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Revision as of 11:36, 6 April 2002 editMiguel~enwiki (talk | contribs)3,710 edits I was using Opera, which somehow sucks for this kind of thing. It is also bad to post to google groups.← Previous edit Revision as of 13:13, 6 April 2002 edit undoHari (talk | contribs)315 editsm remove self link, highlight topicNext edit →
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A ] is a ]. This means that, if A '''stochastic process''' is a ]. This means that, if


f : D -> R f : D -> R

Revision as of 13:13, 6 April 2002

A stochastic process is a random function. This means that, if

f : D -> R

is a random function with domain D and range R, the image of each point of D, f(x), is a random variable with values in R.

Of course, the mathematical definition of a function includes the case "a function from {1,...,n} to R is a vector in R^n", so multidimensional random variables are a special case of stochastic processes.

For our first infinite example, take the domain to be N, the natural numbers, and our range to be R, the real numbers. Then, a function f : N -> R is a sequence of real numbers, and the following questions arise:

  1. How is a random sequence specified?
  2. How do we find the answers to typical questions about sequences, such as
    1. what is the probability distribution of the value of f(i)?
    2. what is the probability that f is bounded?
    3. what is the probability that is f monotonic?
    4. what is the probability that f(i) has a limit as i->infty?
    5. if we construct a series from f(i), what is the probability that the series converges? What is the probability distribution of the sum?

Another important class of examples is when the domain is not a discrete space such as the natural numbers, but a constinuous space such as the unit interval , the positive real numbers [0,infty) or the entire real line, R. In this case, we have a different set of questions that we might want to answer:

  1. How is a random sequence function specified?
  2. How do we find the answers to typical questions about functions, such as
    1. what is the probability distribution of the value of f(x)?
    2. what is the probability that f is bounded/integrable/continuous/differentiable...?
    3. what is the probability that f(i) has a limit as i->infty?