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Stochastic process

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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?