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1 Formal denition
properties
and
basic
1.1 Denition
In probability theory, a stochastic (/stokstk/) process, or often random process, is a collection of random
variables, representing the evolution of some system of
random values over time. This is the probabilistic counterpart to a deterministic process (or deterministic system). Instead of describing a process which can only
evolve in one way (as in the case, for example, of solutions of an ordinary dierential equation), in a stochastic or random process there is some indeterminacy: even
if the initial condition (or starting point) is known, there
are several (often innitely many) directions in which the
process may evolve.
{Xt : t T }
where each Xt is an S-valued random variable on . The
space S is then called the state space of the process.
3 CONSTRUCTION
N. Thiele in a paper on the method of least squares published in 1880. This was followed independently by Louis
Bachelier in 1900 in his PhD thesis The theory of speculation, in which he presented a stochastic analysis of the
stock and option markets. Albert Einstein (in one of his
1905 papers) and Marian Smoluchowski (1906) brought
the solution of the problem to the attention of physicists,
and presented it as a way to indirectly conrm the existence of atoms and molecules. Their equations describing Brownian motion were subsequently veried by the
experimental work of Jean Baptiste Perrin in 1908.
Construction
3.1
Kolmogorov extension
The Kolmogorov extension starts by declaring to be measurable all sets of functions where nitely many coordinates [f (x1 ), . . . , f (xn )] are restricted to lie in measurable subsets of Yn . In other words, if a yes/no question
about f can be answered by looking at the values of at
most nitely many coordinates, then it has a probabilistic
answer.
In measure theory, if we have a countably innite collection of measurable sets, then the union and intersection of all of them is a measurable set. For our purposes,
this means that yes/no questions that depend on countably
many coordinates have a probabilistic answer.
The good news is that the Kolmogorov extension makes it
possible to construct stochastic processes with fairly arbitrary nite-dimensional distributions. Also, every question that one could ask about a sequence has a probabilistic answer when asked of a random sequence. The bad
news is that certain questions about functions on a continuous domain don't have a probabilistic answer. One
might hope that the questions that depend on uncountably
many values of a function be of little interest, but the really bad news is that virtually all concepts of calculus are
of this sort. For example:
1. boundedness
2. continuity
3. dierentiability
all require knowledge of uncountably many values of the
function.
One solution to this problem is to require that the stochastic process be separable. In other words, that there be
some countable set of coordinates {f (xi )} whose values
determine the whole random function f.
The Kolmogorov continuity theorem guarantees that processes that satisfy certain constraints on the moments of
their increments have continuous modications and are
therefore separable.
5.3
Filtrations
together, is treated as being continuous and since the particle is constrained to the surface of the liquid by surGiven a probability space (, F, P ) , a ltration is a face tension, is at each point in time a vector parallel to
weakly increasing collection of sigma-algebras on , the surface. Thus, the random force is described by a
{Ft , t T } , indexed by some totally ordered set T , two-component stochastic process; two real-valued random variables are associated to each point in the index
and bounded above by F , i.e. for s,t T with s < t,
set, time, (note that since the liquid is viewed as being
homogeneous the force is independent of the spatial coordinates) with the domain of the two random variables
Fs Ft F
being R, giving the x and y components of the force.
A treatment of Brownian motion generally also includes
A stochastic process X on the same time set T is said to
the eect of viscosity, resulting in an equation of motion
be adapted to the ltration if, for every t T , Xt is Ft
known as the Langevin equation.[4]
-measurable.[2]
4.1
Natural ltration
Classication
5.1
5.2
Continuous time and continuous state we can ask about the sample paths {Xt()}t I
space
1. What
is
the
probability
bounded/integrable...?
that
it
is
8 FURTHER READING
See also
List of stochastic processes topics
Covariance function
Dynamics of Markovian particles
Entropy rate (for a stochastic process)
Ergodic process
Gillespie algorithm
Interacting particle system
Law (stochastic processes)
Markov chain
Probabilistic cellular automaton
Randomness
Statistical model
Stochastic calculus
Stochastic control
References
[1] Karlin, Samuel & Taylor, Howard M. (1998). An Introduction to Stochastic Modeling, Academic Press. ISBN 012-684887-4.
[2] Durrett, Rick (2010). Probability: Theory and Examples
(Fourth ed.). Cambridge: Cambridge University Press.
ISBN 978-0-521-76539-8.
[3] Allen, Linda J. S., An Introduction to Stochastic Processes
with Applications to Biology, 2nd Edition, Chapman and
Hall, 2010, ISBN 1-4398-1882-7
[4] Gardiner, C. Handbook of Stochastic Methods: for
Physics, Chemistry and the Natural Sciences, 3rd ed.,
Springer, 2004, ISBN 3540208828
Random eld
Stationary process
Further reading
Wio, S. Horacio, Deza, R. Roberto & Lopez, M.
Juan (2012). An Introduction to Stochastic Processes
and Nonequilibrium Statistical Physics. World Scientic Publishing. ISBN 978-981-4374-78-1.
Papoulis, Athanasios & Pillai, S. Unnikrishna (2001).
Probability, Random Variables
and Stochastic Processes.
McGraw-Hill Science/Engineering/Math. ISBN 0-07-281725-9.
9.1
Text
9.2
Images
9.3
Content license