, ,
= P{ρ1(t) > 0, ρn(t) > 0; 0 < t < T} (1.26)
ρi(t) i- ;
.
, . n
(1.27)
- ρ1, ρ2,, ρn.
, ρi > 0, i = 1,2,,n.
(1.27) , . . . (1.26)
H = P{ρ1 > 0; ρ2 > 0} (1.28)
,
H = P{ρ1 > 0}P{ρ2 > 0 / ρ1 > 0} (1.29)
(1.29)
H = P{ρ1 > 0}P{ρ2 > 0} = h1,) h2 (1.30
hi = P{ρi > 0} i- .
P{ρ2 > 0 / ρ1 > 0}
(. . 1.8)
ρ2 = aρ1 + b
, ρ1 > 0 ρ2 . , P{ρ2 > 0 / ρ1 > 0} , .
H = P{ρ1 > 0} = h1 (1.31)
, .3.4, (ρ1 < 0) α < ρ1 < 0 , ρ2 > 0.
, . (1.31)
H = min {h1,h2} (1.32)
h1,h2 ≤ H ≤ min {h1,h2} (1.33)
n
(1.34)
hi i- .
(r = 1), (r = 0).
r (1.34). .
|
|
, h1 = h2 = h0, , . r h0 .1.9.
r r = 1 , .
(r = 0) . N . 1.10 - () , , , .
= hn, h ; n , . . , , , .
, . 1.11
(. . 1.11)
. . , , . , .
|
|
, l = l1. ,
hp = P(l ≥ l1)
hp = P(N > N), N ; N .
, N N , ,
.