条件期望的两种定义及其等价性探讨

讨论随机变最在给定子σ代数下条件期望的定义,利用投影定理这一数学工具给出条件期望的几何定义,并通过对它与现今各种概率论基础或随机过程教材中常见的公理化定义相互等价性的证明,揭示了条件期望这一概念的内涵.     

Conditional Essential Suprema with Applications

The conditional supremum of a random variable X on a probability space given a sub--algebra is defined and proved to exist as an application of the Radon–Nikodym theorem in L ^\infty. After developing some of its properties we use it to prove a new ergodic theorem showing that a time maximum is a space maximum. The concept of a maxingale is introduced and used to develop the new theory of optimal stopping in L ^\infty and the concept of an absolutely optimal stopping time. Finally, the conditional max is used to reformulate the optimal control of the worst-case value function.     

半群上条件正定函数的扩张

讨论半群上条件正定函数的扩张问题.得到一个扩张定理.作为应用,得到有界扩张定理和Pontryagin空间上量子力学的一个基本定理.     

A Conditional CLT which Fails for Ergodic Components

We show that the conditional central limit theorem can take place for a stationary process defined on a nonergodic dynamical system while this last does not satisfy the central limit theorem for any ergodic component. There exists an ergodic Markov chain such that the conditional central limit theorem is satisfied for an invariant measure but fails to hold for almost all starting points.      

条件扩散过程的生命时与条件Gauge

本文给出了有界的Ｌｉｐｓｃｈｉｔｚ区域Ｄ内的条件扩散过程的生命时Ｔ＿Ｄ的一个渐近估计，由此给出了Ｇａｕｇｅ与条件Ｇａｕｇｅ为有穷或无穷的谱条件，并得出了Ｇａｕｇｅ定理与条件Ｇａｕｇｅ定理。     

Conditional independence,conditional mixing and conditional association

Some properties of conditionally independent random variables are studied. Conditional versions of generalized Borel-Cantelli lemma, generalized Kolmogorov’s inequality and generalized Hájek-Rényi inequality are proved. As applications, a conditional version of the strong law of large numbers for conditionally independent random variables and a conditional version of the Kolmogorov’s strong law of large numbers for conditionally independent random variables with identical conditional distributions are obtained. The notions of conditional strong mixing and conditional association for a sequence of random variables are introduced. Some covariance inequalities and a central limit theorem for such sequences are mentioned.     

Large Deviations of Continuous Regular Conditional Probabilities

We study product regular conditional probabilities under measures of two coordinates with respect to the second coordinate that are weakly continuous on the support of the marginal of the second coordinate. Assuming that there exists a sequence of probability measures on the product space that satisfies a large deviation principle, we present necessary and sufficient conditions for the conditional probabilities under these measures to satisfy a large deviation principle. The arguments of these conditional probabilities are assumed to converge. A way to view regular conditional probabilities as a special case of product regular conditional probabilities is presented. This is used to derive conditions for large deviations of regular conditional probabilities. In addition, we derive a Sanov-type theorem for large deviations of the empirical distribution of the first coordinate conditioned on fixing the empirical distribution of the second coordinate.     

Conditional versions of limit theorems for conditionally associated random variables

Relation between association and conditional association is answered, several examples show that the association of random variables does not imply the conditional association, and vice versa. Several fundamental properties of conditional associated random variables are developed, which extend the corresponding ones under the non-conditioning setup. By means of these properties, some conditional Hájek-Rényi type inequalities, a conditional strong law of large numbers and a conditional central limit theorem stated in terms of conditional characteristic functions are established, which are conditional versions of the earlier results for associated random variables, respectively. In addition, some lemmas in the context are of independent interest.     

集值条件期望的收敛定理

本文给出了集合序列弱极限的表示定理，得到了随机集列关于σ－域流的条件期望序列在弱收敛意义的Fatou型引理和控制收敛定理。     

Conditional limit theorems for conditionally negatively associated random variables

From the ordinary notion of negative association for a sequence of random variables, a new concept called conditional negative association is introduced. The relation between negative association and conditional negative association is answered, that is, the negative association does not imply the conditional negative association, and vice versa. The basic properties of conditional negative association are developed, which extend the corresponding ones under the non-conditioning setup. By means of these properties, some Rosenthal type inequalities for maximum partial sums of such sequences of random variables are derived, which extend the corresponding results for negatively associated random variables. As applications of these inequalities, some conditional mean convergence theorems, conditionally complete convergence results and a conditional central limit theorem stated in terms of conditional characteristic functions are established. In addition, some lemmas in the context are of independent interest.     

Conditional expectations and submartingale sequences of random Schwartz distributions

Let (Ω, Σ, P) be a fixed complete probability space, $\text{D}$ the real Schwartz space, and $\text{D′}$ its strong dual. $\text{D}$ and $\text{D′}$ are partially ordered by $\text{C}$ and $\text{C′}$ respectively, where $\text{C}$ is the positive cone of nonnegative functions in $\text{D}$ and $\text{C′}$ its dual in $\text{D′}$. $\text{C}$ is a strict $\text{B}$-cone and $\text{C′}$ is normal, where $\text{B}$ is the family of all bounded subsets of $\text{D}$. If X, Y are two random Schwartz distributions, then X ≤ Y if and only if Y(ω) ? X(ω) ∈ $\text{D′}$ for almost all $\text{ω ∈ Ω(P)}$. Integrability of random Schwartz distributions and properties of such integrals are discussed. The monotone convergence theorem, the dominated convergence theorem, and Fatou's lemma are proved. The existence of conditional expectations of integrable random Schwartz distributions relative to a given sub σ-field of Σ is shown. Properties of conditional expectations are discussed and the conditional form of the monotone convergence theorem is proved. Sub(super)-martingale sequences are defined via the partial order relations introduced above, and a convergence theorem is given. The notion of a potential is introduced and the Riesz decomposition theorem is proved.     

条件Erlang分布的双参数加法定理

X(γ)和Y(k)服从参数(γ,λ)和(k,μ)的Erlang分布且相互独立.本文证明了在X(γ)相似文献   

Measures and Integrals in Conditional Set Theory

The aim of this article is to establish basic results in a conditional measure theory. The results are applied to prove that arbitrary kernels and conditional distributions are represented by measures in a conditional set theory. In particular, this extends the usual representation results for separable spaces.     

Conditional possibilities independence and noninteraction

Relations from the theory of probability are compared with corresponding relations in the theory of possibility. Because of the special properties of the min operator, the values of the conditional possibilities are much more similar to those of the joint possibilities than is the case in connection with probabilities. When the joint possibilities are given, the solution for the conditional possibilities is not always unique. It is shown that we must distinguish between noninteraction and independence of fuzzy or possibilistic variables. For purposes of inference, relations representing conditional possibility distributions should be used.     

Conditional extrema of functionals in topological linear spaces

A theorem of Lyusternik on conditional extrema of a differentiable functional defined on a Banach space is generalized to the case of a topological linear space.Translated from Matematicheskie Zametki, Vol. 14, No. 3, pp. 375–382, Septembers 1973.     

Conditional pressure and coding

We use pressure to obtain invariants for bounded-to-one block homomorphisms between Markov shifts. These invariants enable us to show that if there is a bounded-to-one block homomorphism between Bernoulli shifts given by probability vectorsp andq thenq may be obtained fromp by a permutation. The invariants may be viewed as conditional pressures; a convergence theorem for eigenmeasures of Ruelle operators motivates the definition of conditional pressure and helps establish our invariants for regular isomorphism of Markov shifts. It follows that Bernoulli shifts given by probability vectorsp andq are regularly isomorphic iffq is a permutation ofp. We employ our invariants also in the context of a finite equivalence. Finally we indicate that ratio variational principles yield further invariants.     

Conditional limit theorems for conditionally linearly negative quadrant dependent random variables

From the ordinary notion of linearly negative quadrant dependence for a sequence of random variables, a new concept called conditionally linearly negative quadrant dependence is introduced. The relation between the two kinds of dependence is answered by examples, that is, the linearly negative quadrant dependence does not imply the conditionally linearly negative quadrant dependence, and vice versa. The fundamental properties of conditionally linearly negative quadrant dependence are developed, which extend the corresponding ones under the non-conditioning setup. By means of these properties, some conditional exponential inequalities, conditionally complete convergence results and a conditional central limit theorem stated in terms of conditional characteristic functions are established.     

Conditional Markov equilibria in discounted dynamic games

This paper introduces conditional Markov strategies in discrete-time discounted dynamic games with perfect monitoring. These are strategies in which players follow Markov policies after all histories. Policies induced by conditional Markov equilibria can be supported with the threat of reverting to the policy that yields the smallest expected equilibrium payoff for the deviator. This leads to a set-valued fixed-point characterization of equilibrium payoff functions. The result can be used for the computation of equilibria and for showing the existence in behavior strategies.     

Conditional expectations on Riesz spaces

Conditional expectations operators acting on Riesz spaces are shown to commute with a class of principal band projections. Using the above commutation property, conditional expectation operators on Riesz spaces are shown to be averaging operators. Here the theory of f-algebras is used when defining multiplication on the Riesz spaces. This leads to the extension of these conditional expectation operators to their so-called natural domains, i.e., maximal domains for which the operators are both averaging operators and conditional expectations. The natural domain is in many aspects analogous to L¹.     

非对称广义自回归条件异方差的新模型

本文提出了一个新的非对称广义自回归条件异方差的新模型,证明了该模型宽平稳及其最简模型偶数价矩存在的充要条件。