oc )ot/206 Definition : Probability Space. Lek E be a Yondom experiment i o- field Let 2 be the aallection of adh possible outcomes, 1 @ REF let F be a a-field (olga) on 2 i @epaer! 2 EF: the seb function P defined on F satisfying = Ga ers i) PA) >0 VA GF wi) PUM) =I i) VP A; ict, ay... Asink events , then Plum) = 2 fai) Then the function pis called probability (kemogroy ariomiie def” (2, F,P) is cabled a probability space Of probability ) oe = fabed Re 19, f9), fhe}, 03 Bath one 7 Field on 2 Fe* 0,3, £3, 10, fad, the, th} @® n+l) Be Jo, (93, @11, 28 BH lavgest wf og R-PBivel «fied at els fe] (s,) ex E+ Demin a cand fom a deck of 52 ems ® N= §A,k,8,5,,9, 2,465 43,23 Pla = yg ¥ae® Fs $8.0, fangs}, f99.2,20543.03 5 pO) 0 peas Bet et Plinn gaz) = 4 & Plfmaeassasel)= 3 ® 3 => Prababilihy Spaceosforfroe — [uecTuRE 3 Conditional Frobabiliy Definition: (2, FF) , P(B)>0 P(nlg) = plang) (Pol ® geen B cars) i) It sobisBes + WG» ptajsy 20 Ci) Pols) 1) Pu reaise) * 2 Pte) Ay ave disjsint Prckobilily Space: (Ms, Fe, fe) we digi qd Remark ty then A & B ave independent event's , PlAlB) = PLA) Definition: Totol. Probobilihy Rule Gndilion For ony event WEF Vin 7 Pe S| Peal = 2 Plelg:). #:) hyeen | Definition Gaye's Rule. pleitn) = _Plele) Pls) Sinn) Pl) i Example oy . ee ee eee Pltata)=0 fab — PUG bI)S1 far = & baw he BED= Braloilaai¢ [LECTURE 4 Reliability oe - —rK Bongalere R= Pla) : oo EE Relist of systenn oo fer = PC Uma) nA 084 1 6) © [Be tehie]e tye eye PMR, Be 8 AS ave mabeally egenderd t tee [THEOREM Lee (0,5) be a probabil space. let Ea net2.$ be am weretng sepenee of elements in F ie. Ane F A A LAny for nas? Then p (Mn An) =P LUAn) © in, PCA) Smriladly , af fhoymena,.oF Ws a dering rey of events in Fie, An FA R3 Aan for nei2..., ther Pim An) = p(RAn) = Lin PCa) Random Vawiable Ar X is a veel yolued finckion such thet: a uy x'{eor]} er vy xeR. Tn x is a | ‘ vondom variable wet. F. 4 Nefabe} Fs fo, fol fhe} 03 Define xCw) = [-~ wth > x fees. [fp wen eto lee we Yh oenes oe DR Senco > Random voriable Sintary fr not a random vascble » (for some F)Define — x(w) = [5 we fal > x feof [ & ee 10 ue fY {b} oenes [oc te Senco P Render voriable Remark, fing veal function wilt become a random variable if we fake Power sek ob the o-feld. torte [LECTRES ] Distribution Function Any real veluecl finchion sabifyng® i) cfFGel ¥ -aenem ay iene ineveoting ih % je, iF m, <7, then FG.) < Fx.) Fox) i) in Rado & in Fede | ey Wy) Fis Gight) cockmows function , then Fis called 9 distyibubion function ro) eg: ieee naan Aarne —_* — 1@ Lt &) Gammulakive Distsibubion Function (CDF) — 1@ ane let (0 5F,1) be probobilly apace, Fads Plxtn) -wenee is soid to be CaF of the Yondem variable x. Pixéaf = Pfe laren d wen ed. aon sheClassification of Random Variable, 1) Diseveke Type Rendon Variable, ao CDF. has Countoble po of discontinuities y 2) Gonknwous Type Random Varsable a) If ibs CDF. is a continuous fr, in : Fade TRO de aeitity deny fo Opa) Pow x G) 20 x] Pesbabi lensity fo. fw ro ¥ ] 0 oy Ssily deny Probobitity density Finchion “Fade © 4 Fig 1) 3) Maced Type Rendam Vonioble oy well 08 If Ws CDF. hos Countable discontnuikes Some subintervols ie BPlaens) + [fade = 4 Lentinuove — fiction in Exorngle © Discrete Type Random Variable @ Continuous Type Random Variable Pd = Oo Keo ” oeneit Fa) = ten'x Tr Tues Fn) = di) 1 + esas) yore S bet 7 = » eres a Pals fr wea’ i cu “ Mars fer oemees [0 ches (o jeter9 2a 4 ee Pla = FEQUHY Reno 0 ethers (Mined Type Random Veriable) Pe be fo) {} acres 0 othenwise ZrO) + Ty de th + ‘tn = 'Sporfenc [UECTURE F Example + €- Rerdom Experiment 1. Glleckion of OL possible outcomes largest fel on 2 X DAR at xifoergleF Yar Stondord _Distsibukions @Diserele Type Rondom Vesaable © Genstant Rondem Voniable Fe) X takes only one value . Suppose the point is a > Pixea}ed ® Bernaudli Distributed Rondon Variable ci X tokes values x, & x, Pineau} = I~ Pine =P ozper ® Binomial Distibuted Random Variable x 66,9) alee PEED [CRT eas | Lest Pte6 ferehne Distubution few} > i Pp kets 8 1 oo oe i Pe) 0 obherwite Ty O Negative ans or Potcol — X ~ NBC, 9) © atherwise Fed + eennahic. Distababien rojoifaic [LECTURE & © Diserete Uniform 7 Q Poisson Distribution Phxek}s [AX bon [Pn tl lhe~ aa Pla) fe Poisson Process fxw, ter} - Stochastic. Process For fived 4, xtb ~ Ritson dlictibubed — X(H » POY) Assume 1)X(0)=0 2) Pixlerad=| /xw=0} = Ast + ost) 3) PAxttet) = 0) xte)-0} = Idk + 0. (04) 4) PExtieat) >] /*t <0} = fat) 5) Non-overlagping inlervals one indeperdontDivide He interval [ot] into meet pants Piow-t)ai8) AY ag (independent of + > Memoryless Marcon Popehy) PIK>e) ~ e oy Plast)= 1 Flat) s et @ Normal Distribution or Goussion Distribution — (4 nCu,e)) p fa) West ake rendon vane jy be ee we a flefal = 1 feeb Yu (0,2) x Dl. _ Ieee * x will howe Trighey peak than ¥ y X will inleried Yo since eas 2 for bell, Placxeh) = FyD- Fle) | ie. ATX = Pinee ox} j : = Plzea)~ p(zen) = FG)- FG) = 05 4 bs) - Lr o(2)-05J OX Gemma (>) fla) = Xe Te)29lorfzrc [LECTURE 11 Definikon: Let x be 0 conbruns type ny, with pdf fe) Ela = Teftodx — prvided StF) dy eo he, Eli) eo ge X= Exp) ° ears Tafordn = (ay = 2) @®@ X~ vou, .a) [user Dishibded ] EG) = Spleen) = S my = Me Mt nity ; a (rege) @ xw~Pe) EG): ExPlew) = @ X~ Geomebric (p) Pl k) = Op) peu, Eta) 2 Ske Pee) FA Pe 2. pleea) #3 Parad +. Sele e PPI. plea) « + Pier a3 4 lee) s. + Plea) 4. = 20-20) In general, FX is a cotinnen type vy Eay = To Feal)dy = Fre ie (preded Res. exist) Ce © ves wise)Definition: 2™ cedey manent E Lor urt] about the mean (ie. wes Eer)) @ (iance of av. x) Remark © oy 9 Beto > Welds > flieadey — OT Ellerur] = Bbw) - (Conf © Ver(ax48) = At Var) Oe )t © EG) = jee “Sate fea x Elx) HF $60) is Bevel wneasurehle function Or then g(0) ~All become a -vandom variable m RR di, © E (x u)") oS . ae ee 7 960) ty el eae every : Pie wise conkinuovs fin. should be Borel Neder mment 3 fi) erdey mmemenb Measurable ish Gist ez}ezlasi¢ [LECTURE 12] rondo vaniable — % Gen ; 4 © Findon RR uch hak — ys gh) is ie, Vfemyyy € FY YER hel is the deshilation of ¥? ee Borel Measurable Function i” RR Creda coe: Every piecewise entinont finch is Borel Meosureble) ee Yo 2, Six, 2, fx xe 2) xe Bye), Ye nex Pfvex}e Peek} s Pix enn} (ok Ye Beyee) 7 Ga teeph pS “x og) (alse vv) exe diserele discre Fe onkirwous conknous mixed, mixed4) x» uly) refi se = Ripe pe ger - Pore) le yer eee is Xde i ) y 4, eZ od a 5) x #ule,) . ¥ ley Clee eee [ate a x ( Figls P(Yey) 2 Pte 1 or) = ey eee ee ( ao Yeo | ice lee yr0 oS}orfanc [LECTURE * Theorem Let X be a Continwens type rondo variable with pdf fd iP oh is strictly monotonic function A diffivenrkoble Then the pdf. of YohGd is given by i) = Co Sy xm Ul , Y= ~Lhalex) > Fytyr= (1%) | der] = [ 19.079 | oeyeeo dy te athemise Proof Fyly) = P(vey) = PU OEY) = PCE HG) (if hed renoforically increasing) =F, (iG) On differing fyly= LOG) eye Net) 22 coe Brehow = xwUGU) Ye txt Fyly)= Pliney) = PCy EXey) = A-ROD > Kly = 44 fey > fie ft ye fo yee Further theve ion A diffeenboble Bilemabe Coralary Let h be a piecewise shi weneie far : inlewals T,,T,,... Tr exists Then the pdf of Y= hte is given by =f 3 Gelb) | Ch) Fy) ofa ‘ 9 ° athenise T+ Geo) Lo [9 x by)ed See ele Fy = [rent + AQ Nl yoo = ype ° yeo [8 yee @ Xanusee) Yee ay norma ® Xone) , ye fi wer fo Frou = e-™ Fyly) = POYey) = (LED) GED i 1 Gy) = fF (oeyeu) = 0 IF y Zo aah yous fy lena eye es o yco ° yee ny ee ae: aoeesjoafaei¢ [LECTURE 14) GENERATING Functions Uniqueness Teorem 2 1, PGF: Gath) Bababibhy Grong extn a 2. M.G.FMe(H) Moment Generating Renction oe x() Characteristic Function Gimjo,) = Gmioyw ¥t > xfy a Probability Generating Function (P.6.F.) Le X be 2 non-negative integer values vy uth penfi pe pixek} ,k Then the prh gen. fine. (pg) be defined ob Gws Briers wer eg- XvBlyp) = Gis (pt + Ip) Remonks © (1) Gly = 1 @) G+ EGY) G) Re efxekjs 1 ANG. KL @F feo @ Elon = &Gw] de feet Fades) momints 2 Moment Generaing Function (G.F.) lee X be a nv st ECE) ig fiike for sme ten in Coe) reading the point 0. Then the MGF of X ic defined Myth = E(et) = E (14 tye Bete 2th, ) = x P(X) Z a» & Get) pn pet_ entre’) C Serge e er ZR) 2 re mls Ele) = 2 Cae s Co 46 G0, 0)© Xw Epa) Mths “Peder Remarks * (4) E(x") = (4) alo) = 4 @) iyi et GD IP EGY) exist, EO") = * tt) ae lee Ex: © xn Vlu,02) cae atest Ms fea ctl ape © ime MivoR 1 SYLLABUS eg loajzore [LECTURE 5] Two & Higuer DIMENSIONAL RANDOM VARIABLES oti ba dpe we WHER ee 5”) (} X= Cry) sondam veeter of 2 dimension x- in gowrl, ies 65.06),x2!) Oe a,c Xm) nodim random variable | aaa CF Oryx) Fy gltism) = Rab Det Mae tay «Feb ful mien, even a eR een een 1) 82 Flum) 21 Ym em 20 2) lm F(%,m) = 0 Noe, ta 3) tm Fla) e 1 ey 4) Flux) is meorieally mereosirg in bah xy Aa 5) Fach, ced / Fen, (bd) ~ Fad) -FOD + Flac) 30 (similar for soalfi-dimension) ta} = (43) +1 ie (irassea) oo = Flux) 2 [hen eexen 5 Flux) | weer ° atherviise, @ Fyn) = teat), 1 te Flin = eal, bam © Two Deteusionay Disceere TYPE RewooM VmRIRBLE Pg 09) Prob Lx m1, M24 (ois foncon) = fab fel Kien, Kelelomp ve w Ik satisfies 06 Pln) 61 Fay 2) EE Plame 1 Ry = 2Flm,,) ; yO) * 2 Pua)tola)aste [LECTURE] © Too Ditewsionay continuous Tre nt $ sink pa satisfies Y flan) 2 Ve 2) ‘ffan dsdt = Rawoom VECTOR seared = [f fa alts ds a ra a9 fone fe 2) Fly) = {4 Ou, x2) oy Pe hevvist a cacyen Ys Difference ln absslute) of # of heads AH of toils = E+ Tessing a coin Trice xX: H of heads as fom, on} pot pmé. fom y, 13. Ped ofo 8 Ww +X | 13k 0 we 2} ae o He 3)o ue ue Prey) le 218 14 (2)= 8 Individual Y ' 3 © TwoerennenT RawpoM VaRiaBLe he say Hk tuo erdon soles at nepdent ff F,ytea) = By Fy) fay) Paylng) = Pate) Py ly) Lag) = Feld. fy Gy) (Marginal Dishrebakion of xy) Pp x P ° us 2e ' 3/8 ele 2 318 3 18 vny ¥ 6g)gy Multivariable Normal Distwbuction (x,¥,2) f, eteige EON) eres lidepindent) fae) = L e ny ©] (yy) — joint pdf {R? in X-¥ plane Uniform Dishabesion sen (indegendert) [fon malty — > a) Efnyl> [2 eegen er wh independent 0 obkervise Password - Maskov Islezjan¢ [LECTURE 17, © Gwormonar_DistRiguTION Plale) ; ple)>0 Defa: tet CY) be a 2 dimension diserele type RV. with joint poh pated, Then the conditional dist. of X given yo yj i defined ¥i Phen rey} = Pen Ya) presded Pits yzt 20 Pireyit Nelo 3 Perl Yay) = ZPEX i cae Defa: Let GY) be a 2 dimension continous type RV. with jent rdf Few, Then the Candikional dish. of X given Yr yj defined a3Fatt = fare ¥u fly) prowled fy) >0 CO. of X/¥-y, SFy(tis) a ex Lod = [2 veyener a lo otherwise Paf. of OXY 9 Fay boy) faatep - {# gener = ly v Ul) Gu fa dx = 20-4) : i dhereise ae ae fa ay 2m Yin = fy fayng). [2 eens Yo vlerx) ya) 0 ethevanee, \Flezane [LECTURE 19 Functions OF RanDom VARIABLES ey lek X~Blryp) , yw Blh,p) Define Plz-W) = 3 P(K= Assume thot x AY ane independent rew's Zexty , dist of 227 Yeti) = 3 Plast). Ply-ti) = Bape Gs Os 27g Re mea.) phlegm ™ = (27m) PHP Ch tsgeneral, Kim BO, P) jie bad, K A Xie ane independent vv 3x; ww B (3.9) iid ~ ndeperdedt + identically dishibubed. Kier Blip) yiejrn Xs ctid's a oe Exis + some distabubion 2: Sx w Bb) > Reproductive Prepedy Oxo Nas), Yo NO G2) X& Y ang independant 2eKEY w NC, =) @ xP) You PA) zexty P(zsw)= SP (x=i, Ye kei) = & Plsi) plyek- i ae oo) : Qua) D> 2~ POA) Reproductive) rel iw rel, Xi (i) deve X's ane idd 2= Sx» p(zx) xo (2%) XC) th paameley 2,© MoweNTS OF Rauoom VARIABLE Def: Lek x Aa, My be RVs (3x) = 2 eG) ‘gj Vox, (3x) = Svan (xi) +2 2 GV (x, 94) Fo 23 sj Defa: Gvx,¥) Gv (x)= E (6-01) (¥-€0y))) A pvdey cress moment about the een, Aly = E (be-coertCr-eey))) Gp ender Grout morment abut the Freon E (xj) abet the gore E(cx-£00)*) 4 Verb) [Hao] Variance Covariance Mabyix of n-vasiabls Vant) Gv 66%) Gov skn) Gul = vlna) Gvlxzo0) as . w= =: tule % lary | Remark: IF x 8 Y ane independant wv. 's Gy (x,y) = E (Creo) (y- 00) : J [ean tgeas) fatto dds = E(x-€09) ECE) = [660- coy] (een - eer) =0 = We xX RY au independant => Gv (xy) =O Wice- versa is not true.Defy: Grvelation Coefficient Pemonk:- Pry = GovenY) provided eis . Wel € 4 Ss exis Cee vent) Sent) 7 DS Yeaxth XB Y ane independent, then Pay = 0 ee aco > Paved. 28 |ozjzi¢ [LECTURE 19) Xe Bela) Gone over thier X oY vreaches 4 Yo Expl) Assume X 2 Y ons independent. DePre 2+ win fnyl P(Z> 2) = Pom ineg3 22) =P Ory re) = flx>2). Ply>2) Jr de Jue ay Se P(ze2) = 1 e O* FG: [1 eo 220 Zw Ep OH) o 220 Im gover, 5 Beg) U2 Layo 0 dependent vas 2+ vin fxs stan} Exp (22) We max fxeJ op Exp Ge ™) (rem) A comers vung on 2 dedteses, We have & belterscs (eatery WR Xiw Exp(A)) a) hel ig overage lage tine Suppose bltery 1° 2 ot mining, For ore to fly Yo nin $6} ~ Epa) aint fr ne. Daltery to Fake = 3. Suppose hatteny 2 fails Then pb Jelkery 3, then tng movanfens properly on baltony A, ogpin fon TL aa ume eee gies ate (Mo: befenes gail ic 3 Porc aera aie a re Ea)Gort. type cy Totem: Leh iY) be a tue drunional Tarde verisle with a jpint pf . Favlny). Defe Z*BGag 8 We Walay) Assume 6) 2ehluy) & wehly) con be sohed oniqnely for aay in berms of phe ie xg lee), gegen) GY 21,24 ish and ote eankrwaws faction ee Then (2H) 2 dim. Gonks type re with snk pd * Mls (2,0 (2,02) (2, = 4,lz,w) Fel = { fay Qe, 5) [70] zy) 2 otherwise & — 2 #0 y ie B47 ek Guy) - 2 din tort ype XB Y one idl rns ee oe 0 athewite zexy wy xe ap Be wr ey z 2 XG) & YEO) Te], "2 FauGude [rng center & cere ° otheraise Nabe: figtnyd= Lim). fy) Bt fay lou) FEL) Rul) = 28 us one not independent 24 feajane [LECTURE Ze] ex: 2) Xi w lo) z= 3x Assume thet NGF. of 2 exisle H) VE Mapn tid e'sBet) aC Mes Ma = ECE) - Queseey = ope e! > Zz ~Mlon) (other attemadives lenglhy ") ConpiTionaL EXPECTATION Defr. Leb OY) be a dim vy EON) = [sa PPem ny) Gan provided in chsolute see, ‘ [ Rus. essh se Phere eg ler dom voniobles, Elx/y)= Elo ; Remark $@ If X&Y one independent: ron ao ao © Eloy) = feo. hyd Le bya de pany Te Toyo bingy ne ‘i Eady = Ebs) => ECElxy)) = E(x) @ Eley) is a Rinction of y 7 EGu) is a rv. @ Elxrly) = yE (xh) © Phen kind Montingale rapes Ce | >% : 7 6 he sihere ai Xie XM Fair gome | i* pre Yils ane tid v's26 loafzne [LECTURE 21] quing system K 1 aa Random Sum X> tote! tinge spent in the syétem TR Mt = Expt) fesideal ie aun sewice Yime dress ime unee een nis a random vanioble EG) = € (ECx/n=n)) = SEs) Plwen) (Buk x; one incepentent with N) . Ebi) =n ECR) = 2 nECe) Plven) Eon = EOn)« Bln) Vex 60 = €64) - (E0yJ? E00) = E(E(x*7n)) disk of X , gen dist of xy op ps ven) = (Imp) p” ual”). Pinen) eae Tiere $6.00 © Fang 0). plier) tap fy cy shape 4) Inequalities 3) Limiting Dis} vibution 2) Law of Large Numbers 4) Central Limit Theorem,Defi? Masckov Thequality, let X be ron negative random variable fixed © +>0 ——_——__, a P(xot) 2 EB)! ae with EGO exis and is known fobaost wen} Define. a (eee Pye of = Pix et} Ye a discationouy type 7 a Piven} © Piet} E(v)= t. Pix>t} —O Now x 3Y £00 >) _@ DP fxr ty < EG) = Defn. Cheby she's Trequality lee X be a rw with EGD= a, Vani = © exist & are known, Then for ony pesitve vumber +t, [Pp Ffixul at} 2 =< ¥ of | Pilea Zty > It — anata Pref X is a ry nay ae gem ny. 7 wheve E(u) = 7 Ayply Markov Trequslity, Hence Proved eg let X be wr. with EO0= 1, vanOd= 2. Bnd the lower bound Rr P fest E((X-e)*) eSsjne [LECTORE 3 Liting Disteigu tions / PRoBABILITIES /TueoreMs XX X35 — x (2,F P) OHH VED, ya, Hs Define. Lox ewen , ee EX Ua is the convergence of Y senes Ys with be polygons => ereing ve, of sides Nomal dishabedion © Xv Bp) ih a. tid ws we Bx, neue, For fined ny Yar Bln) for lage ny nove normal distbubion Theorem 2 LAE XX, Xn po. be @ sequence of independerit Yandem variables deFined and Vor O1;) = 97? > 0, 18,2, Define | Ve (2x) Than for laxpn n, 2a approaces Standard normal _tshbstion a Cepprenietely ) ie Planex) ~ 1 Tey xen CENTRAL LIMIT THEOREMnlesja¢ [LECTURE 24 Moves OF ConverGeNce 1) In Prosasiuity for given €>0 , x,Pex F Pf iexl> €] 70 ot nom 2) In DistriguTION wx iF Foo —> Fm) FER 3) In Rew Moment a nenent Xn & Y= 12,3, € (bio- x1”) 0 a ne 4) IN AumosT Surely x x Pftatorx} «2 if eg Lek 1%942,3...5 be a sequence of ™'s Sk Pixarof sto 7 Piment =e fo neta, 3, deck Xn 240 Flow ART ae ling P[MKe-ol >e} = lin he 0 | Hoax deck % 40 sche Xx : XN i | Xa x Manet yBr fx nies. 4 be a sey of td vas with EOH)= 1 5 orn) =e Define Sy HIF Cede Gy) ae 7 +t Xn @ & tau tim E(VS-A1") = bon [pee 2 Feat] ca woe [te “ Slesjan¢ [LECTURE 25 © LAW OF LARGE NUMBERS (Besinoulti Low) Let € be a vondom experiment and A be on event. Gnsider nr independant biel, Define ngs a= HE off Hes event A occuns in n-trialy Let f= M5 plas p , eonstant Then fb P pain nig Gln p) Elon) = Sm "Gy pe =P 2G, Re oo. EUfale E(te)= Aone oP Ven(lals Vann) a, onl = ro Phy chedythev'e epi, Piifepl> eh ¢ pip) ln Pifel eG =O 9 fa top ee es ie. vk is min A geting #6 for goer E001 sh P fa-pl €3 < os 2 one pir) 9 25,798 Pee Proof’ of CENTRAL LIMIT THEOREM, Assume: Xils ane iid tv's GO MGE of Kits exist Ms Mw Bxi-mat oh MWD = peak, EOC Wald = ey bel 3 fut emare <1 4 % tm Mats Bor tin Mis & 2~ vl) lone eye Lek HX ty bem Seance Pox = i - fon \ of vid va with commen — prem FXO Lek X= Xitaye + Xe (a) Find POKER) cradly (dudes)&) Pixee} lower bewd — (ineqnalties) @) Fixe} caproinly (cu SP wy pteege SE plop” Q) Maskov's inequolity fxest lO te ee es ane ease aa Jog ast] > p{7e3 f= Rlvay) = 0-398 per fe is He foam toble, Yesorce npli-p) 2 Find lim SB mE pprnimlely ting CUT 4 ee ered 2) xt x» PO) x= Tx ~ Ph) se Turoriqn alapac Defra: fet (0.,F,P) be o prob Spe. The collection of random venicbles fet), beTy be fixed om the prebobilily space (2, %,P) is called a slochostic recess Pevemeter Space, T shite spua,s seyes Temp at Hine bm ly few, b2o} Te fel oe tend Ss ful aeneb} @ tof vices ponked in the main gale pte t Gat. stale, cnt. Hime lech. process fen, bao} Te fb locece} $+ Joyy3..] die ale onl. time aloch process Time Series ~bserved ieformation /daln over the tine Sample Path © refl continuns a3|osfanic [LECTURE 2 Peoperti€S OF Stocuastic Process 1) Independent Inevements [xw,4 20} Inde pend i for oily oc eke 2he of the ws ae XU) - Xtb), XU) =x CL), Xt) = Xn) one wrabually independent. 2) Wide Sense stabionary | Covariance stobionare If Gd Elxtt) is nob a farction of time + Gi) EGem@) 200 Gi) Gv (XO), x18) depends oly om itesl then prowess is wide sense, tobionony 3) Stret sense stabionary Het ety Sty : yn (XU, xt), 2. Ube) Cle), xy, ath) De Then ig Ye Winionb 4) Markov Propesty Ocbee bce ee f PEWS w [xlbde te XU, xUbad ead > Pix ter / xe 2g Then it ig Markey PropertyEx= Leb f,x,,...3 be a sequence of iid rv.e with commen pfs Pixicofe top = t-Pixier} opel Define, Bx {50 ,n=0,1,2,,.,% is a stechaste process Fev fixed “1, Sa ~ Blnip) Sn with sobisfy only Indepedent Inevement: & Markov Troporly 20, Seb Stan Satin a PE Sim Sn kein FES. Sue ind Giese ow indpelint Heme wil ceed ook to P {Snemek 1 Saz inf Sie S08 i Ful coder or rMankev process Sudo reqrearive hy | dipesdin p ARG) rndependen! increment solesjani¢ [LECTURE 30]otfesfaei¢ [LECTURE 3)osloajane [LECTURE 3] CLASSIFICATION = OF = STATE ; SSS 2) 6.8Definitions Yo wait inj if Pp >e for sme 2) Communicate ij if ry or fe eae ra Rp eo for some m 3) Fesidichy of skate i dis ged feet ff 0} 4) First visit Ff ~ conddonal prbabilly that the system first visit 4, sete j in exactly ny sles Caith intiol slate i) Pixety/Xort, Katy bea jaa} 2; Fj = Ej? ever wishing shade J stoning From ste s Pee SaStabe i 6) Fronsient Stote iff fi (% mm) = (% Tn) 34 © Lining Ast. sane eee * Slotimey.dshibein om Mm & aye2 Te = 7 (m+) —O eBlesfannc (LECTURE 4]FEW PORTANT RESULTS 1) For a finite stake space DTMC, if the stole © recurrent , then it hos to be tye vecurvent 2) In on irreducible MC, alt the stakes one either tre wecurrent nwt securrent, AL stakes am howing the same period 2) For om iveduable finike stake space DTMC, au the states one te recurrent 4) For on iwreducille aperiodic OTMC, if the shakes one null recurrent , then, Thr jes Binth-Death Process ke 4 © eg fxs meena... J wilh $+ fo,1,2,...5 Gie_) 420, poo eset GU yes 120. Ts fo,1,2,...9 a oe i The Pk Hani, j2 812, : =0 Teel, Thea, je s\ fo} Gore Git) me ere Assume Hak all shakes ane te wecmreent Cr fons, Jas % Shbimany dl. oh Twreductle, reeurvent, operodiec mem & Em Uh can be tue fnall reucrvent Coe vb PA, + 4m 4 Ts em a i voy er * T, The pe lepyhs gn, > they 1 => Pr he ty occu, PI [<4] Cott fr tee tteursent My Toe Blas ©a o ning Dicks (%, 2) Sbabinery Disks Ble 2h) or Coo} S breducale ae Shiney Ung Finke prec -euurvent tre reasrvent (me om) = (Me ote 3) 9 (4g ® ep Uning Dict DWE (check py pt...) fot opened Stakionery PSE (|) > Theorem ver't holed ® Remarks = When the staking Gistibulion exists, De 4. 4 2) TP = Tp. ph epee noe) Shen BPG. | ps [tay is dovily stodhosle. mrnbin When the DTMC ig irveducable finite Stale space 4 4ve recunrent RP is doubly stochastic, then The ni€s ie weitomly dissbuded afosjane [LECTURE 35 REDUCIBLE MaRKov CHAIN oO o 8 @ Ou: +O sry, fg0 ® aw O70 o> \ y Of set eee Mena,3 SeTuG uc, BOF Gong Bay (ory ») Finite StaTe SPACE, REDUCIBLE MARKOY CHAIN PRC Tans ee ele HF alt recwvvint shades aoe absorbing stale Ry Transient \An-ree — Brertenr $2 UG Un GUT Reamert stale Define m= (1-8)" Cundomentad = Ls or oh eey, Theevem Define 4") Aig - Mean # of visits of the system to the state j before eaching om absoing stale givin the eet, iT, jer 2) Gi ~ Gadi propery thal fe syslon in absmbing stole j. given tht Rei iT, je SAT Then s G+ Gy) = Gay A M> (ay) = (T-8y' Verificalen + : reaprsses) MEI “fe a) fees] ese, 4@|o 1000 Sia) fe ohn 3 Qu [3 s38e 2 Ue iy oo 3 Beef one) “Yee ° 43 4 Use wy f : 0 0 ay) Fe each tan 0] “fo 3a 28 rar ca: re) 34 f2 3m wel . 3 ewe Co ais | Perea tae Smiley ale fo — cCTMC ae DIMc oy CIM oa s. TX neo,) 4 oo a {HW + 207 ven Tle) ~ iii di To) ) MH...) ae The)... ) P= Cry) 8 fp its tee BJogfanie Definitions 1) Inibil Dist sbution Tito) = [re) nyGo) .....) Shee TH. Prt EXD «i, #20 2) Tewonisson Prbabilly Py le,0) = Pb XG 95 /X 7} ges Since system is time hemegeneous,, Plt) = Prob fxwej Jxtd=if yes ~ Pook Unites) =j /xG)2i} ¥5>0 3) Transmission Probalsity Mobvix Pu (rl) tre: ai} = SMO) Pj TH = Pod Leth B oe ) Py Le) conditioned, wwcanditionadl [mt = Te) Py *) Genevator Matai eee GG dF fori ia T= 5345 PylAD = Qi at + OW, jt Py COE = Vega at + ola8) , We Know thot y yee) = 3 Diflvencite vant T & put TSO a) = 2 Fiat 9a, $ | “sha tis a diérntiol kouto corey Fetsanan eg? Oy, shies Wj zo @) qa eo ©) Z4j-0 Pay (0) - Pus (7) | set /xt0)=4) = (E> set /x(s)=i). P(T>s/ x = P(t>E sxe P(L>s | xt 3 err os 2 Als 4 e+ epi) 30 ey: fx, beef, se Foye d Tele) = aoa oOo wd). i). TW) = Pab EX e]} PD niy ma TH) = ar man TW... jefe a 0] fo aa Tea) - ata) alo Comin) = > ae Ae tro, Met cer 7 Hee i pa Th) = anth - ama) TCD = ARE Th 4) = (atl) WI For fived &, the dist of ct) ig Piss with povameter At [xt t 20} — feisson Process (OtM-c-)Goosidey the previous comple 2) es e) Wes [o «J Se a ° — WW. mg HE Re Vet : . > le = andy ame 9 m= Cu-Amw + ° coat carat fe oe ce em an ee ee =» mse c al ma W eo, 169-0 ay FW (U2) Fe =“ leodt Avahbibly = Ya Mean Foalere Time vo ae ea cvcloy ive Dee Wat YA” Hem F Tine + Mean Repair Tone 22 |oa[ani¢ [LECTURE 38 Bierh Dear Process @ CIMC {xi tre} with slobe space § (+ foy2,-J) st A BD. is Yuin He Gin ay ben 2, Q: SK : ° Ai bith vale i —+ death ake. 4 fx), +203 — Pep. (a) is @ BoP (AA soya, oO Poison Process a feu, Pave bith process@ Pare death process Neo. teoHa, Msn iy on Ht should be finite (Hos 40 shavt from somewhere) —> Steady state Probelility mW =1@).Q FkE for steady clade, m'al <0 MA)=T7 7 o-mg 5 Mel We Oiies > te +a % OF Ae ~ Cvtau) Th haga Rate wm, in terms off Te Be} Selw for Te Th (14% 220 21 2 hs tbe A ayaa a Special cate mad Condition steady stale to exist Bet” oe ALM Ceonmen nadie of GP.) Gepaers trkeve {xep, tro} - ERaw Hf prink tosks in syptem ob Fime + Gt Be ee 7 Bit wes che. Fe Since there one a tems, sheds slke will alunge exish Frobebility that system is alongs bay = 2%26 Josjaoi¢ [LECTURE 33] QUEUEING MODELS Ponomebers x= ne. of people in system 1) Inter arrival — deleminishic Gnome + service) ~ praabiliste 2) Service 3) # of servers 4) Copocity ey mm den LN infinite Gpecity Fee) Esplad tue server For this to be BD-P., abo small intewal of tome, maximum of | person com enter / leat the system 2) mmf lio sAleatane a 3) = anili ™ 4) ott: tate = omymlilel Noles for @ BDP., a ile's M ing tne = E(G) = ECR) ~ 1 Paeoeay me |g ee ed : nee re Site i oding oF endows eee Tine’ = a epee, ol, ab only pepe one not allowed to ender the system fective fievival Rabe Depp = ACt=Ma) 3 Th amietho fo gy thet te crm pase & sing tne Br sa EtG) e0 eee a A ’ Ewe "eM MQe0 San ae 29 Joa}rore LECTURE 41 mimjnfk >" ac, i m |r] 00 : a 2 f oo Ee 1 a eee eo oe es a, Tr Pt) Ep (5a) wih pops peas tala Ey ot ah er 6 Waa SD BQ BA Ba wie aw “ a lu daa da Dak ma DA 15 Prins exh gay pint card ath wake 16 with ay HC om gre Ebreqranly walle Zl command mint] foo leh W be tHe sag Hime by ary customer. > Med Type B ore °) : Feats) root Sewice Phwee}-m Pocwets a a = Specs et den. pinen3 i ' Ni — ey dicbibution