Stochastic Processes

Jan H. van Schuppen*

*Corresponding author for this work

Research output: Chapter in Book/Conference proceedings/Edited volumeChapterScientific


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.

Original languageEnglish
Title of host publicationControl and System Theory of Discrete-Time Stochastic Systems
Number of pages23
ISBN (Electronic)978-3-030-66952-2
Publication statusPublished - 2021

Publication series

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


  • Gaussian process
  • Markov process
  • Stochastic process


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