《随机过程及其应用(第三版)》课件SJGC-2-2.pdf

X (t) t X (t) (1) (2) (3) X (t) (4) (5) 2.1 X (t) t x ∆ F (x ,t) ≡P (X (t) ≤x) t ∈T 1 , {F (x,t), x ∈R,t ∈T} . 2.1 X (t) X cosωt, t ∈T ω X X (t) 2.1 t0 X(t0) X X N(0, 1) X(t0) 2 N (0, cos ωt ) 0 1 1 ⎧⎪ 1 ⎛ x ⎞2 ⎫⎪ f x t ⋅ − ⎜ ⎟ (cos=ω t ≠0) 1 ( , 0 ) exp⎨ ⎜ ⎟ ⎬ 0 cosωt0 2π ⎪⎩ 2 ⎝cosωt0 ⎠ ⎭⎪ 2.2 Y(t) teX , (t 0) Xλ Y(t) 2.2 X Z( ), ⎧λe−λx x 0 f (x) ⎨ (λ0) 0 x ≤0 ⎩ t 0 Y(t) F y t P Y t ≤y