stochastic process
a stochastic process is a sequence of random variables whose index has the interpretation of time.
https://en.wikipedia.org/wiki/Stochastic_process
https://en.wikipedia.org/wiki/Stochastic_process
in the following, let
be a polish space with borel
-algebra
. further, let
be a probability space and let
be arbitrary. we are mostly interested in the cases
and
an interval.
let
. a family of random variables
(on
) with values in
is called a stochastic process with index set (or time set)
and range
.
[cite:;taken from @klenke_prob_2020 definition 9.1 (stochastic process)]
[cite:;taken from @klenke_prob_2020 chapter 9.1 processes, filtrations, stopping times][cite:;taken from @klenke_prob_2020 definition 9.1 (stochastic process)]