T

1. 2
2. 3
3. 5
4. 7
5. 9
6. 10
7. 11
8. 12
9. 13
10. 14
11. 15
12. 16
13. 18
14. 19
15. 20
16. 21

1
 1.
, -
. , .

2
 2.
A , |A| , P(A) -
A A, 1A A,



1, x A
1A (x) = .
0, x < A
.
(1) : A, B ,
|A B| = |A| + |B|.
A B, |B A| = |B| |A|. , A B ,
|A B| = |A| + |B| |A B|.

 
 n  n
 Ai  = (1)k+1 |Ai1 Aik |.
i=1  k=1 i1 <<ik

(2) : |A B| = |A| |B|. i n j

m , (i, j) nm .
.
. n k , k-,
n . -
, nk , n ,
n ... , k 2k
, k-
.
. n k (k n) , -
k-,
. n , n 1 ...

n!
n(n 1)(n 2) (n k + 1) =
(n k)!
. (n)k . n = k
.
. n k (k n) ,
k n. k! , -
(nk) ,
( )
n
k! = (n)k ,
k

( )
n n!
= .
k k!(n k)!

n ( )
n k nk
n
(a + b) = ab .
k=0
k
a = b = 1
n ( )

n n
2 =
k=0
k
( ),
n , 2-
.
3
 k
n . n
k
( )
n+k1
k1
.
. n k ,
k n , i j
i j .
( )
n+k1
.
n1
. m k1
1, k2 2,..., kn n. k j
k j !
m!
.
k1 !k2 ! . . . kn !

( )
m
.
k1 , k2 , . . . , kn

4
 3.
. , -
, ,
, ,
.
. (, A , P),
, , A
,
(1) A .
(2) A A , A A .

(3) An n An .
P , ()
P : A [0, 1]

(1) P() = 0, P() = 1.

(2) An , P( n An ) = n P(An ).
() ,
|A|
= {1, 2, 3, 4, 5, 6}, A = P(), P(A) = .
6
4 5 6 {4, 5, 6}
3 1
P({4, 5, 6}) == .
6 2
,
,
.

.

. ,
.
.
,,,. ;
6.
, 1/6.
,,,,,,,.
8
; 8 (2,2,2,2 ) = 3
4567. ******, ******
,,,,,. (1,2,2,1 6
) = 2 3 5 6.
1/14.
. (, A , P) .
(1) A, B A B P(A) P(B).
(2) A P( A) = 1 P(A).

(3) An P( n An ) n P(An ).

(4) An ( ) P( n An ) = lim P(An ) (-

P( n An ) = lim P(An )).
.
(1) P(B) = P((B A) A) = P(B A) + P(A) P(A).
(2) 1 = P() = P(A) + P( A).

(3) Bn = An k<n Ak , Bn n An = n Bn ,


P An = P Bn =
P(Bn ) P(An ).
n n n n
5
 (4) Bn


P An = lim P(Bk ) = lim P Bk = lim P(An ).
n n n
n kn k


, lim inf An = n kn Ak lim sup An = n kn Ak
P(lim inf An ) lim inf P(An ) lim sup P(An ) P(lim sup An ).

6
 4.
A, B , B A
B|A.
P(A B)
P(B|A) =
P(A)
.
.
P(A1 A2 An ) = P(An |A1 An1 )P(An1 |A1 An2 ) P(A2 |A1 )P(A1 ).
.
P(A1 An ) P(A1 An1 ) P(A1 A2 )
P(A1 A2 An ) = P(A1 )
P(A1 An1 ) P(A1 An2 ) P(A1 )
= P(An |A1 An1 )P(An1 |A1 An2 ) P(A2 |A1 )P(A1 ).

. n n . (
). ;
A j = j , j = 1, 2, 3.

n2 n1 1 n2
P(A1 A2 A3 ) = P(A3 |A1 A2 ) P(A2 |A1 ) P(A1 ) = = .
2n 2 2n 1 2 4(2n 1)
.
n2
2(2n1) . ,
(=). (2n 3 .
)
( ) (3n).
(3n) n2
= .
(2n
3
) 4(2n 2)
( ). An ,
B
P(B) = P(B|An )P(An ).
n

.

P(B|An )P(An ) = P(B An ) = P (B An ) = P(B).
n n n

. w1 b1 , w2 b2
. . .
. ;

A = ,
H = ,
T = .

w1 1 w2 1
P(A) = P(A|H)P(H) + P(A|T )P(T ) = + .
w1 + b1 2 w2 + b2 2
(Bayes).
P(B|Ai )P(Ai )
P(Ai |B) = ,
j P(B|A j )P(A j )

i.
7
.
P(B|Ai )P(Ai ) P(B Ai )
= = P(Ai |B).
j P(B|A j )P(A j ) P(B)

. , ,
;
w1 1
P(A|H)P(H) w1 +b1 2 w1 (w2 + b2 )
P(H|A) = = w1 1 w2 1 = .
P(A|H)P(H) + P(A|T )P(T ) w1 +b1 2 + w2 +b2 2
w1 (w2 + b2 ) + w2 (w1 + b1 )
A B, P(A B) = P(A)P(B), P(B|A) = P(B) P(A|B) = P(A)
. A B .
.
. ,
, A j 1/2.
1
P(A1 A2 A3 ) = P(A1 )P(A2 )P(A3 ) = .
8
n2
4(2n1) .
,
.

A1 , . . . , An I {1, . . . , n} P( iI Ai ) = iI P(Ai ).

8
 5.
. ,
X . X
1
P(X = j) = , j = 1, . . . , 6.
6
X ,
F X (x) = P(X x)
X. X
(1) - fX ( X)
P(X = x) = fX (x)
x X. ' -
. , ,
, ' , '
.
(2) - fX ( X)
x
P(X x) = fX (t) dt

x X. .
, , . .
.

(1) X x , fX (x ) = F X (x )F X (x1 ),

F X (x ) = fX (x ). fX (x ) = 1. , A
X
P(X A) = fX (x ).
x A
(2) X , fX = F X ( F X ), F X (x) =
x +
f (t) dt. fX (t) dt = 1. , A X
X

P(X A) = fX (t) dt.
A
A .
X
x
P(X = x) = lim P(x 1/n < X x) = lim fX (t) dt = 0.
n n x1/n

, , 1.72 .
, , [1.71, 1.73].
,
. . X
g , Y = g(X).
Y ' P(Y = y) X ,
FY (y) = P(Y y) X .
.
(1) . X , X 2 . X {1, 2, 3, 4, 5, 6}
1/6. X 2 {1, 4, 9, 16, 25, 36} 1/6.
(2) X [0, 1] fX (x) = 1. X 2 .
0 y 1
y

FY (y) = P(X y) = P(X y) =
2
dt.
0

1
fY (y) = FY (y) = .
2 y
9
 6.
X X

(1) x x fX (x), X ,
+
(2) x fX (x) dx, X ,
. , , E(X)
X .
. X g

(1) E(g(X)) = x g(x) fX (x), X .
+
(2) E(g(X)) = g(x) fX (x) dx, X .
( .)
. Y = g(X).
(1) X x j p j = fX (x j ) Y y j = g(x j )
.

E(Y) = y j P(Y = y j ) = g(x j )p j = g(x j ) fX (x j ).
j j j

(2) 52
+ 0 + 0
E(Y) = (1 FY (y)) dy FY (y) dy = P(Y > y) dy P(Y y) dy
0 0
= I1 + I2 .
'
+ + g(x) +
I1 = fX (x) dxdy = fX (x) dydx = g(x) fX (x) dx.
0 {x:g(x)>y} 0 0 0

0
I2 = g(x) fX (x) dx.


E(X ), , k , E(X ) E(X)
k 2 2

Var(X) 2X .
+
E((X X )2 ) = (x X )2 fX (x) dx = E(X 2 ) 2X = Var(X).

-.
1
. fX (x) = 1, x [0, 1], E(X n ) = 0
xn dx = 1
n+1 .

10
 7.
, MX (t) = E(etX ), t .
MX X
E(X n )
MX (t) = tn .
n
n!
Taylor

dn MX 
E(X ) = n 
n
.
dt 
t=0

. X Y .
. ( X, Y a X, Y b.)
b b
E(X n ) = E(Y n ), a tn ( fX (t) fY (t)) dt = 0 n. g = fX fY . a Pg = 0
P. P j g ( Weierstrass).

b b
g2 = g(g P j ) 0.
a a
g = 0.
+
. fX (x) = ex , x 0, MX (t) = 0 etx ex dx = 1
1t , t < 1. 1
1t
Taylor
1
+
= tn .
1 t n=0
E(X n ) = n!.

11
 8.

1
= {x1 , . . . , xn }, fX (xk ) =
,
n
k. .

( )
n k
= {0, 1, . . . , n}, fX (k) = p (1 p)nk .
k
B(n, p) n Bernoulli
p ( Bernoulli :
).
. 1000 . 600 3
( )
1000 ( 1 )600 ( 5 )400
.
600 6 6

= N, fX (n) = (1 p)n1 p.
Bernoulli
p.
( )999
. 1000 3 65 1
6.

Poisson
n
= {0, 1, 2, . . . }, fX (n) = e,
n!
> 0 . "" -
. . Xn B(n, pn ), pn = /n.
("" ). -
k
n! 1 k ( )n k
P(Xn = k) = 1 e ,
(n k)! (n ) k!
k n k!
n . ...
.
. .
Poisson P().

( )
k1 n
= {n, n + 1, . . . }, fX (k) = p (1 p)kn ,
n1
n N . n -
Bernoulli p. AB(n, p). n = 1
.

(nx)(kx
m
)
= {0, 1, . . . , k}, fX (x) = ,
(n+m
k
)
n, m, k k min{n, m}. '
k n m .

12
 9.

1
= [a, b], fX (x) = ,
ba
a < b . U(a, b).

= [0, +), fX (x) = ex ,
> 0 .

a a1 x
= [0, +), fX (x) = x e ,
(a)
a, > 0 , . a = 1 . (a, )
(a, 1/).

{ }
1 1 ( x )2
= R, fX (x) = exp ,
2 2
R, > 0 . N(, 2 ). X N(, 2 ) Z = X N(0, 1). -
" ...". N(0, 1)
.

13
 10.
( Chebychev). X 2 , > 0

2
P(|X | > ) 2 .

. (X .)
2 P(|X | > ) |x |2 fX (x) dx 2 .
|x|>

( Jensen). X g
g(E(X)) E(g(X)).
. = E(X)
g() g(s)
= sup .
s< s

g(x) g() (x ) 0,
x . X ( )
x ( ).
Jensen g(t) = t2 Cauchy-Schwarz E(X)2 E(X 2 ),
Cauchy-Schwarz
( + )2 ( + ) ( + )
| f g| | f |2 |g|2 .


+
(t| f (x)| |g(x)|)2 dx,

t. t .
Cauchy-Schwarz.

14
 11.
n- (X1 , X2 , . . . , Xn ) .
2- .

F X,Y (x, y) = P(X x & Y y).
(X, Y)
(1) - fX,Y , (X, Y),
P(X = x & Y = y) = fX,Y (x, y)
(x, y) (X, Y). '
.

P((X, Y) A) = fX,Y (x, y).
(x,y)A

(2) - fX,Y , (X, Y),

"
P(X x & Y y) = fX,Y (s, t) dsdt
sx & ty
(x, y) (X, Y).
- .
"
P((X, Y) A) = fX,Y (x, y) dxdy.
A
(X, Y) X Y .

fX (x) = fX,Y (x, y), fY (y) = fX,Y (x, y),
y x

(X, Y) ,
+ +
fX (x) = fX,Y (x, y) dy, fY (y) = fX,Y (x, y) dx,

(X, Y) .
, (X, Y) ,
2 F X,Y
fX,Y = .
xy

15
 12.
fX,Y (x, y) = fX (x) fY (y).
, X Y y
fX,Y (x, y)
fX|Y (x|y) = .
fY (y)




fX|Y (x|y) fY (y), Y





y

fX (x) =
.


+




fX|Y (x|y) fY (y) dy, Y

X Y = y ( )



x fX|Y (x|y), X




x
E(X|Y = y) =


+


x fX|Y (x|y)) dx, X

y. g(y).
g(Y) E(X|Y) .
. E(E(X|Y)) = E(X).
. ( .)
+ + + +
E(E(X|Y)) = E(X|Y = y) fY (y) dy = x fX|Y (x|y) fY (y) dxdy = x fX (x) dx = E(X).


, g(X, Y) (X, Y),
"
E(g(X, Y)) = g(x, y) fX,Y (x, y) dxdy,
R 2

. :
E(aX + bY) = aE(X) + bE(Y).
X Y
E(g(X)h(Y)) = E(g(X))E(h(Y)),
g h, . X1 , . . . , Xn
,

2
2
Var
Xk = E
Xk E Xk = E(X j X j ) E(Xi )E(X j ) = Var(Xk ).
k k k i, j i, j k

Cov(X, Y) = E(XY) E(X)E(Y),

Cov(X, Y)
(X, Y) = .
X Y
Cauchy-Schwarz E(XY)2 E(X 2 )E(Y 2 ).
Cov(X, Y)2 = E((X X )(Y Y ))2 2X 2Y .
1.
, (X, Y)
( )
MX,Y (s, t) = E e sX+tY .
16
 X Y
MX,Y (s, t) = MX (s)MY (t).

17
 13.
(X, Y) T : R2 R2 , T (x, y) = (z, w), .
(Z, W) = T (X, Y). Az,w = {(s, t) : s z & t w}
"
1
FZ,W (z, w) = P(Z z & W w) = P((X, Y) T (Az,w )) = fX,Y
T 1 (Az,w )
z w
= fX,Y T 1 (s, t)|JT 1 (s, t)| dt ds,

JT 1 Jacobian T . z w
x x
z w
fZ,W (z, w) = fX,Y (x(z, w), y(z, w))| |.
y y
z w

. X Y , Z = X +Y.
(X, Y) 7 (X, Z) = (X, X + Y).
fX,Z (x, z) = fX,Y (x, z x).

+
fZ (z) = fX,Y (x, z x) dx.

X Y ,
+
fZ (z) = fX (x) fY (z x) dx.

" + zx
FZ (z) = P(X + Y z) = fX,Y (x, y) dxdy = fX,Y (x, y) dy dx,

x+yz

z. W = XY
+
dx
fW (w) = fX,Y (x, w/x) .
|x|
, -
. X N(0, 1),
( ) +
1 x2 t2
MX (t) = E etX = etx e 2 dx = e 2 .
2
X
X N(, 2 ) Z = N(0, 1).
( )
MX (t) = E et(Z+) = et et /2 .
2 2

X j N( j , 2j ), j = 1, . . . , n Z = j X j

t2
MZ (t) = MX j (t) = exp t
j exp j .
2

j j
2 j
2
Z N( j j , j j ).

18
 14.
(1) (.) n .
k p j . X j
j- n ,
( )
n
fX1 ,X2 ,...,Xk (x1 , x2 , . . . , xk ) = p x1 p x2 pkxk .
x1 , x2 , . . . , xk 1 2
(2) ( .)
1 ( 1 )
f X (x) = exp (x )1 (x )t ,
(2)n || 2
Rn = (i j ) Rnn ,
.

19
 15.
Xn X
c > 0
P(|Xn X| > c) 0.
X
F Xn (x) F X (x),
x.
n
1
Sn = Xn , Xn = S n.
j=1
n

( ). Xn
2 , Xn .
. Chebychev
Var(Xn ) 2
P(|Xn | > c) = 0.
c2 c2 n

( ). ,
S n n
Zn =
n
N(0, 1).

20
 16.
+ +
1. A = n=1 An B = n=1 An ,
( )
(1) An = 2n , n , n N.
1 1
{ }
(2) An = (x, y) R2 : x2 + y2 1
n2
,nN
.
(1) A = (0, 1/2) (1/2, 1) An+1 An
n 2, B = x 2n1
< x < 1n n.
(2) A , B {(0, 0)}.

2. An , Bn X.
(lim inf An ) (lim sup Bn ) (lim sup An ) (lim sup Bn ).
(lim inf An ) (lim sup Bn ) lim sup(An Bn ).

(lim sup An ) (lim sup Bn ) lim sup(An Bn ).
. lim inf An lim sup An . , -
An Bn , An Bn , .
An = (0, 1) n , An = (1, 2) n ,
Bn = (1, 2) n , Bn = (0, 1) n .
3. lim sup An lim inf An
(1) An A[m = ,
) n , m. ( ]
(2) A2n = 1, 2 + 2n , A2n+1 = 2 2n+1
1 1
, 1 , n N
.
(1) lim inf An = lim sup An = .
(2) lim inf An = [1, 1], lim sup An = [2, 2].

4. A1 , . . . , An ,
n n1
n
Ak = Ak (Ak Ak+1 ) ,
k=1 k=1 k=1

AB = (A B) (B A) .
. . , x Ak ,
i j x Ai x < A j .
5. A , A 1A




1, x A


1A : {0, 1}, 1A (x) = .


0, x < A
n
A1 , A2 , . . . , An k=1 Ak 1Ak .
. ' A, B , 1AB = 1A 1B , A, B

1AB = 1A + 1B . 1A = 1 1A . , x nk=1 Ak Ak ( )
. S k0 = Ak S k1 = A k , Ak
j1 j2 jn
S 1 S 2 S n jk 0 1 1. ,
A1 A2 A1 A2 , A1 A 2 A1 A2 . fk = 1Ak
0

fk = 1 1Ak
1

1nk=1 Ak = f1j1 fnjn .
j1 ,..., jn {0,1}
( j1 ,..., jn ),(1,...,1)
21
,

n
1nk=1 Ak = 1 (1 1Ak ).
k=1

6. A, An
A lim sup An = lim inf(A An ), A lim inf An = lim sup(A An ).
. De Morgan:
.

7. X {1, 2, 3, 4, 5, 6} ("") .
"5" "6"
P(X = 5 X = 6) = 3P(X = 1 X = 2 X = 3 X = 4).
P(X = j) j = 1, 2, 3, 4, 5, 6.
.
p = P(X = 5) = P(X = 6), q = P(X = 1) = P(X = 2) = P(X = 3) = P(X = 4).
2p = 12q 2p + 4q = 1, p = , q = .

8. n (n 3) 3 .
n 2 . ;
. A, B, C , n
Bernoulli 1/3,
( ) ( )k ( )nk
n 1 2
P(A = k) = P(B = k) = P(C = k) = .
k 3 3

1 P(A n 2) P(B n 2) P(C n 2).

9. P(A) = P(B) = 3/4, P(AB);

. P(A B) 3/4 P(A B) = P(A) + P(B) P(A B) P(A B)
1/2.

10. P(A) = 1/2, P(B) = 5/12 P((A B) ) = 1/3.

P(A B), P(A B ), P(A B), P(A B ).

.
P(A B) = P(A) + P(B) P(A B).
P(A B) = P(A) P(A B).
P(B A) = P(B) P(A B).

P(A B ) = P((A B) ).

11. 3 "" , a, b c
x 2y = 3
ax by = c.
; ; ;
(3, 0);
22
. (a, b, c) 63 = 216. b = 2a.
18 . c = 3a.
2 , 2/216 = 1/108.
c , 3a. 18 2 = 16 , 16/216 = 2/27.
. 216 18 = 198 ,
198/216 = 99/108. (3, 0), c = 3a = (3 + 3b)/2,
(a, b, c) = (1, 1, 3) (a, b, c) = (2, 3, 6), 2/216 = 1/108.
12. An .
An 21n n. 1, -
An .
.
1
P Ak 0
n kn
2k
km
m +. P(lim sup An ) = 0.
13. = {a1 , . . . , an }. (, P()).
.
. ( )
1.
14. n 2 2 . (
) , .
p; (0 < p < 1.)
. j j 1
j .
(n 2) j1 (2)1 2(n j)
pj = = .
(n) j n(n 1)
k


k
(2n 1)k k2 (2n 1) (2n 1)2 4pn(n 1)
pj > p > p k = .
j=1
n(n 1) 2

15. n k . m ;
(0 m n.)
. a () b
() a + b 1 b 1.
(nm+k2)
k2
.
(n+k1
k1
)
8 .
16. A B ,
1
|P(A B) P(A)P(B)| .
4
(x+y)2
. xy 4 x = P(A) y = P(B)
(P(A) + P(B)) (P(A B) + P(A B))2 1
2
P(A B) + 2P(A B)
P(A)P(B) = + P(A B)
4 4 4 4
1
+ P(A B).
4
P(A)P(B) P(A B) 14 . B B P(A B) P(A)P(B) 14 .
.
(+ )
17. An P(An ) = 1 P n=1 An = 1.
23
. 1 , .

18. (R, B)
1.
. , 1
.

19. p, n . p 1 p n
1 n. . i = 1, . . . , n Ai
i- . A1 An
, p
n .
. p n n p , n 1 (1 ) (n 1) p
,
(n 1) p
P(Ai ) = .
np
(nk) p
k np .

n
n ( )( )p
n nk
P(A1 An ) = (1)k+1 P(A j1 A jk ) = (1)k+1 .
k=1 j1 << jk k=1
k n

,
. n p (1 p), p .

20. n . 2n . n
.
;
. s = 1 + 2 + + (2n) s . a, a
, a + a = s, a = a .
(a, a ) (a , a). 12 .

21. .
;
( )n
. lim 56 = 0.

22. A B , a > 0 b > 0

, P(A|B) > a P(B|A) > b,
a+b1
P(A|B) .
b
. P(A|B) > a P(A B) > ab, P(B|A) = P(A B)/a > b.

1 P(A) + P(B) P(A B) = P(A B),
.

23. p.
.
. n (1 p)n1 p. n
p1 + p2 + + pn > .

24. 4 .
p1 = 0.1, p2 = 0.2, p3 = 0.3, p4 = 0.4.
, ;
24
.
Ak = k .
T = .

T = (A1 A2 A3 A
4 ) (A1 A2 A3 A4 ) (A1 A2 A3 A4 ) (A1 A2 A3 A4 ).

P(T ) = p1 p2 p3 (1 p4 ) + p1 p2 (1 p3 )p4 + p1 (1 p2 )p3 p4 + (1 p1 )p2 p3 p4 .

P(A1 A2 A3 T ) P(A1 A2 A3 A
4)
P(A1 A2 A3 |T ) = = .
P(T ) P(T )

25. p, q, r, s
P(A|B) = p, P(A|B ) = q, P(B|A) = r, P(B|A ) = s.
. x = P(A)
P(B|A)P(A) rx
p = P(A|B) = = .
P(B|A)P(A) + P(B|A )P(A ) rx + s(1 x)
P(B |A)P(A) (1 r)x
q = P(A|B ) = = .
P(B |A)P(A) + P(B |A )P(A ) (1 r)x + (1 s)(1 x)

1 s(1 x) 1 (1 s)(1 x)
1= , 1= .
p rx q (1 r)x
( )(
1 1 ) (1 )(
1 )
1 1 = 1 1 .
p s q r

26. 10.
12;
. = {(n, m) : 1 n, m 10}
A = {(2, 10), (3, 9), (4, 8), . . . , (9, 3), (10, 2)}.
|A| 11
P(A) = = .
|| 100

27. A1 1 1 . A2 2 2
.
. .
;
.
B j = j W j = j ,
j = 1, 2, 3.
P(B3 ) = P(B3 |B1 B2 )P(B1 B2 ) + P(B3 |W1 W2 )P(W1 W2 ) + P(B3 |W1 B2 )P(W1 B2 ) + P(B3 |B1 W2 )P(B1 W2 )
= P(B3 |B1 B2 )P(B2 |B1 )P(B1 ) + P(B3 |W1 W2 )P(W2 |W1 )P(W1 )
+ P(B3 |W1 B2 )P(B2 |W1 )P(W1 ) + P(B3 |B1 W2 )P(W2 |B1 )P(B1 )
1 2 + 1 1 1 2 + 1 1
= +
1 + 1 2 + 2 + 1 1 + 1 1 + 1 2 + 2 + 1 1 + 1
1 + 1 2 1 1 1 2 1
+ + .
1 + 1 2 + 2 + 1 1 + 1 1 + 1 2 + 2 + 1 1 + 1

25
 28. n 1/2n . y {1, . . . , n}
1/n. y ;
. X Y

+
1 1
P(Y = n) = P(Y = n|X = k)P(X = k) = .
k k=n
k 2k

1 1 [k]
P(Y = 2n) = 0.225347.
n k
2k k 2

29. . e j = 0 j- , e j = 1
.
n
ej
sn = ,
j=1
2j

sn t (0 t 1) t n +.
dj
. t = + j=1 2 j t, D {0, 1}
n

D( j)
t
jn
2j

2n1 D(1) + 2n2 D(2) + + D(n).

30. "" 10%

, 9% . 60%
40% . 9 1 "",
;
.
A = .
B = .
T = 9 "".
S = "".

P(A) = 0.6, P(B) = 0.4, P(S |A) = 0.1, P(S |B) = 0.09,
9 Bernoulli "",
( ) ( )
9 9
P(T |A) = P(S |A)(1 P(S |A))8 , P(T |B) = P(S |B)(1 P(S |B))8 .
1 1
Bayes
P(T |A)P(A)
P(A|T ) = .
P(T |A)P(A) + P(T |B)P(B)

31. n k k n k . -
.
;
26
.
A = .
Ak = k .
k(k1)
P(Ak ) = 1/n P(A|Ak ) = n(n1)
.

n
1 n
P(A) = P(A|Ak )P(Ak ) = 2 k(k 1).
k=1
n (n 1) k=1

32. n N 2n
. Ak k B ,
P(Ak ), P(B) P(A2p |B), p .

. P(Ak ) = c log k 2n
k=1 P(Ak ) = 1, c = 1/ log((2n)!).
n
n log 2 + log(n!) P(A2p )
P(B) = P(A2k ) = , P(A2p |B) = .
k=1
log((2n)!) P(B)

33. :
(1) A1 , . . . , An , .
n
n
P Ak 1 e k=1 P(Ak ) .
k=1
(2) Bn , n = 1, 2, . . . A
Bn A Bn .
: (1) ex > 1 x.
.
(1) A, B ,
P(A B ) = 1 P(A B) = 1 P(A) P(B) + P(A)P(B) = (1 P(A))(1 P(B)) = P(A )P(B ).
, n A1 , . . . , An+1
{ j1 , . . . , jk } {1, . . . , n + 1}
P(Aj1 Ajk ) = P((A j1 A jk1 ) )(1 P(A jk ))
= (1 P(A j1 )) (1 P(A jk1 ))(1 P(A jk )) = P(Aj1 ) P(Ajk ).

n

n
n n
P Ak = 1 P(A A
n ) = 1 (1 P(A k )) 1 eP(Ak ) = 1 e k=1 P(Ak ) .
1
k=1 k=1 k=1
(2)


P Bk A = P(Bk A) = P(A) P(Bk ) = P(A)P Bk .

k k k k

34. An
+
n=1 P(An ) , P(lim sup An ) = 1.

. m n
m
m
P Ak 1 e k=n P(Ak ) .
k=n
m +

P Ak = 1,

kn
n. P(lim sup An ) = 1.
27
 35. X
( )
x1
f (x) = c , x = k, k + 1, . . . , n.
k1
c X. , , c
( ).
.
n (
) n {( ) ( )} ( )
x1 x x1 n
=1+ = .
x=k
k1 x=k+1
k k k

x ( )
1 j1
x1
(k1 ) (kx)
f (x) = , F(x) = = .
(nk) (nk) j=k k 1 (nk)

36. X
f (x) = ce|x| , x R.
c, X P(1 < X 2).
.
+
e|x| dx = 2,

c = 1/2,

1 x |t| 1

e x , x0 1
F(x) = e dt = , P(1 < X 2) = F(2) F(1) = (2 e1 e2 ).
2 2
2 ex , x0 2

37. A, B P(A) = P(B) = p.

.
X = 1A + 1 B , Y = 1A 1 B , Z = 1A 1 B ,
1S S .
.



P(A B ) = 1 2p + p2 , x=0



fX (x) = P(A B) + P(B A) = 2p(1 p), x=1



P(A B) = p2 , x=2



P(A B) + P((A B) ) = 1 2p + 2p2 , y = 0



fY (y) = P(A B) = p p2 , y=1



P(B A) = p p2 , y = 1



P((A B) ) = 1 p2 , z = 0
fZ (z) =

P(A B) = p2 , z=1

38. X : {0, 1, 2, . . . } -

4
f (n) = f (n 1), n = 1, 2, . . . ,
n
X.

. f (n) = 4n! f (0). n f (n) = 1, f (0) = e4 , Poisson
n

4.
28
 39. X



0, x < 1,






F(x) = ,



[x] k



, x1
c k
k=1

(0, 1) [x] x. B c X.
( )
k 1 1
. lim x+ F(x) = c + 1
k=1 k = c log 1 , c = log 1 . F
(k, k + 1), k = 1, 2, . . . , f (x) = 0 . k
k
f (k) = F(k) F(k) = c .
k

40.
(1)
( )
k
(1 + 2 + + n )k = j1 j2 njn ,
j1 + j2 ++ jn =k
j1 , j2 , . . . , jn 1 2

j .
(2) j Poisson j .
(1) n k .
.
(1) k , n -
p j . j1 1, j2 2,..., jn n

( )
k
p j1 pnjn .
j1 , . . . , jn 1
j1 , . . . , jn j1 + + jn = k 1.
p j = j /(1 + + n ) .
(2) j1 j2 ,... jn n-,
1j1 jn
e1 en n .
j1 ! jn !
A j1 , . . . , jn k
1j1 jn (1 + + n )k
e1 en n = e(1 ++n ) ,
j1 ++ jn =k
j1 ! jn ! k!

Poisson 1 + + n .

41. , p.
n k .
x , y
.
. B(n, p). B(k, 1 (1 p)n ).
1
42. X Y P[X = n] = P[Y = n] = 2n . X
Y.
. = {(n, m) : n, m N} {(n, kn) : k, n N}.
1 1 1
= 0.606695.
k,n
n
2 2 kn
n
2 (2 1)
n n

29
 43. n n . j j
. X ,
X.

. Dn,k k n n
,
( )
n
Dn,k = Dnk,0 .
k
, An,k k , n -
n , |An,k | = (n 1)! |(An, j1 An, jm )| = (n m)!.

nk ( )
j nk
Dnk,0 = (n k)! |Ank,1 Ank,nk | = (1) (n k j)!.
j=0
j

1 (1) j
nk
Dn,k
fX (k) = P(X = k) = = .
n! k! j=0 j!

44. X B(n = 8, p = 3/4). pi = P(X = i),

3(9 i)
pi = pi1 , i = 1, . . . , 8.
i
P(X 7) k P(X k) 0.01.

.
pi (8)(3/4)i (1/4)8i 3(9 i)
= 8i = .
pi1 (i1)(3/4)i1 (1/4)9i i

P(X 7) = p7 + p8 = 0.367081. p0 , p0 + p1 . . . , p0 + p1 + + p7

0.0000152588
0.00038147
0.00422668
0.027298
0.113815
0.321457
0.632919
0.899887

k = 2.

45.
(1) a
a
f (x) = , x>1
x2 14

X.
(2) F X.
(3) f F.
+ x x1/2
. 1 f (x) dx = a ln 3, a = 1/ ln 3. F(x) = 1 f (x) dx = 1 + a ln x+1/2 .
30

46. X f .
Y = X 2 > 0. f .
. P(|x| X |x|) = P(Y x2 ), F X (|x|) F X (|x|) = FY (x2 ).
fX (x) = |x|ex .
2

47. X Poisson > 0.
[X]
Y=4 2X + 1,
2
[] . Y .
. X Y = 1, X Y = 1.
( )
2 4 e + e
P(Y = 1) = P(X ) = e 1 + + + = e .
2! 4! 2

e e
P(Y = 1) = e .
2
E(Y) = fY (1) fY (1) = e2 .
E(Y 2 ) = fY (1) + fY (1) = 1.
Var(Y) = E(Y 2 ) (E(Y))2 = 1 e4 .

48. . 1 2, .
2n . 1 ,
2 . X 2n ,
X.
. S X = 2 S X = 0 S .
(N ) ( )
N
(1 1) = 0
N
= .
jN, j
j jN, j
j

P(S ) = P(S ) = 1/2. fX (2) = fX (0) = 1/2 E(X) = 1.

49. X , Z = X 2X. 2

. X 2 2X t 4(1 + t). , t < 1, P(Z t) = 0. t 1,

FZ (t) = P(Z t) = P(1 1 + t X 1 + 1 + t) = F X (1 + 1 + t) F X (1 1 + t).

e1 2 ( 1+t )
t

fZ (t) = FZ (t) = e + e 1+t .
2 1+t

50. -
Poisson . -
.
31
. N s s R
.
FR (r) = P(R r) = P(Nr2 , 0) = 1 ecr .
2

fR (r) = FR (r) = 2recr .

2

51. P ' AB 2a.

X = |AP| |PB|. X.
. T = |AP|, T U(0, 2a) (), X = T (2a T ).
2a
t
E[T ] = dt = a
0 2a
2a 2
t 4
E[T 2 ] = dt = a2
0 2a 3
2
E[X] = E[2aT T 2 ] = 2aE[T ] E[T 2 ] = a2
3

0, x 0



F X (x) = P[X x] = P[T (2a T ) x] =
P[T 2
2aT + x 0], 0 < x < a2 .



1, x a2

[ ] [ ] a2 x
P[T 2aT + x 0] = P T a a2 x + P T a + a2 x = 1
2
.
a





1
, 0 < x < a2



2a a2 x
fX (x) =
.




0,

52. X F .
+ 0
= (1 F(x)) dx F(x) dx.
0

.
+ + + + t +
(1 F(x)) dx = fX (t) dt dx = fX (t) dx dt = t fX (t) dt.
0 0 x 0 0 0
0 0 x 0 0 0
F(x) dx = fX (t) dt dx = dx dt = t fX (t) dt.
t
.

53. X f
f (c + x) = f (c x) c ( c). = c.
.
+ + + +
= x fX (x) dx = (y + c) fX (y + c) dy = (y + c) fX (c y) dy = (2c u) fX (u) du

= 2c .

54. . . .
.
32
. .
1, 1, 1, . . . , | {z
}1, ,

1 ( 5 )n 1 ( 5 )2n
+
6
= = .
6 n 6 6 n=0 6 11

1 6
11 = 5
11 .
[ ]
55. X 12 , 12 . Y = cos(X).
, , Y.
. Y [0, 1]
( 1 ) ( 1 ) (1 ) ( 1 )
FY (y) = P(cos(X) y) = P X arccos y + P X arccos y = 1 F X arccos y + F X arccos y ,

0 y 1.
2
fY (y) = Fy (y) = , 0 y < 1.
1 y2

2 1 y 2[ ]1 2
E(Y) = dy = 1 y2 = .
0 1 y2 y=0
1 [ ]
2 y2 2 1 arcsin y 1 1
E(Y 2 ) = dy = y 1 y2 + = .
0 1y 2 2 2 y=0 2
1 4
Var(Y) = E(Y 2 ) (E(Y))2 = 2 .
2

56. p. K
Poisson ,
P(K = k) = e k /k!.
X , X.
. k ,
k p,
+ ( )
k x k (p) x
fX (x) = P(X = x) = P(X = x|K = k)P(K = k) = p (1 p)kx e = ep ,
k k=x
x k! x!
Poisson p.
57. R f : R R
f (x) = 2[x] 1[0,+) (x),
[] . f
X, X.
.
+ +
k+1
+
1
f (x) dx = f (x) dx = = 2.
0 k=0 k k=0
2k
= 1/2.
+
1 1 1 k 1 3
+ + k+1 +
E(X) = x f (x) dx = x dx = 2 + = .
0 2 k=0 2k k 4 k=0 2k k=0 2k 2
x
k0 kxk = (1x)2

.
33
 58. n 1 n. ,
.
. .
X ,
X, E(X) limn+ E(X).
. 2 n + 1 ,
n + 1 n. ,
k k
n. (nk) ,
(nk) (nk)
P(X > k) = F X (k) = 1 .
nk nk

n ( )
(k1) (nk) n+1 k1
fX (k) = F X (k) F X (k 1) = = , 2 k n + 1,
nk1 nk k nk

(
n+1 )
n + 1 (k 1)k
E(X) = .
k=2
k nk
,
(n + 1)
n+1
xk = (1 + x)n+1 ,
k=0
k

(
n+1
n+1
)
k(k 1)xk2 = n(n + 1)(1 + x)n1 .
k=2
k
x = 1/n
(
n+1 )
n + 1 (k 1)k ( 1 )n
= 1 + e.
k=2
k nk n

59. X N
3
P(X = n + 1) = P(X = n).
n+1
X.
.
3n1
P(X = n) = P(X = 1).
n!

1 3n
fX (n) = .
1 n!
e3
3e3
E(X) = 3 .
e 1
(3e 3
)(e3 4)
2 (X) = .
(e 1)2
3

60. X -
P(X u) , 0 P(X u + t|X u) = P(X t)
( ). q = P(X 1) 0 < q < 1. ,
X.
34
. u = 1
P(X n) = P(X 1)P(X n 1).
P(X n) = q , fX (n) = P(X n) P(X n + 1) = qn (1 q), E(X) = q/(1 q)2 , 2 (X) =
n

q/(1 q)2 .
61. X |X| b, b > 0.
E(X 2 ) a2
P(|X| > a) > ,
b2
0 < a < b.
. (X .)

E(X 2 ) = x2 fX (x) dx = x2 fX (x) dx + x2 fX (x) dx < a2 + b2 P(|X| > a).
|x|b |x|a a<|x|b

62. P .
P (0, 1) M.
M.
. X M P,
cos
X= ,
1 sin
U(0, 2).
X2 1
sin = 2 .
X +1
( )
x2 1 1 x2 1
F X (x) = P arcsin 2 = arcsin 2 .
x +1 2 x +1

1 1
fX (x) = F X (x) = .
1 + x2

63. X , N p = (E(|X| )) , p > 0. N p Nq p 1/p

1 p q,
lim N p = sup |X| ( ).
p+

. Jensen
(E (|X| p )) E ((|X| p ))
(t) = tq/p . > 0
(sup |X| )P({|X| > sup |X| })1/p N p sup |X|.

64.
+
1 x2
et
2
/2
dt e .
x x
X N(, 2 ),
2 1 2 /2
P(|X | > ) e .

.
+ +
t2 /2
tet dt = ex
2 2
x e dt /2 /2
.
x x

( X  ) +
P   > = 2 t2 /2 2 1 2 /2
e dt e .
 2

35
 65. X P(),
9
P(X + 1) , P(X ) .
3 4
. Chebychev

P(|X | ) ,
2
= 1 = 2/3.

66. X 0 2 .
2 2
P(X > ) , P(X < ) .
2 + 2 2 + 2
. (X .) Cauchy-Schwarz
( )2 ( )2
(P(X > ))2 x fX (x) dx = x fX (x) dx P(X ) x2 fX (x) dx
x> x x
( 2 P(X > ))(1 P(X > )),
2

.
1 .

67. X "bridge". -
X .
. W, Y, Z , X, Y, Z, W X + Y +
Z + W = 4. E(X) = 1.

68. X . m X
c ,
c
E(|X c|) = E(|X m|) + 2 (c x) fX (x) dx.
m

.
c m + c
E(|X m|) + 2 (c x) fX (x) dx = (m x) fX (x, dx + (x m) fX (x) dx + 2 (c x) fX (x) dx
m m m
m + c
= (c x) fX (x) dx + (x c) fX (x) dx + 2 (c x) fX (x) dx
m m
c +
= (c x) fX (x) dx + (x c) fX (x) dx
c
+
= |x c| fX (x) dx = E(|X c|).

69. n ' . X
, X.
p2 1
. n = 2k + 1, X {0, 1, . . . , k 1}. E(X) = p1
2 , (X)
2
= 12 . n = 2k


2k1 , x {0, 1, . . . , k 2}
2




fX (x) =
.



1 , x=k1
2k1
k(k1)(k2 k+1)
E(X) =
(k1)2
2k1 2 (X) = 3(2k1)2
.

70. n , k k . -
. X Y
, (X, Y), Y.
36
. X {1, . . . , n} Y|X = i {1, . . . , i}.
1
fX,Y (i, j) = , 1 j i n.
ni
n+3 (n 1)(7n + 13)
E(Y) = , 2 (Y) = .
4 144

71. T (n, ) n N X|T = t P(t),
X.
.
+ ( )
x+n1 () x
fX (x) = fX|T (x|t) fT (t) dt = .
0 x (1 + )n+x

+
MX (t) = etx fX (x) = (1 + (1 et ))n .
x=0

72. (X, Y) 2- 0
[ ]
1
= , || < 1,
1
max{X, Y}.
.
"
E(max{X, Y}) = 2 x fX,Y (x, y) dx dy
x>y
" { }
1 1
= x exp (x 2
2xy + y 2
) dx dy
1 2 x>y 2(1 2 )
" { 2} { }
1 x 1
= x exp exp (y x) dx dy
2
1 2 x>y 2 2(1 2 )
" { 2} { 2}
1 x u 1
= x exp exp dx du = .
1+
x>u 1 2 2

73. 2- (X, Y)
fX,Y (x, y) = 8xy, 0 x y 1.
.
. .
x 0 y 0 F X,Y (x, y) = 0.

x y
0 x y 1 F X,Y (x, y) = 8st dt ds = 2x2 y2 x4 .
0
x 1
s

0 x 1, y 1 F X,Y (x, y) = 8st dt ds = 2x2 x4 .

0y s y
0 y x, y 1 F X,Y (x, y) = 8st dt ds = y4 .
0 s
x 1, y 1 F X,Y (x, y) = 1.

74. (X, Y)
fX,Y (x, y) = xex(1+y) x, y > 0.
.
37
.
+
fX (x) = xex(1+y) dy = ex .
0
+
1
fY (y) = xex(1+y) dx = .
0 (1 + y)2
fX,Y (x, y)
fX|Y (x|y) = = (1 + y)2 xex(1+y) .
fY (y)
fX,Y (x, y) xex(1+y)
fY|X (y|x) = = = xexy .
fX (x) ex

75. (X, Y) . X Y .
. (X, Y)



1/, x2 + y2 1
fX,Y (x, y) =
.
0,
.
1x2
1 2
fX (x) = dy = 1 x2 1 x 1.
1x2
1y2
1 2
fY (y) = dx = 1 y2 1 y 1.
1y2
fX,Y (x, y) , fX (x) fY (y), X Y .

76. (X, Y) (0, 0), (0, 1) (1, 1). -
P[X > 1/2], P[Y < 1/3] P[X > 1/2, Y < 1/3].
. (X, Y) fX,Y (x, y) = 2, 0 x y 1.
1 y
fX (x) = 2 dy = 2(1 x), 0 x 1, fY (y) = 2 dx = 2y, 0 y 1.
x 0

1
P[X > 1/2] = 2(1 x) dx = 1/4.
1/2
1/3
P[Y < 1/3] = 2y dy = 1/9.
0
, {(x, y) : x > 1/2, y < 1/3} ,
P[X > 1/2, Y < 1/3] = 0.

77. X (0, 1) Y
(X, 1). Y.
. X (0, 1), fX (x) = 1, 0 x 1.
x, X = x, o (x, 1).
1
fY|X (y|x) = , x y 1.
1x

+ y
dx
fY (y) = fY|X (y|x) fX (x) dx = = ln(1 y).
0 1 x

78. X Y .
W = X + Y. X W = w
[0, w].
38
.
fX (x) = ex , x > 0 fY (y) = ey , y > 0.
(X, Y)
fX,Y (x, y) = fX (x) fY (y) = 2 e(x+y) , x, y > 0.
(X, W). (X, W) = (g1 (X, Y), g2 (X, Y)),
g1 (x, y) = x, g2 (x, y) = x + y.
(g1 , g2 ) (h1 , h2 ),
h1 (x, w) = x, h2 (x, w) = w x.

 
 h1 h1 
 x   
w   1 0
J(x, w) =   =   = 1.
 h h2  
 1 1 
 2 
x w

fX,W (x, w) = fX,Y (h1 (x, w), h2 (x, w))|J(x, w)| = 2 ew , 0 < x < w.

w w
fW (w) = fX,W (x, w) dx = 2 ew dx = 2 wew , w > 0.
0 0

fX,W (x, w) 1
fX|W (x|w) = = , 0 < x < w.
fW (w) w

79. Z = X/W [0, 1].

.

|x|+
fZ (z) = dx. fX,W (x, x/z)
z2
x > 0, z > 0 x < x/z. x > 0 0 < z < 1.

2 x
fZ (z) = 2 xe z dx = 1, 0 < z < 1.
z 0

80. X Y (, a) (, b) .
Z = X + Y W = X/(X + Y) W.
. X Y
a a1 x b b1 y
fX (x) = x e , x>0 fY (y) = y e , y > 0.
(a) (b)
(Z, W) = (g1 (X, Y), g2 (X, Y)), u
g1 (x, y) = x + y, g2 (x, y) = x/(x + y).
z = x + y & w = x/(x + y) x y (g1 , g2 )
(h1 , h2 ),
h1 (z, w) = wz, h2 (z, w) = z wz.

 h h1 
 1   
 z w   w z 
J(z, w) =   =  = z.
 h h2  1 w z
 2 
z w
39

fZ,W (z, w) = fX,Y (h1 (z, w), h2 (z, w))|J(z, w)| = fX (wz) fY (z wz)z
a+b
= za+b1 ez wa1 (1 w)b1 , z > 0, 0 < w < 1.
(a)(b)

1
a+b
fZ (z) = za+b1 ez wa1 (1 w)b1 dw
(a)(b) 0
a+b a+b a+b1 z
= za+b1 ez wa1 B(a, b) = z e , z > 0.
(a)(b) (a + b)
Z (, a + b).

a+b
fW (w) = wa1 (1 w)b1 za+b1 ez dz
(a)(b) 0

(a + b) wa1 (1 w)b1
= wa1 (1 w)b1 fX (x) dx = , 0 < w < 1.
(a)(b) 0 B(a, b)
W (a, b). fZ,W (z, w) = fZ (z) fW (w), Z W -
.
81. 2- (X, Y)



1 , x2 + y2 1
fX,Y (x, y) =
.
0,
X = R cos , Y = R sin , 0 < R 1, 0 < 2.
fR, (r, ) R .
. (g1 , g2 ) (X, Y) (R, ), (g1 , g2 )
(h1 , h2 ),
h1 (r, ) = r cos , h2 (r, ) = r sin .

 
 h1 h1   
 r  cos r sin 
J(r, ) =    
 =  sin r cos  = r.
 h
 2 h 2 

r

r
fR, (r, ) = fX,Y (h1 (r, ), h2 (r, ))|J(r, )| = , 0 < r 1, 0 < 2.

2
fR (r) = fR, (r, ) d = 2r, 0 < r 1.
01
1
f () = fR, (r, ) dr = , 0 < 2.
0 2
fR, (r, ) = fR (r) f (), R .
82.
+
E[g(X)] = E[g(X)|y] fY (y) dy.

.
+ + +
E[g(X)|y] fY (y) dy = g(x) fX|Y (x|y) dx fY (y) dy

+ +
= g(x) fX|Y (x|y) fY (y) dy dx

+
= g(x) fX (x) dx = E[g(X)].


40
 83. X, Y, Z N(, 2 ). X + Y
Y + Z.
.
Cov(X + Y, Y + Z) = E[(X + Y)(Y + Z)] E[X + Y]E[Y + Z]
= E[XY] + E[XZ] + E[YZ] + E[Y 2 ]
E[X]E[Y] E[X]E[Z] E[Y]E[Z] E[Y]2
= E[Y 2 ] E[Y]2 = Var(Y) = 2 .

84.
E[X] = E[E[E[X|Y]|Z]].
. W = E[X|Y],
E[E[E[X|Y]|Z]] = E[E[W|Z]] = E[W] = E[E[X|Y]] = E[X].

85.
Cov(X, Y) = Cov(E[X|Y], Y).
.
Cov(E[X|Y], Y) = E[E[X|Y]Y] E[E[X|Y]]E[Y] = E[E[X|Y]Y] E[X]E[Y]
= E[g(Y)] E[X]E[Y],
g(y) = E[X|y]y.
+ + +
E[g(Y)] = g(y) fY (y) dy = y x fX|Y (x|y) dx f (y) dy

+ + + +
= xy fX|Y (x|y) fY (y) dx dy = xy fX,Y (x, y) dx dy

= E[XY].

Cov(E[X|Y], Y) = E[g(Y)] E[X]E[Y] = E[XY] E[X]E[Y] = Cov(X, Y).

86. (X, Y)
fX,Y (x, y) = x + y, 0 < x, y < 1.
E[X|y] E[Y|x].
.
1 1
2x + 1
fX (x) = fX,Y (x, y) dy = (x + y) dy = .
0 0 2
1 1
2y + 1
fY (y) = fX,Y (x, y) dx = (x + y) dx = .
0 0 2
fX,Y (x, y) x+y
fX|Y (x|y) = =2 .
fY (y) 2y + 1
fX,Y (x, y) x+y
fY|X (y|x) = =2 .
fX (x) 2x + 1
1
1 3y + 2
E[X|y] = x fX|Y (x|y) dx = .
0 3 2y + 1
1
1 3x + 2
E[Y|x] = y fY|X (y|x) dy = .
0 3 2x + 1

41
 87. X Y .
W = X + Y. X W = w
[0, w].
.
fX (x) = ex , x > 0 fY (y) = ey , y > 0.
(X, Y)
fX,Y (x, y) = fX (x) fY (y) = 2 e(x+y) , x, y > 0.
(X, W). (X, W) = (g1 (X, Y), g2 (X, Y)),
g1 (x, y) = x, g2 (x, y) = x + y.
(g1 , g2 ) (h1 , h2 ),
h1 (x, w) = x, h2 (x, w) = w x.

 
 h1 h1 
 x   
w   1 0
J(x, w) =   =   = 1.
 h h2  1 1 
 2 
x w

fX,W (x, w) = fX,Y (h1 (x, w), h2 (x, w))|J(x, w)| = 2 ew , 0 < x < w.
w w
fW (w) = fX,W (x, w) dx = 2 ew dx = 2 wew , w > 0.
0 0

fX,W (x, w) 1
fX|W (x|w) = = , 0 < x < w.
fW (w) w

88. Z = X/W [0, 1].
.

|x| +
fZ (z) = dx. fX,W (x, x/z)
z2
x > 0, z > 0 x < x/z. x > 0 0 < z < 1.

2 x
fZ (z) = 2 xe z dx = 1, 0 < z < 1.
z 0

89. X1 , X2 , . . . , Xn , E(X j /(X1 + X2 + + Xn )).
. , .
1. 1/n.
90. X U(0, 1), Y N(1, 4) (X, Y) = 1/2, Cov(2X Y, 4X + Y).
.

3 10
8 (X) 2(X, Y)(X)(Y) (Y) =
2
. 2
3

91. X N(0, 1), Y 1 1 p 1 p
X Y , XY.
. ,
F XY (z) = P(XY z|Y = 1)p + P(XY z|Y = 1)(1 p) = pF X (z) + (1 p)(1 F X (z))
= F X (z).

42
 92. X1 , . . . , Xn [0, 1], Z = min Xi , W = max Xi ,
(Z, W), Z, W.
. 0 z w 1
FZ,W (z, w) = P(W w) P(W w & Z z) = wn (w z)n .

fZ,W (z, w) = n(n 1)(w z)n2 , 0 z w 1.

fZ (z) = n(1 z)n1 , 0 z 1.
fW (w) = nwn1 , 0 w 1.

93. X Y [0, a] X/Y

, .
.




1
, 0 z 1,
+

2
fZ (z) = fX (zy) fY (y)|y| dy =
.



12 , z1
2z

+
E(X ) k
zk2 dz = +,
1
k 1.

94. 6 7.
1/4 . ;
. X, Y U(0, 1) , P(|X Y| > 1/4),
{ }
(x, y) [0, 1]2 : |x y| > 1/4 ,

(3/4)2 .

95. [5, 5] (
).
0.95 50000 .
. Xk k , Xk [5, 5], 0
25/3. n
P[|X1 + + Xn | 50] 0.95.

50 X1 + + Xn 50 50
P[|X1 + + Xn | 50] = P 2 1.
25 25
n 25
3 n 25
3 n 3 n 3

50
0.975 (1.96).
n 25
3

n 78.

96. k n .
,
0.95
'.
43
. X j 1 j ,
0 . X j Bernoulli 1/k. m
P[X1 + + Xn m] 0.95.

X1 + + Xn n 1k m n 1k mk n
P[X1 + + Xn m] = ( ) ( ) .
n 1k 1 1k n 1k 1 1k n(k 1)

mk n
0.95 (1.6).
n(k 1)

1.6 n(k 1) + n
m .
k

97. 10% . -
100 100 .
5 .
60.
. Xk 1 k 0 .
[ ]
X1 + + X500 0.1 60 500 0.1
P[X1 + + X500 60] = P (1.5) 0.9332.
500 0.1 0.9 500 0.1 0.9

98. t -
Poisson t/200.
100 800 , 430.
. Xk k , Xk 4.
[ ]
X1 + + X100 100 4 430 100 4
P[X1 + + X100 430] = P (1.5) 0.9332.
100 4 100 4

99. X A X
N(500, 1002 ) Y N(600, 1602 ). 9
, 4800;
, 1188;
. Z = X1 + + X9 Z N(9 500, 9 1002 ) = N(4500, 3002 ).
[ Z 4500 ]
P[Z > 4800] = P > 1 = 1 (1) 0.1587.
300
W = X + Y N(500 + 600, 1002 + 1602 ) N(1100, (188.68)2 ) ( ),
[ W 1100 ]
P[W < 1188] = P < 0.47 = (0.47) 0.6808.
188.68

100. (X, Y)
[ 2 ]
1 x 2xy + y2
fX,Y (x, y) = exp .
2 1 2 2(1 2 )
Z = X W = Y X -
(Z, W)
44
. (Z, W) = (g1 (X, Y), g2 (X, Y)), g1 (x, y) = x, g2 (x, y) = y x.
z = x & w = y x x y (h1 , h2 ),
h1 (z, w) = z, h2 (z, w) = z + w.
 
1 0
J(z, w) = 
 1
= 1.

[ 2 ]
1 z 2 z2 + w2
fZ,W (z, w) = fX,Y (h1 (z, w), h2 (z, w)) = exp .
2 1 2 2(1 2 )

+
w2
2(12)
+
w2
2(12)
e 12 z2 e
fW (w) = fZ,W (z, w) dz = e dz = .
2 1 2 2 1 2
W N(0, 1 2 ).
+
e 2 z e 2 z
1 2 + 1 2
2
2(1
w
fZ (z) = fZ,W (z, w) dw = e 2)
dw = .
2 1 2 2
Z N(0, 1). fZ,W (z, w) = fZ (z) fW (w) Z W .
2
/2 (12 )t2 /2
MZ,W (s, t) = MZ (s)MW (t) = e s e .

101. X1 , X2 , . . . , Xn
.
n
Xk
Sn = .
k=1
k
S n .
.


MXk (t) = etx ex dx = , t < .
0 t

n (t)
Xk n [ t ] n
MS n (t) = E exp t = E e k Xk = MXk
k=1
k k=1 k=1
k
n!n
= = , t < .
t t
2 t nt ( t)(2 t) (n t)

102.
Yn = max{X1 , X2 , , Xn }.
Yn S n .
.
x
F Xk (x) = et dt = 1 ex , x > 0.
0

FYn (x) = P[X1 x, , Xn x] = F X1 (x) F Xn (x) = (1 ex )n .

fYn (x) = FY n (x) = n(1 ex )n1 ex .

45
 Yn
1 ( t)
etx (1 ex )n1 ex dx = n (1 u)n1 u du = nB n, 1
t
MYn (t) = n

0
( ) 0
( )
(n) 1 t
(n 1)! 1 t
=n ( ) = n( )( )( ) ( ) ( )
1 +n
t
1 2 t 3 t n t 1 t
t

n!n
= = MS n (t).
( t)(2 t) (n t)
Yn S n , . -
u = ex
(a + 1) = a(a).
103.
50 . 20% 49 , 70% 50 , 10 %
51 . 100 4999 .
. Xk k .
= E[Xk ] = 0.2 49 + 0.7 50 + 0.1 51 = 49.9.
= Var(Xk ) = E[Xk2 ] E[Xk ]2 = 0.2 492 + 0.7 502 + 0.1 512 49.92 = 0.29.
2

n
Sn = Xk ,
k=1
,
[ ]
S 100 100 49.9 4999 100 49.9
P[S 100 4999] = P 1 (1.6751) 0.0475.
10 0.29 10 0.29

104. Xn



0, x < x0



Fn (x) =
1 n , x0 x < n .
1



1, xn
.
. x < x0 Fn (x) = 0 n,
lim Fn (x) = 0.
n

x x0 , n > x Fn (x) = 1 1n ,
lim Fn (x) = 1.
n




0, x < x0
F(x) =
.
1, x x0
x0 1 -
0.
105. 4000 10 .
0.95
;
. Xk 1 k 0 .

= E[Xk ] = 0.0025, 2 = Var(Xk ) = 0.00249375 0.0025.

S 4000 = X1 + + X4000
46
 n
P[S 4000 n] 0.95.
[ ]
S 4000 4000 0.0025 n 4000 0.0025
P 0.95.
4000 0.0025 4000 0.0025

( n 10 )
0.95 (1.6).
3.158
n 15.
106. Xn , -
2 .

x<
[ ]


0,
lim P Xn x = 1/2, x = .
n


1, x>
. . x =

[ ] Xn 1
P Xn x = P n 0 (0) = .
2
x > > 0. x0 > 0 (x0 ) > 1 /2, n0

x Xn
n > x0 P n x0 > (x0 ) /2

n n0 .

[ ] Xn x Xn
P Xn x = P n n P n x0 > (x0 ) /2 > 1 .

n n0 [ ]
1 < P Xn x 1.
[ ]
lim P Xn x = 1.
n
, x < x0 < 0 (x0 ) < /2, n0

x Xn
n < x0 P n x0 < (x0 ) + /2

n n0 .

[ ] Xn x Xn
P Xn x = P n n P n x0 < (x0 ) + /2 < .

n n0 [ ]
0 P Xn x < ,
To [ ]
lim P Xn x = 0.
n

47