IV.24.
Stochastic Processes
IV.24 Stochastic Processes
Jean-François Le Gall
1 Historical Introduction
Stochastic processes are one of the major themes of
modern probability theory. Roughly speaking, they are
mathematical models that describe the evolution of
random phenomena as time goes by. In this article, we
shall introduce and illustrate the fundamental ideas of
the theory of stochastic processes by concentrating on
the single most important example: Brownian motion.
We start with a brief historical introduction, in order to
provide some motivation for the mathematical theory
that follows.
In 1828, the British botanist Robert Brown observed
the very irregular and wiggly motion of small particles
of pollen suspended in water. Brown pointed out the
unpredictable character of the motion, which appeared
to obey no known physical rule. During the nineteenth
century, several physicists tried to understand the ori-
gin of this “Brownian motion,” which turned out to
be present in many other physical phenomena. Several
theories were proposed, some of them rather fanci-
ful: perhaps Brownian particles were living microscopic
animals, or perhaps the motion was due to electro-
static forces. By the end of the century, however, physi-
cists had concluded that the constant changes of direc-
tion in Brownian motion could be explained by the
impacts on a particle from the molecules of the sur-
rounding medium. If the particle was sufficiently light,
then these numerous collisions could have a macro-
scopic influence on its displacement. This explanation
was also consistent with the experimental observation
that the motion became faster if the temperature of the
water, and thus the thermal agitation of its molecules,
increased.
Albert Einstein, in one of his three famous 1905
papers, was responsible for a major step forward in
the understanding of Brownian motion. He worked out
that if a Brownian particle starts at the origin, then
after a fixed time t its position should be randomly dis-
tributed according to the (three-dimensional) gaussian
distribution [III.71 §5] with mean 0 and variance σ 2 t,
where σ 2 is a constant, called the diffusion constant,
that measures how quickly the distribution spreads
out with time. (One can think of this loosely as the
speed of the Brownian motion, but we shall see later
647
that the word “speed” is not really appropriate.) Ein-
stein’s method was based on considerations of statis-
tical physics, which led him to the heat equation
[I.3 §5.4] and then to the Gaussian density that solves
this equation (see section 5.2).
A few years before Einstein, the French mathemati-
cian Louis Bachelier, in his work about the mathemat-
ical modeling of stock markets, had already noticed
the Gaussian distribution of Brownian motion. How-
ever, Bachelier was dealing not with the physical phe-
nomenon known as Brownian motion, but rather with
random walks where the step size was very small. As
we shall see in sections 2 and 3, the two concepts are
essentially equivalent from a mathematical viewpoint.
Bachelier pointed out what we call today the Markov
property of Brownian motion: if we wish to predict the
displacement after time t of a Brownian particle, then
knowledge of the path followed by the particle before
time t does not help us any more than just knowing
the position at time t. Bachelier’s arguments were not
completely satisfactory, and his ideas were not fully
appreciated in his time.
How does one go about modeling a particle that
moves in a random way? A first remark is that the posi-
tion of the particle at time t will be a random variable
[III.71 §4] Bt . But these random variables will depend on
each other: if you know where the particle is at time t,
it will affect your knowledge of how likely it is to be in
a certain region at some later time. These two consid-
erations can be accommodated if we take as our basic
model a set of random variables Bt , one for each non-
negative real number, all defined on the same underly-
ing probability space. This, formally speaking, is what
a stochastic process is.
This may seem a rather simple definition, but in order
for a stochastic process to be interesting it needs to
have additional properties, and difficult mathematical
questions arise as soon as one tries to obtain them. Let
us write Ω for the underlying probability space. Then
each of the random variables Bt is a function from Ω to
R3 , and therefore we associate a point in R3 with each
pair (t, ω) (where t is a positive real number and ω
belongs to Ω). So far we have thought about the prob-
ability distribution of Bt , so we have been focusing on
what happens when we fix t and let ω vary. However,
we must also consider what happens when we look at
a “single instance” of a stochastic process, by fixing ω
and letting t vary. For fixed ω, the function that takes t
to Bt (ω) is called a sample path. If we want a rigorous
mathematical theory of Brownian motion, then a very