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    3 views5 pages

    Lecture 19

    Uploaded by

    whathwaye

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
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    Stochastic process Definition (Stochastic Process) A stochastic process X(t) is a collection of random variables {X(), tT} = {X(t,w), t € T,w € 2} defined on some probability space (©, F, P). * Astochastic process is a function of two variables. © For fixed instant t = to, itis random variable X(tp,w),w € 2. © For fixed w = wo it is a function of time such that X(t,w9), f € T. * For different w, we get different functions and these functions are called realizations, trajectories or sample paths of the process. Example Brownian motion, Poisson process, fractional Brownian motion, Gaussian process, Markov processes, Lévy processes Brownian motion Definition (BM) A stochastic process B(t) is said to be a standard BM, if * B(0) =0as. * B(t) has independent and stationary increments. * Bit) — B(s) ~N(0,t—s),0

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