Конспект лекций по теории случайных процессов. Дронов С.В. - 39 стр.

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          Pn k (t + h) = Pn n;� (h)Pn;� k (t) + Pn n (h)Pn k (t)+
                       +Pn n�� (h)Pn�� k (t) + o(h)
                n > 0

          P� k (t + h) = P� �(h)P� k (t) + P� � (h)P� k (t) + o(h):
.  h  
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  :
                             P�0 k (t) = � P� k (t)

         Pn0 k (t) = n Pn;� k (t) ; (n + n )Pn k (t) + n Pn�� k (t)
 n > 0:
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                   Pn0 � (t) = ;� Pn � (t) + � Pn � (t)

     Pn0 k (t) = k�� Pn k�� (t) ; (k + k )Pn k (t) + k;� Pn k;� (t)
 n > 0:
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 j 
  
                                 pj = tlim
                                       !1 Pi j (t)

     P p = 1, 
 
 
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       t ! 1, 
 
   
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                             ;�p� + �p� = 0

                   k;� pk;� ; (k + k )pk + k�� pk�� = 0
 k > 0:               (16)
 
                                           � :::j ;�
                         � = 1
 j =                  
 j  1:
                                            � :::j

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