CHNG HAI

QU TRNH NGU NHIN

TCH PHN IT
nh ngha. Cho (, A, P) l mt khng gian xc
sut, t X l tp hp tt c cc bin s ngu nhin.
Cho I l mt khong trong tp cc s thc, T l mt
nh x t I vo X. t T(t) = X(t) vi mi t I. Ta
ni {X(t)}t I l mt tin trnh ngu nhin.

Th d. lp n xy dng mt p thy in,

chng ta phi o lu lng nc ti mt v tr no
ca mt dng sng. Gi X(t) l lu lng ti v tr
ti ngy th t trong nm. D nhin con s X(t) ny
thay i hng nm, nhng nu chng ta ly mu trong
vi mi nm (k hiu tp hp cc nm ny l ),
chng ta c th chp nhn X(t)() = [at , bt] vi hm
phn phi PX(t) v hm mt pX(t) .
Lc ta c mt tin trnh ngu nhin {X(t)} thay v
mt hm s thc t X(t). Nh vy chng ta phi m
hnh nhiu bi ton vi cc phng trnh ngu nhin.

A machine is required to continuously produce

ropes of length 10 m with a given nominal diameter of
5mm. Despite maintaining constant production
conditions, minor variations of the rope diameter can
technologically not be avoided.
Thus, when measuring the actual diameter x of a
single rope at a distance d from the origin, one gets a
function x = x(d) with 0 d 10.
This function will randomly vary from rope to rope.
This suggests the introduction of the generalized
random experiment 'continuous measurement of the
rope diameter in dependence on the distance d from
the origin'.

If X(d) denotes the diameter of a randomly selected

rope at a distance d from the origin, then it makes
sense to introduce the corresponding generalized
random experiment {X(d ), 0 d 10} with outcomes
x = x(d ) , 0 d 10 (Figure 2.1).

Nu l tp hp cc mu dy c xt, th x(d) =
X(w,t) vi mt w no trong .

In an electrical circuit it is not possible to keep the

voltage strictly constant. Random fluctuations of the
voltage are for instance caused by thermal noise.
If v(t) denotes the voltage measured at time point t,
then v = v(t) is a sample path of a stochastic process
{V(t), t 0} where V(t) is the random voltage at time t

Producers of radar and satellite supported

communication systems have to take into account a
phenomenon called fading. This is characterized by
random fluctuations in the energy of received signals
caused by the dispersion of radio waves as a result of
inhomogeneities in the atmosphere and by
meteorological and industrial noise.
Both
meteorological and industrial noise cause
electrical discharges in the atmosphere which occur at
random time points with randomly varying intensity.

nh ngha. Cho (, A, P) l mt khng gian xc sut,

cho X l mt nh x t [0,) vo tp hp cc bin
ngu nhin trong (, A, P) c cc tnh cht sau :
(i) X(0) = 0 ,
(ii) C mt s thc khc khng v nu 0 s < t,
th X(t) - X(s) c phn phi chun N(0; t-s) ,
(iii) Nu 0 t0 < t1 < t2 < . . . < tn th h
{ X (tk) - X (tk-1) : 1 k n } c lp.
Lc X c gi l mt tin trnh Wiener hay mt
chuyn ng Brownian

(ii) C ngha

E ( X (t ) X (s)) = [ X (t ) X (s)]dP = 0 ,

E ([ X (t ) X (s)] ) = [ X (t ) X (s)] dP = t s.
2

(iii) Cho ta :
t Mk l - i s nh nht cha cc tp c dng
[Xk Xk-1]-1(U), vi U l cc tp m trong . Lc

P(A1 An ) = P(A1) P(An )

A1 M1, , An Mn .

E ( X (t ) X (s)) = [ X (t ) X (s)]dP = 0 ,

E ([ X (t ) X (s)] ) = [ X (t ) X (s)] dP = t s.
2

Bi ton 2.1. Cho {W(t)} l mt tin trnh Wiener

trong mt khng gian xc sut (, A, P) v T > 0. Vi
mi s nguyn m ln hn 1 v k trong {0,1,. . .,m } ta
t tk = m-1kT v
m 1

Gm = [W (tk +1 ) W (tk )] .
2

k =0

Chng minh dy {Gm} hi t v bin s ngu nhin

G = T trong L2().

H.D.

m 1

Gm G = ([W (tk +1 ) W (tk )]2 (tk +1 tk ))

k =0

v t ta c E([Gm G]2) = 2I1 + I2 , vi

m 1

I1 = E ( ([W (tk +1 ) W (tk )]2 (tk +1 tk ))[W (t j +1 ) W (t j )]2 (t j +1 t j ))

0 j < k

m 1

= E ( E ([W (tk +1 ) W (tk )]2 (tk +1 tk ))E ([W (t j +1 ) W (t j )]2 (t j +1 t j ))

0 j < k

=0 ,
m 1

I 2 = E ( ([W (tk +1 ) W (tk )] (tk +1 tk )) I 3 + I 4 + I 5 ,

2

k =0

m 1

I 3 = E ( [W (tk +1 ) W (tk )]4 ) mC (tk +1 tk )4 = m 3C ,

k =0

m 1

I 4 = E (2 [W (tk +1 ) W (tk )]2 (tk +1 tk )2 ) 2mC (tk +1 tk )4 = 2m 3C ,

k =0

m 1

I 5 = E ( (tk +1 tk )4 ) mC (tk +1 tk )4 = m 3C , BT
k =0

nh ngha. Cho {W(t)} l mt tin trnh Wiener

trong mt khng gian xc sut (, A, P). Cho mt s
thc khng m r , ta t
(i) V(r) l -i s nh nht cha cc tp W(s)-1(U) ,
vi mi s [0,r] v mi tp m U trong . Ta gi
V(r) l lch s ca tin trnh Wiener {W(t)} cho n
thi im r.
(i) V+(r) l -i s nh nht cha cc tp W(s)-1(U) ,
vi mi s [r,) v mi tp m U trong . Ta gi
V+(r) l tng lai ca tin trnh Wiener {W(t)} k t
thi im r.

nh ngha. Cho {W(t)} l mt tin trnh Wiener

trong mt khng gian xc sut (, A, P). Cho mt h
- i s {F(t) : t 0} trn sao cho F(t) A vi mi
t. Ta ni h {F(t)} nonanticipating i vi {W(t)} nu
(i) F(s) F(t) nu 0 s t ,
(ii) V(t) F(t) vi mi t 0 ,
(iii) F(t) c lp V+(t) vi mi t 0 .
Lc mt tin trnh ngu nhin {X(t): t 0 } trn
(, A, P), c gi l nonanticipating i vi {F(t)}
nu X(t) o c trn (, F(t)) vi mi t 0 .

nh ngha. Cho mt h {F(t)} nonanticipating i

vi mt tin trnh Wiener {W(t)} trong mt khng
gian xc sut (, A, P). Ta t 2(0,T, {F(t)}) l tp
hp cc tin trnh ngu nhin {X(t) : 0 t T } c cc
tnh cht sau :
(i) nh x (t,) X(t)() o c trn [0,T],
(ii) {X(t)} nonanticipating i vi {F(t)} ,
(iii)

X (t, )dtdP <

2

[0,T ]

Tng t ta t q(0,T) ,{F(t)}) vi q > 1, vi (iii)

thay bng
(iii)

[0,T ]

| X (t, ) | dtdP < .

q

Nu khng c g gy ra cc nhm ln, ta k hiu

2(0,T,{F(t)}) v 1(0,T,{F(t)}) ln lt l 2(0,T)
v 1(0,T).
2(0,T) l mt khng gian Hilbert vi tch v hng
v chun sau :
< X ,Y > =
|| X || = (

[0,T ]

[0,T ]

X (t, )Y (t, )dtdP

X (t, )dtdP )
2

1/ 2

X , Y (0, T ),
2

X (0, T ).
2

nh ngha. Cho G ={G(t)} trong 2(0,T), ta ni G

l mt tin trnh n nu c cc s thc t0 < t1 < . . . <
tm = T , v c m bin ngu nhin G0 , G1 , . . . , Gm-1
trong L2() sao cho G(t) = Gk khi tk t < tk+1 vi
mi k trong tp {0, . . . , m -1}.
Lc tch phn ngu nhin It ca G trn [0,T] l
bin s ngu nhin saum 1

I (G ) =

G(t )[W (t
k =0

k +1

Ta s k hiu It ca G trn [0,T] l

) W (tk )] .

GdW .

Tp hp cc tin trnh n tr mt trong 2(0,T).

Bi ton 2.2. Cho G v H l hai tin trnh n trong

2(0,T), v mt s thc c. Chng minh
(i) I(G + cH) = I(G) + cI(H) ,
(ii)
(iii)

E ( I (G )) = I (G )dP = 0 ,

I (G ) dP =
2

[0,T ]

G (t, )dtdP .
2

H.D. (ii) Cho cc s thc t0 < t1 < . . . < tm = T , v

c m bin ngu nhin G0 , G1 , . . . , Gm-1 trong
L2() sao cho G(t) = Gk khi tk t < tk+1 vi mi k
trong tp {0, . . . , m -1}.

H.D. (ii) Cho cc s thc t0 < t1 < . . . < tm = T , v c

m bin ngu nhin G0 , G1 , . . . , Gm-1 trong L2() sao
cho G(t) = Gk khi tk t < tk+1 vi mi k trong tp {0,
. . . , m -1}. Lc Gk l hm F(tk)-o c, (W(tk+1)
W(tk)) l hm V +(tk)-o c, F(tk) v V +(tk) c lp
vi nhau. T ta c
E(Gk(W(tk+1) W(tk)) = E(Gk).E(W(tk+1) W(tk))
E(W(tk+1) W(tk)) = 0 .
(iii)
E ( I (G ) ) =
2

m 1

E([G G (W (t

k , j =0

k +1

) W (tk ))(W (t j +1 ) W (t j ))]

Khi j < k ta thy (W(tk+1) - W(tk)) c lp i vi

GkGj (W(tj+1) - W(tj)) . Do
E([GkGj (W(tj+1) - W(tj))(W(tk+1) - W(tk))]) =
= E([GkGj (W(tj+1) - W(tj))])E((W(tk+1) - W(tk))
E((W(tk+1) - W(tk)) = 0. Suy ra
m 1

E ( I (G ) ) = E ([G (W (tk +1 ) W (tk )) ])

2

2
k

k =0

m 1

= E (Gk2 )E ((W (tk +1 ) W (tk ))2 )

k =0

m 1

= E (G )(tk +1 tk ) = E (G )
k =0

2
k

Ta thy I l mt nh x tuyn tnh b chn t mt

khng gian vect con tr mt trong 2(0,T) vo L2().
Vy ta c th m rng nh x I ra c 2(0,T). Lc
I(G) l mt bin s ngu nhin trn (,A,P) vi mi G
trong 2(0,T) v ta cng c
Bi ton 2.3. Cho G v H trong 2(0,T), v s thc c.
Chng minh
(i) I(G + cH) = I(G) + cI(H) ,
(ii)
(iii)

E ( I (G )) = I (G )dP = 0 ,

I (G ) dP =
2

[0,T ]

G (t, )dtdP .
2

Ta gi I(G) l tch phn Ito ca G tng ng vi tin

trnh Wiener {W(t)} v k hiu l
T
GdW
0

Bi ton 2.4. Chng minh

WdW = W 12 T .
1
2

H.D. Vi mi s nguyn m ln hn 1 v k trong {0,1,.

. .,m } ta t tk = m-1k v G(t) = W(tk) khi tk t < tk+1
vi mi k trong tp {0, . . . , m -1}.
m 1

W (t )[W (t
k

k =0

k +1

) W (tk )] =

m 1

m 1

k =0

k =0

= [W (tk +1 ) W (tk )]2 + W (tk +1 )[W (tk +1 ) W (tk )]

m 1

W (t )[W (t
k

k =0

k +1

) W (tk )] =

m 1

m 1

k =0

k =0

= [W (tk +1 ) W (tk )]2 + W (tk +1 )[W (tk +1 ) W (tk )]

m 1

m 2

m 1

k =0

k =0

k =0

m 1

m 1

m 1

k =0

k =1

k =0

m 1

m 1

m 1

k =0

k =0

k =0

m 1

m 1

k =0

k =0

= [W (tk +1 ) W (tk )]2 + W (T )2 + W (tk +1 )W (tk +1 ) W (tk +1 )W (tk )

= [W (tk +1 ) W (tk )]2 + W (T )2 + W (tk )W (tk ) W (tk +1 )W (tk )
= [W (tk +1 ) W (tk )]2 + W (T )2 + W (tk )W (tk ) W (tk )W (tk +1 )
= [W (tk +1 ) W (tk )]2 + W (T )2 W (tk )[W (tk +1 ) W (tk )]
m 1

m 1

2
2
1
1
W
(
t
)[
W
(
t
)

W
(
t
)]
=
W
(
T
)

[
W
(
t
)

W
(
t
)]
k
k +1
k
k +1
k
2
2
k =0

k =0

Theo bi ton
m 1

lim 12 [W (tk +1 ) W (tk )]2 = 12 T

k =0

Bi ton 2.5. Chng minh d(tW) = Wdt + tdW .

H.D. Cho mt s thc thc dng r , vi mi s
nguyn dng m ta t tk = m-1kr, k {0, . . .,m}.
m 1

W (t
k =0

Hay

m 1

k +1

)(tk +1 tk ) + tk (W (tk +1 ) W (tk )) = rW (r ).

k =0

rW (r , ) = W (t, )dt + tdW .

Bi ton 2.6. Cho f l mt hm s thc kh vi trn

. Cho X l mt tin trnh ngu nhin trong khng
gian xc sut (, A, P) vi mt tin trnh Wiener
{W(t)}, sao cho X(t,) = f(t) vi mi t , .
Chng minh X c vi phn ngu
nhin
dX
=
f
(t)dt
.
r
H.D. X (r ) = X (s) + s f ' dt 0 s < r T
Bi ton 2.7. Cho f l mt hm thc kh vi trn .
Cho X l mt tin trnh ngu nhin trong khng gian
xc sut (, A, P) vi tin trnh Wiener {W(t)}, sao
cho X(t,) = f(t)F() vi mi t [0,T], , v F
l mt bin ngu nhin kh tch v c lp vi V+(0).
Chng minh X c vi phn ngu nhin dX = f (t)Fdt.
r
H.D. X (r ) = X (s) + f ' Fdt 0 s < r T

Bi ton 2.8. Cho X l mt tin trnh ngu nhin

trong khng gian xc sut (, A, P) vi tin trnh
Wiener {W(t)}, sao cho X(t,) = G()W(t, ) vi
mi t [0,T], , v G L2() v c lp vi
V+(0).
Chng minh X c vi phn ngu nhin dX = GdW .
H.D.

GdW = GW (s) GW (r )

0 r < t.

Bi ton 2.9. Cho (, A, P) l mt khng gian xc

sut vi mt tin trnh Wiener {W(t)}, F trong L1()
v G trong L2() v c lp vi V+(0). t
X(t,) = tF( ) + G()W(t, ) t [0,T], ,
Chng minh X c vi phn ngu nhin
dX = Fdt + GdW.
H.D. Dng cc bi tp trn.

Bi ton 2.10. Cho (, A, P) l mt khng gian xc

sut vi mt tin trnh Wiener {W(t)}, F1 v F2 trong
L2() , G1 v G2 trong L4() v c lp vi V+(0).
t vi mi i = 1,2
Xi(t,) = tFi( ) + Gi()W(t, ) t [0,T], ,
Chng minh X = X1X2 c vi phn ngu nhin
d(X) = X2(F1dt +G1dW)+X1(F2dt +G2dW) + G1G2dt
hay

d(X) = X2dX1 + X1dX2 + G1G2dt

H.D. Ta phi chng minh

d(X) = (2tF1F2+ F1G2W + F2G1W + G1G2)dt
+ (tF1G2 + tF2G1 + 2G1G2W )dW

hay
r

X1 (r ) X2 (r ) = (2tF1F2 + FG
1 2W + F2 G1W + G1G2 )dt
0

+ (tFG
1 2 + tF2 G1 + 2G1G2W )dW .
0

(2tF F + G G )dt = r F F + rG G ,
(FG W + F G W )dt = (FG + F G ) Wdt
(tFG + tF G )dW = (FG + F G ) tdW
1 2

0
r

1 2

(2G1G2W )dW = 2G2G1 WdW = G2G1 (W r ) .

0

Ta c

Wdt +

tdW = rW .

Vy tng cc tch phn ngu nhin trn l

r2F1F2 + (F1G2+F2G2)rW + G1G2W 2 , chnh l X(r).
Nhn xt. Kt qu trn vn ng trng hp Fi v Gi
l cc tin trnh ngu nhin n.