Appendix: Stochastic Processes

Jan H. van Schuppen

doi:10.1007/978-3-030-66952-2_20

Appendix: Stochastic Processes

Jan H. van Schuppen^*

^*Corresponding author for this work

Mathematical Physics

Research output: Chapter in Book/Conference proceedings/Edited volume › Chapter › Scientific

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.

Original language	English
Title of host publication	Control and System Theory of Discrete-Time Stochastic Systems
Publisher	Springer Science+Business Media
Pages	767-781
Number of pages	15
ISBN (Electronic)	978-3-030-66952-2
DOIs	https://doi.org/10.1007/978-3-030-66952-2_20
Publication status	Published - 2021

Publication series

Name	Communications and Control Engineering
ISSN (Print)	0178-5354
ISSN (Electronic)	2197-7119

Keywords

Filtration
Martingale
Stochastic process
Stopping time

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10.1007/978-3-030-66952-2_20

Cite this

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KW - Filtration

KW - Martingale

KW - Stochastic process

KW - Stopping time

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Appendix: Stochastic Processes

Abstract

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