nj
hi t tuyt i v bptb.
2.3. Bi tp 141
7. Cho X(t), t R l mt qu trnh dng.t Y (t) = X(t + 1) X(t)
.Chng minh rng Y (t) l qu trnh dng vi trung bnh 0 v hm
tng quan l
r(t) = 2r
X
(t) r
X
(t 1) r
X
(t + 1) .
8. Cho X(t) , t R l mt qu trnh dng vi t hm tng quan r(t).
Chng minh rng
a Var [X(s +t) X(s)] = 2[r(0) r(t)] .
b Vi M > 0 th
P
_
[X(s +t) X(s)[ M
_
2
M
2
[r(0) r(t)].
9. Cho R l hai LNN c lp. c phn b u trn on [0, 2] cn
R c hm mt l
f(r) =
_
_
_
r
2
e
r
2
/2
2
, n u 0 < r < ,
0 , nu r 0 ,
trong l hng s. a)Chng minh rng Rcos v Rsin l cc
LNN c lp c phn b chun N(0,
2
) .
b) Gi s > 0 l mt hng s. t X(t) = Rcos (t + ) . Chng
t rng X(t) l qu trnh dng vi trung bnh 0 v hm t tng quan
r
X
(t) =
2
cos t .
10. Cho R
1
, R
2
, ..., R
n
v
1
,
2
, ...,
n
l cc LNN c lp sao cho:
+) Cc LN N
k
c phn b u trn on [0, 2] .
+) Cc LNN R
k
c hm mt l
f
k
(r) =
_
_
_
r
2
k
e
r
2
/2
2
k
, nu 0 < r < ,
0 , nu r 0 ,
trong
k
l hng s.
Cho
1
,
2
, ...,
n
l cc hng s dng. t
X(t) =
n
k=1
R
k
cos (
k
t +
k
) .
Chng t rng X(t) l qu trnh dng vi hm t tng quan l
r(t) =
n
k=1
2
k
cos
k
t .

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Chng 2.

g(x)d(x) , vi mi hm lin tc g(x) .

f, g >=< f, Tg >=< Tf, Tg >=< f, g >

f > + < f, f >= 0.

2.1. Qu trnh dng thi gian ri rc 117

[K(t)[dt < th o ph c mt f(x) v

(t) l lin tc.

(t) v tch phn

h(t +s u)h(t u)du .

(t) l lc tc ng ngu nhin (lc ny l s va p

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