Basics of Stochastic Processes

Sivaprasad Madhira and Shailaja Deshmukh ()
Additional contact information
Sivaprasad Madhira: Savitribai Phule Pune University
Shailaja Deshmukh: Savitribai Phule Pune University

Chapter Chapter 1 in Introduction to Stochastic Processes Using R, 2023, pp 1-30 from Springer

Abstract: Abstract Stochastic processes are probability models that describe the evolution of systems that evolve randomly in time and hence are useful in modeling a wide variety of phenomena that occur over time. After a brief introduction in Sect. 1, the notions of a stochastic process and its family of finite dimensional distribution functions are defined and illustrated with examples in Sect. 2. These examples provide a good understanding of the Kolmogorov compatibility conditions as well as the four major types of stochastic processes. Section 3 is devoted to a discussion on processes with stationary and independent increments. Apart from the usual results, a characterization of such processes in terms of characteristic functions is also given. A brief discussion on stationary processes is given in Sect. 4. R software is used throughout the book to illustrate the concepts with numerical examples. In order to facilitate an understanding of R codes, a preliminary introduction to the R software is given in Sect. 5 of this chapter.

Date: 2023
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-99-5601-2_1

Ordering information: This item can be ordered from
http://www.springer.com/9789819956012

DOI: 10.1007/978-981-99-5601-2_1

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().