15.1.14 Theory of random processes

Problem: A random process \( \xi(t)= \) const, \( n-1 \leq t \leq n \), \( \forall n \in \mathbb{N} \) is given. The values of \( \xi(t) \) when \( t \in(n, n+1] \) and \( t \in(m, m+1] \) are independent random variables \( (n \neq m) \), with a probability density \[ P(x)=\frac{|x|^{\lambda}}{2 \Gamma(x+1)} e^{-|x|} . \]