Appendix

Stochastic Processes

Book chapter (2021)

Authors

J.H. van Schuppen Mathematical Physics -

Research Group

Mathematical Physics () (TU Delft)

Stopping time Stochastic process Filtration Martingale

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Published Date

2021

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Mathematical Physics

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.