PROCESSUS STOCHASTIQUES

{,≥ }
∀,∈
∀(, ..., −)∈
(+=|=,−=−, ..., = )
= ( +=|= ).
∀,∈,∀
(+=|= ) = ( = |= ).

P= ( ,)≤,≤,,= ( +=|= )
{,≥ }
,≥,
∀ ∈ ,P∈,=.
X
∈
,=X
∈
(+=|= )
= ( +∈ | = ) = ( +∈) = .

P
P
= ( , , .....)
=⇐⇒ X
∈
,=
=

Z
=
=
−+
−− −