Stochastic Processes
Book Chapter
(2021)
Author(s)
Jan H. van Schuppen (TU Delft - Electrical Engineering, Mathematics and Computer Science)
Research Group
Mathematical Physics
DOI related publication
https://doi.org/10.1007/978-3-030-66952-2_3
Final published version
To reference this document use
https://resolver.tudelft.nl/uuid:7f960e3a-b827-4603-8c21-821a831d71ab
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Publication Year
2021
Language
English
Research Group
Mathematical Physics
Pages (from-to)
57-79
Publisher
Springer
ISBN (electronic)
978-3-030-66952-2
Downloads counter
110
Abstract
Elementary concepts and results of the theory of stochastic processes are summarized in this chapter. Concepts presented include a stochastic process, equivalent processes, a Gaussian process, stationarity, time-reversibility, and a Markov process. It is shown how to go from the definition of a Gauss–Markov process to a representation of such a process in the form of a state equation of a stochastic system. Advanced topics of the theory of stochastic processes are provided in Chapter 20.