& FUSIKWN EPISTHMWN

Markov- Ionioc 2011

SQOLH EF. MAJHMATIKWN

Askseic stic alusdec

1 (Xn )nN0 X = {1, 2, 3}

0
1
0
P = 0 2/3 1/3 .
p 1p 0


P Xn = 1 |X0 = 1 : ) p = 1/16, ) p = 1/6, ) p = 1/12.


(n)
(n)
: P Xn = 1 |X0 = 1 = p11 , p11
P n . P :



 

 1

1
0 
1
0 
1
0   1


|I P | =  0 2/3 1/3  =  1 2/3 1/3  = ( 1)  1 2/3 1/3 
 1 1 + p
 p 1 + p


  1 1 + p


 1
1
0 

( 1)

= ( 1)  0 + 1/3 1/3  =
(32 + + p).
3
 0

p

= 1 12p p
:
) p = 1/16. = 1/4 P 1 = 1, 2 = 5/24, 3 = 1/8. ui , i = 1, 2, 3
i P = RR1 , R
ui 1 , 2 , 3 . , n N0

n
1
0
0
R1 .
0
(1)
P n = R 0 (5/24)n
n
0
0
(1/8)
ui R
P n n- i . , , R, n N0
(n)

p11 = + (5/24)n + (1/8)n .

(2)

(1),
. ui , i = 1, 2, 3 R3 . vi> , i = 1, 2, 3
R1 , i = ui vi> , i = 1, 2, 3 ui
I=

3
X

ui vi> .

i=1

P : P ui = i ui ,
P n ui = ni ui . P n
Pn =

3
X

ni ui vi>

(n)

p11 =

3
X
i=1

i=1

ni (ui vi> )11 =

3
X

ni (ui )1 (vi )1 .

i=1

, , (2)

0
(0)
(1)
(2)
p11 = 1,
p11 = 0,
p11 = (0 1 0) 0 = 0
p
1

=1
=0
.

=0

++
(5/24) (1/8)

+ (5/24)2 + (1/8)2

= 5/261, = 36/29, = 20/9.

=
) p = 1/6. = 1 P 1 = 1, 2,3 = 1i
6
)
i3n
i3n

(n)
p11 = +
e 4 +
e 4
(3 2)n
(3 2)n

i3
1

e 4 .
3 2

, , ,
P = ,





3n
3n
b
c
(n)
cos
sin
p11 = +
+
4
4
(3 2)n
(3 2)n
b, c

+b

b/6 + c/6

c/18

=1
=0
.

=0

= 1/25, b = 24/25, c = 18/25.

) p = 1/12. = 0 P 1 = 1, 2 = 1/6 (.) P ,
Jordan

1
0
0
1 J 1 .
P = J 0 61
1
0
0 6
J u1 , u2 1 -1/6 ,
u3 (P 16 I)u3 = u2 . ,

n
1
0
0




n
n1 1
J ,
Pn = J 0
n( 61

16
1 n
0
0
( 6
, , n N0
(n)

p11 = + ( + n)

1
n
.
6

n = 0, 1, 2.

+ =1

/6 /6 = 0
.

+ /36 + /18 = 0
= 1/49, = 48/49, = 6/7.
2 ,
1/5, 5 4/25.
6, n- 6;
1: Xn = 1 n- 6 Xn = 2 n- ,
, Xn X = {1, 2}


1/5
4/5
P =
.
4/25 21/25
2

 P .

 1
5
|I P | = 
4
25


26
1
1
45 
2
 = 25 + 25 = ( 1)( 25 ).
21
25

u1 , u2 1 = 1, 2 = 1/25 , R 2 2
u1 , u2 , P


1 0
R1 ,
P =R
1
0 25


1
0
P =R
R1 .
0 251n




(n1)
n N P Xn = 1 | X1 = 1 = P Xn1 = 1 | X0 = 1 = p11




P Xn = 1 | X1 = 1 = + n1 .
25


, 1 = P X1 = 1 | X1 = 1 = +



1/5 = P X2 = 1 | X1 = 1 = + 25
. = 1/6, = 5/6,



 1
5
1 + 532n
.
P Xn = 1 | X1 = 1 =
1 + n1 =
6
25
6
n

2: 6 ,
.
X = {1, 2, 3, 4, 5, 6}

1/5 4/25 4/25 4/25 4/25 4/25

4/25 1/5 4/25 4/25 4/25 4/25

4/25 4/25 1/5 4/25 4/25 4/25

.

P =

4/25 4/25 4/25 1/5 4/25 4/25

4/25 4/25 4/25 4/25 1/5 4/25
4/25 4/25 4/25 4/25 4/25 1/5
P
P .

1
..
>
uu = .

,
u> = (1 1 1 1 1 1)

1 1 1

. .
.
(1 1 1 1 1 1) = .. .. . . . ..

1
P =

I+4uu>
.
25

x R6 P

I + 4uu>
x = x (25 1)x = 4uu> x (25 1)x = 4(u> x)u.
25
u P
1 = 1/25, u P 2 = 1 ( 1
, x = u
(252 1) = 4uu> = 24.) P 6 ( u 5
)

1 0
0
0
0
0
0 1
0
0
0
0
25

1
0 0
0
0
0
25

R1 .
P = R
1
0 25
0
0

0 0
1
0 0
0
0 25
0
1
0 0
0
0
0 25
3





(n1)
n N P Xn = 6 | X1 = 6 = P Xn1 = 6 | X0 = 6 = p66




P Xn = 6 | X1 = 6 = + n1 ,
25
= 1/6, = 5/6.

2

I + 8uu> + 16u(u> u)u>
I + 104uu>
I + 8uu> + 16uu> uu>
I + 4uu>
2
=
=
.
P =
=
25
252
252
252
P n
0 = 0. ,

I+n uu>
,
25n

n n+1 = 25n +4,

Pn =

1
1
1
I + (1 n )uu> .
25n
6
25

3 {Xn }nN0 X = {1, 2, 3, 4}

0 1/2 1/3 1/6

1/2 0 1/4 1/4

P =
0 1/2 0 1/2 .
1/2 1/3 1/6 0
.
: = (1 , 2 , 3 , 4 )

1
1

2 2 + 2 4 = 1

1
1
1
2 1 + 2 3 + 3 4 = 2
1
1
1 + 4 2 + 16 4 = 3

13
1
1
6 1 + 4 2 + 2 3 = 4

= P

t(93 108 71 78), t R. X

1 + 2 + 3 + 4 = 1.


93 108 71 78
= 350 350 350 350 .
4 {Xn } .
{Yn } : p (0 < p < 1),
, . Yn ,
{Xn }.
{Yn } .
.
: Aj = {Y0 = i0 , Y1 = i1 , . . . , Yn1 = j}. Kn
n- , j, k X



 


 

P Yn = k |Aj = P Yn = k |Aj , Kn = K P Kn = K |Aj + P Yn = k |Aj , Kn = P Kn = |Aj

 

 

= P Yn = k |Aj , Kn = K P Kn = K] + P Yn = k |Aj , Kn = P Kn =
= jk p + Pjk (1 p).
,
, . ,




P Yn = k |Aj = P Yn = k |Yn1 = j = jk p + Pjk (1 p)
{Yn } Yn Q = pI + (1 p)P .
= Q = p + (1 p)P (1 p) = (1 p)P = P.
4

 Yn Xn . . {Yn } {Xn }.
p > 0, {Xn }.
.
5 : Algebra, Basic Topology, Calculus,
A,B,C . ,
p, q, r . p, q, r > 0 p + q + r = 1 ).
. X
{A, B, C}.
.
: X = {ABC, CAB, BCA, BAC, ACB, CBA}.

p r 0 q 0 0
0 r q 0 p 0

p 0 q 0 0 r
.

P =

p 0 0 q 0 r
0 r 0 q p 0
0 0 q 0 p r
.
, , ,
( )
. , X
X .
= P . A
:
(ABC) = p(ABC) + p(BAC) + p(BCA)

(3)

(ACB) = p(ACB) + p(CAB) + p(CBA).

(4)
P
XA = {ABC, ACB}, (XA ) = p xX (x) = p. , XB =
{BAC, BCA} XC = {CAB, CBA} (XB ) = q, (XC ) = r. (3), (4)
(ABC) =

p
pq
(XB ) =
1p
1p

(ACB) =

p
pr
(XC ) =
.
1p
1p

(5)

,
=(

pq
rp
qr
qp
pr
rq
,
,
,
,
,
).
1p 1r 1q 1q 1p 1r

n p1 , p2 , . . . , pn ,
.
. = (1 , 2 , . . . , n )
(1, 2, ..., n),




P Xm = = p1 P Xm1 A .
A 2 , 3 , . . . , n ,
1 . Yn
1 . (n 1)-
{k }k6=1 .






() = P Xm = = p1 P Xm1 A = p1 P Ym1 = (2 , . . . , n ) .
(6)
, Yn p1 , pk k
k 6= 1. ,
Yn
5

 (2 , . . . , n ) k
pk /(1 p1 ), k 6= 1. (6)
() = p1
(2 , . . . , n ).
, ..
(ABCD) = pA
(BCD) =

pB
pC
1pA 1pA
pA
pB
1 1p
A

= pA

pB
pC
.
1 pA 1 pA pB

(1 , . . . , n ) = p1

p2
p3
pn
.

1 p1 1 p1 p2
1 p1 p2 pn

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

0
0
1
0
0
P =

.
0
1/4 1/4 1/4 1/4
1/2
0
0
0 1/2
. ;
: 1 5, 1,5.
2 4, 2,4 . , 3 .

C1 = {1, 5}, C2 = {2, 4}, C3 = {3}.
C2 C1 4 5, C2 C3 4 3. C1 , C3 .

C1 C2 C3 .
C1 , C3 , . C2
.
7 1 10.
. 0 < p < 1,
. .
, .
5,
10.
) 10;
) 10;
: X =
{0, 1, 2, 4, 6, 8, 10}. {0, 1, 2, . . . , 10}
{3}, {5}, {7} {9} 1 (
). .
X

1
0
0
0
0
0 0
1p 0
p
0
0
0 0

1p 0
0
p
0
0 0

0
0
0
p 0
P =
1p 0
.

0
0
1

p
0
0
0
p

0
0
0
0 1p 0 p
0
0
0
0
0
0 1
6



) T = inf{k 0 : Xk = 10} 10, h(x) = Px T < + ,
h(x) :

h(0) = 0,
h(10) = P
1
(I P )h(x) = h(x) yX pxy h(y) = 0, x = 1, 2, 4, 6, 8.
P :
h(1) = (1 p)h(0) + ph(2) = ph(2)
h(2) = (1 p)h(0) + ph(4) = ph(4)
h(4) = (1 p)h(0) + ph(8) = ph(8)
h(6) = (1 p)h(2) + ph(10) = (1 p)h(2) + p
h(8) = (1 p)h(6) + ph(10) = (1 p)h(6) + p.



h(1) = P1 T < + =

(2 p)p4
.
1 (1 p)2 p2

) = inf{k 0 : Xk {0, 10}} g(x) = Ex [ ]. g(x)


g(0) = g(10) = 0
P
(I P )g(x) = g(x) yX pxy g(y) = 1, x = 1, 2, 4, 6, 8.
P .
g(1) = 1 + (1 p)g(0) + pg(2) = 1 + pg(2)
g(2) = 1 + (1 p)g(0) + pg(4) = 1 + pg(4)
g(4) = 1 + (1 p)g(0) + pg(8) = 1 + pg(8)
g(6) = 1 + (1 p)g(2) + pg(10) = 1 + (1 p)g(2)
g(8) = 1 + (1 p)g(6) + pg(10) = 1 + (1 p)g(6).

g(1) = 1 + p + p2 + p3 g(8),

g(8) = 1 + (1 p)g(6) = 2 p + (1 p)2 g(2) = 3 3p + p2 + (1 p)2 pg(4) = 3 2p p2 + p3 + (1 p)2 p2 g(8).

g(8) =

3 2p p2 + p3
1 (1 p)2 p2

g(1) = E1 [ ] = 1 + p + p2 + p3

3 2p p2 + p3
.
1 (1 p)2 p2

8 ( )
N ;
1: X = N0 Xn
n. .. ,,,,,,,...
Xn n = 0, 1, 2, . . . 0,1,2,1,2,3,1,1,2,. . ..
p01 = 1, pk,k+1 = 1/2 pk,1 = 1/2   k N.
TN = inf{k 0 : Xk N } g(x) = Ex TN , g() :
g(x) = 0, x = N, N + 1, . . .
g(0) = 1 + g(1)
1
1
g(x) = 1 + g(1) + g(x + 1), x = 1, 2, . . . , N.
2
2
7



g(x + 1) = 2g(x) 2 + g(1) , x = 1, 2, ..., N 1.
g(x) = 2x + , = 2 + g(1) ( ) = 1 x = 1.

g(x) = g(1) + 2 2x , x = 1, 2, . . . , N
g(N ) = 0 g(1) = 2N 2 g(0) = 1 + g(1) = 2N 1.
2: {TN 1 < +} S = inf{n > TN 1 : Xn N }. .. S

 

 N 1
N . TN = TN 1 + S E TN = E TN 1 + E[S].
Yn = XTN 1 +n Y0 = N 1, S = inf{n > 0 : Yn N }. ,




1
1
E[S] = E S |Y1 = 1 P[Y1 = 1] + E S |Y1 = N P[Y1 = N ] = E[TN ] + 1
2
2
 

 
 



E TN = E TN 1 + 12 E TN + 21 1 E TN = 2E TN 1 + 1,
T1 = 1 E[TN ] = 2N 1.
9 .
.
1: {Xn } X = {KK, K, K, , A},

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

0
0
P = 1/2 1/2 0
.
0
0 1/2 1/2 0
0
0
0
0
1
2 
. TA = inf{k 0 : Xk = A} g(x) = Ex TA x X,
g()
g(A) = 0
g(x) = 1 +

pxy g(y), x 6= A.

yX

g(KK) = 1 + 1/2g(KK) + 1/2g(K)

g(K) = 1 + 1/2g()

g(K) = 1 + 1/2g(KK) + 1/2g(K)

g() = 1 + 1/2g(K) + 1/2g()

g(K) = 6, g(KK) = g(K) = 8, g() = 10.
= (1/4, 1/4, 1/4, 1/4, 0)
 
E TA = EKK [TA ](KK) + EK [TA ](K) + EK [TA ](K) + E [TA ]()
8 + 6 + 8 + 10
=
= 8.
4
,
KK 10.
2: TK TKK
KK, S = TKK  TK . TK 2
p = 1/2. E TKK = 2 + E[S]. S
Yn KK. S
Yn KK, TKK = inf{k > 0 : Yk = KK} ( !).



E[S] = EKK TKK . Yn ()
(1/8) . ,


EKK TKK =

1
= 8.
(KK)



E TKK = 2 + 8 = 10.
10 {Xn } X = N
pk,k1 =

k1
1
1
k+1
1
1
=
, pk,k+1 =
= +
k N.
2k
2 2k
2k
2 2k

Xn 1,
.
  1 1. T = inf{n 0 : Xn = 1}
Pk T < + .


: h(k) = Pk T < + , h()


h(1) = P
1
()
h(k) j pkj h(j) = 0, k 2.







k+1
k1
k1
h(k 1) +
h(k + 1) h(k) h(k + 1) =
h(k 1) h(k) .
h(k) =
2k
2k
k+1
k, k 1, . . . , 2
h(k) h(k + 1) =

k1k2
2
h(k 2) h(k 1) = =
h(1) h(2) , k N
k+1 k
k(k + 1)

k = 1, 2, . . . , m 1
X

m1
h(1) h(m) = 2 h(1) h(2)
k=1

X

m1
1
= 2 h(1) h(2)
k(k + 1)
k=1

1
1

k k+1

m 1
1 h(m) = 2 1 h(2)
, m N.
m

(). (m 1)/m 1,


m N 2 1 h(2) 1 h(2) 1/2. h(m)
h(2) = 1/2,



1k 1
1
h(k) = Pk T < + = 1 2 1
= .
2
k
k
, , Xn 1.
, 1 , p12 = 1 T1 = inf{k > 0 : Xk =
1} 1



 1
P1 T1 < + = P2 T < + = < 1.
2
N .
k N 1, k .
P[Xn ] = 1.

 11 Z 1,
0;
1: T = inf{k 0 : Xk = 0} g(x) = Ex [T ]. g(1),
g(x) x Z

g(0) = P
0
g(k) j pkj g(j) = 1, k 6= 0.
k N
g(k) = 1 +

g(k 1) + g(k)
g(k + 1) g(k) = g(k) g(k 1) 2.
2

g(k + 1) g(k), k = 0, 1, 2, . . .
g(k + 1) g(k) = g(1) g(0) 2k = g(1) 2k, k = 0, 1, 2, . . .
k = 0, 1, . . . , m 1
g(m) = mg(1) m(m 1).
k N . m(m 1)  m
m , m N g(1) = ,
g(k) = , k N. Z (
) . , X0 = 0 T0 = inf{k > 0 : Xk = 0}

1
1
E0 [T0 ] = 1 + g(1) + g(1) = +.
2
2
2: 0. , 0 < s < 1
(s) = E1 [sT ].
(s) = E1 [sT |X1 = 0]P1 [X1 = 0] + E1 [sT |X1 = 2]P1 [X1 = 2]
1 1
= s1 + E1 [sT |X1 = 2].
2 2
H = T 1, H 0 Yn = Xn+1 ,

s s
(s) = + E2 [sH ].
2 2
H1 = inf{k 0 : Yk = 1} H2 = H H1 , H
Yn 1 0,
H1 T ( Yn
2, Zn = Yn 1 1, H1
Zn ). , H2
H1 , T ( Vn = YH1 +n
V0 = 1 H2 Vn .)
E2 [sH ] = E2 [sH1 ]E2 [sH2 ] = 2 (s),
(s) s2 (s) 2(s) + s = 0,

1 1 s2
.
(s) =
s
lims0 (s) = 0 (s) .

1 1 s2
(s) =
.
s
10

 P1 [T < +] = 1

E1 [T ] = lim (s) = .
s1

T .
(s) Taylor
(s) =

+
X
k=0

 
2k 2k1
1
s
k
k
(2k 1)4



P1 T = 2k 1 =

 


1
2k
, P1 T = 2k = 0.
k
k
(2k 1)4

12 , ,
R ( ) ,

.
V ,

.
R
.


: T = inf{k 0 : Xk = R} , h(x) = Px T < + .
h

h(R) = P
1
h(x) = yV pxy h(y), x 6= R.
u(x) x
R. h(x) .

h(x) = H u(x) .
x 6= R u(x) 1 u(x) + 1.


H(0) = 1
H(k) = H(k1)+2H(k+1)
, k N.
3
2H(k + 1) = 3H(k) H(k 1).

1
p() = 22 3 + 1 = 2( 1)( )
2
H(k) = + ( 12 )k , , R. H(0) = 1 + = 1.


1 k
H(k) = 1 + ( ) 1 .
2
H(k) 0, k N 1,
= 1


h(x) = Px T < + = 2u(x) .
X0 = R, TR = inf{k > 0 : Xk = R} , O
1,



 1
PR TR < + = PO T < + = .
2
R , V (
), .

11

 13 .

.
.
14 N .
;
: n

pk,k+1 =

k
N k
pk,k = , k = 0, 1, 2, . . . , N.
N
N

k
k/N . T = inf{k 0 : Xk = N } g(x) = Ex [T ] g(x)

g(N ) = 0
k
g(k) = 1 + N
g(k) + NNk g(k + 1)

g(k) g(k + 1) =

N
, k = 0, 1, 2, . . . , N 1.
N k

k = 0, 1, . . . , N 1
g(0) g(N ) = N

N
1
X
k=0

X1
1
g(0) = N
.
N k
k
k=1

N g(0) N log N .
15 X = N0
0, 0 q (0 < q < 1).
.
: pk,k1 = 1 k N, p0,k = q k (1 q) k N0 .
( k k 1 0 k q k (1 q) > 0.) ,
T0 = inf{k > 0 : Xk = 0} .
T0 = 1+
.
E0 [T0 ] = 1 +

kq k (1 q) = 1 +

k=0

q
1
=
< +.
1q
1q

.
.
P
1 : (k) = jX pjk (j) k X. ,
(k) = q k (1 q)(0) + (k + 1).
k = m, m + 1, . . P
. (m) = q m (0) (
(k) 0 k .) , k (k) = 1 (0) = 1 q

(k) = 1

(k) = (1 q)q k .
2 : (k)
k . ,
(k) = cE0

Tk
X
j=1

12


1{Xj = k}

 1 k 0 . ,
(k) = cP0 [X1 k] = c

q j (1 q) = cq k .

j=k

(k) = 1 c = 1 q.

16 (Xn ) .
.
. N v(x)
x
(x) = v(x)/2N .
: (
)
.
= P .
x
X
X (y)
.
(7)
(x) =
pyx (y) =
v(y)
y
y: yx
f (y) = cv(y)
X f (y)
X
=c
1 = cv(x) = f (x).
v(y)
y: yx
y: yx
f (x) = cv(x) (7).
X
X
1=
f (x) = c
v(x) = 2cN,
x

(x) = v(x)/2N .
17 .
;
: ,
.
x
2N
1
Ex [Tx ] =
=
,
(x)
v(x)
. x, v(x) = 2

2N = 4 2 + 8 3 + 20 4 + 16 6 + 16 8 = 336.
Ex [Tx ] = 168.
18 Xn X Yn+1 = (Xn , Xn+1 )
X X. Y ; X ,
Y ;
: Yn+1 Yn , j,
Yn+1 k pjk . P Y
P(j,k),(`,m) = k` p`,m
Y
X
X
(`, m) =
P(j,k),(`,m) (j, k) = p`,m
(j, `).
(j,k)X2

jX

13

(8)

 (`) =

jX

(j, `).
X

(`) =

XX

(j, `) = 1,

`X jX

`X

(8) ` X
` =

pj` (j).

jX

X = . ,

(j, k) = (j)pjk

14