第一章第一构造定理 51.1.引言 设X(a)={x(t,a),t<()}是定义在完备概率空间(,F,P)上的齐次可列马尔可夫过程.其最小状态空间=(1,2,…),其转移概率矩阵(p(t),i1∈E是标准的,且其矩阵满足关系:

1 A Brief Review of Matrices and Vectors 1.1 Matrices 1.2 Vectors and Vector Spaces 1.3 Eigenvalues and Eigenvectors 2 A Brief Review of Probability and Random Variables 2.1 Sets and Set Operations 2.2 Relative Frequency and Probability 2.3 Random Variables 2.4 Expected Value and Moments 2.5 The Gaussian Probability Density Function 2.6 Several Random Variables 2.7 The Multivariate Gaussian Density 2.8 Linear Transformations of Random Vectors 3 A Brief Overview of Linear Systems 3.1 Introductory De®nitions 3.2 Linear System Characterization-Convolution