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Stochastic processes front page

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A discrete stochastic process is simply a sequence of random variables. For the process to be interesting, these variables should depend on each other in interesting ways: for example, X_0,X_1,X_2,\dots could be a stochastic process where X_n is the position of a random walk after n steps. A continuous stochastic process is a set of random variables indexed by real numbers instead of integers: the most famous example is Brownian motion. This article contains links to articles about proofs of facts about stochastic processes and proofs that use stochastic processes.

Prerequisites

A knowledge of the basics of probability theory.

The articles

Discrete processes

How to use martingales

Continuous processes

Brownian motion front page

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