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Stochastic Processes in Discrete Time

  • Jürgen Franke
  • Wolfgang Karl Härdle
  • Christian Matthias Hafner
Chapter
Part of the Universitext book series (UTX)

Abstract

A stochastic process or random process consists of chronologically ordered random variables {Xt; t ≥ 0}. For simplicity we assume that the process starts at time t = 0 in X0 = 0.

References

  1. Brzezniak, Z., & Zastawniak, T. (1999). Basic stochastic processes. Springer.CrossRefGoogle Scholar
  2. Gikhman, l. I., & Skorokhod, A. V. (1974). The theory of stochastic processes I. Springer.Google Scholar

Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Jürgen Franke
    • 1
  • Wolfgang Karl Härdle
    • 2
  • Christian Matthias Hafner
    • 3
  1. 1.Department of MathematicsTechnische Universität KaiserslauternKaiserslauternGermany
  2. 2.Ladislaus von Bortkiewicz Chair of StatisticsHumboldt-Universität BerlinBerlinGermany
  3. 3.Louvain Institute of Data Analysis and Modeling in Economics and StatisticsUCLouvainLouvain-la-NeuveBelgium

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