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space:ordered tripple (es, , P3

probability
*
2e:: its elements called
a
set of possible outcomes,
are
elementary
Outcomes.

of subsetsof us with the thatis


is a
fairly property a o-field:

-Empty
Set D and is are
member of F
-

AGI implies 1 "GF


As. A.
-

ins
. . .

implies Act
P: -P
[0,17 the conditions P(D) P(z) 1, and
=
* I saisties 0,
=
=

P(Y,Ar) (Au =

(An, A2, ...)


for
any family paruise disjoint
Ex:Acoin
probability space)
is tossed twice(construct a

2
9HT, +5]:sample space
*
=

TH, HH,

= 2

p:= [0,1)
>
-

A
xP(t) =
-t
(H), HY p(Ai-f + ->

-
(construct
stock
price
a
probability space)
x =

(0,0)
lack of information

Def:leta be a
sample space, be a
non-empty collection of subsets

of The smallest orfield


concerning all the Bis denoted
1. sets of
by
o(B) called the
Sigma-field generated the collection B
and is
by
iten
partition

An, Arts. An
=

↳Ante, An, An li
A
plan hach as
P(I) =

P CH/A) PlAnt

let
proposition: to be a finite sample space.
7
Gu, Y
=

We. . . .
Wm

then
every
or field I
one is
generated by a
partition
Ex1:Constructthe c-field the and
on
sample space e vice-versa
the Plot) the following cases
generated by partition in

t
*
=
91,2,3,47 and PCR) 9(1),(24.(3,457
=

B =P(x)
4914,424,95,44.7
=

-(B) =

48,2,414,424,93,44,9133,47,42,3,444

- 2
41,2,3,44
=

and P(2):94124,3,94%
Bc =

941,22,43,443
-(B) 90,2,91,23,49,444
=

&X2: Currentprice ofstock is 100:Asme thatthis


price will
increase decrease 108 the end of first and continue increase
day,
or at

decrease 88 the
secondary
or at end of

8
485,95,105,1154
=

-
B1 4415,1054,985,954.
=

6(81) 40,12,985,954,4105,1534
=

P 2
[4857,9957,4105,11533
e
=)
01B)=2
X: San khi kitthis [
was
gra
y la bien in they hi va ar = ds a(PC)

Random variables
and X: ->IR. We that
Det:
Let(r2, F,P) be a
probability space say
X is a
random variable ofXis R-measurable which means
(wc 2,X(w) x)
= t
F
for 12TR
any
I
Discrete
ommus
14
40;0,1,0,2490 =

randomvariable,let X random variable


8-field generatedby a be a

the o-field generated X(denoted by ocxI) the o-feld generated


by is

by sets the
of form

9w: a
<X(w) byfor my
< acb

⑭ sample space
E
a "b IR

&(x) 28,2,x((asb)), X
=
-

wab = wi
y
mass
probability function

pm-:fy(xx) P(X xx)( 0,12- =


=

Car
bay?
(Ynp")1 p(n
-
binominal:fx(K)
=

k 0, 1,2
-

= .
.
.

poissonfx(K):etk
I

probabiling densing function.

(X, Xz) random


is
X a
vector
=

Discrete
*
Xi G4, x2,.. Yn,... y
=

.
. -

02:4 21, 22...., ye.....


pdf.
A
joint

-xx-(ai,y:) P(X
=

x,,Xz
=

yi)
=

joint cdt Xi,;

Fxx,(x,y) p(X, 2x,xz


=

y)
=

Ganss random vectors

r)2 "(x
tyl"
(dot) exp(-2(x- x)T]
=
12
-

(0,07
ED:
E(X)
=

x (x,x)
=

co
22
[.]
=

-
ex- sFor()()
=

=Erreainbig-c
Ex: X, Y dos
(? A 41,2,37
=

B 44,5,6y
=

e(X)
=

40,2,A,BY
8(y) 40,2,41,4,12,3,5,64.7
=

2 D

P(m,N P(M) PCN)


)
=

p(A,) p(A)p(c) =

.... I
* Given an eventBG F
X is a random variable on (2, 5, P)
E
[XIB][P(X x/B)
=

* Given a discrete random variable Y on


(1, F, P)
E [X(Y](w) R
=

(X/An], itwe AK

Ex:
X
part of

isit is it is -

pmfof Y

n
38

es
-



A
X Y E[x1Y] TTH d
HHH 80 30 55

HH T 30 30 545

A TH 60 18 30 As An
10 35
#54 10
↳cases:
y 0,Y 10,4 20,4 30
=
=
=

T H H 78 20 45

T H T 20 20 45

+T H 50 0 25
~
[xP(X x1Y 0) [x =

=
=
px,y=0)
2
I + T ⑧ O
p(Y 0)
=

0.50 andS
E(y1Y 0) 25)

I
=
= =

E(X/Y)(w) E2x1Y 10] 60. 10.=


=

+
35

E(XY 20] 70. +20.4


=

=
= 45

E(x1Y 30] 30.18 55


80.
=

+
=

114

* If X JY are continuesrandom variables

with
joint -pdt fx,"?) =>
fysikyys
(hanand x

him
vadk
theoX
y)
(x,y)
=

(x,y(,y)dx

E[X1Y y) =

(xtx,(x(y) dx.

random
varrable
ECXIY) E(x18(Y)) (morty)
=
Random process
Ex:G X (+): t=> 20,134 is a simple Gaussian process

Let 0 =
+, <
tzt [t41
(a)
...

X(t) , -,X(t) -
P(x(+1)
=
an,
-

I 4X(A), XC+2)

=P(X(t) =(,) P(X(+2)


,
-...

XP)y- NC0,1), independent


(z) .....P(X(tx)(X)
=

((x). 4(2)
-
((x,) .
. . .
ECI=
Aetht
I
Qua rich Poisson
① BN: N= 9N(t): + [0,0)}Gg+nn
dem new
N ot? ( at
go:
*
N(t) 7,0

* N(t) whengratri agugen


Vai
* OCS It tac N(s)
= NCT)

va 1=2.
[1,077 than so
VDA
40GNC): tG (atPoisson

Tick

a,P(N(3) 4) =

N(3)
e
PrCO)
N25/ N(37wPok]
P(N(37 4, N(5) 7)
-

b,
a P(NC3) 4) =

e
=
-

4. G4P e-2.3
=

0,1339
=

! 4!

b, P(N(2) 3) e- lt.
( e-2.22?
=

0,1953
=

- =

k!

P(NC3 4,
=

N(5/ -N(3) 3)
=

=P(NBT 47.
=

P(N15) -
N(3))
0,1339..0,1954:0,0762
=
VD2: rats sol
GNCH:+30y 9+poisson
= than

skiymi vaidic.NCt) 1
=
thi N(S) -B2m, 5) May do ocsl

I I
NCH) NCS)
NNCSS
+
=

(r m)
=CIP)" (1 24 0,
=
.

.,
.

n)
P(N(s) k,N(t)
=

n)
=

P(NCS) 4/N(t)
=

-=
=

n)
=

NCt) 1
Poi ( It)
e
- 1
(et)n
-

n!
PCCs 1, NC) -NCS)
=

n
= -

k)
Pn(15) Palest-E) daz E
=
PCNC) 1
=
) P(NCK-NCs) n
=

-k)
k

5)(n-
els
e 127-3)(e(+
-
=

-ke!
K
S" (t-5]n
-

=en-k! -
k
+4. tn
-

UD: P(N(21
tl 9/NC51= 97
=

vdi of K NC5)=9 thi


N 227 CPP BC9,E)

=((E)"(E)
1940 dr
2, tat chet:Cho (N(+):t3,0) (9+ poisson.
oCt)
0) 1 1t
P.(NCH
+

-
=
=

1,

2,
P(NC+=1) lt
= + ot

3, P(NCHY 2)=ofY

line thee of

vebar aslot,
the

-meeta
P(NC) K7
=
=

e lt(et)" (c 0,1,2...
=

)
->

k!
Ce+)R
k-f
=(1-
I
17.

k
Hee 7 -k!
-

11 -
=

1 k2
=

et o(t) 0(t) 04
-

1
+

-
interarrival
③ Que rich arrival times a times

WCA
X:Khody to xiy
kien A
the khi Si

Mark K-1 de Klein sa Kiem xaralan


t K.
②=
trust interamiral
GX12: K 1,2,
=

...

Y:qua times
A =

xe - -

is
-

O si t

Xp Sx 3k
=
-

-
1

lat
Si Xi are in as
lies no

what. Sie
=

in that

herrentrate
Star I

[NA), my arrival time,


*
45,: k
1,2...7:
=

que trick

-
95mEtY
* Tal dart in Interal times

* X bei un. Xet X-exp(e) (ppmS


poltas :
elected eerdy=- ety)
a e -

expL1)
&X
xx. Ye
= (1 chat
ds()
la
* X is memory less
xx)0 UP(X,++s):P(X,+P(X,3)
1(t 57 +

CM:rettrai=1
-

FC++s)
=

e
-

- 19+13)
vorphan =

ett
(1-F(+)[1-FCs]: e-
=

+ 3/Xx)+) P(Xx
>s)
Memory less =>
P(Xx 2 +
=

vp:
[NC: 3,0) + batpoisson van them so =2

as
is
tall de Si kien athis stainsaw thedrew 1855
=

thatdiem t-il as
with
b. Bitis ko si ken here
in ra,

P(X(1) > 37
c Betray sikiew the 3 faisha di
Ques has = 2,

kill asher bit thatof saw tel


is
that so

a, P(x,30,5) 1-F(0,8) =
xNC+
-
1x ~ I
I 2 I l
N10,5) -Par (n)
C->
poisson:
p (NC0,5)= Of
I
t
-
-
0
05s, 2 i
~
A 8

=C ·
1 -
1

=e
b, P(x,33/4,31) P(X, =
> 2) (memoryless)
C++can al

2, P(X)215, 2) =

= P(tn)2/x + x2 x3721
+

i
-

do? la
F(2)
P(xyx2) 1
=
-

tothis
die the and xa - NCK)=3
The poisson,
, ask wa

PCNC) 3 /N(2) 3) =
=
& Int cha caes
que trick Arrial times

9 inbun two, to not set (m,


has e) mas
polt cas

f(=
eel,
Ngoira, Nas X eF(n,) th

E(X)
=
Var(X) 1 =

Cax Arrival Tres S, lttos lap


rateanis
VP: NCH bi id rate
at poisson 1 78
=

Nature 1 12
=

Nice in 1 8 =

P(N1(2) >, 28; Ne (277, 15)


b 15))
p(NCH)2,20
=
7P(N,(+) 14
-
16

- ↳
e

=(1 -

e-21)(1
12 8
=
Markov
Xich
Khaiman
21. ↑

Cho (-e, F, P7 151 Ko


gianxS X= G 40, 41, x2, ...

4 to 1

gtun von to gram tray than


3 cater otc)
nghial:to
Binh noi X la not vict Markovninthe

P(Xan=j/Xo 0, Xx
=

x,,:
=

.
.
.

Xa-=Pn-1, Xn=i)

P(Xn i/Xn i)
=

=
=

voi maj n2,0, 40, ...,xm11i,j ES


chat Markov)
Crime

Hom min, men co to

P(Xn+=/1 Xm i) P(X,=i) X.=i) m3,1


=
=

this to no X that whatthe theirgrow


hi to dait
may
pis
= P(X j/Xo i) = =

Dirk ughic 2: Max capewas that the atram die


sang e

XS rich
and Markov (MaNan Markar)
MaNo? P bi 1 ma tram ~whim, thebi
ugan
pij 30; [ Pij= 1Fi
ItS
VDC:New I talday car but do top viny
Gx0, Xe. . . .

., Xn, ...

PP thisnor l n xich Markov then what

I· I
Pr P2 Pa
P
....

P1

Pr

var r
p(X k)
=
=

7k ES
VD2:


18405 0.5
40,5

1./s
·
0,5
0,5


3
G1,2,
=

.
. .

,77
this
Xi traythaiand
=
cam issamban whang K.KnictoGXo, Xe,... Xu, ...
lxich Markov thnwhat 1 23 4567

I
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I
8 1 00

00,50,50 00

P E
O

charges
=

ma iron xs 0.500,50000
4 000,250,50,2500
5 00
00 0 0,50,5
S ⑧ 0 10 00

I
O
70 00000 ⑧

Markov sinhr-f
VD3:Yich

* kogian tray
than 40,1,2, k, 4 ES . . . .

mat dich in
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.
..

del me tubhowfar loan, so is xphang tray


Assi day
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=

then, whiny ig xip has tray I hasder,....)


Stay
whog et toKhi do, I
Gr sitai thattramnot
* do, rich Markov

theiro r thela
thatdram treetheo, trans
->
it1 viies pi
-> r-1 no XS
9:
va
-> i
x31-pi-9;
O 1 23 ~-

0 1-P

I
Po 0 0...

cage

I
Ma tr XS
P =

1 911piGP0....
20 FP29
92 Pz....

3 O 931-P3- 93Ps
:......
-

had has
and b hams at that
did I whan
1
VD4 cty
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Nhai? um
*
50%
*
Chacha ham mat I hadthe
whatwhen a bit fai
Nhan :car in

Nhan 1
*
-> thar 2:Ko co ulmanbot Hairs

its who sty


New 1:car if cans bar
* Whena
↳ When I vor she cast be tras
ie
Nia
* Nhan 3

xs 1xe o f Nias:antis way


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main 0,15.

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his this saw a man had has
Asdaysang when a la bu?

in is theno link howbigrich


Markov 9Xo, X... Xn...y
thai
val to
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91,2,37
=

th n)
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main

Matron &
cure xS
1 2 3

P
I
O

I
1025
=
0,75
20,25 O 0,75

38 8,250,75

P(Xa 31Xo= 1)
Contawh
=

② Yict Markov do thi


va

2.1 As this ↑
(Graph theory)
* Mor dothis
o G CV, E), tray do:
tomot =

nottap has"ray. Not plansthe and Votego dicks dotte


in
and
* V la
G

(apcs card and do ad)


* R
G(r,v):v, vtv)cV,
=
V

(I dotheis two bat


step time va
tap amb)
vd: G (V, = E) vin V 41,2,3,4,54
=

13,3), IaBy
& E G21,4,(1,3),(2,3),
=

(3,2)
22,17 (3,1)

⑤-> dint lap


a
new to fit chat (v,v) tE =>
*Hom
us, (r,v) tE this to not
cundirected graph)
G lato this 120 co luring
(v, v) AE
dita no G la do
Ngino Ias nowforfar (r,0) tE uhing
this a linding


-
G(1,2), (1,3), 22,3), (3,2, (3,37, (3,4) 4
=

* Do Me28 tray G=CV, E, W)

V
vois l tap di
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f ach
ur lamatrontray
did
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x5
·
-

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are I
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=
it
w 2

00 60

A laws canvo ba and dirt

Cho rEV. New G V saocho (v,0) GE thi ta not a

↳adink ke in v

Dat N(v)
G0GV:
=

(u,u) -
EY
↓lam can v
and

t and NCU) a la bas


Vai v-V;deg (u)
=

IN(u)l= sphas gar


as stick v


⑧ ↑

65 -
8 - -
x X
① - A-
N(1) 42,37
=

N(n) 327
=

degG) 2
deg(z) 1
=
=
2.2 Do this charge xS

Mot XichMarkov As lines via tray:


bien das bei dothfind
*

Tap disk Ko
grow trong
thei
=
-

Ma 20 thi Ci,j) vostrong saf lapis


tE
-

Vaii, i V, Pig
vo: xet Yich
Markor 4/m: n
=0,1,2. ...

Y vor KO gan tray thanS- 91,2,34


voma train cagexs:
I 2 3

I
14 114
P
112

=I
1

113 8 213
0 112
112

Ch van de Hei dungen xs s Xich Markov


3)
*

Trat P(X0=11X, 2) =
2 P(Xo =
1, X 2, Xn
=
=
the bret
*

p(Xo 1)
=

1
=

entere ③
&
192
P(Xo 11X 2) P(X 21X0 1). P(Xo 1)
=

=
=
= =
=

- b z =
P (ABC) P(AB). P(C)
=

P(X0 1, X1 2,Xz 3)
= =

P(Xz 3) =

Xo 1, x
=

2). P
=

=2)
time this
P(X
=
3
=

(X 2) =

What 116
116

=I=

car tray
Nguo asto car theday diy ot Yich Markov isnot dothis
do tre:
* Kogan thai
tray
E V

* New Ci,i) rat


GE tray
SO
Wijti
Wij
Pij =
-

2 Wix

kENCi)

ve Markov andy
Xich i

e
vai their
4 Xn:n30y ke
gian tray
S (a,b,cy
=

6
2
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Matran Chuge X. S

I I
O 1 ⑧
I =

0,1 0,2 8,7

0,4 8 0,6

so
Mathes a

&
I ·I
o 18
W -

I 2 7

1
=
6
4
-> Pab:
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0,1
Paar=
2+2 =

EN
ban
3, la sink
to a

Xac swat changes m-brcs


3.1.
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(n)

Pij P(X:j,
=
X i)
=

Xs ut t tray
this i

in bas
Say, May thai;
s ame

denge
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Hi
=(PYis:=PY,
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p(Xm i1Xo i)
=

phat i maincas
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day; cat; M
&
mar

from P
plinds
trict Chapman Komogorov
-

p(Xman j/X =

i)
=

EsP
=
(Xan i/Xn k)
=
=
x

piet-piece-k)xo-il
3.2, Phan box as X no

* 9X:n3,84 lxich Markov not a


de
tram laP

* Vecto a la pha bo ban dan


x (2,
=

x2, ....
an, ...)
voi 2i P(Xn j)
=

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ding Co 3 than
VD:
This
treemina tray
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Thaitreeis his
bing mot Xich a
Markov von trans chargers
day its and
s C
la
0,2 016
r 0,2
P
=

S 0.10.80,1
C 0.18,60,3

may set car


Theo die bar, agay von
Mina xs 50% va so
tigerrival
x
XS
50%. Tint ugay Kia C tryet roi (mai, martvoo at Kral
ing

thattied
IX:nx,0) (axich Markov and

CXo= thattreegay
mail

phanbut bandan (phan bar is in Yos

x (0,5;0.5;0)
=

Phains box xsen Xe l IP2


day
x
A by
and ->

(0,450,740,15)
vayas cantil 0,74

crio which dineby a bigguy naps


what
3.3 Hier tai -tuy bi-Queichn gas
tic Markov:
P(Xni 5) =

X, =
0, X= in,... Xue-imm, Xri)
=

P(Xmn=i/X i) =

Morey:P(Xm=j/X0=io,....,
Xa-man-in-m-y,X n -

m i)
=

Ency na khe ↓
V
has
-

main ali
9 ↓
gra Kin
ga shat
> P(Xn+= j/X -m=i)
(m+ 1) m 1
+

=3 R
is
Ni
=

-
dag
x

Hi i -

san mit
bud
3.4 phi bo is day than
yich Markov va, ma
ta duge l
Cho
(Xm:exoy l

Net vaca than


tray
OEMs m C....cn,
in , ie, ...,
in S

Ichi od

P(Xm= in Xn in,
=

..., Xup=in)

Labyin (pre-mi....(P(ne
VD:
Bit planbut as
No 1 G: (0,280.250,250,25)
P(X, = 's', Xy =
's', Xs: 'P') =?
n
=3,n 5,, 6
=

(<P' (P4, (PYes


=
in 4,i2 4,in 3
=

=
=

Wed For Sat

↳ Nick Markov
tray
dai ham
2,1 Phan
bat got fam
Xoce Markov va me train cases laP.
Mit plan
bo
Cho 9Xm:e2.0) l

x S


Aclabda)
good
music
son
baris
an
men
has

Is chye ti
ique;scan
1 val how Duos la A;
P(X=//Xo-i) p
vecto say =

cho biz.0:[1, =1

himI) ES 1 can ok som


tray
vai batbyphan bo deiva btki; t 9
(i)
mmP(Xm j) b; =

(ii)
pr=
inmaidas=l
(iii) Lim pr 1
=
=
matrons
0
-

thail
UP: (Yich. Markov

2 tray
A
Matron
1-p P
Caxs
0
P =

A 9 1 9
-

(0[p;q 1) =

Tim phn b gra kam


Ne th: prg 1
=

p I
I
=

C pr (x =

pipe-psP) P
=

+a
pr PXn?1 =

(a)
Suyra
Pi =

P=Pij:*i, 5 +
40,14
0
Sayraim pice
1
p
-

I
.i j
= =

Pij
=

j 1
I
P 1
=

P
i 0;j 1
=
=

i 1;j 0 =

1
=

P
-

2
Phanbut gi har =/e-P, PS

Ets char (iii))


in par
Cell
1
- Xr p
+

qF 1

p* pm 1p
-

p* pePoo Po, 1p
n
-

-3
=

1
O

=Cr-p)Po* qM-p"( -

=9
(1 q7p, n,1
+
-

p-

a
(1 g)(qrc p- qr)
+
-

p
-
-

=q(1 (1 p g)( q)2p..* p-


-
-
-
+

n
-
3

q(1-p- 9) Poo

q(1
=
(1
+
-

p -

q) (1 p + -
-

q(2)w(1 -

p- q po

a
Ce-p-ql" +

(1-p-gPoo
R0
=

an
interet
9. [e-p-gp* C1-p) +

Por
I
Pr q

Pr=
q
cim
m
=>

finds to him P a I
A
p q
+

*
M

Pi*
e

me P 10
= -

prq
P+
9
↳e iP*=
(* I A
prq

Dr Ar plan
be grate Markov t =
(gal
9.2 Satan than
chem not tray

G m21.07
has
Gr si is
plan burgeon and
Xm:

Det jzs, Aat.I? $1 =


ixx j
=

0; YkE;

budedanten (dam to libret)


khi do, solam chow trong this;saw in

n
-

SI
k0
solanXich
=

bird Markov chan


thai i) this trig
Newxnit thattip tray (Xo=
tray thai;S La

(Eric (Xo=) E

EE (Eil*:i)
-

topcoat
I exis
P(X j/X i)
=

=
=

12 0
=

-I
I (E Filxo=i]= Pre-
at
mi
k0=

Cesaro
bind
find by tiny
P =

I (702)
4
=

x =11x, 3)P(x 33
=

=
-

-I l
5/12
I

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