𝝁 𝝈𝟐 ℙ 𝐴∩𝐵

ℙ 𝐴|𝐵 =
ℙ 𝐵
𝑝 𝑖𝑓 𝑡 = 1 0 𝑖𝑓 𝑡 < 0 𝑝 𝑝 1−𝑝 ℙ 𝐴|𝐵 ℙ 𝐵 = ℙ 𝐵|𝐴 ℙ 𝐴
ቊ
1−𝑝 𝑖𝑓 𝑡 = 0 ൞1 − 𝑝 𝑖𝑓 0 ≤ 𝑡 ≤ 1
1 𝑖𝑓 𝑡 > 1

𝑛 𝑡 𝑛−𝑡 𝐼1−𝑝 𝑛 − 𝑡, 1 + 𝑡 𝑛𝑝 𝑛𝑝 1 − 𝑝
𝑝 1−𝑝
𝑡
𝔼𝑔 𝑋 = න 𝑔 𝑥 𝑓 𝑥 𝑑𝑥 = ෍ 𝑔 𝑘 ℙ 𝑋 = 𝑘
𝑝 1−𝑝 𝑡−1
1− 1−𝑝 𝑡 𝑖𝑓 𝑡 ≥ 1 1 1−𝑝 ℝ 𝑘
ቊ
0 𝑖𝑓 𝑡 < 1 𝑝 𝑝2

𝜆𝑡 𝑒 −𝜆 Γ 𝑡 + 1, 𝜆 𝜆 𝜆
𝑡! 𝑡!
𝔼 𝑎𝑋 + 𝑏𝑌 + 𝑐 = 𝑎𝔼 𝑋 + 𝑏𝔼 𝑌 + 𝑐
𝜆𝑒 −𝜆𝑡 ⋅ 1𝑡≥0 1 − 𝑒 𝜆𝑡 1/𝜆 1/𝜆2
𝑉𝑎𝑟[𝑋] = 𝔼 𝑋 2 − 𝔼 𝑋 2
1 0 𝑖𝑓 𝑡 < 𝑎 𝑎+𝑏 𝑏−𝑎 2
𝑉𝑎𝑟 𝑎𝑋 + 𝐵 = 𝑎 2 𝑉𝑎𝑟 𝑋
⋅ 1𝑡∈ 𝑎,𝑏
𝑏−𝑎 𝑡−𝑎 2 12 𝐶𝑜𝑣 𝑋, 𝑌 = 𝔼 𝑋𝑌 − 𝔼 𝑋 𝔼 𝑌
𝑖𝑓 𝑎 ≤ 𝑡 ≤ 𝑏
𝑏−𝑎 𝐶𝑜𝑣 𝑎𝑋 + 𝑏, 𝑐𝑌 + 𝑑 = 𝑎𝑐 ⋅ 𝐶𝑜𝑣 𝑋, 𝑌
1 𝑖𝑓 𝑡 > 𝑏 𝐶𝑜𝑣 𝑋,𝑌
𝐶𝑜𝑟𝑟(𝑋, 𝑌) =
𝜎𝑋 𝜎𝑌
1 𝑡−𝜇 2 1 𝑡−𝜇 𝜇 𝜎2 𝐶𝑜𝑟𝑟 𝑎𝑋 + 𝑏, 𝑐𝑌 + 𝑑 = 𝑠𝑖𝑔𝑛 𝑎𝑐 ⋅ 𝐶𝑜𝑟𝑟 𝑋, 𝑌
⋅ exp − ⋅ 1 + erf
𝜎 2𝜋 2𝜎 2 2 𝜎 2 𝐶𝑜𝑣 𝑋, 𝑋 = 𝑉𝑎𝑟 𝑋

𝑋𝑖 𝜇 σ 𝑋
𝑖∈ 1,𝑛 𝑋𝑖 𝑖∈ 1,𝑛 𝑋ത𝑛 = 𝑖𝑛 𝑖
𝜎 2. :
σ𝑖 𝑋𝑖 − 𝑛𝜇 σ𝑖 𝑋𝑖 /𝑛 − 𝜇
= ≐ 𝒩 0,1 lim 𝑋ത𝑛 = 𝜇
𝜎 𝑛 𝜎/ 𝑛 𝑛→∞

𝑥2 𝑥𝑛 𝑓 ′ 𝑥𝑘 𝑥 − 𝑥𝑎 𝑛 𝑛+1
e𝑥 = 1 + 𝑥 + +⋯+ +⋯ 𝑦 = 𝑦𝑎 + ⋅ 𝑦𝑏 − 𝑦𝑎 σ𝑛𝑘=0 𝑘 =
2 𝑛! 𝑥𝑘+1 = 𝑥𝑘 − 𝑥𝑏 − 𝑥𝑎 2
𝑥2 𝑥3 𝑛+1 𝑥𝑛 𝑓 ′′ 𝑥𝑘 𝑛 𝑛+1 2𝑛+1
𝑙𝑛 1 + 𝑥 = 𝑥 − + +⋯+
−1
+⋯ σ𝑛𝑘=0 𝑘 2 =
2 3 𝑛 6
𝑥 − 𝑥𝑎 𝑦𝑏 𝑛 𝑛+1 2
𝛼 𝛼 𝛼−1 ς𝑛−1
𝑘=0 𝛼−𝑘 𝑦 = 𝑦𝑎 ⋅ exp ⋅ log σ𝑛𝑘=0 𝑘 3 =
1+𝑥 = 1 + 𝛼𝑥 + 𝑥2 + ⋯ + 𝑥𝑛 + ⋯ 𝑥𝑏 − 𝑥𝑎 𝑦𝑎 2
2 𝑛! 1−𝑥 𝑛+1
𝑥2 −1 𝑛 𝑥 2𝑛 σ𝑛𝑘=0 𝑥 𝑘 =
cos 𝑥 = 1 − +⋯+ +⋯ 1−𝑥
2! 2𝑛 ! 𝑛 𝑛 𝑛𝑞𝑛+1 − 𝑛+1 𝑞𝑛+1 +𝑞
𝑥 − 𝑥𝑗 σ𝑛𝑘=0 𝑘 ⋅ 𝑥 𝑘 =
𝑥3 −1 𝑛 𝑥 2𝑛+1 𝑦 = ෍ 𝑦𝑖 ⋅ ෑ 𝑞−1 2
sin 𝑥 = 𝑥 − + ⋯+ +⋯ 𝑥𝑖 − 𝑥𝑗
3! 2𝑛+1 ! θ𝑘+1 = θ𝑘 − 𝛼▽ θ𝑘 𝑖 𝑗=0,𝑗≠𝑖 σ𝑛𝑗=0 σ𝑗𝑖=0 𝑎𝑖,𝑗 = σ𝑛𝑖=0 σ𝑛𝑗=𝑖 𝑎𝑖,𝑗

𝑋𝑡 𝑓 𝑋𝑡 , 𝑡 𝒞 2 ℝ+ × ℝ, ℝ , 𝑑𝑟𝑡 = 𝜃 𝑡 − 𝑎 ⋅ 𝑟𝑡 𝑑𝑡 + 𝜎𝑡 𝑑𝑊𝑡
𝜕𝑓 𝜕𝑓 1 𝜕 2𝑓 𝜕𝑉 𝜎 2 𝜕 2 𝑉 𝜕𝑉
𝑑 𝑓 𝑋𝑡 , 𝑡 = 𝑋𝑡 , 𝑡 𝑑𝑡 + 𝑋𝑡 , 𝑡 𝑑𝑋𝑡 + ⋅ 2 𝑋𝑡 , 𝑡 𝜎𝑡2 𝑑𝑡 + − 𝑎𝑥 − 𝑥𝑡 + 𝛼 𝑡 ⋅𝑉 =0
𝜕𝑡 𝜕𝑥 2 𝜕𝑥 𝜕𝑡 2 𝜕𝑥 2 𝜕𝑥

𝑑𝑆𝑡 = 𝑟𝑆𝑡 𝑑𝑡 + 𝜎𝑆𝑡 𝑑𝑊𝑡 𝑑𝑆𝑡 = 𝑟𝑆𝑡 𝑑𝑡 + 𝜎𝑑𝑊𝑡 𝑑𝑟𝑡 = 𝑎 𝑏 − 𝑟𝑡 𝑑𝑡 + 𝜎𝑡 𝑑𝑊𝑡

𝜕𝑉 𝜎 2𝑆2 𝜕 2𝑉 𝜕𝑉 𝜕𝑉 𝜎 𝜕 𝑉 2 2
𝜕𝑉 𝜕𝑉 𝜎 2 𝜕 2 𝑉 𝜕𝑉
+ ⋅ + 𝑟𝑆 − 𝑟𝑉 = 0 + ⋅ + 𝑟𝑆 − 𝑟𝑉 = 0 + ⋅ +𝑎 𝑏−𝑟 − 𝑟𝑉 = 0
𝜕𝑡 2 𝜕𝑆 2 𝜕𝑆 𝜕𝑡 2 𝜕𝑆 2 𝜕𝑆 𝜕𝑡 2 𝜕𝑟 2 𝜕𝑟

𝑑𝑆𝑡 = 𝑟𝑆𝑡 𝑑𝑡 + 𝜈𝑡 𝑆𝑡 𝑑𝑊𝑡 𝛽 𝛽

𝑑𝐹𝑡 = 𝑟𝐹𝑡 𝑑𝑡 + 𝜎𝑡 𝐹𝑡 𝑑𝑊𝑡
𝑑𝜈𝑡 = 𝜅 ⋅ 𝜃 − 𝜈𝑡 𝑑𝑡 + 𝜎 𝜈𝑡 𝑑𝑍𝑡 𝑑𝜎𝑡 = 𝛼𝜎𝑡 𝑑𝑍𝑡
𝑑 𝑊, 𝑍 𝑡 = 𝜌𝑑𝑡 𝑑 𝑊, 𝑍 𝑡 = 𝜌𝑑𝑡
𝜕𝑉 𝜈 2 𝑆 2 𝜕 2 𝑉 𝜎 2 𝜈 𝜕 2 𝑉 𝜕 2𝑉 𝜕𝑉 𝜕𝑉 𝛼2𝜎 2 𝜕 2𝑉 𝜎 2 𝐹 2𝛽 𝜕 2 𝑉 𝜕 2𝑉
+ ⋅ 2+ ⋅ + 𝜌𝜎𝜈𝑆 +𝜅 𝜃−𝜈 − 𝑟𝑉 = 0 + ⋅ + ⋅ 2 + 𝜌𝛼𝜎 2 𝐹𝛽 − 𝑟𝑉 = 0
𝜕𝑡 2 𝜕𝑆 2 𝜕𝜈 2 𝜕𝑆𝜕𝜈 𝜕𝜈 𝜕𝑡 2 𝜕𝜎 2 2 𝜕𝐹 𝜕𝐹𝜕𝜎

𝑢𝑛+1 − 𝑢𝑛 𝜕𝑢 𝜕 2 𝑢
𝑋𝑛+1 = 𝑋𝑛 + 𝑎 𝑋𝑛 , 𝑡𝑛 Δ𝑡 + 𝑏 𝑋𝑛 , 𝑡𝑛 Δ𝑊𝑛 = 𝐹 𝑛 𝑢, 𝑥, 𝑡, , 2
Δ𝑡 𝜕𝑥 𝜕𝑥
𝑏 𝑋𝑛 𝑏 ′ 𝑋𝑛 2 𝑢𝑛+1 − 𝑢𝑛 𝜕𝑢 𝜕 2 𝑢
𝑋𝑛+1 = 𝑋𝑛 + 𝑎 𝑋𝑛 Δ𝑡 + 𝑏 𝑋𝑛 Δ𝑊𝑛 + Δ𝑊𝑛 − Δ𝑡 = 𝐹 𝑛+1 𝑢, 𝑥, 𝑡, , 2
2 Δ𝑡 𝜕𝑥 𝜕𝑥

𝜕𝑢 𝜕 2 𝑢 𝜕𝑢 𝜕 2 𝑢
𝑢𝑛+1 − 𝑢𝑛 𝐹 𝑛 𝑢, 𝑥, 𝑡, , 2 + 𝐹 𝑛+1 𝑢, 𝑥, 𝑡, , 2
𝜕𝑥 𝜕𝑥 𝜕𝑥 𝜕𝑥
=
Δ𝑡 2