Appendix
Stochastic Processes
Book Chapter
(2021)
Author(s)
Jan H. van Schuppen (TU Delft - Mathematical Physics)
Research Group
Mathematical Physics
DOI related publication
https://doi.org/10.1007/978-3-030-66952-2_20
To reference this document use:
https://resolver.tudelft.nl/uuid:4de5cd00-c982-4315-b53f-7deef0d3ee67
More Info
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Publication Year
2021
Language
English
Research Group
Mathematical Physics
Pages (from-to)
767-781
Publisher
Springer
ISBN (electronic)
978-3-030-66952-2
Abstract
Specialized topics on the theory of stochastic processes are described which are used in the body of this book. Defined are a filtration and stochastic processes relative to a filtration. Elementary martingale theory is discussed. Stopping times and a stochastic process indexed by a stopping time are defined. The supermartingale convergence theorem is established. A brief introduction to ergodicity is provided.
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