(2.4.2)--随机过程-均方积分及准则2019-7-17.pdf

CONTENTS ,T=a,b,T=a,b T t),t(X)t(EX2)(t f0 n)1,(1n k t u tk k k),()(T t t X t f nn-1=1Y=f u X u t-t 00nnnbn k k k k-1ak=1f t X t dt=l i mY=l i m f u X u t-t 0 1 2 n n k k-11 k na=t t t t=b=t-t,max:X t,t T 2EX t)(t f)()(t X t f a,b bbaa1 2 1 2 1 2f t f t t,t dt dt;bababadt t Y dt t X dt t Y t X)()()()(b c a dt t X dt t X dt t Xbccaba,)()()(X(t),0)(2b a t t EX taY(t)=f(s)X(s)ds,a t b A,B),(T t t X b At t X)(0 lim)()(lim2 2020 EA h t X h t X Eh h AhAhm i lht X h t Xm i lh h 0 0)()(;