SemTxveviT procesTa

Teoria
 ivane javaxiSvilis saxelobis
Tbilisis saxelmwifo universiteti

omar furTuxia

SemTxveviT procesTa
Teoria
 winamdebare saxelmZRvanelo avtoris mier wlebis ganmav-
lobaSi iv. javaxiSvilis saxelobis Tbilisis saxelmwifo uni-
versitetSi SemTxveviT procesTa Teoriasa da sxva momijnave
disciplinebSi (albaTobis Teoriis rCeuli Tavebi, stoqasturi
analizi, martingalebis Teoria, stoqasturi diferencialuri
gantolebebis Teoria) wakiTxuli leqciaTa kursebis gadamuSa-
vebuli variantia. masSi kompaqturadaa gadmocemuli Tanamed-
rove SemTxveviT procesTa Teoriis ZiriTadi Sedegebi da meTo-
debi, aRwerilia SemTxveviT procesTa mniSvnelovani klasebi,
romlebic realuri procesebis dinamikis adekvaturi maTemati-
kuri aRweris SesaZleblobas iZlevian. naSroms erTvis sailus-
tracio magaliTebi da amocanebi damoukidebeli muSaobisaTvis.
saxelmZRvanelo gankuTvnilia maTematikis mimarTulebis
studentebisa da magistrantebisaTvis. igi sasargeblo iqneba
SemTxveviT procesTa Teoriis gamoyenebebiT dainteresebuli
sxvadasxva profilis specialistTa farTo wrisaTvis.

Tbilisis saxelmwifo universiteti

2014
Sinaarsi

Sesavali .......................................................................................... 7
1. zogierTi damxmare Sedegi da debuleba ............................ 11
2. SemTxveviTi procesi .............................................................. 18
3. vineris procesi ....................................................................... 28
4. SemTxveviTi orTogonaluri zomiT integrireba ........... 42
5. pirobiTi maTematikuri lodini .......................................... 50
6. naxevrad martingalebi diskretuli droiT .................... 62
7. naxevrad martingalebis krebadoba .................................... 72
8. damoukidebelnazrdebiani procesebi ............................... 80
9. levi-xinCinis Teorema ............................................................ 88
10. kavSiri levis zomasa da naxtomebis zomas Soris ......... 98
11. stacionaruli procesebi (farTo azriT) ...................... 107
12. traeqtoriis speqtraluri warmodgena .......................... 116
13. ornStein-ulenbekis procesi ............................................. 121
14. puasonis procesi ................................................................... 131
15. stacionaruli procesebi (viwro azriT) ........................ 144
16. itos stoqasturi integrali ............................................. 154
17. stoqasturi integralis Tvisebebi
( H klasisaTvis) ...................................................................... 165
18. stoqasturi integralis Tvisebebi
( S klasisaTvis) ....................................................................... 171
19. ito-dioblinis formula ..................................................... 186
20. ito-dioblinis formulis zogierTi gamoyeneba .......... 199

5
21. stoqasturi diferencialuri gantoleba ....................... 220
22. Zlieri amonaxsnis arseboba da erTaderToba ............... 235
damateba I ( maTematikuri lodini) ........................................... 245
damateba II (pirobiTi albaToba da pirobiTi
maTematikuri lodini dayofis mimarT) ........................... 258
damateba III (zRvariTi Teoremebi bernulis sqemisaTvis) ..... 268
aRniSvnebi ...................................................................................... 288
literatura .................................................................................. 290
sagnobrivi saZiebeli .................................................................. 293

6
 vuZRvni mSoblebis
xsovnas

Sesavali

albaTobis Teoriis nebismieri mimarTulebis Seswavla

da ganviTareba, rogorc wesi, dakavSirebulia adamianis moR-
vaweobis ama Tu im sferoSi warmoSobili SemTxveviTi movle-
nebis analizis dros misi gamoyenebis SesaZleblobasTan. mi-
uxedavad imisa, rom dRes albaTobis Teorias imdenive saer-
To aqvs azartul TamaSebTan, ramdenic geometrias farTo-
bebis gazomvasTan miwis samuSaoebis dros, albaTobis Teo-
riis warmoSoba stimulirebuli iyo swored popularul
azartul TamaSebTan dakavSirebuli `paradoqsebiT~. alba-
Tobis Teoria iZleva iseTi dakvirvebadi eqsperimentis mo-
dels, maTematikur aRweras, romlis mimdinareobaze gavle-
nas axdens SemTxveviTi faqtorebi.
albaTobis Teoriis gansakuTrebuli mniSvneloba isaa, rom
mis meTodebsa da Sedegebs ara marto damoukidebeli maTema-
tikuri interesi aqvs, aramed isini mravalferovan gamoyene-
bas pouloben sxva samecniero disciplinebSi, rogoricaa
fizika, qimia, biologia, socialuri mecnierebebi, ekonomika,
finansuri da aqtuaruli (sadazRvevo) maTematika da sxva.
praqtikuli gamoyenebis TvalsazrisiT nebismieri cvaleba-
di sistema, romelic SemTxveviTi faqtorebis zemoqmedebas
ganicdis, warmoadgens SemTxveviT process. SemTxveviT pro-
cesTa Teoria Tanamedrove albaTobis Teoriis umniSvnelo-
vanesi da ganuyofeli nawilia. bunebrivad ibadeba kiTxva:
rogoria misi specifika?
ganviTarebis sawyis etapze albaTobis Teorias saqme
hqonda SemTxveviT eqsperimentebTan (monetis agdeba, kamaT-
lis gagoreba da sxva), romelTaTvisac iTvlidnen ama Tu im
xdomilobis albaTobebs. mogvianebiT SemoRebul iqna SemTx-
veviTi sididis cneba, romelic saSualebas iZleva raodeno-
brivad aRiweros dakvirvebadi eqsperimentis Sedegebi, maga-
liTad, monetis xuTjer agdebisas mosul gerbTa raodenoba.

7
bolos, SemTxveviT eqsperimentebSi Semotanil iqna drois
faqtori da agebul iqna stoqasturi modeli, romelic aRw-
ers Sesaswavli SemTxveviTi movlenis dinamikas. mas safuZv-
lad udevs SemTxveviTi procesis cneba.
cnobilia, rom 1827 wels britanelma botanikosma r. bro-
unma aRmoaCina siTxeSi CaZiruli yvavilis mtvris nawila-
kebis qaosuri moZraoba, romelsac mogvianebiT brounis moZ-
raoba ewoda. magram, didi xnis ganmavlobaSi auxsneli rCe-
boda am moZraobis buneba. mxolod me-19 saukunis miwurulsa
da me-20 saukunis dasawyisSi iqna gaazrebuli, rom aRniSnuli
qaosuri moZraoba nivTierebis atomebisa da molekulebis
siTburi moZraobis erT-erTi gamovlinebaa. aRmoCnda, rom am
tipis procesebis aRsawerad saWiroa albaTur-statistiku-
ri midgoma. brounis moZraobisa da ufro zogadi difuziuri
procesebis maTematikuri da fizikuri modelebi agebuli
iyo l. baSelies, a. einSteinis, m. plankis, a. fokeris, n. vine-
ris, p. levis, a. kolmogorovis da sxvaTa SromebSi. brounis
moZraobis gamoyenebiT agebulma fasiani qaRaldebis ekono-
mikurma modelebma amerikel mecnierebs bleks, Soulss da
mertons saSualeba misca, revoluciuri cvlilebebi Seeta-
naT ofcionis fasgaTvlis problematikaSi, risTvisac maT
nobelis premia mieniWaT. qvemoT Cven SevexebiT SemTxveviT
procesebTan dakavSirebul zogierT amocanas.
aRsaniSnavia, rom brounis moZraobis funqcionalebis
Seswavla, Tavis mxriv, saSualebas iZleva damtkicdes kolmo-
gorovis cnobili Tanxmobis kriteriumi, romelic warmoad-
gens maTematikuri statistikis erT-erT fundamentur Se-
degs. garda amisa, brounis moZraobis saSualebiT SesaZlebe-
lia amoixsnas Zalian mniSvnelovani `araSemTxveviTi~ amoca-
nebi, magaliTad, dirixles amocana: vipovoT areSi harmoniu-
li funqcia, romelic am aris sazRvarze Rebulobs mocemul
mniSvnelobas.
difuziuri procesebis modelebma stimuli misca sto-
qasturi diferencialuri gantolebebis Teoriis ganviTare-
bas, romelic moiTxovs stoqasturi aRricxvis specifikur
aparats. stoqasturi aRricxvis specifika isaa, rom brounis
moZraobis (anu vineris procesis) traeqtoriebi warmoadge-
nen uwyvet funqciebs, magram, miuxedavad amisa, maT arc erT
wertilSi ar gaaCniaT warmoebuli. am tipis gantolebebiT Se-

8
iZleba mocemul iqnes, magaliTad, gamosaxulebis aRdgenis,
saxeebis gamocnobis, xmaurSi gabneuli sasargeblo signalis
gamoyofis da sxva efeqturi meTodebi.
vineris procesi erT-erTi sakmaod kargad Seswavlili
levis procesia (marjvnidan uwyveti da marcxnidan zRvrebis
mqone procesi stacionaruli damoukidebeli nazrdebiT),
romelic mniSvnelovan rols asrulebs rogorc wminda (pure),
ise gamoyenebiT maTematikaSi, agreTve ekonomikasa da fi-
zikaSi. maTematikaSi vineris procesma dasabami misca zogad-
ad uwyveti martingalebis Seswavlas. is warmoadgens gasa-
Rebs ufro rTuli stoqasturi (SemTxveviTi) procesebis
dasaxasiaTeblad (aRsawerad). igi arsebiTad mniSvnelovan
rols asrulebs stoqastur aRricxvaSi, difuziur proce-
sebSi da potencialTa TeoriaSic ki. gamoyenebiT maTemati-
kaSi vineris procesi gamoiyeneba TeTri xmauris procesis
integralis warmosadgenad da amitom sasargebloa rogorc
xmauris modeli eleqtronul inJineriaSi, rogorc mowyobi-
lobis cdomileba – filtraciis TeoriaSi da rogorc ucno-
bi Zalebi – marTvis TeoriaSi.
vineris procesi gamoiyeneba sxva mecnierebebSi, magali-
Tad, fizikaSi brounis moZraobis, siTxeSi mcire nawilakebis
difuziisa da difuziis sxva tipebis Sesaswavlad foker-
plankisa da lanJevanis gantolebebis saSualebiT. vineris
procesi arsebiT rols asrulebs kvantur meqanikaSi fein-
man-kacis formulis saSualebiT, romelic Srodingeris gan-
tolebis amonaxsns warmoadgens rogorc vineris integrals.
praqtikuli problemebis gadawyvetisas didi mniSvnel-
oba aqvs prognozis amocanas: SemTxveviT procesze drois t
momentamde dakvirvebebis safuZvelze saWiroa gakeTdes da-
skvna misi yofaqcevis Sesaxeb drois t  s ( s  0 ) momentebSi.
aseTi amocanebi warmoiSoba, magaliTad, finansur bazarze
fasiani qaRaldebis kursis evoluciis analizis dros, ro-
melTan dakavSirebiTac Zalian mniSvnelovania ofcionis he-
jirebis amocana (drois romeliRac momentSi momavalSi aq-
ciis yidva-gayidva winaswar dadgenil fasad, rodesac aqciis
realuri fasi ganicdis SemTxveviTi faqtorebis zemoqmede-
bas). vineris process aqac TvalsaCino adgili ukavia, ker-
Zod, ofcionis gaTvlis blek-Soulsis modelSi.

9
 warmovidginoT sadazRvevo kompaniis muSaoba, romelsac
gaaCnia ra garkveuli kapitali (romelic drodadro ivseba
SemonatanebiT), drois SemTxveviT momentebSi axorcielebs
Tanxebis gacemas, romelTa moculoba agreTve SemTxveviTia.
aRmoCnda, rom aseTi situaciebi kargad aRiwereba puasonis
procesiT.
am tipis amocanebSi, erTi mxriv, saWiroa aigos Sesaswavli
movlenis adekvaturi maTematikuri modeli, xolo meore mxriv,
zustad daisvas amocana da Semdeg gadaiWras igi. Cven qvemoT
gavecnobiT SemTxveviT procesTa mniSvnelovan klasebs da
davinaxavT, ramdenad mravalferovania rogorc maTi aRweri-
sa da Seswavlis meTodebi, ise gamoyenebis sferoebi.
dasasrul, gansakuTrebuli madlierebis grZnobiT msurs
aRvniSno, rom masalis dalagebisa da gadmocemis stilze didi
gavlena iqonia Cem mier Tavis droze mosmenilma kursma Sem-
TxveviT procesTa TeoriaSi, romelsac kiTxulobda Cemi sa-
mecniero xelmZRvaneli, imJamad lomonosovis saxelobis
universitetis cnobili profesori (dRes igi minesotas uni-
versitetis profesoria) n. krilovi.
aqve minda didi madloba gadavuxado profesor T. Serva-
SiZes mravali sasargeblo rCevisa da miTiTebisaTvis.

10
1. zogierTi damxmare Sedegi da debuleba

vigulisxmoT, rom mocemulia albaTuri sivrce ( F  P) .

lema 1.1. Tu    X , maSin: a) winare saxis aRebis

operacia  inarCunebs yvela simravlur operacias; b)  -
1

algebris winare saxe warmoadgens isev  -algebras.

davuSvaT, rom mocemulia zomadi sivrceebi ( F ) da
( X  D) . asaxvas    X ewodeba SemTxveviTi elementi,
Tu  ( D)  F (Tu ( X  D)  ( R
1 1
 B( R1 )) , maSin ixmareba ter-
mini SemTxveviTi sidide).
 SemTxveviTi elementis ganawileba ewodeba P 1 ( B) 
 P( 1 ( B)) albaTur zomas ( X  D) zomad sivrceze; igi aRi-
niSneba F simboloTi.
ibadeba kiTxva: nebismieri albaTuri zoma warmoadgens
Tu ara romelime SemTxveviTi elementis ganawilebas?

Teorema 1.1. Tu  ( X  D) zomad

raime albaTuri zomaa
sivrceze, maSin arsebobs albaTuri sivrce ( F  P) da masze
iseTi SemTxveviTi sidide    X , rom   F .

damtkiceba. aviRoT ( F  P) albaTuri sivrcis rolSi

( X  D  ) , xolo  ( x)  x . maSin naTelia, rom F ( B) 
 P{x   ( x)  B}  P( B)   ( B) . Tu  SemTxveviTi sidide
mocemulia ( F  P) albaTur sivrceze da

 |  ( ) | P(d)  


11
 o.furTuxia 

maSin  SemTxveviTi sidides gaaCnia maTematikuri lodini

E (ix. damateba I), romelic Semdegnairad ganimarteba:

E :   ( ) P(d ) 


Teorema 1.2. Tu     X SemTxveviTi elementia,

xolo f  X  R zomadi da SemosazRvruli funqciaa,
1

maSin f ( ) SemosazRvruli SemTxveviTi sididea da

Ef ( )   f ( x) F (dx)
X

damtkiceba. aRvniSnoT t -s mTeli nawili  (t ) -Ti da

 r (t )  r  (rt ) . cxadia, rom 0  t   (t )  1 ; 0  t   r (t )  1r .
1

 (t ) –warmoadgens borelis funqcias; xolo  r ( f ( x)) da

 r ( f ( ( ))) – zomadi funqciebia da adgili aqvs Sefasebebs:

1 1
  r ( f ( x))  f ( x)     r ( f ( ( )))  f ( ( ))  .
r r
maJorirebadi krebadobis Sesaxeb lebegis Teoremis Ta-
naxmad (damateba I, ix. Teorema 2)

Ef ( ( ))  lim E r ( f ( ( )))
r 

amitom sakmarisia Teoremis damtkiceba r ( f ) funqcie-

bis SemTxvevaSi. magram, vinaidan r ( f ) Rebulobs mniSvnel-
obaTa sasrul raodenobas, amitom sakmarisia ganvixiloT
n
f ( x)   ci I Bi ( x) tipis funqciebi. xolo, Tu gaviTvaliswi-
i 1
nebT integralis adiciurobis Tvisebas, davrwmundebiT,

12
  SemTxveviT procesTa Teoria 

rom Teoremis debuleba sakmarisia Semowmdes mxolod

f ( x)  I B ( x) funqciisaTvis. am SemTxvevaSi gvaqvs:

Ef ( )   I B ( ( )) P(d )   I 1 ( B ) ( ) P(d ) 
 

 P( 1 ( B))  F ( B)   I B ( x) F (dx)  □

X

srul, separabelur, metrul sivrces polonuri sivrce

ewodeba.
Tu X polonuri sivrcea, maSin borelis  -algebra
B( X ) ewodeba umcires  -algebras, romelic moicavs yve-
la Caketil birTvs.
Tu X da Y polonuri sivrceebia, maSin asaxvas
f  X  Y ewodeba borelis azriT zomadi (an ubralod
borelis funqcia), Tu nebismieri borelis simravlisaTvis
B  B(Y ) : f 1 ( B)  B( X )

Teorema 1.3. Tu X da Y polonuri sivrceebia, xolo

f  X  Y uwyvetia, maSin f borelis funqciaa.
 zomas ( X  B( X )) zomad sivrceze (sadac X polonu-
ri sivrcea) ewodeba regularuli zoma, Tu yoveli   0
ricxvisaTvis da B  B( X ) , moiZebneba iseTi Ria G  B( X )
da Caketili K  B( X ) simravleebi, rom K  B  G da
 (G K )   

Teorema 1.4. Tu  sasruli zomaa ( X  B( X )) zomad siv-

rceze (sadac X polonuri sivrcea), maSin is regularulia.
damtkiceba. simravles B  X vuwodoT `kargi~, Tu
yoveli  0 ricxvisaTvis, moiZebneba iseTi Ria G  B( X )
da Caketili K  B( X ) simravleebi, rom K  B  G da

13
 o.furTuxia 

 (G K )    `kargi~ simravleebis erToblioba aRvniSnoT

 simboloTi. cxadia, rom  iqneba  -algebra. amitom Teo-
remis samarTlianobisaTvis sakmarisia vaCvenoT, rom  moi-
cavs yvela Caketil birTvs Sr ( x0 )  {x   ( x x0 )  r} ganvixi-
loT r cvladis funqcia  ( Sr ( x0 )) igi sasrulia da uwyve-
tia marjvnidan. marTlac, vinaidan

lim I St ( x0 ) ( x)  I Sr ( x0 ) ( x)
t r

amitom lebegis Teoremis Tanaxmad maJorirebadi krebadobis

Sesaxeb, gvaqvs:

 ( Sr ( x0 ))   I S ( x ) ( x)  (dx) 
r 0
X

 lim  I St ( x0 ) ( x)  (dx)  lim  ( St ( x0 ))

t r t r
X

aviRoT   0 , K  Sr ( x0 ) G  {x   ( x x0 )  t} t  r da
 (St ( x0 ))   (Sr ( x0 ))   , maSin naTelia, rom K  Sr ( x0 )  G
da  (G K )   (St ( x0 ) Sr ( x0 ))    □

Sedegi 1.1. Tu 1 da 2 sasruli zomebia polonur X

sivrceze da yoveli Caketili K simravlisaTvis 1 ( K )  2 ( K )
maSin 1 ( B)  2 ( B) nebismieri borelis B simravlisaTvis
( B  B( X ) ).

damtkiceba. 1 ( X )  2 ( X ) , radganac X Caketilia. ami-

tom nebismieri Ria G  B( X ) simravlisaTvis 1 (G)  2 (G)
aviRoT   0 maSin Teoremis ZaliT moiZebneba iseTi Ria
Gi  B( X ) da Caketili Ki  B( X ) simravleebi, rom Ki  B  Gi
da  (Gi Ki )    i  1 2 aRvniSnoT G  G1  G2  K  K1  K2 

14
  SemTxveviT procesTa Teoria 

maSin cxadia, rom: K  B  G i (G K )    1 (G)  1 ( B) 

 1 ( K )  2 ( K )  2 ( B)  2 (G)  1 (G) aqedan gamomdina-
reobs, rom 1 ( B)  2 ( B)    rac  ricxvis nebismierobis
gamo imas niSnavs, rom 1 ( B)  2 ( B) . □

Sedegi 1.2. Tu 1 da 2 sasruli zomebia polonur X

sivrceze da yoveli SemosazRvruli uwyveti f funqciisaTvis

 f ( x) (dx)   f ( x) (dx) 

X
1
X
2

maSin 1  2 
damtkiceba. aviRoT Caketili simravle K da SemoviRoT
funqcia  ( x K )  inf{ ( x y)  y  K} naTelia, rom  iqneba
x -is uwyveti funqcia,  ( x K )  0x   K  Sesabamisad,
funqcia f n ( x) : 1n1( x K ) iqneba SemosazRvruli da uwyveti,
f n ( x)  I K , roca n   da, garda amisa, Sedegis pirobidan
gamomdinare

f
X
n ( x) 1 (dx)   f n ( x) 2 (dx) .
X

amitom, lebegis Teoremis Tanaxmad maJorirebadi kreba-

dobis Sesaxeb, miviRebT, rom

1 ( K )   I K ( x)1 (dx)   I K ( x) 2 (dx)  2 ( K )

X X

amdenad, Sedegi1.1-is ZaliT, damtkiceba dasrulebulia. □

Teorema 1.5 (ulami). Tu  sasruli zomaa ( X  B( X )) po-

lonur sivrceze, maSin nebismieri  0 ricxvisaTvis arse-
bobs iseTi kompaqti K  rom  ( X K )   

15
 o.furTuxia 

damtkiceba. davuSvaT, rom {xi  i  1 2} Tvladi yvel-

gan mkvrivi simravlea X sivrceSi. maSin cxadia, rom nebismi-
eri n ricxvisaTvis, n  1, gvaqvs

S1n ( xi )  X
i 1

da yoveli  0 ricxvisaTvis moiZebneba iseTi nomeri in 

rom
in
( X \ S1n ( xi ))   2n
i 1
aRvniSnoT
 in
K : S1n ( xi )
n 1 i 1

maSin cxadia, rom K Caketilia da nebismieri n ricxvisaTvis

masSi arsebobs sasruli 1n bade. maSasadame, K warmoadgens
kompaqts da amasTanave
 in
( X \ K )   ( X \ S1n ( xi ))    □
n 1 i 1

Sedegi 1.3. nebismieri B  B( X ) borelis simravlisaTvis

da nebismieri   0 ricxvisaTvis arsebobs iseTi kompaqti
K  B rom  ( B K )   
damtkiceba. rogorc cnobilia, nebismieri  0 ricxvi-
saTvis arsebobs iseTi Caketili simravle C B rom
 ( B \ C )   2 xolo ulamis Teoremidan gamomdinare, arse-
bobs iseTi kompaqti K 2  rom  ( X \ K 2 )   2 . amitom, Tu
aviRebT K : C  K 2  miviRebT  ( B \ K )    □
davuSvaT, rom  n  n  1 2 sasruli zomebia ( X  B( X ))
polonur sivrceze. amboben, rom n zomaTa mimdevroba sus-

16
  SemTxveviT procesTa Teoria 

tad krebadia  zomisaken (da iyeneben aRniSvnas n   ),

Tu nebismieri SemosazRvruli uwyveti f funqciisaTvis ad-
gili aqvs Tanafardobas

lim  f ( x) n (dx)   f ( x)  (dx) 

n 
X X

M zomaTa ojaxs ewodeba sustad kompaqturi, Tu zomaTa

nebismieri n  M mimdevrobisaTvis moiZebneba iseTi qvemi-
mdevroba n i
romelic sustad krebadia raime  zomisaken.
rogorc cnobilia, Tu xn  X mimdevroba iseTia, rom
misi nebismieri qvemimdevrobidan xni yovelTvis gamoiyofa
qvemimdevroba xni ,romelic krebadia erTi da igive x0 ele-
k

mentisaken, maSin TviTon xn mimdevrobac krebadia igive x0

elementisaken. analogiur faqts adgili aqvs zomebis SemTx-
vevaSic (ix. § III. 2 [39]):

Teorema 1.6. Tu  n  n  1 2 , sasruli zomebi iseTia,

rom nebismieri n i
qvemimdevrobidan yovelTvis gamoiyofa
qvemimdevroba n ik
, romelic sustad krebadia erTi da imave

 zomisaken, maSin TviTon n mimdevrobac sustad krebadia

 zomisaken.

( X  B( X )) po-
Teorema 1.7 (proxorovi). imisaTvis, rom
lonur sivrceze mocemuli albaTur zomaTa ojaxi M iyos
sustad kompaqturi, aucilebelia da sakmarisi, rom nebis-
mieri  0 ricxvisaTvis arsebobdes iseTi kompaqti K ,
rom nebismieri  M zomisaTvis adgili hqondes Tanafa-
rdobas:  ( X \ K )    amasTanave, zomebis krebadi qvemimde-
vrobebis susti zRvrebi isev warmoadgenen albaTur zomebs.

17
2. SemTxveviTi procesi

vigulisxmoT, rom mocemulia albaTuri sivrce ( F  P)

aracarieli simravle T  R1 da zomadi sivrce ( X  D)
gansazRvra 2.1. amboben, rom T simravleze gansazRvru-
lia SemTxveviTi procesi t ( ) , Tu nebismieri t  T -saTvis
 -ze gansazRvrulia SemTxveviTi elementi t () mniSvnelo-
bebiT ( X  D) sivrceSi.
yoveli fiqsirebuli  -saTvis t ( ) warmoadgens t -s
funqcias da mas SemTxveviTi procesis traeqtoria ewodeba.
Tu T  R n , n  2 , maSin saqme gvaqvs SemTxveviT velTan.
lema 2.1. Tu t1 t2  tn  T , maSin (t1  t2  tn ) warmoad-
gens SemTxveviT elements mniSvnelobebiT ( X n  Dn ) sivrceSi.
damtkiceba. aRvniSnoT  ()  (t1 () t2 () tn ())  X n 
saCvenebelia, rom nebismieri B( n )  Dn -saTvis  1 ( B( n ) )  F 
aRvniSnoT   {B( n)  Dn   1 ( B( n) )  F} igi warmoadgens 
algebras. Tu aviRebT B
(n)
 B1  B2  Bn  {( x1 x2  xn )  x1 
 B1 x2  B2  xn  Bn } maSin gveqneba

 1 ( B ( n ) )  {   ( )  B ( n ) } 
 {  t ( )  B1  t ( )  B2  t ( )  Bn } 
1 2 n

  {  ti ( )  Bi }  F 
n
i 1

aqedan gamomdinareobs, rom Dn   □

18
  SemTxveviT procesTa Teoria 

(t1  t2  tn ) SemTxveviT elementis ganawilebas ( X n  Dn )

sivrceze ewodeba t procesis sasrulganzomilebiani gana-
wileba t1  t2  tn wertilebSi da aRiniSneba Ft1 t2 tn simbolo-
Ti. igi warmoadgens albaTur zomas ( X n  Dn ) sivrceze.
SemoviRoT aRniSvna X T  {T -ze gansazRvruli funqci-
ebis simravle mniSvnelobebiT X -Si}. funqciebi X T -dan
aRiniSneba x -iT, xolo maTi mniSvnelobebi t wertilSi
xt -Ti.
simravles {x  ( xt1  xtn )  B( n ) } , sadac B( n )  Dn , ewode-
ba cilindruli simravle, xolo umcires  -algebras, rome-
lic Seicavs yvela sasrulganzomilebian cilindrul sim-
ravles, ewodeba cilindruli simravleebis  -algebra. Sev-
niSnoT, rom sasrulganzomilebiani cilindruli simrav-
leebi qmnian algebras.
t ( ) ewodeba uwyveti procesi, Tu nebismieri
process
fiqsirebuli  -saTvis t ( ) uwyvetia rogorc t -s funqcia.
simartivisaTvis vigulisxmoT, rom T  [01] , C : C[01] .
 iyos Tanabari metrika C -Si , e. i.

 ( x y)  sup  xt  yt  
t[01]

C[01] warmoadgens srul, separabelur, metrul sivrces.

aRvniSnoT B(C ) da (C ) simboloebiT Sesabamisad bo-
relisa da cilindruli simravlebis  -algebrebi C sivr-
ceze:

B(C )   {Sr ( x0 )  {x   ( x0  x )  r} r  R1  x0  C}

(C )   {{x  xt  B} t [01] B  B( R1 )} .

19
 o.furTuxia 

lema 2.2. (C )  B(C )

damtkiceba. aRvniSnoT oradracionaluri ricxvebis er-
Toblioba [01] segmentidan Q0 -iT, Q0  { 2kn  n  1 k  2n }
cxadia, rom

Sr ( x0 )  {x  sup  xt  xt0  r}  {x  xt  xt0  r} 

tQ0 tQ0

 {x  xt [ xt0  r xt0  r ]} (C )

tQ0

da maSasadame, B(C )  (C ) .

meore mxriv, Tu SemoviRebT asaxvas  t  C  R1 ,  t ( x ) : xt 
igi iqneba uwyveti da Sesabamisad borelis funqcia. amitom
gansazRvris Tanaxmad

{x   t ( x )  B}  B(C ) ( B  B( R1 )) .

magram, vinaidan {x   t ( x )  B}  {x  xt  B}  B(C ) ami-

tom (C )  B(C ) □

Teorema 2.1. Tu t ( ) uwyveti SemTxveviTi procesia,

maSin  ( ) iqneba SemTxveviTi elementi (C B(C )) sivrceSi
da piriqiT, Tu mocemulia  ( ) SemTxveviTi elementi
(C B(C )) sivrceSi, maSin t ( ) iqneba uwyveti SemTxveviTi
procesi.
damtkiceba. Teoremis pirveli nawilis dasamtkiceblad unda
SevamowmoT, rom {   ( )  B}  F nebismieri B  B(C ) bore-
lis simravlisaTvis. aRvniSnoT,  : {B  B(C )   1 ()  F}
cxadia, rom igi  -algebraa. amave dros, nebismieri D  B( R1 )
borelis simravlisaTvis B : {x  xt  D}  vinaidan

20
  SemTxveviT procesTa Teoria 

 ( B)  {   ()  D} F  e. i. B(C )  (C)    amiT Teore-

mis pirveli nawili damtkicebulia. rac Seexeba meore nawils,
igi gamomdinareobs t ( )   t ( ( )) warmodgenidan, vinaidan
zomadi funqciebis superpozicia isev zomadi funqciaa. □

Teorema 2.2 (arcela). davuSvaT, rom K Caketilia C

sivrceSi, maSin imisaTvis, rom K iyos kompaqti aucilebelia
da sakmarisi, rom igi iyos Tanabrad SemosazRvruli da
erTnairad (Tanabarxarisxovnad) uwyveti.

lema 2.3. davuSvaT, rom xt warmoadgens [01] segmentze

gansazRvrul araSemTxveviT, namdvil funqcias da arsebobs
iseTi a  0 da n  0 ricxvebi, rom nebismieri m  n da
0  i  2n  1 indeqsebisaTvis adgili aqvs Tanafardobas:

 xi1  x i  2 ma 
2n 2n

maSin nebismieri oradracionaluri t s  Q0 ricxvebisaTvis

samarTliania Sefaseba  xt  xs  N (a)  t  s a  rodesac

 t  s  2 n  sadac N (a)  2a (2a  1)(2a  1)1

damtkiceba. aviRoT t  s  Q0 . rogorc cnobilia, nebismie-



ri ricxvi [01] segmentidan warmoidgineba i 0
 (i)2i mwkri-
vis saxiT, sadac  (i) Rebulobs mniSvnelobas 0 an 1 e.i.
 
t   1 (i)2i da s    2 (i)2i
i 0 i 0

im SemTxvevaSi, rodesac ricxvi oradracionaluria, mwkri-

vis nacvlad gvaqvs sasruli jami. aRvniSnoT
k k
tk   1 (i)2i  sk    2 (i)2i
i 0 i 0

21
 o.furTuxia 

maSin arsebobs iseTi n0 , rom tk  t da sk  s , k  n0  garda

amisa, arsebobs iseTi ricxvebi r da p , rom tk  r  2k da
sk  p 2k  amitom, Tu  t  s  2 k  maSin an tk  sk an

 tk  sk  2 k 
vigulisxmoT, rom k  n t  s  2 k  cxadia, rom

xt  xtk   ( xtm1  xtm )
mk
da

xs  xsk   ( xsm1  xsm )
mk

amitom lemis pirobebSi miviRebT, rom


 xt  xs  xtk  xsk    ( xtm1  xtm    xsm1  xsm ) 
mk


 2 ka  2  2 ( m1) a  2 ka (2a  1)(2a  1) 1
mk

vinaidan, Tu tm  2rm  22mr1  maSin tm1  tm an tm1  2rm  2m11  22mr1 

n
davuSvaT, rom t s  Q0  t  s  2 da aRvniSnoT k  [log 2 1
t  s ]
(–mTeli nawili), maSin, cxadia, k  n da  t  s  2 k . amitom
zemoT miRebuli Sefasebis Tanaxmad

 xt  xs  2 ka (2a  1)(2a  1)1 

 a (log2 t 1s 1)
2 (2a  1)(2a  1)1  N (a)  t  s a . □
SemoviRoT aRniSvna

Kn (a) : {x  C  x0  2n   xt  xs  N (a)  t  s a    t  s  2 n }

22
  SemTxveviT procesTa Teoria 

SevniSnoT, rom Tu am aRniSvnaSi CavamatebT moTxovnas

t s  Q0 , amiT K n (a) ar Seicvleba. arcelas Teoremis Tanax-
mad K n (a) warmoadgens kompaqts.

Teorema 2.3. davuSvaT, rom t uwyveti procesia da moi-

Zebneba iseTi     0 da N   mudmivebi, rom:

E  t  s   N  t  s 1   t s  [01] 0  a   1

maSin nebismieri  0 da n ricxvisaTvis adgili aqvs

Tanafardobas

P{  Kn (a)}  1   
damtkiceba. aRvniSnoT

An  {  0 ( )  2n }  {  sup sup ( (i 1)  2m  i 2m  2ma )  1} 

m n i 0 2m 1
 2m 1
 {  0 ( )  2 } [
n
( {  (i 1)  2m  i 2m   2 ma })]
m n i 0

Tu   \ An  maSin  ( )  Kn (a) aqedan gamomdinare,

CebiSevis utolobis ZaliT, gveqneba

() P{ 
 Kn (a)}  P( An )  P{ 0 ()  2 } 
n

 2m 1 
   2ma N 2 m (1  )  P{ 0 ( )  2n }  N  2m ( a   )  0
m  n i 0 mn

roca n   vinaidan a -s SerCevis xarjze aviRebT a    0 □

Teorema 2.4. davuSvaT, rom mocemulia uwyvet SemTxve-
viT procesTa iseTi mimdevroba tk , rom sup P{ 0k  c}  0
k

roca c   da arsebobs iseTi mudmivebi     0 N   rom

23
 o.furTuxia 

E  tk  sk   N  t  s 1   t s [01] k  1 2

maSin ganawilebaTa F k mimdevroba sustad kompaqturia C



sivrceSi.
damtkiceba. Teorema 2.3-dan gamomdinare, nebismieri k -
saTvis samarTliania () Tanafardoba. amitom


 K n (a)}  sup P{ 0 ( )  2 }  N  2
sup P{k  m ( a   )
n
 0
k k mn

roca n   maSasadame, nebismieri   0 ricxvisaTvis moi-

Zebneba iseTi n , rom P{   Kn (a)}   k  1 2 . amitom
k

proxorovis Teoremis ZaliT Teorema damtkicebulia. □

gansazRvra 2.2.  t1 da t2 SemTxveviT procesebs ewodeba

stoqasturad ekvivalenturi, Tu P{  t1 ( )  t2 ( )}  1

t  T .
am SemTxvevaSi amboben rom erTi procesi warmoadgens
meoris modifikacias.

gansazRvra 2.3.  t1 da t2 SemTxveviT procesebs ewodeba

ganurCeveli, Tu P{  t1 ( )  t2 ( ), t  T }  1 .

cxadia, Tu ori procesi ganurCevelia, maSin isini sto-
qasturad ekvivalenturia, magram, sazogadod, ara piriqiT.

amocana 2.1. vaCvenoT, rom Tu procesebi regularul-

traeqtoriebiania (traeqtoriebi aqvT uwyveti, marjvnidan
uwyveti an marcxnidan uwyveti), maSin stoqasturad ekviva-
lenturoba ganurCevlobis tolfasia.
advili dasanaxia, rom Tu procesebi stoqasturad ekvi-
valenturia, maSin maTi sasrulganzomilebiani ganawilebebi
emTxveva erTmaneTs, magram, cxadia, ara piriqiT.

24
  SemTxveviT procesTa Teoria 

rac Seexeba traeqtoriebs, stoqasturad ekvivalentur

procesebs isini SeiZleba hqondeT sruliad gansxvavebuli.

magaliTi 2.1. vTqvaT, T  [0,1] da  iyos [0,1]-Si Tanaba-

ri kanoniT ganawilebuli uwyveti tipis SemTxveviTi sidide.
davuSvaT t1  0 , xolo t2  0 , Tu t   da t2  1 , Tu t   .
es SemTxveviTi procesebi stoqasturad ekvivalenturia:
P{  t1 ( )  t2 ( )}  P{ : t   }  0 , maSin rodesac  t1 -is
yvela traeqtoria uwyvetia, xolo t2 -is yvela traeqtoria
ganicdis wyvetas  wertilSi.

Teorema 2.5 (kolmogorovis Teorema uwyveti modifi-

kaciis arsebobis Sesaxeb). davuSvaT, rom [0 ) Sualedze
mocemulia namdvilmniSvnelobiani SemTxveviTi procesi t
da arsebobs iseTi mudmivebi     0 N   , rom adgili
aqvs Sefasebas:
E  t  s   N  t  s 1  

maSin t process gaaCnia uwyveti modifikacia [0 ) Sua-

ledze.

25
 o.furTuxia 

damtkiceba. aviRoT 0  a   (magaliTad, a   (2 ) )

da aRvniSnoT

k n : {  sup sup  (i 1)  2m  i 2m  2ma  1}

m n i 01 k 2 1
m

 : k  n 
k 1 n

naTelia, rom Tu   , maSin nebismieri k -saTvis moi-

Zebneba iseTi nomeri n , rom  k n . e. i. [0 k ] intervalze
yvela es sxvaoba ar aRemateba erTs anu

i 1 i
 (i 1)  2m  i 2m  2 ma  m  n   [01]
2m 2m
aqedan, lema 2.3-is ZaliT, gamomdinareobs, rom yoveli
  -saTvis t ( ) Q0  [0 k ] simrav-
Tanabrad uwyvetia
leze. amitom, igi SeiZleba uwyvetad gagrZeldes [0 k ] seg-
mentze. amisaTvis, koSis kriteriumis Tanaxmad, sakmarisia
  -saTvis ganvsazRvroT

 t ( ) : slim
t  sQ
 s ( )
0

xolo roca  
 , davuSvaT, rom  t ( ) : 0


Teorema 2.1-is ZaliT nebismieri t -saTvis t ( ) iqneba

SemTxveviTi sidide. amitom Sesamowmebelia, rom P{  t ( ) 
  t ( )}  1t [0) magram, vinaidan roca t  Q0 : P{  t ( ) 
  t ( )}  P{ } amitom, am SemTxvevaSi, sakmarisia vaCvenoT,
rom k  P{n k n }  0 cxadia, rom
k (2m 1)
P{ k n }  limP{ ( (i 1)  2m  i 2m  2 ma )} 
n n  m n i 0

26
  SemTxveviT procesTa Teoria 


 limNk  2m ( a   )  0
n 
mn

roca t nebismieria, maSin fatus lemis ZaliT, gvaqvs

E   t  t   E lim   s  t   lim E   s  t   0
s t  sQ0 s t  sQ0

saidanac Cans, rom

P{  t ( )   t ( )}  1t [0). □

27
3. vineris procesi

davuSvaT, rom raime ( F  P) albaTur sivrceze moce-

mulia erTnairad ganawilebuli, damoukidebeli SemTxveviTi
sidideebis mimdevroba 12 n  sasruli meoTxe rigis

momentiT iseTi, rom Ei  0 Ei2  1i  1 vigulisxmoT,

k
rom sawyis momentSi nawilaki imyofeba nulSi da n momentSi
igi ganicdis dajaxebas, romlis Sedegadac gadaadgildeba
1
n
k sididiT. aRvniSnoT Sk  1    k . Tu SevaerTebT
k
(  1
n
Sk ) wertilebs texilebiT miviRebT uwyvet process:
n
1 1
tn ( )  S[ nt ]  (nt  [nt ]) [ nt ]1
n n

 1 S1 
 , 
S1 n n
n
2  S1
1 n
n
1 2 3 4
n n n n
 4 S4 
 , 
n n
3  S 2  4  S3
 2 S2  n n
 , 
n n  3 S3 
 , 
n n

28
  SemTxveviT procesTa Teoria 

lema 3.1. ganawilebaTa F n mimdevroba sustad kompaqtu-



ria C sivrceSi.
damtkiceba. Teorema 2.4-dan gamomdinare, sakmarisia vaC-
venoT, rom

E  tn  sn 4  N  t  s 2 

aRvniSnoT m4 : Ei4  an : ESn4  maSin cxadia, rom

an1  E (Sn  n1 )4  ESn4  4ESn3n1 

6ESn2n21  4ESnn31  m4  an  6n  m4 

aqedan induqciis gamoyenebiT miviRebT, rom

an  3n(n  1)  nm4  3n2  nm4 

ganvixiloT ori SesaZlebeli SemTxveva: t da s wertile-

bi ekuTvnian erTsa da imave [k n (k  1) n) intervals an arian
sxvadasxva intervalebSi. vigulisxmoT, rom st .
I. Tu t s [k n (k  1)n) , maSin  
n
wrfivia, tn   sn 
 n (t  s)[ nt ]1 da amitom

E  tn  sn 4  n2 (t  s)4 m4  (t  s)2 m4 

vinaidan n2 (t  s)2  1
II. Tu t da s sxvadasxva intervalebSia, maSin, aRvniSnoT
s1 -iT im intervalis marjvena bolo, romelsac ekuTvnis s ,
xolo t1 -iT im intervalis marcxena bolo, romelsac ekuT-
vnis t . Tu gamoviyenebT elementarul utolobas

(a  b  c)4  27(a 4  b4  c 4 )

29
 o.furTuxia 

da zemoT miRebul Sefasebas, advilad davrwmundebiT, rom

1 1
E  t   s 4  81E  t  t1 4 27 E  S[ nt1 ]  S[ ns1 ] 4 
n n
1
27 E   s   s1 4  27m4 (t  t1 )2  27 a[ nt ]([ ns ]1) 
n2 1 1
1
27m4 ( s  s1 )2  27m4 (t  s) 2  27 3([nt1 ]  ([ns1 ]  1)) 2 
n2
1
27 2
([nt1 ]  ([ns1 ]  1))m4  27m4 (t  s) 2 
n
aqedan, imis gaviTvaliswinebiT, rom

([nt1 ]  ([ns1 ]  1))2  (nt1  ns1 )2  n2 (t1  s1 )2  n2 (t  s)2

vRebulobT
E  t  s 4  N  t  s 2  □

gansazRvra 3.1.   (   ) SemTxveviT veqtors ewo-

1 k

deba gausis anu normaluri veqtori, Tu mis maxasiaTebel

funqcias aqvs saxe:

 ( ) : Eei (  )  ei ( m)(1 2)( R  ) 

sadac R arauaryofiTad gansazRvruli simetriuli matricaa.
aq m warmoadgens  SemTxveviTi veqtoris saSualoebis
veqtors, m  E , xolo R  r i j  – kovariaciis matricas,
r i j  cov( i   j ) am SemTxvevaSi xmaroben aRniSvnas   N (m R)
da amboben, rom  normaluria parametrebiT m da R .
cxadia, rom Tu  normaluri veqtoria, xolo A nebismi-
eri matricaa, maSin A agreTve normaluria, vinaidan

Eei (   A )  Eei ( A   ) 
30
  SemTxveviT procesTa Teoria 

aqedan, Tavis mxriv, gamomdinareobs, rom (1 k ) indeqs-

Ta nebismieri gadanacvlebisaTvis (i1 ik ) SemTxveviTi veq-
tori    isev normaluria, radganac igi miiReba wrfi-
i1 ik

vi gardaqmniT.
davuSvaT, rom  (n) n  1 2 , SemTxveviT veqtorTa mim-
devrobaa E k sivrcidan. maSin amboben, rom  (n) mimdevroba
asimptoturad normaluria (m R) parametrebiT, Tu F ( n )
ganawilebis funqciaTa mimdevroba krebadia raime N (m R)
normaluri veqtoris ganawilebisaken.
vigulisxmoT, rom 0  t1  t2    tk  1 aRvniSnoT

r i j : min(ti  t j ) R : r i j  

lema 3.2. SemTxveviT veqtorTa (t1n  tnk ) , n  1, 2,... ,

mimdevroba asimptoturad normaluria parametrebiT (0 R)
damtkiceba. simartivisaTvis ganvixiloT SemTxveva,
roca k  2 . cxadia, rom

1  
1tn  2tn  (1  2 )
1 2
S[ nt1 ]  {(nt1  [nt1 ]) 1  2 }[ nt1 ]1 
n n n
2 2
 ( S[ nt2 ]  S[ nt1 ]1 )  (nt2  [nt2 ]) [ nt ]1 
2
n n
miRebul gamosaxulebaSi yvela Sesakrebi erTmaneTisa-
gan damoukidebelia. garda amisa [ nt ]11
da [ nt 2 ]1
sidideebis
win mdgomi mamravlebi miiswrafian nulisaken, rodesac
n   amitom, lebegis Teoremis Tanaxmad maJorirebuli
krebadobis Sesaxeb, gvaqvs:
2
i ( 1t1n  2tn2 ) i ( 1  2 ) 1 S i ( S[ nt2 ]  S[ nt1 ]1 )
lim Ee  lim Ee n [ nt1 ]
 Ee n

n  n 

31
 o.furTuxia 

1  2 2
 lim{ ( )}[ nt1 ]{ ( )}[ nt2 ]([ nt1 ]1) 
n  n n
i
sadac  ( ) : Ee 1 
rogorc cnobilia, centraluri zRvariTi Teoremis Ta-
naxmad,

 2 1  1
ln   ( )    o( ) arg  ( )  o( )
n 2n n n n

amitom, imis gaTvaliswinebiT, rom ln z  ln  z  i arg z

vRebulobT Tanafardobas

1  2 1  2 1  2
{ ( )}[ nt1 ]  exp{[nt1 ](ln   ( )  i arg  ( ))} 
n n n
2 1  2t
 1
 exp{[nt1 ](  o( ))}  e 2  n  
2n n

sadac  : 1  2 
sruliad analogiurad gadavalT zRvarze meore Tanama-
mravlSi, ris Sedegadac sabolood miviRebT, rom

i ( 1t1n  2tn2 )  12 t1 ( 1  2 )2  12 22 ( t2 t1 )

lim Ee e 
n 

 12{12 min( t1 t1 )  2 12 min( t1 t2 )  22 min( t2 t2 )}

e  □

Teorema 3.1 (donskeri). F n ganawilebaTa mimdevroba



sustad krebadia raime ganawilebisaken C sivrceSi.

damtkiceba. Teorema 1.6-idan gamomdinare, sakmarisia
vaCvenoT, rom Tu F ni   da F mi   , maSin     davafi-
 

qsiroT 0  t1  t2    tk  1 .  iyos C sivrcis proeqcia

32
  SemTxveviT procesTa Teoria 

R k sivrceSi: ( x )  ( xt1  xtk ) . cxadia, rom igi uwyvetia

(e. i. borelisaa). Tu mas Cven ganvixilavT rogorc SemTxveviT
elements (C B(C )  ) da (C B(C ) ) sivrceebSi, maSin, sus-
ti krebadobis ganmartebis Tanaxmad, nebismieri SemosazR-
vruli da uwyveti f funqciisaaTvis Teorema 1.2-isa da lema
3.2-is safuZvelze miviRebT, rom:

 f ( x1 x k )  1 (dx1 dx k )   f (( x ))  (dx ) 

Ek C

 lim  f (( x )) F ni (dx )  lim Ef ((ni )) 

ni   ni 
C

 lim Ef (t1ni  tnk i )  Ef ( 1  k )  

ni 

  f ( x1 x k ) 1 (dx1 dx k ),

Ek

sadac ( 1  k ) normaluri veqtoria parametrebiT 0 da

 min(ti  t j )  , i, j  1, 2,..., k ( ( 1  k )  N (0 min(ti  t j ) )
aqedan, vinaidan f nebismieri iyo, vaskvniT, rom
   
1 1
e. i. B (k )
 B( E ) : k

 ( x  ( xt  xt )  B ( k ) ) :  1 ( B ( k ) )   1 ( B ( k ) ) :
1 k

  ( x  ( xt1  xtk )  B ( k ) )

maSasadame,  da  zomebi erTmaneTs emTxveva algebra-

ze, saidanac gamomdinareobs, rom isini erTmaneTs emTxveva
cilindruli simravleebis  -algebraze, anu B -ze. □
SevniSnoT, rom im F zomas, romliskenac sustad kre-
badia F n ganawilebebi winamdebare Teoremidan, uwodeben


vineris zomas.

33
 o.furTuxia 

gansazRvra 3.2. namdvilmniSvnelobebian SemTxveviT

process ewodeba gausis procesi, Tu yvela misi sasrulgan-
zomilebiani ganawileba gausisaa.
aRvniSnoT t procesis saSualo mniSvnelobebi da ko-
variaciis matrica Sesabamisad mt da R(t s) simboloebiT:
mt  Et  R(t s)  cov(t  s )
cxadia, rom Tu gausis ori uwyveti  t1 da t2 procesi-

saTvis mt1  mt2 da R1 (t s)  R 2 (t s) , maSin maTi Sesabamisi

ganawilebebic erTmaneTs emTxveva C sivrceze.

gansazRvra 3.3.[01] intervalze gansazRvrul gausis

process mt  0 saSualoTi da R(t s)  min(t s) kovariaciis
matriciT ewodeba vineris procesi [01] intervalze.
zemoT aRniSnulidan gamomdinare, ori vineris procesis
ganawilebebi C sivrceze erTmaneTs emTxveva.

Teorema 3.2. vineris procesi arsebobs da misi ganawi-

leba aris vineris zoma.
damtkiceba. davuSvaT, rom F vineris zomaa Teorema 3.1-
dan, maSin Teorema 1.1-is safuZvelze Cven SegviZlia avagoT
iseTi uwyveti procesi [01] intervalze wt , rom Fw  F 
amitom Sesamowmebelia, romEwt  0 da cov(wt  ws )  min(t s)
aviRoT nebismieri SemosazRvruli da uwyveti f funqcia,
maSin SegviZlia davweroT, rom:

Ef ( wt1  wtk )   f ( x1  x k ) F  1 (dx1  dx k ) 

Ek

  f ( ( x )) F (dx )  lim  f ( ( x )) F n (dx ) 

n  
C C

 lim Ef ( (n ))  lim Ef (t1n  tnk )  Ef ( 1   k )

n  n 

34
  SemTxveviT procesTa Teoria 

sadac ( 1  k )  N (0 min(ti  t j ) ) aqedan gamomdinare-

obs, rom ( wt1  wtk ) veqtors gaaCnia igive ganawileba, rac
( 1  k ) veqtors da, maSasadame, mt1  Ewt1  0 da

cov(wt1  wt2 )  Ewt1 wt2  E 1 2  min(t1 t2 ) □

Teorema 3.3. imisaTvis, rom [01] intervalze mocemuli

uwyveti procesi wt iyos vineris procesi, aucilebelia da
sakmarisi, rom Sesrulebuli iyos Semdegi pirobebi:

a) w0  0 ( P - T. y.);
b) wt  ws  N (0 t  s) 0  s  t  1
g) wt1  wt2  wt1  wtn  wtn1 SemTxveviTi sidideebi erTob-
livad damoukidebelia, 0  t1  t2    tn  1
damtkiceba. aucilebloba. vinaidan Ewt ws  min(t s) ,
amitom Ew02  0 , e. i. w0  0 ( P -T. y.); wt  ws miiReba ( ws  wt )
gausis veqtorisagan wrfivi gardaqmniT, maSasadame,
wt  ws  N () amave dros E (wt  ws )  0, E (wt  ws )2  Ewt2 
2Ewt ws  Ews2  t  2s  s  t  s e. i. wt  ws  N (0 t  s) .
SemoviRoT aRniSvnebi i  wt  wt  i  1 n t0 :  0 ,
i i 1

 : (1 n ) . cxadia, rom  veqtori miiReba wt1  wtn gausis
veqtorisagan wrfivi gardaqmniT, amitom igi gausisaa. amasTanave
Ek  0 Ek2  tk  tk 1 da Ei j  E (wti  wti1 )(wt j  wt j1 ) 
 ti  ti 1  ti  ti 1  0 roca i  j saidanac, kerZod, gamomdi-
nareobs, rom  veqtoris komponentebi damoukidebelia, vi-
naidan erToblivi maxasiaTebeli funqcia komponentebis ma-
xasiTebeli funqciebis namravlis tolia:

35
 o.furTuxia 

n n n n
i  kk 1 2  k mcov (k m ) 1 2 k2 (tk tk 1 )
Ee k 1 e k 1 m1
e k 1

n n
  e1 2k (tk tk 1 )   Eeikk 
2

k 1 k 1

sakmarisoba. a), b) da g) pirobebidan gamomdinareobs,

rom
n n
i  kk 1 2  k2 (tk tk 1 )
 ( )  Ee k 1
e k 1


 gausis veqtoria. meore mxriv, b) pirobebidan Cans, rom

e. i.
wt  N (0 t ) maSasadame, Ewt  0 da Ewt2  t ukanaskneli Ta-
nafardobidan da v) pirobidan ki miviRebT, rom Tu t  s ma-
Sin Ewt ws  Ews (wt  ws )  Ews  s  min(t s) □
2

Teorema 3.4. imisaTvis, rom [01] intervalze mocemuli

uwyveti procesi wt iyos vineris procesi, aucilebelia da
sakmarisi, rom Sesrulebuli iyos Semdegi pirobebi:
a) w0  0 ( P - T. y.);
b) wt  ws  N (0 t  s) 0  s  t  1
g) SemTxveviTi sidide wtn  wtn1 da SemTxveviTi veqtori
( wt1  wtn1 ) damoukidebelia, 0  t1  t2    tn  1
damtkiceba. sakmarisia Semowmdes, rom a) da b) pirobebis
Sesrulebisas g) pirobebi Teorema 3.3-dan da Teorema 3.4-dan
erTmaneTis ekvivalenturia. aRvniSnoT  : (wt  wt  wt 
1 2 1

wtn  wtn1 ) : (1 2  n ) davuSvaT, rom Sesrulebulia g)

n 1
piroba Teorema 3.4-dan. maSin, vinaidan  
k 1
k k da n n damo-

ukidebelia, cxadia, rom

36
  SemTxveviT procesTa Teoria 

n n1
i  kk i(  kk nn )
Ee k 1  Ee k 1

n1
i  k k n
 Ee k 1 Eeinn     Eeikk 
k 1

e. i.  k SemTxveviTi sidideebi erToblivad damoukidebelia.

piriqiT, davuSvaT, rom Sesrulebulia g) piroba Teo-
rema 3.3-dan. saidanac, kerZod, gamodis, rom n SemTxveviTi
sidide damoukidebelia (1 n1 ) veqtorisagan. meore
mxriv, SemTxveviTi veqtori ( wt1  wtn1 ) warmoadgens

(1 n1 ) veqtoris funqcias da amitom  n damoukidebelia

( wt1  wtn1 ) veqtorisagan. □

Teorema 3.5 (uwyvetobis modulis Sesaxeb). Tu wt vine-

ris procesia da 0    1 2 maSin TiTqmis yvela  -saTvis
moiZebneba iseT n  1 mTeli ricxvi, rom roca  t  s  2 n
adgili aqvs Tanafardobas:

 wt ( )  ws ( )  N  t  s 1 2

(kerZod,  wt ( )  Nt1 2  roca t  2 n ), sadac N mudmivi da-

mokidebulia mxolod  -ze da araa damokidebuli  -ze.
damtkiceba. vigulisxmoT, rom

  2    2  1  0   N (01) E    : N ( )

maSin, vinaidan wt  ws  N (0 t  s ) , amitom cxadia, rom

wt  ws    t  s 1 2
da
E  wt  ws   t  s  2 , E     N  t  s 1   (1)

37
 o.furTuxia 

aRvniSnoT

Kn (a)  {x  C  x0  2n   xt  xs  N (a)  t  s a   t  s  2 n }

Teorema 2.3-is ZaliT, Tu 0  a    12  1  maSin


P{w  K n (a)}  1
n 1

maSasadame, TiTqmis yvela  -saTvis moiZebneba iseTi n rom

w  Kn (a) e. i.  wt ( )  ws ()  N (a)  t  s a  roca  t  s  2 n
aqedan, Tu aviRebT   1 , davrwmundebiT Teoremis samar-
TlianobaSi. □

Teorema 3.6. Tu [ s t ] intervalis danawilebaTa mimdev-

roba s  t0n  t1n    tnn  t iseTia, rom maqsimaluri dayo-
fis biji n : max(ti 1n  tin )  0 roca n   maSin
0in1

n : 
s ti n t
( wti1n  wti n )2 
P
(t  s)

roca n  
damtkiceba. Teorema 3.5-is (1) Tanafardobis ZaliT Segv-
iZlia davweroT, rom

Dn  
s ti n t
D(wti1n  wti n )2  N (2) 
s ti n t
(ti 1n  ti n ) 2 

 N (2)n 
s ti n t
(ti 1n  ti n )  N (2)n  0 n  

amitom CebiSevis utolobis Tanaxmad n  En 

P
 0
meore mxriv, En  
s ti n t
(ti 1n  tin )  t  s sabolood vRebu-

lobT, rom

38
  SemTxveviT procesTa Teoria 

n  (t  s)  n  En  En  (t  s) 
P
 0 □

SeniSvna 3.1. ar arsebobs iseTi funqciebi  ( ) da

N ( ) , rom dadebiTi albaTobiT  ()  0 N ()   da
 wt ( )  ws ()  N ()  t  s 1 2 ( )  roca  t  s   ( ) marT-
lac, im  wertilebSi, sadac es utoloba sruldeba:
n ( )  0 radganac

n ( )  N ( ) 
s ti n t
(ti 1n  ti n )1 2  0 n  

maSin rodesac Teorema 3.6-is ZaliT n 

P
 t  s n  

SeniSvna 3.2. rogorc vxedavT, vineris procesis traeq-

toriebis kvadratuli variacia sasrulia, kerZod, mas gaaC-
nia intervalis rigi. meore mxriv, analizidan cnobilia, rom
gluvi funqciis kvadratuli variacia usasruloa, xolo va-
riacias aqvs intervalis rigi. Sesabamisad, vineris traeq-
toria ver iqneba gluvi funqcia, mas arc erT wertilSi ar
gaaCnia warmoebuli, misi variacia nebismier sasrul inter-
valze usasruloa.

Sedegi 3.1. P{  Var[ s ,t ] wt ( )  }  1

damtkiceba. im  wertilebze, sadac

n 1
Var[ s ,t ] wt : lim   wti1n  wti n  
n 
i 0

gveqneba, rom n ( )  0 vinaidan

n 1
n ( )  max  wt i 1n
 wti n    wti1n  wti n  0 n  
0i  n 1
i 0

rac ewinaaRmdegeba imas, rom Teorema 3.6-is ZaliT n 

 t  s P

39
 o.furTuxia 

qvemoT Cven mogvyavs vineris procesis erTi da oTxi

sxvadasxva traeqtoriis realizaciebi

40
  SemTxveviT procesTa Teoria 

aqve aRvniSnavT, rom literaturaSi vineris procesi

cnobilia agreTve brounis moZraobis saxelwodebiT. es
ukavSirdeba britaneli botanikosis brounis saxels, rome-
lic akvirdeboda siTxeSi CaZiruli mtvris nawilakis qaosur
moZraobas. am moZraobis maTematikuri modeli ki Seqmna ame-
rikelma mecnierma – norbert vinerma.
siTxeSi CaZiruli nawilakis qaosuri moZraoba ase gamoi-
yureba:

41
4. SemTxveviTi orTogonaluri
zomiT integrireba

vigulisxmoT, rom ( F  P) sruli albaTuri sivrcea,

L2 : L2 ( P)  L2 ( F  P) , X – raime simravle,  X simrav-
lis qvesimravleebis naxevarrgolia erTeuliT, X  ,
 :  () warmoadgens  naxevarrgolze moWimul umcires
 -algebras,  aris  adiciuri sasruli zoma  -ze. nebismi-
er   elements Seesabameba kompleqsuri funqcia  ()
gansazRvra 4.1. { ()   } ojaxs ewodeba SemTxvevi-
Ti orTogonaluri zoma  struqturuli funqciiT, Tu Ses-
rulebulia Semdegi pirobebi:
1.  ()  L2  
2. E (1 ) (2 )   (12 )1  2 
SevniSnoT, rom es ojaxi orTogonaluria imitom, rom Tu
1 2   maSin 2-is ZaliT E (1 ) ( 2 )  0 xolo zomaa imis
i    da   i 1 i  maSin  ()  i 1  (i )
 
gamo, rom Tu

L2 -Si. marTlac,
n n
lim E   ()    ( i ) 2  lim[ E   () 2 2 Re E () ( i ) 
n  n 
i 1 i 1
n n n
 E   ( i ) 2 ]  lim[  ()  2  ( i )    ( i )] 
n 
i 1 i 1 i 1
n
 lim[  ()    ( i )]  0
n 
i 1

42
  SemTxveviT procesTa Teoria 

lema 4.1. Tu i  B j  simravleebi da ci  d j kompleq-

suri ricxvebi i  1 n j  1 m , iseTia, rom  -T.y.
n m

c 
i 1
i i   d j Bj 
j 1

n m
maSin ci (i )  d j ( B j ) P -T.y. da
i 1 j 1

n n
E   ci (i ) 2     ci  i 2  (dx)
X
i 1 i 1

damtkiceba. cxadia, rom

n n n
E   ci ( i ) 2  E   ci ck  ( i ) ( j ) 
i 1 i 1 k 1
n n n n
   ci ck  (i  k )    ci ck   i   j  (dx) 
X
i 1 k 1 i 1 k 1
n
    ci  i ( x) 2  (dx)
X
i 1

aqedan, Tavis mxriv, miviRebT, rom

n m
E   ci ( i )   d j ( B j ) 2 
i 1 j 1
n m
    ci  i   d j  B j 2  (dx)  0
X
i 1 j 1

aRvniSnoT L0 (  ) simboloTi martivi funqciebis klasi:

n
L0 (  ) : { ci  i ( x) i  } ,
i 1

sadac ci kompleqsuri ricxvebia.

43
 o.furTuxia 

L0 ( )  L2 ( ) L0 (  ) yvelgan mkvrivia L2 (  ) -Si, L0 (  ) 

 L2 (  )
ganvsazRvroT operatori I  L0 ( )  L2 ( P) Semdegi
TanafardobiT:
n n
I ( ci  i )   ci (i )
i 1 i 1

maSin, lema 4.1-is ZaliT, martivi f funqciisaTvis gvaqvs

 I ( f ) 2L2 ( P )  E  I ( f ) 2    f ( x) 2  (dx)  f 2L2 (  ) 

X

e. i. I warmoadgens izometrul operators.

lema 4.2. Tu B1  B2 banaxis sivrceebia da B1 sivrcis B0

wrfiv qvesivrceze (romelic sazogadod araCaketilia) gan-
sazRvrulia wrfivi izometruli operatori I  B0  B2
( I (b0 ) B2  b0 B1  b0  B0 ) maSin arsebobs erTaderTi wrfi-
vi izometruli operatori I  B0  B2  romelic B0 qve-
sivrceze emTxveva I operators. □
Teorema 4.1. arsebobs da amasTanave erTaderTia wrfivi
operatori I  L2 ( )  L2 ( P) iseTi, rom:
n n
1. I ( ci  i )   ci (i ) 
i 1 i 1

2. E  I ( f )     f ( x) 2  (dx) f  L2 (  ) □
2

Tu f  L2 (  ) nebismieri funqciaa, maSin moiZebneba marti-

L2 (  )
vi funqciebis mimdevroba { f n  n  1} , iseTi, rom f n   f
am SemTxvevaSi ganvsazRvroT:

I ( f )  limn I ( f n )

44
  SemTxveviT procesTa Teoria 

gansazRvra 4.2.I operatoris mniSvnelobas f funqcia-

ze uwodeben stoqastur integrals f funqciidan da aRniS-
naven Semdegnairad:

I ( f )   f ( x) (dx) 
X
vinaidan,

E  I ( f   g ) 2    f ( x)   g ( x) 2  (dx)  ,
X

amitom  -sTan mdgomi koeficientebis gatolebiT davr-

wmundebiT, rom narCundeba skalaruli namravli:

E  f ( x) (dx)  g ( x) (dx)   f ( x) g ( x) (dx) (1)

X X X

ganvmartoT  ()  -algebraze  zoma Semdegnairad:

 ( B) :   B ( x) (dx) B   ()

X

cxadia, rom Tu B  maSin  ( B)   ( B) xolo (1) Tana-

fardobidan gamomdinare, E ( B1 ) ( B2 )   ( B1B2 ) e. i. 
zoma  zomis gagrZelebaa da amasTanave, igi warmoadgens Se-
mTxveviT orTogonalur zomas  ( )  -algebraze.

amocana 4.1. Tu  1  2 zomebi warmoadgenen  zomis gag-

rZelebebs  ()  -algebraze, maSin maTi struqturuli
funqciebi emTxveva erTmaneTs da emTxveva  zomas da, ama-
sTanave,

 f ( x) (dx)   f ( x)

X
1
X
2 (dx)   f ( x) (dx) f  L2 (  )
X

45
 o.furTuxia 

aviRoT X  (01]  {(s t ]  0  s  t  1} davuSvaT, rom

wt vineris procesia [01] intervalze da ganvmartoT
w((s t ])  wt  ws  maSin cxadia, rom w iqneba SemTxveviTi
orTogonaluri zoma, romlis struqturuli funqcia iqneba
lebegis zoma, vinaidan
1
Ew(( s t ]) w(( s1 t1 ])    ( s t ] ( x) ( s1 t1 ] ( x)dx 
0

1
amitom, Tu 
0
f ( s)2 ds   maSin ganmartebulia

1 1

 f (s)w(ds) :  f (s)dw(s)
0 0

meore mxriv, Tu
n 1
L2 ([01])
f n   f  f n (t )   f n (ti 1n ) ti n t ti1n (t )
i 0

maSin
1 n 1

 f ( s)dw( s)  l imn  f n (ti 1n )( wti1n  wti n )

0 i 0

aqedan gamomdinare, yvela es stoqasturi integrali

gausis SemTxveviTi sididea.
SemoviRoT gansazRvra

t 1

0
f ( s)dw( s) :   (0t ] ( s) f ( s)dw( s)
0

SevniSnoT, rom stoqasturi integrali gansazRrulia

rogorc L2 -is elementi (e. i. rogorc ekvivalentobis klasi).

46
  SemTxveviT procesTa Teoria 

amdenad, SesaZlebelia iseTi SerCeva, rom SemTxveviTi pro-

cesi
t
t :  f ( s)dw( s)
0

iyos uwyvettraeqtoriebiani procesi.

t
amocana 4.2. Tu f  L2 ([01]) maSin  f (s)dw(s)
0
warmo-

adgens gausis process nulovani saSualoTi da korelaciis

funqciiT:
s t s t
R( s t )   f (u )du  (  f (u )du )  (  f 2 (u )du )
2 2

0 0 0

gansazRvra 4.2. vineris procesi [0 ) naxevarRerZze

ewodeba [0 ) naxevarRerZze mocemul gausis process, nul-
ovani saSualoTi da korelaciis funqciiT s  t  romlis
TiTqmis yvela traeqtoria uwyvetia.

Teorema 4.2. vineris procesi [0 ) naxevarRerZze arse-

bobs.
damtkiceba. aviRoT [01) intervalze uwyveti nebismi-
1
f (t )  0 f ( s)ds   vTqvaT,  (r )
2
eri funqcia, iseTi, rom
0
t

f
2
funqcia aris ( s )ds funqciis Sebrunebuli, xolo wt
0

iyos vineris procesi [01] intervalze.

ganvsazRvroT y(t ) t  1 procesi Semdegnairad:

1 t
y (t )   [0t ] ( s) f ( s)dws   f ( s)dws 
0 0

47
 o.furTuxia 

(vinaidanf funqcia uwyvetia, igi SemosazRvrulia sasrul

monakveTze da maSasadame, [0t ] f  L2 ([01]) ).
cxadia, romy (t ) iqneba gausis procesi saSualoTi nuli
da korelaciis funqciiT R( s t ) aRvniSnoT x(r )  y( (r )) r  0
es ukanaskneli agreTve iqneba gausis procesi (Cven ubralod
SevcvaleT dro  (r )  1 ). amasTanave, Ex(r )  0 da Ex(t ) x(s) 
 Ey( (t )) y( (s))  s  t garda amisa, x(r1 )  x(r2 )  N (0 r1  r2 ) ,
saidanac E  x(r1 )  x(r2 ) 4  3  r1  r2 2  amitom kolmogorovis
Teoremis Tanaxmad uwyveti modifikaciis arsebobis Sesaxeb
(Teorema 2.5) x(t ) process gaaCnia uwyveti modifikacia. e. i.
x(t ) vineris procesia [0 ) naxevarRerZze. □

Teorema 4. 3. davuSvaT, rom wt vineris procesia [0 )

naxevarRerZze.
a) Tu c  0 maSin cwt c2 agreTve vineris procesia (e. w. av-
tomodeluri vineris procesi, nebismieri didi traeqtoriis
modelireba SeiZleba patara traeqtoriebiT);
b) procesi
tw1t  t  0
t ( )  
0 t 0
warmoadgens vineris process.

damtkiceba. Cven SevCerdebiT mxolod t procesis

traeqtoriis nulSi uwyvetobis damtkicebaze. vinaidan
E  t  s 4  3  t  s 2  amitom kolmogorovis Teoremis Tana-
xmad uwyveti modifikaciis arsebobis Sesaxeb (Teorema 2.5)
t process gaaCnia uwyveti modifikacia  t [0 ) naxevar-
RerZze. aRvniSnoT

 : {  r ( )  r ( )} {   ( )  C (0, )} ,
r[0 )Q

48
  SemTxveviT procesTa Teoria 

sadac Q -iT aRniSnulia racionalur ricxvTa simravle

[0 ) naxevarRerZidan, xolo C (0 ) -Ti uwyveti funqci-
ebis klasi (0 ) -ze.

cxadia, rom P{' }  1 Tu   , maSin r ( )  r ( )

r  Q  r uwyvetia, xolo  t uwyvetia, roca t  0 amitom
t ( )  t ( ) roca t  0 da

lim t ( )  lim t ( )  0 ( )  0 ( )
t 0 t 0

radganac 0  Q  amrigad, Tu    maSin lim t ( )  0 ( ) .

t 0

e. i. t T. y. uwyvetia nulSi. □

Sedegi 4.1. davuSvaT, rom 1 2    0 maSin  ws  N s1 2 

roca s  2 n
damtkiceba. Teorema 3.6-is ZaliT T. y.  -saTvis
moiZebneba iseTi nomeri n( ) rom:

 t  s  N  t  s 1 2  t  s  2 n  t s  1

kerZod,  xt  N  t 1 2   t  2 n anu

 tw1t  N  t 1 2   t  2 n

Tu ukanaskneli Tanafardobis orive mxares gavyofT t -ze
da aRvniSnavT s : 1t  maSin davrwmundebiT Sedegis samarT-
lianobaSi.
SevniSnoT, rom Sedegi 4.1-is Tanaxmad vineris procesis
TiTqmis yvela traeqtoria raRac momentidan dawyebuli
vardeba s1 2 parabolis SigniT.

49
5. pirobiTi maTematikuri lodini

davuSvaT, rom mocemulia sruli albaTuri sivrce

( F  P) G aris F  -algebris sruli qve-  -algebra,
G  F   da  SemTxveviTi sidideebia, iseTi, rom
E    , E     da  G -zomadia.

gansazRvra 5.1.  SemTxveviT sidides ewodeba  SemTx-

veviTi sididis pirobiTi maTematikuri lodini G  -al-
gebris mimarT da aRiniSneba E[  G] simboloTi, Tu nebis-
mieri A xdomilobisaTvis G  -algebridan adgili aqvs Ta-
nafardobas:
E A  E A ,
cxadia, rom am SemTxvevaSi E  E 
aRniSnuli gansazRvra SeTanxmebulia pirobiTi maTema-
tikuri lodinis gansazRvrasTan dayofis mimarT (ix. dama-
teba II).

lema 5.1. davuSvaT, rom D  {D1 , D2 ,...} sasruli an Tvladi

dayofaa atomebiT Di : D  
i
i da P( Di )  0 , i  1 . Tu

G   ( D) da  SemTxveviTi sididisaTvis gansazRrulia

E , maSin
E ( | D)  E ( | Di ) ( P - T. y. simravleze Di )
anu
E ( Di )
E ( | D)  ( P - T. y. simravleze Di ).
P( Di )

50
  SemTxveviT procesTa Teoria 

damtkiceba. cnobilia, rom (ix. lema II.4.3 [48]) Tu 

 ( D) -zomadi SemTxveviTi sididea, maSin igi Rebulobs mud-
miv mniSvnelobas dayofis elementebze, anu warmoidgineba
Semdegi saxiT:


 ( )   xk I D ( ) .
k
k 1

aRvniSnoT dayofis Di elementze  ( D) -zomadi E[  G]

SemTxveviTi sididis mudmivi mniSvneloba Ci simboloTi. ma-
Sin gansazRvris Tanaxmad:

E Di  E[ E ( | G)] Di  Ci P( Di ) ,

saidanac,

1 E Di
Ci   E Di   E ( | Di ) . □
P( Di ) P( Di )

Teorema 5.1. Tu 1 da 2 SemTxveviTi sidideebi warmo-

adgenen  SemTxveviTi sididis pirobiT maTematikur lo-
dins G  -algebris mimarT, maSin 1  2 ( P - T. y.).
damtkiceba. gansazRvris Tanaxmad

E1 A  E2  A  A  G
aqedan

E (1 2 )  A  0 A  G

aRvniSnoT A  {  1 ( ) 2 ( )  0} maSin cxadia, rom

A  G da

0  E (1 2 )  A  E (1 2 ) {1 2 0} 

51
 o.furTuxia 

saidanac gamodis, rom

(1 2 ) {1 2 0}  0 ( P - T. y.).

e. i. 1 2  0 ( P - T. y.). sruliad analogiurad davrwm-

undebiT, rom 1 2  0 ( P - T. y.), rac mTlianobaSi gvaZl-
evs, rom 1  2 ( P - T. y.). □
qvemoT Cven SevCerdebiT pirobiTi maTematikuri lodi-
nis zogierT Tvisebaze.

Teorema 5. 2. Tu E     maSin E[  G] arsebobs.

damtkiceba. davuSvaT, rom   0 da ganvsazRvroT
( G P) albaTur sivrceze zoma  ( A) : E A , A  G .
cxadia, rom   P amitom radon-nikodimis Teoremis
Tanaxmad, arsebobs iseTi G -zomadi funqcia  , rom

 ( A)   ( ) P(d )  E A  E A 

A

amitom pirobiTi maTematikuri lodinis rolSi SegviZ-

lia aviRoT  SemTxveviTi sidide, roca   0 zogad SemTx-
vevaSi ki visargeblebT warmodgeniT:      da pirobiT
 

maTematikur lodins ganvsazRvravT Semdegnairad

E[  G]: E[   G]  E[   G] □

Teorema 5.3. 1. Tu E     c  const maSin E[c  G] 

 cE[  G] ( P – T. y.), kerZod, E[0  G]  0 ( P - T. y.);
2. Tu E     maSin E{E[  G]}  E ;
3. Tu E  1  E  2   maSin E[1  2  G]  E[1  G] 
 E[2  G] ( P - T. y.);

52
  SemTxveviT procesTa Teoria 

4. Tu E     da  SemTxveviTi sidide G -zomadia, ma-

Sin
E[  G]   ( P - T. y.);

5. Tu E     , xolo G1  G maSin

E{E[  G1 ]  G}  E{E[  G]  G1}  E[  G1 ] ( P – T. y.).

damtkiceba. 1-4 Tvisebebi advilad mowmdeba gansazRvr-
is safuZvelze. me-5 TvisebaSi dasamtkicebeli Tanafardobis
ganapira wevrebis toloba gamodis me-4 Tvisebidan. Sevamow-
moT bolo Tanafardoba. amisaTvis SemoviRoT aRniSvnebi
E[  G1 ]: 1 E[  G]:  vinaidan nebismieri xdomiloeba
A  G1 imavdroulad aris G  -algebris elementic, ami-
tom gansazRvris Tanaxmad

E A  E A  E1 A 

maSasadame, 1  E[  G1 ] □

Teorema 5.4. 1. Tu E  1  E  2   da 2  1 ( P - T. y.),

maSin
E[2  G]  E[1  G] ( P – T. y.);
2. (Teorema monotonuri krebadobis Sesaxeb) Tu
E    E  i   i  1 2 i 1  i ( P - T. y.),   lim i
i 

( P - T. y.), maSin

lim E[i  G]  E[  G] ( P - T. y.);

i 

3. (fatus lema) Tu i  0 Ei   E lim i   maSin

i 

lim E[i  G]  E[lim i  G] ( P - T. y.);

i  i 

53
 o.furTuxia 

4. (iensenis utoloba) Tu  sasruli, amozneqili fun-

qciaa ( ) intervalze da E    E   ( )   maSin
E[ ( )  G]   ( E[  G]) ( P - T. y.).
damtkiceba. 1. aRvniSnoT i : E[i  G] i  1 2 A :
 {  2 ( ) 1 ( )  0} vinaidan A  G amitom gvaqvs

E (2 1 )   E (2 1 )  A   E(2  1 )  A  0 

 (2 1 )  0 ( P - T.y.)  2  1 ( P - T. y.); □

2. aRvniSnoT i : [i  G] i  1 2 maSin 1-li Tvisebidan

gamomdinare, i 1  i ( P - T. y.)    limi  amitom, mono-
i 

tonuri krebadobis Teoremis Tanaxmad, nebismieri A xdomi-

lebisaTvis G  -algebridan, gvaqvs, rom

E A  lim Ei  A  lim Ei  A  E limi  A  E A 

i  i  i 

   E[  G] ( P - T. y.); □
3. mimdevroba inf i arauaryofiTi da araklebadia, ami-
in
tom 1-li da me-2 Tvisebebis ZaliT gvaqvs

E[lim n  G]  E[liminf   G]  lim E[inf i  G] 

n  n  i  n n in

 liminf E[i  G]  lim E[n  G] ( P - T. y.); □

n  i  n n 

4. moiZebneba iseTi mudmivebi (ai  bi ) i  1 2 rom adgili

aqvs warmodgenas  (t )  sup(ai t  bi ) vinaidan  (t )  ai t  bi  i  1
i 1
amitom 1-li Tvisebidan gamomdinare ,

E[ ( )  G]  ai E[  G]  bi ( P - T. y.).

54
  SemTxveviT procesTa Teoria 

Tu am utolobis orive mxareze aviReT sup miviRebT,

i1
rom

E[ ( )  G]   ( E[  G]) ( P - T. y.). □

Sedegi 5.1. 1. Tu   0 E   maSin E[  G]  0 ( P - T. y.);

2. Tu p  1 E    p   maSin  E[  G]  p  E[   p  G] ( P -
T. y.), kerZod,  E[  G]  E[   G] ( P - T. y.);
3. Tu E     da lim E    i  0 maSin
i 

E  E[i  G]  E[  G]  E{E[ i    G]} 

 E  i    0 i  

e. i. Tu i 
L
  maSin E[i  G] 
1 L
 E[  G] 1

Teorema 5.5. 1. Tu E     da  SemTxveviTi sidide da-

moukidebelia G  -algebrisgan, maSin E[  G]  E ( P -
T. y.), kerZod E[c  G]  c ( P - T. y.), c  const
2. Tu E     da B  G maSin E[  B  G]   B E[  G]
( P - T. y.);
3. Tu E     E     da  SemTxveviTi sidide G -
zomadia, maSin E[  G]   E[  G] ( P - T. y.).

damtkiceba. 1. SemoviRoT aRniSvnebi  n (t ) : 2 n [2n t ]

n :  n ( ) sadac [] simboloTi aRniSnulia mTeli nawili.
cxadia, rom  n    1 2n . Tu aviRebT A  G , maSin lebegis
Teoremis Tanaxmad maJorirebadi krebadobis Sesaxeb, gveqneba

k
E A  lim En  A  lim E  n
{ k   k 1} A 
n  n 
k  2 2n 2n

55
 o.furTuxia 


k k k 1
 lim
n 

k  2
n
P{( n    n )  A} 
2 2

k k k 1
 lim  n P{ n    n }P( A) 
n 
k  2 2 2
 lim E n P( A)  E P( A)  E  A E 
n 

2. aRvniSnoT  : E[  G] . nebismieri A  G xdomilobi-

saTvis gvaqvs

E ( B )  A  E AB  E AB  E ( B )  A 

                  , amitom SegviZ-

3. vinaidan
lia vigulisxmoT, rom   0 amis Semdgom ki SegviZlia vigu-
lisxmoT, rom aseve   0 aRvniSnoT  n :  n ( )
Bnk : {   n ( )  k  2n } cxadia, rom  n     n    Bnk  G .
meore mxriv, 2) Tvisebis ZaliT gvaqvs

 B E[ n  G ]  E[ n  B  G ] 
n k n k

k
 E[  B  G ]   Bn k  n E[  G ] 
2 n n k
 E[ n  G]   n E[  G] ( P – T. y) Bnk simravleze 

 E[ n  G]   n E[  G] ( P – T. y.).

yovelive zemoT aRniSnulidan gamomdinare, vRebulobT,
rom
E[  G]  lim E[ n  G]  lim  n E[  G]   E[  G] ( P –
n n
T. y.). □
SemoviRoT aRniSvna: E[ |  ]: E[ |  ( )] . maSin, gansaz-
Rvris Tanaxmad, E[ |  ] aris  ( ) -zomadi SemTxveviTi si-

56
  SemTxveviT procesTa Teoria 

dide. Sesabamisad, moiZebneba iseTi borelis azriT zomadi

m  m( y) funqcia (ix. Teorema II. 4. 3 [48]), rom

m( ())  E[ |  ](),   .

am m  m( y) funqcias aRniSnaven E[ |   y] simboloTi
da uwodeben  SemTxveviTi sididis pirobiT maTematikur
lodins {  y} xdomilobis mimarT an  -s pirobiT maTe-
matikur lodins pirobaSi {  y} .
ganmartebis Tanaxmad nebismieri A   ( ) xdomilobisa-
Tvis gvaqvs:

E ( A )  E{E[ |  ] A}  E[m( )  A ] .

amitom lebegis integralSi, cvladis Secvlis Teoremis
ZaliT (ix. Teorema II. 6. 7 [48]), SegviZlia davweroT, rom



{ : B}
m( ) P(d )   m( y) P (dy),
B
B  B( R1 ) ,

sadac P  -s ganawilebaa. Sesabamisad, m  m( y) warmoad-

gens iseT borelis funqcias, romlisTvisac



{ : B}
 P(d )   m( y) P (dy),
B
B  B( R1 ) .

amrigad, Cven mivdivarT E[ |   y] pirobiTi maTemati-

kuri lodinis Semdeg gansazRvramde:

gansazRvra 5.2. davuSvaT, rom E ganmartebulia.  Se-

mTxveviTi sididis pirobiT maTematikur lodini pirobaSi,
rom {  y} , ewodeba nebismier borelis azriT zomad m  m( y )
funqcias, romlisTvisac sruldeba Tanafardobebi:



{ : B}
 P(d )   m( y) P (dy),
B
B  B( R1 ) .

57
 o.furTuxia 

lema 5.2. Tu B  B( R
2
) da  da  damoukidebeli SemTx-
veviTi sidideebia, maSin

E[ I B ( , ) |   y]  EI B ( , y) ( P - T. y.). (1)

damtkiceba. Tu B  B1  B2 , maSin (1) Tanafardobis sa-

marTlianobisaTvis sakmarisia SevamowmoT, rom adgili aqvs
tolobas:


{:A}
I B1B2 ( , ) P(d )   EI B1B2 ( , y) P (dy) .
A

magram, vinaidan ukanaskneli tolobis marcxena mxare em-

Txveva albaTobas P{  B1 ,   A  B2 } , marjvena mxare ki –
P{  B1} P{   A  B2 } -s, amitom maTi toloba gamomdinare-
obs  da  SemTxveviTi sidideebis damoukideblobidan. □

amocana 5.1. lema 5. 2-isa da monotonur klasebze Teo-

remis (ix. Teorema II. 2. 1 [48]) gamoyenebiT daamtkiceT Semdegi
debulebebi:

Teorema 5.6. a)  da  damoukidebeli SemTxveviTi sidi-

deebia, f ( x y) ori cvladis borelis funqciaa iseTi, rom
E  f (  )   maSin

E[ f (  )    y]  E[ f (  y) ] ( P - T. y.);

b) Tu f ( x y) ori cvladis borelis funqciaa ,   G -zo-

madia,  damoukidebelia G  -algebrisagan da E  f (   )  
maSin ( y) : Ef (  y) borelis funqciaa da E[ f (   )  G] 
 ( ) ( P – T.y.).

Teorema 5.7.1. Tu H  L2 ( F  P) da H1  L2 ( G P) na-

mdvili hilbertis sivrceebia, H1 aris H -is qvesivrce,  G

58
  SemTxveviT procesTa Teoria 

orTogonaluri proeqtirebis operatoria H sivrcisa H1

qvesivrceze da E 2   maSin E[  G]  G 



2. Tu Ai  Aj   i  j i 1
Ai   G   {Ai  i  1} gas-
rulebuli  -algebraa, E     da P( Ai )  0 i  1 , maSin

1
E[  G]  E Ai ( P - T. y.) Ai simravleze;
P( Ai )
3. (Teorema normaluri korelaciis Sesaxeb) Tu
(  1 n ) gausis veqtoria da G   {1 n } maSin

E[  G]: E[  1 n ]  a  b11    bnn ( P – T. y.),

sadac a b1 bn mudmivebi Semdegi sistemis nebismieri amon-

axsnia:

 E  a  b1E1   bn E n
 (1)
 Ei aEi b1E1i  bn Eni  i1n
amasTanave, ukanasknel sistemas yovelTvis gaaCnia amo-
naxsni.
damtkiceba. 1. rogorc cnobilia, G    H1 e. i.
  H1  E (  G )  0 amitom Tu aviRebT    A  A  G
gveqneba

E A  E  AG 

rac imas niSnavs, rom E[  G]  G , vinaidan  G aris G -zo-

madi, radganac G  H1
2. aRvniSnoT
1
 ( )  E Ai  roca   Ai 
P( Ai )

59
 o.furTuxia 

cxadia, rom  G -zomadi da integrebadia, vinaidan

  
E     E     Ai    E Ai   E   Ai  E    
i 1 i 1 i 1

nebismieri A  G warmoidgineba Semdegnairad

A   Ai ( j )  N 
j

sadac i( j1 )  i( j2 ) roca j1  j2 da P( N )  0 amitom gvaqvs

E A   E Ai ( j )   E Ai ( j )  E A 

j j
3. aRvniSnoT

(a b1 bn ) : E[  (a  b11   bnn )]2 

vinaidan (a b1 bn ) arauaryofiTi kvadratuli funq-

ciaa, amitom is aRwevs Tavis minimums. davuSvaT, rom mini-
mumis wertilebia a b1 bn  am wertilebSi warmoebulebi
unda iyos nuli. Tu aviRebT (a b1 bn ) funqciis kerZo
warmoebulebs da gavutolebT nuls, davrwmundebiT, rom
minimumis wertilebi akmayofileben (1) sistemas.
aviRoT (1) sistemis romelime amonaxsni da ganvixiloT
sidide     (a  b11   bnn ) rogorc (1) sistemidan
Cans, E  0 da E[ (i  Ei )]  0 i  1 n . maSasadame, gva-
qvs arakorelirebuloba, rac gausurobis gamo tolfasia
damoukideblobis. e. i.  damoukidebelia (1n ) veqtori-
sagan. amitom

E{(   0
n )B
(n)
1 }

rogorc cnobilia, nebismier xdomilobas  {1 n } -dan

aqvs saxe

60
  SemTxveviT procesTa Teoria 

{  (1 n )  B( n ) }

xolo G  -algebris elements aqvs saxe (1 n )  B( n )   N ,

sadac P( N )  0 amitom nebismieri A  G xdomilobisaTvis gvaqvs
E A  0  E[  G]  0 ( P – T. y.)  E[  G]  a  b11  ... 
bn n ( P - T. y.). □

Sedegi 5.2. pirobiTi maTematikuri lodini warmoadgens

saukeTeso Sefasebas saSualo kvadratuli azriT.
damtkiceba. marTlac, Tu E 2   H  L2 ( G P) ma-
Sin Teorema 5.7.1)-is Tanaxmad gvaqvs

inf E (   ) 2  inf E (   ) 2  E (   G ) 2 
  G zomadia H

 E (  E[  G ]) 2 

amocana 5.2. davuSvaT, rom (  1 n ) gausis veqtoria,

G   {1 n } L(1 n )  {a  b11   bnn  a bi  R1
i  1 n} xolo  L – orTogonaluri proeqtirebis opera-
tori L2 ( F  P) sivrcisa L(1 n ) -ze. vaCvenoT, rom
 L  E[  1 n ]

61
6. naxevrad martingalebi diskretuli droiT

vigulisxmoT, rom mocemulia sruli albaTuri sivrce

( F  P) da F  -algebris srul qve-  -algebraTa zrdadi
ojaxi Fn  n  1 N  Fn  Fn1  F  garda amisa, mocemulia
integrebadi SemTxveviTi sidideebi  n , E  n   n  1 N 

gansazRvra 6.1. SemTxveviT sidideTa n  n  1 N , mim-

devrobas ewodeba Sesabamisad martingali, submartingali
an supermartingali  -algebraTa Fn nakadis mimarT Tu:

1. n  1 N SemTxveviTi sidide  n zomadia Fn  -al-

gebris mimarT;
2. TiTqmis yvelgan sruldeba Sesabamisad Semdegi Tana-
fardobebi: E[m  Fn ]  n  m  n ; E[m  Fn ]  n  m  n an

E[m  Fn ]  n  m  n (submartingalsa da supermartingals

naxevrad martingalebs uwodeben).

ganmartebidan gamomdinare, martingaluri mimdevrobis

maTematikuri lodinebis mimdevroba mudmivia, submartinga-
luris – zrdadi, xolo supermartingaluris – klebadi.

magaliTi 6.1:
1. Tu E     da n : E[  Fn ] maSin {n  Fn } martinga-
lia;
2. Tu 1 N damoukidebeli SemTxveviTi sidideebia,
n
Fn :  (1n ) da  n : i  maSin {n  Fn } iqneba Sesabami-
i 1

62
  SemTxveviT procesTa Teoria 

sad martingali, submartingali an supermartingali, Tu Se-

sabamisad Ei  0 Ei  0 an Ei  0, i  1 N 
3. Tu wt vineris procesia da Fn   (w1 wn ) maSin
{wn  Fn } da {n  Fn } sadac n : ewn n 2 warmoadgens martin-
gals;
4. Tu n martingalia,  amozneqili funqciaa da
E   (n )   n maSin  ( n ) submartingalia, kerZod,   n  ,
( n )  da ( n )  submartingalia;
5. Tu n submartingalia, xolo  iseTi amozneqili ara-
klebadi funqciaa, rom E   (n )   n maSin  ( n ) submar-
tingalia, kerZod, ( n )  submartingalia.

lema 6.1. Tu n  n Fn -zomadia da E  n   maSin

{n  Fn } submartingalia, maSin da mxolod maSin, roca
E[n1  Fn ]  n n ( P - T.y.).
damtkiceba. aucilebloba cxadia. rac Seexeba sakmari-
sobas, igi advilad miiReba qvemoT moyvanili Tanafardo-
bidan:

E[n2  Fn ]  E{E[n2  Fn1 ]  Fn }  E[n1  Fn ]  n ( P -T.y.).

cxadia, rom Tu {n  Fn }n1 N martingalia, maSin martin-

gali iqneba agreTve {n  Fn } sadac n  n  n  1 N 
n   N  n  N da Fn  FN  n  N  □

gansazRvra 6.2. vigulisxmoT, rom n Fn1  Fn  F 

E  n   da  n – Fn -zomadia. maSin amboben, rom {n  Fn } Se-
brunebuli martingalia, Tu E[n1  Fn ]  n n ( P -T.y.).

63
 o.furTuxia 

Teorema 6.1. davuSvaT, rom 1 N damoukidebeli da

erTnairad ganawilebuli, integrebadi ( E  i  ) SemTxve-
viTi sidideebia, n : 1n (1   n ) Fn :  {m  m  n} maSin
{n  Fn }n1 N Sebrunebuli martingalia.
damtkiceba. sakmarisia vaCvenoT, rom E[1  Fn ]  n
(T.y.). am ukanaskneli Tanafardobis samarTlianobisaTvis ki
sakmarisia Semowmdes, rom E[i  Fn ]  E[1  Fn ] i  n vaCve-
noT i  2 -is SemTxvevaSi (analogiurad Semowmdeba sxva SemT-
xvevaSic). amisaTvis gaviTvaliswinoT, rom A  Fn xdomileb-

as aqvs saxe A  {(n   N )  B}  A0  sadac B  B( R N n1 ) da

P( A0 )  0 garda amisa, vinaidan (12 3  N ) da
(2 13  N ) veqtorebs gaaCniaT erTi da igive ganawile-
ba, amitom erTi da igive ganawileba eqnebaT veqtorebs

1  2   n 1  N
(1  )
n N
da
2  1  3   n 2  1  3  N
(2   )
n N
yovelive zemoT aRniSnulis safuZvelze A  Fn xdomi-
lebisaTvis gvaqvs:

E1  A  E1{(n  N )B}  E1 {( 1 n


1  N
)B}

n N

 E2 {( 2 13 n


2 13   N
)B}
 E2 {(n  N )B}  E2  A 
n N

gansazRvra arauaryofiT, mTelmniSvnelobian

6.3.
SemTxveviT sidides  ( ) ewodeba markovis momenti  -
algebraTa Fn  n  01 2 , nakadis mimarT, Tu
{   ()  n}  Fn n .

64
  SemTxveviT procesTa Teoria 

amocana 6.1. 1.  ( ) markovis momentia Fn nakadis mi-

marT maSin da mxolod maSin, roca {   ()  n}  Fn n
2. Tu 1 da 2 markovis momentebia, maSin 1   2  1   2
da  1   2 agreTve markovis momentebia.
magaliTi 6.2. davuSvaT, rom  n SemTxveviTi sidideebi
Fn -zomadia, n  01 2 c  () maSin

 () : inf{m  0  m ()  c} inf   

warmoadgens markovis moments Fn nakadis mimarT.
marTlac, {   ()  n}  {  1 ( )  c n ( )  c} Fn 

Teorema 6.2 (dubi). Tu {n  Fn }n01 submartingalia, xolo

 – markovis momenti Fn nakadis mimarT, maSin {n  Fn }n01
agreTve submartingalia.

damtkiceba. cxadia, rom, vinaidan  n  warmoidgineba

sasruli jamis saxiT

n  0 { 0}  1{ 1}   n { n}  n { n} 

amitom E  n   da  n  aris Fn -zomadi. garda amisa,

{ n}  0 { 0}  1{ 1}   n { n} 

amitom gvaqvs

E[( n 1)  Fn ]  E[( n 1) { n}  Fn ]  E[( n 1) { n}  Fn ] 
 E[ n 1{ n}  Fn ]  E[ { n}  Fn ]  { n} E[ n 1  Fn ] 
 { n}  { n}n   { n}  n (T.y.),

rac lema 6.1-is ZaliT gviCvenebs, rom {n  Fn }n01 warmo-

adgens submartingals. □

65
 o.furTuxia 

Sedegi 6.1. Tu  SemosazRvruli markovis momentia,

maSin {   ( )  n} simravleze ( P - T.y.) sruldeba utoloba
E[  Fn ]  n 
damtkiceba. davuSvaT, rom  ( )  N  maSin    ( N n )
da amitom Teoremis Tanaxmad gvaqvs
E[  Fn ]  E[ ( N n )  Fn ]   n  n ( P - T.y.) {   ( )  n}
simravleze.

gansazRvra 6.4. Tu  gaCerebis momentia, maSin F  -al-

gebra ganimarteba Semdegnairad

F  {A  F  A {  n} Fn  n  01 2}

lema 6.2. Tu  da  gaCerebis momentebia, xolo   n 

n  01 SemTxveviTi sidideebia iseTi, rom n n  Fn -zo-
madia da E     , maSin adgili aqvs Semdeg debulebebs:
1. A  F  A  {  n} Fn  n  01 .
2. {   ()   ( )}  F  F  Tu    maSin F  F .
3. SemTxveviTi sidideebi    da n { n} zomadia F  -
algebris mimarT, n  01 .
4. E[  F ]  E[  Fn ] ( P - T.y.) {  n} simravleze,
n  01
damtkiceba. 1. cxadia, vinaidan {  n}  {  n}\{  n 1}
2. cxadia, rom

{   }  {  n}  {      n}  {n      n} 
 {n   }  {  n}  Fn 
amitom 1-lis ZaliT {   }  F  analogiurad,

{   } {  n}  {  n} {  n}  Fn  {   } F

66
  SemTxveviT procesTa Teoria 

da, maSasadame, {   ( )   ( )}  F  F .
davuSvaT axla, rom   da aviRoT A  F  maSin Seg-
viZlia davweroT, rom
n
A  {  n}   A  {  n   i} 
i 0
n
  ( A  {  i})  {  n}  Fn  A  F  F  F 
i 0

3. aviRoT me-2-Si  n maSin

gaCerebis momentis rolSi
me-2-is Tanaxmad {  n}  F  rac imas niSnavs, rom  F -zo-
madia;
aRvniSnoT, A  {   ( ) ( )  c} maSin gvaqvs

A {  n}  {  n ( )  c} {   ( )  n} Fn 

A  F   F -zomadia.

dabolos, vinaidan n { n}   { n}  amitom n { n} ag-
reTve F -zomadia;
4. SemoviRoT aRniSvnebi

 : { n} E[  F ]  : { n} E[  Fn ]

vinaidan,

{  c}  {  n 0  c}  {  n E[  F ]  c} Fn 

amitom  Fn -zomadia.
analogiurad Semowmdeba, rom  agreTve Fn -zomadia.
garda amisa, me-3-is ZaliT, nebismieri A  Fn xdomilobisaTvis
 A { n} F -zomadia, radganac n   A SemTxveviTi sidide
Fn -zomadia. sabolood SegviZlia davweroT, rom A  Fn 

67
 o.furTuxia 

E  A  E  A { n} E[  F ]  E  A { n} 

 E  A{ n}  E  A{ n} E[  Fn ]  E  A 

e. i.   E[  Fn ]   ( P - T.y.). □

Teorema 6.3 (dubis Teorema Tavisufali amorCevis Se-

saxeb). davuSvaT, rom (n  Fn )no1 submartingalia, xolo
 i  i  1 m SemosazRvruli, araklebadi gaCerebis momenta-
bia Fn nakadis mimarT (1   2    m ) , maSin ( i  F i )i 1m ag-
reTve submartingalia.

damtkiceba. lema 6.2-is Tanaxmad  F

i i
-zomadia da
{ i  n} simravleze ( P - T. y.)
E[ i1  F i ]  E[ i1  Fn ]  n   i 
sadac utoloba samarTliania 6.1 Sedegis safuZvelze, rad-
ganac aRniSnul simravleze  i 1  n e. i.
E[ i1  F i ]   i { i  n} simravleze ( P -T. y.) yoveli n -saT-
vis, magram, vinaidan

{ i  n}   ,
n 0

amitom Teoremis damtkiceba dasrulebulia. □

SevniSnavT, rom dubis Teoremas Tavisufali amorCevis
Sesaxeb SeiZleba mieces Semdegi interpretacia: Tu TamaSi
momgebiania, maSin TamaSSi CarTvis momentis Secvlisas is
isev rCeba momgebiani.

Sedegi 6.2. Tu   SemosazRvruli gaCerebis momente-

bia, maSin E  E 

amocana 6.2. Tu n  n  01 SemTxveviT sidideTa mimdev-

roba iseTia, rom E  n   ,  n Fn -zomadia n da E  E

68
  SemTxveviT procesTa Teoria 

nebismieri    SemosazRvruli gaCerebis momentebisaTvis,

maSin (n  Fn ) submartingalia.

Teorema 6.4 (kolmogorov-dubis utolobebi). 1. Tu

(n  Fn )n01 submartingalia, c  0 xolo N mTeli ricxvia,
maSin:
a) P{max n  c}  1c E N {max n c}  1c E N 
n N n N

b) P{sup n  c}  1c sup E  
n
n n

2. Tu (n  Fn )n 01 supermartingalia iseTi, rom n  0 n

da c  0 maSin:
1
P{sup n  c}  E0 
n c
damtkiceba. 1 a) SemoviRoT gaCerebis momenti

 : inf{n  0  n  c}
maSin 6.3 Teoremis ZaliT   N  E[ N  F  N ] (T.y.). amitom
CebiSevis utolobis Tanaxmad SegviZlia davweroT, rom

1
P{max  n  c}  P{ {  N }  c}  E{ {  N }} 
n N c
1 1
 E{{   N }  N }  E{{   N } E[ N  F  N ]} 
c c
1 1
 E{E[ {   N } N  F  N ]}  E{ N {  N }} 
c c
1 1
 E{ N {max nN n c}}  E N 
c c
1 b) aviRoT c    0 maSin cxadia ,
{sup n  c}  {max n  c   }
n N n N

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 o.furTuxia 

amitom 1 a) Tanafardobis safuZvelze gvaqvs

P{sup  c}  lim P{max  n  c   } 

n N  n N

1 1
 lim E N  sup E n 
N  c  c  n

aqedan, roca   0 vRebulobT b) Sefasebas;

2. SemoviRoT gaCerebis momenti  : inf{n  0  n  c} ma-
Sin cxadia, rom

1
P{sup  n  c}  E{ {  N }} 
n N c
1 1 1
 E{  N {  N }}  E  N  E0 
c c c
Tu aq, iseve rogorc 1 b) Sefasebis miRebisas, gadavalT
zRvarze, roca N   miviRebT dasamtkicebel utolobas. □

Teorema 6.5 (dubis utoloba). davuSvaT, rom (n  Fn )n01

arauaryofiTi submartingalia da p  1 maSin

p p
E (sup  n ) p  ( ) sup Enp 
n p 1 n

damtkiceba. vigulisxmoT, rom a  0 N mTeli ricxvia

da c  0 cxadia, rom


  a  c
{max( n  a)  c}   
n N
{max  n  c} a  c
 n N

1
 P[max(n  a)  c]  E[ N {max(n a )c} ]
n N c n N

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  SemTxveviT procesTa Teoria 

Tu ukanaskneli utolobis orive mxares gavamravlebT

p 1
pc -ze, gavaintegrebT dc -Ti, aviRebT maTematikur lo-
dins da visargeblebT TanafardobiT

  p  c p 1{ c}dc
p
( : max( n  a))
n N
0

maSin fubinis Teoremisa da helderis utolobis safuZvelze

SegviZlia davweroT, rom:

E p  E[max( n  a)] p  pE[ N  c p  2 {max (n  a )c}dc ] 
n N n N
0
p 1
p p
 E[ N p 1 ]  ( E Np )1p ( E p ) p 
p 1 p 1
p p p a 
 E[max( n  a)] p  ( ) E N 
n N p 1
a  p p p p p N 
 E (max  n ) p  ( ) E N  ( ) sup E np 
n N p 1 p 1 n

N  p p
 E (sup  n ) p  ( ) sup E np 
n p 1 n

SevniSnoT, rom orive zRvarze gadasvla samarTliania

monotonuri krebadobis Teoremis safuZvelze. □

71