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BI TP MN QU TRNH NGU NHIN

Cc sinh vin lm cc bi tp pha di chun b cho gi sa bi tp vo bui
hc ngy th 4 (04/04/2012) v kim tra gia k vo ngy th 4 (11/04/2012).

1. Cho bit (Xn ), n = 0, 1, 2... l xch Markov vi khng gian trng thi S = {1, 2, 3} v ma
trn xc sut chuyn

0
1
0 1 , [0, 1].
P =
1/3 1/3 1/3
t
(
1 nu Xn < 3,
Yn =
2 nu Xn = 3.
Chng t rng (Yn ), n = 0, 1, 2, ... l xch Markov v tm ma trn xc sut chuyn ca n.
2. Cho P = (p(i, j)); 1 i, j m l ma trn ngu nhin v l gi tr ring ca n, tc
l nghim ca phng trnh c trng det(P I) = 0, vi I l ma trn n v. Chng minh
rng 0 = 1 l mt gi tr ring, ng thi cc gi tr ring cn li u c gi tr tuyt i ln
hn 1.
3. Ta b N qu cu en v N qu cu trng mt cch ngu nhin vo hai chic bnh sao
cho mi bnh c ng N qu cu. Gi Xn l s qu cu en trong bnh th nht ti thi
im n = 0, 1, 2, .... Ti mi thi im (n + 1), ly ngu nhin t mi bnh 1 qu cu ri b
vo bnh kia.

Chng t rng (Xn ) l mt xch Markov vi phn phi dng l = (k ) =
k 2
N
(CN ) /C2N , k = 0, 1, 2, ..., N .
4. Phn loi trng thi cc xch Markov sau:
a) Khng gian trng thi S = {0, 1, 2, 3} v

0
1
P =
0
0

ma trn xc sut chuyn l

0 1/2 1/2
0 0
0

1 0
0
1 0
0

b) Khng gian trng thi S = {0, 1, 2, 3} v

0
1
P =
0
0

ma trn xc sut chuyn l

0 1/2 1/2
0 0
0

1 0
0
0 1
0

b) Khng gian trng thi S = {0, 1, 2, 4}

1/2
1/2

P =
0
0
1/4

v ma trn xc sut chuyn l

1/2 0
0
0
1/2 0
0
0

0 1/2 1/2 0

0 1/2 1/2 0
1/4 0 1/4 1/4

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b) Khng gian trng thi S = {0, 1, 2, 4} v ma trn

1/2 0 1/2
1/4 1/2 1/4

P =
1/2 0 1/2
0
0
0
0
0
0

xc sut chuyn l

0
0
0
0

0
0

1/2 1/2
1/2 1/2

5. Chng minh rng nu i l hi quy v khng lin lc c vi j th p(i, j) = 0.

6. Cho (Xn ), n = 0, 1, 2, ... l xch Markov ri rc, thun nht vi khng gian trng thi
S = {1, 2, 3, 4, 5} v ma trn xc sut chuyn

1/4 1/4 0
0 1/2
1/3 0 1/3 1/3 0

1/2
0
0
0
1/2
P =

0
0
0 1/2 1/2
0
0
0
1
0
Xch (Xn ) c ti gin khng? Ti sao? Nu khng ti gin, hy phn chia S thnh cc lp tng
ng theo quan h lin lc. Tnh chu k ca cc trng thi.
7. Xc nh phn phi dng v phn phi gii hn ca xch Markov vi khng gian trng
thi S = {0, 1, 2, 3} v ma trn xc sut chuyn l
a)

0 1/2 0 1/2
1/4 0 3/4 0

P =
0 1/3 0 2/3
1/2 0 1/2 0
b)

0
0 1/2 1/2
0
0 1/3 2/3

P =
1/4 3/4 0
0
1/3 2/3 0
0
8. Cho X1 , X2 , ... l dy bin ngu nhin ri rc, c lp, cng phn phi xc sut
P(Xk = 1) = p,

P(Xk = 1) = 1 p (0 p 1, k = 1, 2, ...)

t S0 = 0, Sn = X1 + X2 + ... + Xn , n = 1, 2, ... v gi l s nhng gi tr n sao cho Sn = 0.

Chng minh rng
a) Nu p 6= q th P( < ) = 1
b) Nu p = q th P( = ) = 1

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9. Cho dy cc bin ngu nhin nhn gi tr nguyn khng m (Fn ), n 0, c xc nh
nh sau: F0 = 0, F1 = 1 v nu bit F0 , F1 , ..., Fn , th Fn+1 nhn mt trong hai gi tr l
Fn1 + Fn hoc Fn1 Fn vi xc sut tng ng l 1/2 v 1/2. Hi (Fn ), n 0 c phi l mt
xch Markov hay khng?
t Xn = (Fn1 , Fn ), n 1. Chng minh (Xn ), n 1 l mt xch Markov, t hy tnh
xc sut dy cc bin ngu nhin (Fn ), n 0 nhn gi tr 3 trc khi quay li nhn gi tr 0.
S dng tnh Markov mnh (strong Markov property), chng minh
rng xc sut
(Xn ), n 1 va chm trng thi (1, 1) khi bt u t trng thi (1, 2) l (3 5)/2.
n
T kt qu trn hy suy ra rng (Xn ), n 1 l khng hi quy v ta c P(Fn ) = 1
10. Cho X0 l mt bin ngu nhin ly gi tr trong tp m c S. t Y1 , Y2 , ... l mt
dy cc bin ngu nhin c lp cng phn phi trong R v
g : S R S
l mt hm o c. Ta nh ngha bng quy np dy (Xn ), n 1 nh sau
Xn+1 = g(Xn , Yn+1 ), n 1
Chng minh rng (Xn )n0 l mt xch Markov v hy biu din ma trn xc sut chuyn P
ca n theo hm g.
11. Cho khng gian xc sut (, F, P). Chng minh rng
(
P(A|B)
nu B
E(1A |1B )() =
P(A|B) nu
/B
vi A, B F v 0 < P(B) < 1.
12. Cho khng gian xc sut (, F, P) trong = [0, 1], F = B(R) [0, 1] v P l o
Lebesgue trn [0, 1]. Hy xc nh E(|) nu
(x) = 2x2

(x) = 1 |2x 1|

13. Cho khng gian xc sut (, F, P) trong = [0, 1), F = B(R) [0, 1) v P l o
Lebesgue trn [0, 1). Hy xc nh E(|) nu
(
2x
nu 0 x < 12
(x) = 2x2 (x) =
2x 1 nu 21 x < 1
14. Cho n l mt symmetric random walk, ngha l,
n = 1 + ... + n ,
trong 1 , 2 , ... l mt dy cc bin ngu nhin c lp cng phn phi tha
P(n = 1) = P(n = 1) =

1
2

Chng minh (n2 n, Fn ) lm mt martingale trong Fn = (1 , ..., n ).

15. Cho n l mt symmetric random walk v Fn c nh ngha nh bi 14 pha trn.
Chng minh (n , Fn ) l mt martingale, vi n = (1)n cos(n ).