Stochastic process

In probability theory and related fields, a stochastic (/stəˈkæstɪk/)

or random process is a mathematical object usually defined as a
sequence of random variables, where the index of the sequence has
the interpretation of time. Stochastic processes are widely used as
mathematical models of systems and phenomena that appear to vary
in a random manner. Examples include the growth of a bacterial
population, an electrical current fluctuating due to thermal noise, or
the movement of a gas molecule.[1][4][5] Stochastic processes have
applications in many disciplines such as biology,[6] chemistry,[7]
ecology,[8] neuroscience,[9] physics,[10] image processing, signal
processing,[11] control theory,[12] information theory,[13] computer
science,[14] and telecommunications.[15] Furthermore, seemingly
A computer-simulated realization of
random changes in financial markets have motivated the extensive
a Wiener or Brownian motion
use of stochastic processes in finance.[16][17][18] process on the surface of a sphere.
The Wiener process is widely
Applications and the study of phenomena have in turn inspired the
considered the most studied and
proposal of new stochastic processes. Examples of such stochastic
central stochastic process in
processes include the Wiener process or Brownian motion
probability theory.[1][2][3]
process,[a] used by Louis Bachelier to study price changes on the
Paris Bourse,[21] and the Poisson process, used by A. K. Erlang to
study the number of phone calls occurring in a certain period of time.[22] These two stochastic processes
are considered the most important and central in the theory of stochastic processes,[1][4][23] and were
discovered repeatedly and independently, both before and after Bachelier and Erlang, in different settings
and countries.[21][24]

The term random function is also used to refer to a stochastic or random process,[25][26] because a
stochastic process can also be interpreted as a random element in a function space.[27][28] The terms
stochastic process and random process are used interchangeably, often with no specific mathematical space
for the set that indexes the random variables.[27][29] But often these two terms are used when the random
variables are indexed by the integers or an interval of the real line.[5][29] If the random variables are indexed
by the Cartesian plane or some higher-dimensional Euclidean space, then the collection of random variables
is usually called a random field instead.[5][30] The values of a stochastic process are not always numbers
and can be vectors or other mathematical objects.[5][28]

Based on their mathematical properties, stochastic processes can be grouped into various categories, which
include random walks,[31] martingales,[32] Markov processes,[33] Lévy processes,[34] Gaussian
processes,[35] random fields,[36] renewal processes, and branching processes.[37] The study of stochastic
processes uses mathematical knowledge and techniques from probability, calculus, linear algebra, set
theory, and topology[38][39][40] as well as branches of mathematical analysis such as real analysis, measure
theory, Fourier analysis, and functional analysis.[41][42][43] The theory of stochastic processes is considered
to be an important contribution to mathematics[44] and it continues to be an active topic of research for both
theoretical reasons and applications.[45][46][47]

Introduction
A stochastic or random process can be defined as a collection of random variables that is indexed by some
mathematical set, meaning that each random variable of the stochastic process is uniquely associated with
an element in the set.[4][5] The set used to index the random variables is called the index set. Historically,
the index set was some subset of the real line, such as the natural numbers, giving the index set the
interpretation of time.[1] Each random variable in the collection takes values from the same mathematical
space known as the state space. This state space can be, for example, the integers, the real line or -
dimensional Euclidean space.[1][5] An increment is the amount that a stochastic process changes between
two index values, often interpreted as two points in time.[48][49] A stochastic process can have many
outcomes, due to its randomness, and a single outcome of a stochastic process is called, among other
names, a sample function or realization.[28][50]

Classifications

A stochastic process can be classified in different ways, for

example, by its state space, its index set, or the dependence among
the random variables. One common way of classification is by the
cardinality of the index set and the state space.[51][52][53]

When interpreted as time, if the index set of a stochastic process has

a finite or countable number of elements, such as a finite set of
numbers, the set of integers, or the natural numbers, then the
stochastic process is said to be in discrete time.[54][55] If the index
set is some interval of the real line, then time is said to be A single computer-simulated sample
continuous. The two types of stochastic processes are respectively function or realization, among
referred to as discrete-time and continuous-time stochastic other terms, of a three-dimensional
processes.[48][56][57] Discrete-time stochastic processes are Wiener or Brownian motion process
considered easier to study because continuous-time processes for time 0 ≤ t ≤ 2. The index set of
require more advanced mathematical techniques and knowledge, this stochastic process is the non-
negative numbers, while its state
particularly due to the index set being uncountable.[58][59] If the
space is three-dimensional
index set is the integers, or some subset of them, then the stochastic
Euclidean space.
process can also be called a random sequence.[55]

If the state space is the integers or natural numbers, then the

stochastic process is called a discrete or integer-valued stochastic process. If the state space is the real
line, then the stochastic process is referred to as a real-valued stochastic process or a process with
continuous state space. If the state space is -dimensional Euclidean space, then the stochastic process is
called a -dimensional vector process or -vector process.[51][52]

Etymology

The word stochastic in English was originally used as an adjective with the definition "pertaining to
conjecturing", and stemming from a Greek word meaning "to aim at a mark, guess", and the Oxford
English Dictionary gives the year 1662 as its earliest occurrence.[60] In his work on probability Ars
Conjectandi, originally published in Latin in 1713, Jakob Bernoulli used the phrase "Ars Conjectandi sive
Stochastice", which has been translated to "the art of conjecturing or stochastics".[61] This phrase was used,
with reference to Bernoulli, by Ladislaus Bortkiewicz[62] who in 1917 wrote in German the word
stochastik with a sense meaning random. The term stochastic process first appeared in English in a 1934
paper by Joseph Doob.[60] For the term and a specific mathematical definition, Doob cited another 1934
paper, where the term stochastischer Prozeß was used in German by Aleksandr Khinchin,[63][64] though
the German term had been used earlier, for example, by Andrei Kolmogorov in 1931.[65]

According to the Oxford English Dictionary, early occurrences of the word random in English with its
current meaning, which relates to chance or luck, date back to the 16th century, while earlier recorded
usages started in the 14th century as a noun meaning "impetuosity, great speed, force, or violence (in riding,
running, striking, etc.)". The word itself comes from a Middle French word meaning "speed, haste", and it
is probably derived from a French verb meaning "to run" or "to gallop". The first written appearance of the
term random process pre-dates stochastic process, which the Oxford English Dictionary also gives as a
synonym, and was used in an article by Francis Edgeworth published in 1888.[66]

Terminology

The definition of a stochastic process varies,[67] but a stochastic process is traditionally defined as a
collection of random variables indexed by some set.[68][69] The terms random process and stochastic
process are considered synonyms and are used interchangeably, without the index set being precisely
specified.[27][29][30][70][71][72] Both "collection",[28][70] or "family" are used[4][73] while instead of "index
set", sometimes the terms "parameter set"[28] or "parameter space"[30] are used.

The term random function is also used to refer to a stochastic or random process,[5][74][75] though
sometimes it is only used when the stochastic process takes real values.[28][73] This term is also used when
the index sets are mathematical spaces other than the real line,[5][76] while the terms stochastic process and
random process are usually used when the index set is interpreted as time,[5][76][77] and other terms are
used such as random field when the index set is -dimensional Euclidean space or a
manifold.[5][28][30]

Notation

A stochastic process can be denoted, among other ways, by ,[56] ,[69] [78]

or simply as or , although is regarded as an abuse of function notation.[79] For

example, or are used to refer to the random variable with the index , and not the entire stochastic
process. [78] If the index set is , then one can write, for example, to denote the
stochastic process. [29]

Examples

Bernoulli process

One of the simplest stochastic processes is the Bernoulli process,[80] which is a sequence of independent
and identically distributed (iid) random variables, where each random variable takes either the value one or
zero, say one with probability and zero with probability . This process can be linked to repeatedly
flipping a coin, where the probability of obtaining a head is and its value is one, while the value of a tail
is zero.[81] In other words, a Bernoulli process is a sequence of iid Bernoulli random variables,[82] where
each coin flip is an example of a Bernoulli trial.[83]

Random walk

Random walks are stochastic processes that are usually defined as sums of iid random variables or random
vectors in Euclidean space, so they are processes that change in discrete time.[84][85][86][87][88] But some
also use the term to refer to processes that change in continuous time,[89] particularly the Wiener process
used in finance, which has led to some confusion, resulting in its criticism.[90] There are other various types
of random walks, defined so their state spaces can be other mathematical objects, such as lattices and
groups, and in general they are highly studied and have many applications in different disciplines.[89][91]

A classic example of a random walk is known as the simple random walk, which is a stochastic process in
discrete time with the integers as the state space, and is based on a Bernoulli process, where each Bernoulli
variable takes either the value positive one or negative one. In other words, the simple random walk takes
place on the integers, and its value increases by one with probability, say, , or decreases by one with
probability , so the index set of this random walk is the natural numbers, while its state space is the
integers. If , this random walk is called a symmetric random walk.[92][93]

Wiener process

The Wiener process is a stochastic process with stationary and independent increments that are normally
distributed based on the size of the increments.[2][94] The Wiener process is named after Norbert Wiener,
who proved its mathematical existence, but the process is also called the Brownian motion process or just
Brownian motion due to its historical connection as a model for Brownian movement in liquids.[95][96][97]

Playing a central role in the theory of probability, the Wiener

process is often considered the most important and studied
stochastic process, with connections to other stochastic
processes.[1][2][3][98][99][100][101] Its index set and state space are
the non-negative numbers and real numbers, respectively, so it has
both continuous index set and states space.[102] But the process can
be defined more generally so its state space can be -dimensional
Euclidean space.[91][99][103] If the mean of any increment is zero,
then the resulting Wiener or Brownian motion process is said to
Realizations of Wiener processes (or have zero drift. If the mean of the increment for any two points in
Brownian motion processes) with time is equal to the time difference multiplied by some constant ,
drift (blue) and without drift (red). which is a real number, then the resulting stochastic process is said
to have drift .[104][105][106]

Almost surely, a sample path of a Wiener process is continuous everywhere but nowhere differentiable. It
can be considered as a continuous version of the simple random walk.[49][105] The process arises as the
mathematical limit of other stochastic processes such as certain random walks rescaled,[107][108] which is
the subject of Donsker's theorem or invariance principle, also known as the functional central limit
theorem.[109][110][111]
The Wiener process is a member of some important families of stochastic processes, including Markov
processes, Lévy processes and Gaussian processes.[2][49] The process also has many applications and is the
main stochastic process used in stochastic calculus.[112][113] It plays a central role in quantitative
finance,[114][115] where it is used, for example, in the Black–Scholes–Merton model.[116] The process is
also used in different fields, including the majority of natural sciences as well as some branches of social
sciences, as a mathematical model for various random phenomena.[3][117][118]

Poisson process

The Poisson process is a stochastic process that has different forms and definitions.[119][120] It can be
defined as a counting process, which is a stochastic process that represents the random number of points or
events up to some time. The number of points of the process that are located in the interval from zero to
some given time is a Poisson random variable that depends on that time and some parameter. This process
has the natural numbers as its state space and the non-negative numbers as its index set. This process is also
called the Poisson counting process, since it can be interpreted as an example of a counting process.[119]

If a Poisson process is defined with a single positive constant, then the process is called a homogeneous
Poisson process.[119][121] The homogeneous Poisson process is a member of important classes of stochastic
processes such as Markov processes and Lévy processes.[49]

The homogeneous Poisson process can be defined and generalized in different ways. It can be defined such
that its index set is the real line, and this stochastic process is also called the stationary Poisson
process.[122][123] If the parameter constant of the Poisson process is replaced with some non-negative
integrable function of , the resulting process is called an inhomogeneous or nonhomogeneous Poisson
process, where the average density of points of the process is no longer constant.[124] Serving as a
fundamental process in queueing theory, the Poisson process is an important process for mathematical
models, where it finds applications for models of events randomly occurring in certain time
windows.[125][126]

Defined on the real line, the Poisson process can be interpreted as a stochastic process,[49][127] among other
random objects.[128][129] But then it can be defined on the -dimensional Euclidean space or other
mathematical spaces,[130] where it is often interpreted as a random set or a random counting measure,
instead of a stochastic process.[128][129] In this setting, the Poisson process, also called the Poisson point
process, is one of the most important objects in probability theory, both for applications and theoretical
reasons.[22][131] But it has been remarked that the Poisson process does not receive as much attention as it
should, partly due to it often being considered just on the real line, and not on other mathematical
spaces.[131][132]

Definitions

Stochastic process

A stochastic process is defined as a collection of random variables defined on a common probability space
, where is a sample space, is a -algebra, and is a probability measure; and the random
variables, indexed by some set , all take values in the same mathematical space , which must be
measurable with respect to some -algebra .[28]
In other words, for a given probability space and a measurable space , a stochastic
process is a collection of -valued random variables, which can be written as:[80]

Historically, in many problems from the natural sciences a point had the meaning of time, so is
a random variable representing a value observed at time . [133] A stochastic process can also be written as
to reflect that it is actually a function of two variables, and .[28][134]

There are other ways to consider a stochastic process, with the above definition being considered the
traditional one.[68][69] For example, a stochastic process can be interpreted or defined as a -valued
random variable, where is the space of all the possible functions from the set into the space .[27][68]
However this alternative definition as a "function-valued random variable" in general requires additional
regularity assumptions to be well-defined.[135]

Index set

The set is called the index set[4][51] or parameter set[28][136] of the stochastic process. Often this set is
some subset of the real line, such as the natural numbers or an interval, giving the set the interpretation of
time.[1] In addition to these sets, the index set can be another set with a total order or a more general
set,[1][54] such as the Cartesian plane or -dimensional Euclidean space, where an element can
represent a point in space. [48][137] That said, many results and theorems are only possible for stochastic
processes with a totally ordered index set.[138]

State space

The mathematical space of a stochastic process is called its state space. This mathematical space can be
defined using integers, real lines, -dimensional Euclidean spaces, complex planes, or more abstract
mathematical spaces. The state space is defined using elements that reflect the different values that the
stochastic process can take.[1][5][28][51][56]

Sample function

A sample function is a single outcome of a stochastic process, so it is formed by taking a single possible
value of each random variable of the stochastic process.[28][139] More precisely, if is a
stochastic process, then for any point , the mapping

is called a sample function, a realization, or, particularly when is interpreted as time, a sample path of
the stochastic process .[50] This means that for a fixed , there exists a sample
function that maps the index set to the state space . [28] Other names for a sample function of a
stochastic process include trajectory, path function [140] or path.[141]

Increment
An increment of a stochastic process is the difference between two random variables of the same
stochastic process. For a stochastic process with an index set that can be interpreted as time, an increment is
how much the stochastic process changes over a certain time period. For example, if is a
stochastic process with state space and index set , then for any two non-negative numbers
and such that , the difference is a -valued random variable
known as an increment. [48][49] When interested in the increments, often the state space is the real line or
the natural numbers, but it can be -dimensional Euclidean space or more abstract spaces such as Banach
spaces.[49]

Further definitions

Law

For a stochastic process defined on the probability space , the law of stochastic
process is defined as the image measure:

where is a probability measure, the symbol denotes function composition and is the pre-image of
the measurable function or, equivalently, the -valued random variable , where is the space of all
the possible -valued functions of , so the law of a stochastic process is a probability
measure.[27][68][142][143]

For a measurable subset of , the pre-image of gives

so the law of a can be written as:[28]

The law of a stochastic process or a random variable is also called the probability law, probability
distribution, or the distribution.[133][142][144][145][146]

Finite-dimensional probability distributions

For a stochastic process with law , its finite-dimensional distribution for is defined
as:

This measure is the joint distribution of the random vector ; it can be viewed
as a "projection" of the law onto a finite subset of .[27][147]

For any measurable subset of the -fold Cartesian power , the finite-dimensional
distributions of a stochastic process can be written as:[28]
The finite-dimensional distributions of a stochastic process satisfy two mathematical conditions known as
consistency conditions.[57]

Stationarity

Stationarity is a mathematical property that a stochastic process has when all the random variables of that
stochastic process are identically distributed. In other words, if is a stationary stochastic process, then for
any the random variable has the same distribution, which means that for any set of index set
values , the corresponding random variables

all have the same probability distribution. The index set of a stationary stochastic process is usually
interpreted as time, so it can be the integers or the real line.[148][149] But the concept of stationarity also
exists for point processes and random fields, where the index set is not interpreted as time.[148][150][151]

When the index set can be interpreted as time, a stochastic process is said to be stationary if its finite-
dimensional distributions are invariant under translations of time. This type of stochastic process can be
used to describe a physical system that is in steady state, but still experiences random fluctuations.[148] The
intuition behind stationarity is that as time passes the distribution of the stationary stochastic process remains
the same.[152] A sequence of random variables forms a stationary stochastic process only if the random
variables are identically distributed.[148]

A stochastic process with the above definition of stationarity is sometimes said to be strictly stationary, but
there are other forms of stationarity. One example is when a discrete-time or continuous-time stochastic
process is said to be stationary in the wide sense, then the process has a finite second moment for all
and the covariance of the two random variables and depends only on the number for all
.[152][153] Khinchin introduced the related concept of stationarity in the wide sense, which has
other names including covariance stationarity or stationarity in the broad sense.[153][154]

Filtration

A filtration is an increasing sequence of sigma-algebras defined in relation to some probability space and an
index set that has some total order relation, such as in the case of the index set being some subset of the real
numbers. More formally, if a stochastic process has an index set with a total order, then a filtration
, on a probability space is a family of sigma-algebras such that for all ,
where and denotes the total order of the index set . [51] With the concept of a filtration, it is
possible to study the amount of information contained in a stochastic process at , which can be
interpreted as time . [51][155] The intuition behind a filtration is that as time passes, more and more
information on is known or available, which is captured in , resulting in finer and finer partitions of
.[156][157]

Modification

A modification of a stochastic process is another stochastic process, which is closely related to the original
stochastic process. More precisely, a stochastic process that has the same index set , state space , and
probability space as another stochastic process is said to be a modification of if for all
the following
holds. Two stochastic processes that are modifications of each other have the same finite-dimensional
law[158] and they are said to be stochastically equivalent or equivalent.[159]

Instead of modification, the term version is also used,[150][160][161][162] however some authors use the
term version when two stochastic processes have the same finite-dimensional distributions, but they may be
defined on different probability spaces, so two processes that are modifications of each other, are also
versions of each other, in the latter sense, but not the converse.[163][142]

If a continuous-time real-valued stochastic process meets certain moment conditions on its increments, then
the Kolmogorov continuity theorem says that there exists a modification of this process that has continuous
sample paths with probability one, so the stochastic process has a continuous modification or
version.[161][162][164] The theorem can also be generalized to random fields so the index set is -
dimensional Euclidean space[165] as well as to stochastic processes with metric spaces as their state
spaces.[166]

Indistinguishable

Two stochastic processes and defined on the same probability space with the same index
set and set space are said be indistinguishable if the following

holds.[142][158] If two and are modifications of each other and are almost surely continuous, then
and are indistinguishable.[167]

Separability

Separability is a property of a stochastic process based on its index set in relation to the probability
measure. The property is assumed so that functionals of stochastic processes or random fields with
uncountable index sets can form random variables. For a stochastic process to be separable, in addition to
other conditions, its index set must be a separable space,[b] which means that the index set has a dense
countable subset.[150][168]

More precisely, a real-valued continuous-time stochastic process with a probability space is

separable if its index set has a dense countable subset and there is a set of probability
zero, so , such that for every open set and every closed set , the
two events and differ from each other at most on
a subset of . [169][170][171] [c]
The definition of separability can also be stated for other index sets and
state spaces, [174] such as in the case of random fields, where the index set as well as the state space can be
-dimensional Euclidean space.[30][150]

The concept of separability of a stochastic process was introduced by Joseph Doob,.[168] The underlying
idea of separability is to make a countable set of points of the index set determine the properties of the
stochastic process.[172] Any stochastic process with a countable index set already meets the separability
conditions, so discrete-time stochastic processes are always separable.[175] A theorem by Doob, sometimes
known as Doob's separability theorem, says that any real-valued continuous-time stochastic process has a
separable modification.[168][170][176] Versions of this theorem also exist for more general stochastic
processes with index sets and state spaces other than the real line.[136]

Independence

Two stochastic processes and defined on the same probability space with the same index
set are said be independent if for all and for every choice of epochs , the random
vectors and are independent.[177]: p . 515 

Uncorrelatedness

Two stochastic processes and are called uncorrelated if their cross-covariance

is zero for all times.[178]: p . 142  Formally:

Independence implies uncorrelatedness

If two stochastic processes and are independent, then they are also uncorrelated.[178]: p . 151 

Orthogonality

Two stochastic processes and are called orthogonal if their cross-correlation

is zero for all times.[178]: p . 142  Formally:

Skorokhod space

A Skorokhod space, also written as Skorohod space, is a mathematical space of all the functions that are
right-continuous with left limits, defined on some interval of the real line such as or , and take
values on the real line or on some metric space. [179][180][181] Such functions are known as càdlàg or cadlag
functions, based on the acronym of the French phrase continue à droite, limite à gauche.[179][182] A
Skorokhod function space, introduced by Anatoliy Skorokhod,[181] is often denoted with the letter
,[179][180][181][182] so the function space is also referred to as space .[179][183][184] The notation of this
function space can also include the interval on which all the càdlàg functions are defined, so, for example,
denotes the space of càdlàg functions defined on the unit interval .[182][184][185]

Skorokhod function spaces are frequently used in the theory of stochastic processes because it often
assumed that the sample functions of continuous-time stochastic processes belong to a Skorokhod
space.[181][183] Such spaces contain continuous functions, which correspond to sample functions of the
Wiener process. But the space also has functions with discontinuities, which means that the sample
functions of stochastic processes with jumps, such as the Poisson process (on the real line), are also
members of this space.[184][186]

Regularity

In the context of mathematical construction of stochastic processes, the term regularity is used when
discussing and assuming certain conditions for a stochastic process to resolve possible construction
issues.[187][188] For example, to study stochastic processes with uncountable index sets, it is assumed that
the stochastic process adheres to some type of regularity condition such as the sample functions being
continuous.[189][190]

Further examples

Markov processes and chains

Markov processes are stochastic processes, traditionally in discrete or continuous time, that have the
Markov property, which means the next value of the Markov process depends on the current value, but it is
conditionally independent of the previous values of the stochastic process. In other words, the behavior of
the process in the future is stochastically independent of its behavior in the past, given the current state of
the process.[191][192]

The Brownian motion process and the Poisson process (in one dimension) are both examples of Markov
processes[193] in continuous time, while random walks on the integers and the gambler's ruin problem are
examples of Markov processes in discrete time.[194][195]

A Markov chain is a type of Markov process that has either discrete state space or discrete index set (often
representing time), but the precise definition of a Markov chain varies.[196] For example, it is common to
define a Markov chain as a Markov process in either discrete or continuous time with a countable state
space (thus regardless of the nature of time),[197][198][199][200] but it has been also common to define a
Markov chain as having discrete time in either countable or continuous state space (thus regardless of the
state space).[196] It has been argued that the first definition of a Markov chain, where it has discrete time,
now tends to be used, despite the second definition having been used by researchers like Joseph Doob and
Kai Lai Chung.[201]

Markov processes form an important class of stochastic processes and have applications in many
areas.[39][202] For example, they are the basis for a general stochastic simulation method known as Markov
chain Monte Carlo, which is used for simulating random objects with specific probability distributions, and
has found application in Bayesian statistics.[203][204]

The concept of the Markov property was originally for stochastic processes in continuous and discrete time,
but the property has been adapted for other index sets such as -dimensional Euclidean space, which
results in collections of random variables known as Markov random fields.[205][206][207]

Martingale

A martingale is a discrete-time or continuous-time stochastic process with the property that, at every instant,
given the current value and all the past values of the process, the conditional expectation of every future
value is equal to the current value. In discrete time, if this property holds for the next value, then it holds for
all future values. The exact mathematical definition of a martingale requires two other conditions coupled
with the mathematical concept of a filtration, which is related to the intuition of increasing available
information as time passes. Martingales are usually defined to be real-valued,[208][209][155] but they can
also be complex-valued[210] or even more general.[211]

A symmetric random walk and a Wiener process (with zero drift) are both examples of martingales,
respectively, in discrete and continuous time.[208][209] For a sequence of independent and identically
distributed random variables with zero mean, the stochastic process formed from the
successive partial sums is a discrete-time martingale.[212] In this
aspect, discrete-time martingales generalize the idea of partial sums of independent random variables.[213]

Martingales can also be created from stochastic processes by applying some suitable transformations, which
is the case for the homogeneous Poisson process (on the real line) resulting in a martingale called the
compensated Poisson process.[209] Martingales can also be built from other martingales.[212] For example,
there are martingales based on the martingale the Wiener process, forming continuous-time
martingales.[208][214]

Martingales mathematically formalize the idea of a fair game,[215] and they were originally developed to
show that it is not possible to win a fair game.[216] But now they are used in many areas of probability,
which is one of the main reasons for studying them.[155][216][217] Many problems in probability have been
solved by finding a martingale in the problem and studying it.[218] Martingales will converge, given some
conditions on their moments, so they are often used to derive convergence results, due largely to martingale
convergence theorems.[213][219][220]

Martingales have many applications in statistics, but it has been remarked that its use and application are not
as widespread as it could be in the field of statistics, particularly statistical inference.[221] They have found
applications in areas in probability theory such as queueing theory and Palm calculus[222] and other fields
such as economics[223] and finance.[17]

Lévy process

Lévy processes are types of stochastic processes that can be considered as generalizations of random walks
in continuous time.[49][224] These processes have many applications in fields such as finance, fluid
mechanics, physics and biology.[225][226] The main defining characteristics of these processes are their
stationarity and independence properties, so they were known as processes with stationary and independent
increments. In other words, a stochastic process is a Lévy process if for non-negatives numbers,
, the corresponding increments

are all independent of each other, and the distribution of each increment only depends on the difference in
time.[49]
A Lévy process can be defined such that its state space is some abstract mathematical space, such as a
Banach space, but the processes are often defined so that they take values in Euclidean space. The index set
is the non-negative numbers, so , which gives the interpretation of time. Important stochastic
processes such as the Wiener process, the homogeneous Poisson process (in one dimension), and
subordinators are all Lévy processes.[49][224]

Random field

A random field is a collection of random variables indexed by a -dimensional Euclidean space or some
manifold. In general, a random field can be considered an example of a stochastic or random process,
where the index set is not necessarily a subset of the real line.[30] But there is a convention that an indexed
collection of random variables is called a random field when the index has two or more
dimensions.[5][28][227] If the specific definition of a stochastic process requires the index set to be a subset
of the real line, then the random field can be considered as a generalization of stochastic process.[228]

Point process

A point process is a collection of points randomly located on some mathematical space such as the real line,
-dimensional Euclidean space, or more abstract spaces. Sometimes the term point process is not preferred,
as historically the word process denoted an evolution of some system in time, so a point process is also
called a random point field.[229] There are different interpretations of a point process, such a random
counting measure or a random set.[230][231] Some authors regard a point process and stochastic process as
two different objects such that a point process is a random object that arises from or is associated with a
stochastic process,[232][233] though it has been remarked that the difference between point processes and
stochastic processes is not clear.[233]

Other authors consider a point process as a stochastic process, where the process is indexed by sets of the
underlying space[d] on which it is defined, such as the real line or -dimensional Euclidean space.[236][237]
Other stochastic processes such as renewal and counting processes are studied in the theory of point
processes.[238][233]

History

Early probability theory

Probability theory has its origins in games of chance, which have a long history, with some games being
played thousands of years ago,[239][240] but very little analysis on them was done in terms of
probability.[239][241] The year 1654 is often considered the birth of probability theory when French
mathematicians Pierre Fermat and Blaise Pascal had a written correspondence on probability, motivated by
a gambling problem.[239][242][243] But there was earlier mathematical work done on the probability of
gambling games such as Liber de Ludo Aleae by Gerolamo Cardano, written in the 16th century but
posthumously published later in 1663.[239][244]

After Cardano, Jakob Bernoulli[e] wrote Ars Conjectandi, which is considered a significant event in the
history of probability theory.[239] Bernoulli's book was published, also posthumously, in 1713 and inspired
many mathematicians to study probability.[239][246][247] But despite some renowned mathematicians
contributing to probability theory, such as Pierre-Simon Laplace, Abraham de Moivre, Carl Gauss, Siméon
Poisson and Pafnuty Chebyshev,[248][249] most of the mathematical community[f] did not consider
probability theory to be part of mathematics until the 20th century.[248][250][251][252]

Statistical mechanics

In the physical sciences, scientists developed in the 19th century the discipline of statistical mechanics,
where physical systems, such as containers filled with gases, can be regarded or treated mathematically as
collections of many moving particles. Although there were attempts to incorporate randomness into
statistical physics by some scientists, such as Rudolf Clausius, most of the work had little or no
randomness.[253][254] This changed in 1859 when James Clerk Maxwell contributed significantly to the
field, more specifically, to the kinetic theory of gases, by presenting work where he assumed the gas
particles move in random directions at random velocities.[255][256] The kinetic theory of gases and
statistical physics continued to be developed in the second half of the 19th century, with work done chiefly
by Clausius, Ludwig Boltzmann and Josiah Gibbs, which would later have an influence on Albert
Einstein's mathematical model for Brownian movement.[257]

Measure theory and probability theory

At the International Congress of Mathematicians in Paris in 1900, David Hilbert presented a list of
mathematical problems, where his sixth problem asked for a mathematical treatment of physics and
probability involving axioms.[249] Around the start of the 20th century, mathematicians developed measure
theory, a branch of mathematics for studying integrals of mathematical functions, where two of the founders
were French mathematicians, Henri Lebesgue and Émile Borel. In 1925 another French mathematician
Paul Lévy published the first probability book that used ideas from measure theory.[249]

In 1920s fundamental contributions to probability theory were made in the Soviet Union by mathematicians
such as Sergei Bernstein, Aleksandr Khinchin,[g] and Andrei Kolmogorov.[252] Kolmogorov published in
1929 his first attempt at presenting a mathematical foundation, based on measure theory, for probability
theory.[258] In the early 1930s Khinchin and Kolmogorov set up probability seminars, which were attended
by researchers such as Eugene Slutsky and Nikolai Smirnov,[259] and Khinchin gave the first mathematical
definition of a stochastic process as a set of random variables indexed by the real line.[63][260][h]

Birth of modern probability theory

In 1933 Andrei Kolmogorov published in German, his book on the foundations of probability theory titled
Grundbegriffe der Wahrscheinlichkeitsrechnung,[i] where Kolmogorov used measure theory to develop an
axiomatic framework for probability theory. The publication of this book is now widely considered to be
the birth of modern probability theory, when the theories of probability and stochastic processes became
parts of mathematics.[249][252]

After the publication of Kolmogorov's book, further fundamental work on probability theory and stochastic
processes was done by Khinchin and Kolmogorov as well as other mathematicians such as Joseph Doob,
William Feller, Maurice Fréchet, Paul Lévy, Wolfgang Doeblin, and Harald Cramér.[249][252] Decades later
Cramér referred to the 1930s as the "heroic period of mathematical probability theory".[252] World War II
greatly interrupted the development of probability theory, causing, for example, the migration of Feller from
Sweden to the United States of America[252] and the death of Doeblin, considered now a pioneer in
stochastic processes.[262]

Stochastic processes after World War II

After World War II the study of probability theory and stochastic

processes gained more attention from mathematicians, with
significant contributions made in many areas of probability and
mathematics as well as the creation of new areas.[252][265] Starting
in the 1940s, Kiyosi Itô published papers developing the field of
stochastic calculus, which involves stochastic integrals and
stochastic differential equations based on the Wiener or Brownian
motion process.[266]

Also starting in the 1940s, connections were made between

stochastic processes, particularly martingales, and the mathematical
field of potential theory, with early ideas by Shizuo Kakutani and
then later work by Joseph Doob.[265] Further work, considered
pioneering, was done by Gilbert Hunt in the 1950s, connecting
Markov processes and potential theory, which had a significant
Mathematician Joseph Doob did
effect on the theory of Lévy processes and led to more interest in
early work on the theory of
studying Markov processes with methods developed by
stochastic processes, making
Itô.[21][267][268]
fundamental contributions,
particularly in the theory of
In 1953 Doob published his book Stochastic processes, which had
a strong influence on the theory of stochastic processes and stressed martingales.[263][261] His book
Stochastic Processes is considered
the importance of measure theory in probability.[265] [264] Doob
highly influential in the field of
also chiefly developed the theory of martingales, with later
probability theory.[264]
substantial contributions by Paul-André Meyer. Earlier work had
been carried out by Sergei Bernstein, Paul Lévy and Jean Ville, the
latter adopting the term martingale for the stochastic
process.[269][270] Methods from the theory of martingales became popular for solving various probability
problems. Techniques and theory were developed to study Markov processes and then applied to
martingales. Conversely, methods from the theory of martingales were established to treat Markov
processes.[265]

Other fields of probability were developed and used to study stochastic processes, with one main approach
being the theory of large deviations.[265] The theory has many applications in statistical physics, among
other fields, and has core ideas going back to at least the 1930s. Later in the 1960s and 1970s fundamental
work was done by Alexander Wentzell in the Soviet Union and Monroe D. Donsker and Srinivasa
Varadhan in the United States of America,[271] which would later result in Varadhan winning the 2007
Abel Prize.[272] In the 1990s and 2000s the theories of Schramm–Loewner evolution[273] and rough
paths[142] were introduced and developed to study stochastic processes and other mathematical objects in
probability theory, which respectively resulted in Fields Medals being awarded to Wendelin Werner[274] in
2008 and to Martin Hairer in 2014.[275]
The theory of stochastic processes still continues to be a focus of research, with yearly international
conferences on the topic of stochastic processes.[45][225]

The Non-Population Alternative to Stochastic Processes

A rigorous measure theory basis for Non-Population Statistics of time series data was introduced by Kac
and Steinhaus, in the early 1930s, and the central mathematical entity was termed the Relative Measure.
Contemporaneously, Kolmogorov introduced his Probability Measure theory of stochastic processes. The
former applies to individual functions of time. The latter applies to populations of functions of time. Both
theories give rise to bodies of knowledge for statistical inference based on observed time series of data and
associated probabilistic analysis, and these theories are strongly analogous to each other. In fact, for ergodic
stationary processes and cyclo-ergodic cyclostationary processes, these theories are essentially operationally
equivalent. The theory based on relative measurability leads to what has been termed Fraction-of-Time
Probability for individual time series. This theory has roots in empirical statistical analysis of measurements
developed within physics, whereas the alternative probability measure theory has its roots in earlier
developments of the mathematics of probability associated with populations which, for stochastic processes,
are populations of time functions (or functions of other variables). The Relative Measure results in
probabilities being derived essentially empirically from the observed/measured data (mathematically
idealized to extend over the entire real line), whereas the Probability Measure is defined axiomatically in
terms of typically infinite populations and axioms that do not correspond to any form of empiricism.

Whereas the Kolmogorov theory has dominated, the Kac-Steinhaus theory is similarly viable in a restricted
domain and is less abstract; that is, it relates more directly to the practice of time series analysis of data. This
is so for stochastic processes representing data that is appropriately modeled as ergodic or cyclo-ergodic
stationary or cyclostationary processes. The Kac-Steinhaus theory does not provide an analog for non-
ergodic and generally non-stationary processes.

The tight link between these two theories in this restricted domain is a result of the fact that the probabilities
of interest in both these theories are derived from time averages on individual time functions. Because of
this, the abstractions of ergodic and cyclo-ergodic stochastic processes are superfluous. There is no need to
consider populations, also called ensembles of time functions, or mathematical measures defined over
abstract sample spaces of functions.

The dominance of stochastic processes, in the case of ergodic and cyclo-ergodic stationary and
cyclostationary processes is a quirk of history in the field of mathematics. The resultant dominance within
engineering and fields of science is not a consequence of superior applicability or superior amenability to
practically relevant conceptualization. Rather it is a result of the early (1950s -1970s) mathematical
developments of the measure theory of stochastic processes and the lack back then of comparable
developments of the measure theory of individual functions. [1]. Norbert Wiener, independently of Kac and
Steinhaus, did get started with comparable development in the 1930s, with his important contribution of
Generalized Harmonic Analysis but, apparently unaware of the work of Kac and Steinhaus, his work
evolved toward Kolmogorov's more abstract theory. The preference of the latecomer (cf. [2]) Fraction-of-
Time Probability theory in applications to engineering and fields of science has been addressed in
considerable detail in recent publications by Gardner and Napolitano [3], [4], and a comprehensive tutorial
treatment that is not only written for students of the subject but also is an accurate scholarly historical
account which contains some autobiographical material, is available at the website [5] in which essentially
all sources are accessible for free.

The focus since the middle of the last century on the theory of stochastic processes for populations of
functions, largely to the exclusion of the Fraction-of-Time Probability theory for individual functions, is
understandable in light of the large part of the theory that lies outside of the aforementioned restricted
domain; that is the part of the theory that addresses non-ergodic and non-cyclo-ergodic stationary and
cyclostationary processes (and, more generally, non-ergodic asymptotically-mean stationary processes). Yet,
the substantially more parsimonious alternative for the restricted domain merits more attention; students of
science and engineering who are likely to engage in time series analysis would benefit substantially from
exposure to this more empirically motivated alternative.

[1] J. Leskow and A. Napolitano, “FOUNDATIONS OF THE FUNCTIONAL APPROACH FOR

SIGNAL ANALYSIS.” Signal Processing, vol. 86, n. 12, pp. 3796-3825, December 2006. Received the
2006 European Association for Signal Processing (EURASIP) Best Paper Award.

[2] W. A. Gardner. STATISTICAL SPECTRAL ANALYSIS: A NONPROBABILISTIC THEORY (Book)

Prentice-Hall, Englewood Cliffs, NJ, 565 pages, 1987. AUTHOR’S COMMENTS. SIAM Review, Vol.
36, No. 3, pp. 528-530, 1994.

[3] A. Napolitano and W.A. Gardner, FRACTION-OF-TIME PROBABILITY: ADVANCING

BEYOND THE NEED FOR STATIONARITY AND ERGODICITY ASSUMPTIONS. IEEE Access,
vol. 10, pp. 34591-34612, 2022. doi: 10.1109/ACCESS.2022.3162620

[4] W. A. Gardner, TRANSITIONING AWAY FROM STOCHASTIC PROCESSES. Journal of Sound

and Vibration, to appear in Summer 2023.

[5] https://cyclostationarity.com/

Discoveries of specific stochastic processes

Although Khinchin gave mathematical definitions of stochastic processes in the 1930s,[63][260] specific
stochastic processes had already been discovered in different settings, such as the Brownian motion process
and the Poisson process.[21][24] Some families of stochastic processes such as point processes or renewal
processes have long and complex histories, stretching back centuries.[276]

Bernoulli process

The Bernoulli process, which can serve as a mathematical model for flipping a biased coin, is possibly the
first stochastic process to have been studied.[81] The process is a sequence of independent Bernoulli
trials,[82] which are named after Jackob Bernoulli who used them to study games of chance, including
probability problems proposed and studied earlier by Christiaan Huygens.[277] Bernoulli's work, including
the Bernoulli process, were published in his book Ars Conjectandi in 1713.[278]

Random walks

In 1905 Karl Pearson coined the term random walk while posing a problem describing a random walk on
the plane, which was motivated by an application in biology, but such problems involving random walks
had already been studied in other fields. Certain gambling problems that were studied centuries earlier can
be considered as problems involving random walks.[89][278] For example, the problem known as the
Gambler's ruin is based on a simple random walk,[195][279] and is an example of a random walk with
absorbing barriers.[242][280] Pascal, Fermat and Huyens all gave numerical solutions to this problem
without detailing their methods,[281] and then more detailed solutions were presented by Jakob Bernoulli
and Abraham de Moivre.[282]
For random walks in -dimensional integer lattices, George Pólya published, in 1919 and 1921, work
where he studied the probability of a symmetric random walk returning to a previous position in the lattice.
Pólya showed that a symmetric random walk, which has an equal probability to advance in any direction in
the lattice, will return to a previous position in the lattice an infinite number of times with probability one in
one and two dimensions, but with probability zero in three or higher dimensions.[283][284]

Wiener process

The Wiener process or Brownian motion process has its origins in different fields including statistics,
finance and physics.[21] In 1880, Danish astronomer Thorvald Thiele wrote a paper on the method of least
squares, where he used the process to study the errors of a model in time-series analysis.[285][286][287] The
work is now considered as an early discovery of the statistical method known as Kalman filtering, but the
work was largely overlooked. It is thought that the ideas in Thiele's paper were too advanced to have been
understood by the broader mathematical and statistical community at the time.[287]

The French mathematician Louis Bachelier used a Wiener process in

his 1900 thesis[288][289] in order to model price changes on the Paris
Bourse, a stock exchange,[290] without knowing the work of
Thiele.[21] It has been speculated that Bachelier drew ideas from the
random walk model of Jules Regnault, but Bachelier did not cite
him,[291] and Bachelier's thesis is now considered pioneering in the
field of financial mathematics.[290][291]

It is commonly thought that Bachelier's work gained little attention and

was forgotten for decades until it was rediscovered in the 1950s by the
Leonard Savage, and then become more popular after Bachelier's
thesis was translated into English in 1964. But the work was never
forgotten in the mathematical community, as Bachelier published a
book in 1912 detailing his ideas,[291] which was cited by
mathematicians including Doob, Feller[291] and Kolmogorov.[21] The
book continued to be cited, but then starting in the 1960s the original
thesis by Bachelier began to be cited more than his book when
economists started citing Bachelier's work.[291]

In 1905 Albert Einstein published a paper where he studied the

physical observation of Brownian motion or movement to explain the
seemingly random movements of particles in liquids by using ideas
from the kinetic theory of gases. Einstein derived a differential Norbert Wiener gave the first
equation, known as a diffusion equation, for describing the probability mathematical proof of the
of finding a particle in a certain region of space. Shortly after Einstein's existence of the Wiener process.
first paper on Brownian movement, Marian Smoluchowski published This mathematical object had
work where he cited Einstein, but wrote that he had independently appeared previously in the work
derived the equivalent results by using a different method.[292] of Thorvald Thiele, Louis
Bachelier, and Albert Einstein.[21]
Einstein's work, as well as experimental results obtained by Jean Perrin, later inspired Norbert Wiener in the
1920s[293] to use a type of measure theory, developed by Percy Daniell, and Fourier analysis to prove the
existence of the Wiener process as a mathematical object.[21]

Poisson process

The Poisson process is named after Siméon Poisson, due to its definition involving the Poisson distribution,
but Poisson never studied the process.[22][294] There are a number of claims for early uses or discoveries of
the Poisson process.[22][24] At the beginning of the 20th century the Poisson process would arise
independently in different situations.[22][24] In Sweden 1903, Filip Lundberg published a thesis containing
work, now considered fundamental and pioneering, where he proposed to model insurance claims with a
homogeneous Poisson process.[295][296]

Another discovery occurred in Denmark in 1909 when A.K. Erlang derived the Poisson distribution when
developing a mathematical model for the number of incoming phone calls in a finite time interval. Erlang
was not at the time aware of Poisson's earlier work and assumed that the number phone calls arriving in
each interval of time were independent to each other. He then found the limiting case, which is effectively
recasting the Poisson distribution as a limit of the binomial distribution.[22]

In 1910 Ernest Rutherford and Hans Geiger published experimental results on counting alpha particles.
Motivated by their work, Harry Bateman studied the counting problem and derived Poisson probabilities as
a solution to a family of differential equations, resulting in the independent discovery of the Poisson
process.[22] After this time there were many studies and applications of the Poisson process, but its early
history is complicated, which has been explained by the various applications of the process in numerous
fields by biologists, ecologists, engineers and various physical scientists.[22]

Markov processes

Markov processes and Markov chains are named after Andrey Markov who studied Markov chains in the
early 20th century.[297] Markov was interested in studying an extension of independent random
sequences.[297] In his first paper on Markov chains, published in 1906, Markov showed that under certain
conditions the average outcomes of the Markov chain would converge to a fixed vector of values, so
proving a weak law of large numbers without the independence assumption,[298][299][300][301] which had
been commonly regarded as a requirement for such mathematical laws to hold.[301] Markov later used
Markov chains to study the distribution of vowels in Eugene Onegin, written by Alexander Pushkin, and
proved a central limit theorem for such chains.[298][299]

In 1912 Poincaré studied Markov chains on finite groups with an aim to study card shuffling. Other early
uses of Markov chains include a diffusion model, introduced by Paul and Tatyana Ehrenfest in 1907, and a
branching process, introduced by Francis Galton and Henry William Watson in 1873, preceding the work
of Markov.[299][300] After the work of Galton and Watson, it was later revealed that their branching process
had been independently discovered and studied around three decades earlier by Irénée-Jules
Bienaymé.[302] Starting in 1928, Maurice Fréchet became interested in Markov chains, eventually resulting
in him publishing in 1938 a detailed study on Markov chains.[299][303]

Andrei Kolmogorov developed in a 1931 paper a large part of the early theory of continuous-time Markov
processes.[252][258] Kolmogorov was partly inspired by Louis Bachelier's 1900 work on fluctuations in the
stock market as well as Norbert Wiener's work on Einstein's model of Brownian movement.[258][304] He
introduced and studied a particular set of Markov processes known as diffusion processes, where he
derived a set of differential equations describing the processes.[258][305] Independent of Kolmogorov's
work, Sydney Chapman derived in a 1928 paper an equation, now called the Chapman–Kolmogorov
equation, in a less mathematically rigorous way than Kolmogorov, while studying Brownian
movement.[306] The differential equations are now called the Kolmogorov equations[307] or the
Kolmogorov–Chapman equations.[308] Other mathematicians who contributed significantly to the
foundations of Markov processes include William Feller, starting in the 1930s, and then later Eugene
Dynkin, starting in the 1950s.[252]

Lévy processes

Lévy processes such as the Wiener process and the Poisson process (on the real line) are named after Paul
Lévy who started studying them in the 1930s,[225] but they have connections to infinitely divisible
distributions going back to the 1920s.[224] In a 1932 paper Kolmogorov derived a characteristic function
for random variables associated with Lévy processes. This result was later derived under more general
conditions by Lévy in 1934, and then Khinchin independently gave an alternative form for this
characteristic function in 1937.[252][309] In addition to Lévy, Khinchin and Kolomogrov, early fundamental
contributions to the theory of Lévy processes were made by Bruno de Finetti and Kiyosi Itô.[224]

Mathematical construction
In mathematics, constructions of mathematical objects are needed, which is also the case for stochastic
processes, to prove that they exist mathematically.[57] There are two main approaches for constructing a
stochastic process. One approach involves considering a measurable space of functions, defining a suitable
measurable mapping from a probability space to this measurable space of functions, and then deriving the
corresponding finite-dimensional distributions.[310]

Another approach involves defining a collection of random variables to have specific finite-dimensional
distributions, and then using Kolmogorov's existence theorem[j] to prove a corresponding stochastic process
exists.[57][310] This theorem, which is an existence theorem for measures on infinite product spaces,[314]
says that if any finite-dimensional distributions satisfy two conditions, known as consistency conditions,
then there exists a stochastic process with those finite-dimensional distributions.[57]

Construction issues

When constructing continuous-time stochastic processes certain mathematical difficulties arise, due to the
uncountable index sets, which do not occur with discrete-time processes.[58][59] One problem is that is it
possible to have more than one stochastic process with the same finite-dimensional distributions. For
example, both the left-continuous modification and the right-continuous modification of a Poisson process
have the same finite-dimensional distributions.[315] This means that the distribution of the stochastic process
does not, necessarily, specify uniquely the properties of the sample functions of the stochastic
process.[310][316]

Another problem is that functionals of continuous-time process that rely upon an uncountable number of
points of the index set may not be measurable, so the probabilities of certain events may not be well-
defined.[168] For example, the supremum of a stochastic process or random field is not necessarily a well-
defined random variable.[30][59] For a continuous-time stochastic process , other characteristics that
depend on an uncountable number of points of the index set include:[168]

a sample function of a stochastic process is a continuous function of ;

a sample function of a stochastic process is a bounded function of ; and
 a sample function of a stochastic process is an increasing function of .

To overcome these two difficulties, different assumptions and approaches are possible.[69]

Resolving construction issues

One approach for avoiding mathematical construction issues of stochastic processes, proposed by Joseph
Doob, is to assume that the stochastic process is separable.[317] Separability ensures that infinite-
dimensional distributions determine the properties of sample functions by requiring that sample functions
are essentially determined by their values on a dense countable set of points in the index set.[318]
Furthermore, if a stochastic process is separable, then functionals of an uncountable number of points of the
index set are measurable and their probabilities can be studied.[168][318]

Another approach is possible, originally developed by Anatoliy Skorokhod and Andrei Kolmogorov,[319]
for a continuous-time stochastic process with any metric space as its state space. For the construction of
such a stochastic process, it is assumed that the sample functions of the stochastic process belong to some
suitable function space, which is usually the Skorokhod space consisting of all right-continuous functions
with left limits. This approach is now more used than the separability assumption,[69][263] but such a
stochastic process based on this approach will be automatically separable.[320]
Although less used, the separability assumption is considered more general because every stochastic
process has a separable version.[263] It is also used when it is not possible to construct a stochastic process
in a Skorokhod space.[173] For example, separability is assumed when constructing and studying random
fields, where the collection of random variables is now indexed by sets other than the real line such as -
dimensional Euclidean space.[30][321]

See also
List of stochastic processes topics
Covariance function
Deterministic system
Dynamics of Markovian particles
Entropy rate (for a stochastic process)
Ergodic process
Gillespie algorithm
Interacting particle system
Law (stochastic processes)
Markov chain
Stochastic cellular automaton
Random field
Randomness
Stationary process
Statistical model
Stochastic calculus
Stochastic control
Stochastic parrot
Stochastic processes and boundary value problems

Notes
a. The term Brownian motion can refer to the physical process, also known as Brownian
movement, and the stochastic process, a mathematical object, but to avoid ambiguity this
article uses the terms Brownian motion process or Wiener process for the latter in a style
similar to, for example, Gikhman and Skorokhod[19] or Rosenblatt.[20]
b. The term "separable" appears twice here with two different meanings, where the first
meaning is from probability and the second from topology and analysis. For a stochastic
process to be separable (in a probabilistic sense), its index set must be a separable space
(in a topological or analytic sense), in addition to other conditions.[136]
c. The definition of separability for a continuous-time real-valued stochastic process can be
stated in other ways.[172][173]
d. In the context of point processes, the term "state space" can mean the space on which the
point process is defined such as the real line,[234][235] which corresponds to the index set in
stochastic process terminology.
e. Also known as James or Jacques Bernoulli.[245]
f. It has been remarked that a notable exception was the St Petersburg School in Russia,
where mathematicians led by Chebyshev studied probability theory.[250]
 g. The name Khinchin is also written in (or transliterated into) English as Khintchine.[63]
h. Doob, when citing Khinchin, uses the term 'chance variable', which used to be an alternative
term for 'random variable'.[261]
i. Later translated into English and published in 1950 as Foundations of the Theory of
Probability[249]
j. The theorem has other names including Kolmogorov's consistency theorem,[311]
Kolmogorov's extension theorem[312] or the Daniell–Kolmogorov theorem.[313]

References
1. Joseph L. Doob (1990). Stochastic processes (https://books.google.com/books?id=7Bu8jgE
ACAAJ). Wiley. pp. 46, 47.
2. L. C. G. Rogers; David Williams (2000). Diffusions, Markov Processes, and Martingales:
Volume 1, Foundations (https://books.google.com/books?id=W0ydAgAAQBAJ&pg=PA1).
Cambridge University Press. p. 1. ISBN 978-1-107-71749-7.
3. J. Michael Steele (2012). Stochastic Calculus and Financial Applications (https://books.goog
le.com/books?id=fsgkBAAAQBAJ&pg=PR4). Springer Science & Business Media. p. 29.
ISBN 978-1-4684-9305-4.
4. Emanuel Parzen (2015). Stochastic Processes (https://books.google.com/books?id=0mB2C
QAAQBAJ). Courier Dover Publications. pp. 7, 8. ISBN 978-0-486-79688-8.
5. Iosif Ilyich Gikhman; Anatoly Vladimirovich Skorokhod (1969). Introduction to the Theory of
Random Processes (https://books.google.com/books?id=q0lo91imeD0C). Courier
Corporation. p. 1. ISBN 978-0-486-69387-3.
6. Bressloff, Paul C. (2014). Stochastic Processes in Cell Biology (https://books.google.com/bo
oks?id=SwZYBAAAQBAJ). Springer. ISBN 978-3-319-08488-6.
7. Van Kampen, N. G. (2011). Stochastic Processes in Physics and Chemistry (https://books.go
ogle.com/books?id=N6II-6HlPxEC). Elsevier. ISBN 978-0-08-047536-3.
8. Lande, Russell; Engen, Steinar; Sæther, Bernt-Erik (2003). Stochastic Population Dynamics
in Ecology and Conservation (https://books.google.com/books?id=6KClauq8OekC). Oxford
University Press. ISBN 978-0-19-852525-7.
9. Laing, Carlo; Lord, Gabriel J. (2010). Stochastic Methods in Neuroscience (https://books.goo
gle.com/books?id=RaYSDAAAQBAJ). Oxford University Press. ISBN 978-0-19-923507-0.
10. Paul, Wolfgang; Baschnagel, Jörg (2013). Stochastic Processes: From Physics to Finance
(https://books.google.com/books?id=OWANAAAAQBAJ). Springer Science+Business
Media. ISBN 978-3-319-00327-6.
11. Dougherty, Edward R. (1999). Random processes for image and signal processing (https://b
ooks.google.com/books?id=ePxDAQAAIAAJ). SPIE Optical Engineering Press. ISBN 978-
0-8194-2513-3.
12. Bertsekas, Dimitri P. (1996). Stochastic Optimal Control: The Discrete-Time Case (https://ath
enasc.com/socbook.html). Athena Scientific. ISBN 1-886529-03-5.
13. Thomas M. Cover; Joy A. Thomas (2012). Elements of Information Theory (https://books.goo
gle.com/books?id=VWq5GG6ycxMC). John Wiley & Sons. p. 71. ISBN 978-1-118-58577-1.
14. Baron, Michael (2015). Probability and Statistics for Computer Scientists (https://books.googl
e.com/books?id=CwQZCwAAQBAJ) (2nd ed.). CRC Press. p. 131. ISBN 978-1-4987-6060-
7.
15. Baccelli, François; Blaszczyszyn, Bartlomiej (2009). Stochastic Geometry and Wireless
Networks (https://books.google.com/books?id=H3ZkTN2pYS4C). Now Publishers Inc.
ISBN 978-1-60198-264-3.
16. Steele, J. Michael (2001). Stochastic Calculus and Financial Applications (https://books.goo
gle.com/books?id=H06xzeRQgV4C). Springer Science+Business Media. ISBN 978-0-387-
95016-7.
17. Musiela, Marek; Rutkowski, Marek (2006). Martingale Methods in Financial Modelling (http
s://books.google.com/books?id=iojEts9YAxIC). Springer Science+Business Media.
ISBN 978-3-540-26653-2.
18. Shreve, Steven E. (2004). Stochastic Calculus for Finance II: Continuous-Time Models (http
s://books.google.com/books?id=O8kD1NwQBsQC). Springer Science+Business Media.
ISBN 978-0-387-40101-0.
19. Iosif Ilyich Gikhman; Anatoly Vladimirovich Skorokhod (1969). Introduction to the Theory of
Random Processes (https://books.google.com/books?id=yJyLzG7N7r8C). Courier
Corporation. ISBN 978-0-486-69387-3.
20. Murray Rosenblatt (1962). Random Processes (https://archive.org/details/randomprocesses
00rose_0). Oxford University Press.
21. Jarrow, Robert; Protter, Philip (2004). "A short history of stochastic integration and
mathematical finance: the early years, 1880–1970". A Festschrift for Herman Rubin. Institute
of Mathematical Statistics Lecture Notes - Monograph Series. pp. 75–80.
CiteSeerX 10.1.1.114.632 (https://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.114.6
32). doi:10.1214/lnms/1196285381 (https://doi.org/10.1214%2Flnms%2F1196285381).
ISBN 978-0-940600-61-4. ISSN 0749-2170 (https://www.worldcat.org/issn/0749-2170).
22. Stirzaker, David (2000). "Advice to Hedgehogs, or, Constants Can Vary". The Mathematical
Gazette. 84 (500): 197–210. doi:10.2307/3621649 (https://doi.org/10.2307%2F3621649).
ISSN 0025-5572 (https://www.worldcat.org/issn/0025-5572). JSTOR 3621649 (https://www.j
stor.org/stable/3621649). S2CID 125163415 (https://api.semanticscholar.org/CorpusID:1251
63415).
23. Donald L. Snyder; Michael I. Miller (2012). Random Point Processes in Time and Space (htt
ps://books.google.com/books?id=c_3UBwAAQBAJ). Springer Science & Business Media.
p. 32. ISBN 978-1-4612-3166-0.
24. Guttorp, Peter; Thorarinsdottir, Thordis L. (2012). "What Happened to Discrete Chaos, the
Quenouille Process, and the Sharp Markov Property? Some History of Stochastic Point
Processes". International Statistical Review. 80 (2): 253–268. doi:10.1111/j.1751-
5823.2012.00181.x (https://doi.org/10.1111%2Fj.1751-5823.2012.00181.x). ISSN 0306-
7734 (https://www.worldcat.org/issn/0306-7734). S2CID 80836 (https://api.semanticscholar.o
rg/CorpusID:80836).
25. Gusak, Dmytro; Kukush, Alexander; Kulik, Alexey; Mishura, Yuliya; Pilipenko, Andrey (2010).
Theory of Stochastic Processes: With Applications to Financial Mathematics and Risk
Theory (https://books.google.com/books?id=8Nzn51YTbX4C). Springer Science &
Business Media. p. 21. ISBN 978-0-387-87862-1.
26. Valeriy Skorokhod (2005). Basic Principles and Applications of Probability Theory (https://bo
oks.google.com/books?id=dQkYMjRK3fYC). Springer Science & Business Media. p. 42.
ISBN 978-3-540-26312-8.
27. Olav Kallenberg (2002). Foundations of Modern Probability (https://books.google.com/book
s?id=L6fhXh13OyMC). Springer Science & Business Media. pp. 24–25. ISBN 978-0-387-
95313-7.
28. John Lamperti (1977). Stochastic processes: a survey of the mathematical theory (https://boo
ks.google.com/books?id=Pd4cvgAACAAJ). Springer-Verlag. pp. 1–2. ISBN 978-3-540-
90275-1.
29. Loïc Chaumont; Marc Yor (2012). Exercises in Probability: A Guided Tour from Measure
Theory to Random Processes, Via Conditioning (https://books.google.com/books?id=1dcqV
9mtQloC&pg=PR4). Cambridge University Press. p. 175. ISBN 978-1-107-60655-5.
30. Robert J. Adler; Jonathan E. Taylor (2009). Random Fields and Geometry (https://books.goo
gle.com/books?id=R5BGvQ3ejloC). Springer Science & Business Media. pp. 7–8.
ISBN 978-0-387-48116-6.
31. Gregory F. Lawler; Vlada Limic (2010). Random Walk: A Modern Introduction (https://books.g
oogle.com/books?id=UBQdwAZDeOEC). Cambridge University Press. ISBN 978-1-139-
48876-1.
32. David Williams (1991). Probability with Martingales (https://books.google.com/books?id=e9s
aZ0YSi-AC). Cambridge University Press. ISBN 978-0-521-40605-5.
33. L. C. G. Rogers; David Williams (2000). Diffusions, Markov Processes, and Martingales:
Volume 1, Foundations (https://books.google.com/books?id=W0ydAgAAQBAJ&pg=PA1).
Cambridge University Press. ISBN 978-1-107-71749-7.
34. David Applebaum (2004). Lévy Processes and Stochastic Calculus (https://books.google.co
m/books?id=q7eDUjdJxIkC). Cambridge University Press. ISBN 978-0-521-83263-2.
35. Mikhail Lifshits (2012). Lectures on Gaussian Processes (https://books.google.com/books?id
=03m2UxI-UYMC). Springer Science & Business Media. ISBN 978-3-642-24939-6.
36. Robert J. Adler (2010). The Geometry of Random Fields (https://books.google.com/books?id
=ryejJmJAj28C&pg=PA1). SIAM. ISBN 978-0-89871-693-1.
37. Samuel Karlin; Howard E. Taylor (2012). A First Course in Stochastic Processes (https://boo
ks.google.com/books?id=dSDxjX9nmmMC). Academic Press. ISBN 978-0-08-057041-9.
38. Bruce Hajek (2015). Random Processes for Engineers (https://books.google.com/books?id=
Owy0BgAAQBAJ). Cambridge University Press. ISBN 978-1-316-24124-0.
39. G. Latouche; V. Ramaswami (1999). Introduction to Matrix Analytic Methods in Stochastic
Modeling (https://books.google.com/books?id=Kan2ki8jqzgC). SIAM. ISBN 978-0-89871-
425-8.
40. D.J. Daley; David Vere-Jones (2007). An Introduction to the Theory of Point Processes:
Volume II: General Theory and Structure (https://books.google.com/books?id=nPENXKw5k
wcC). Springer Science & Business Media. ISBN 978-0-387-21337-8.
41. Patrick Billingsley (2008). Probability and Measure (https://books.google.com/books?id=Qy
XqOXyxEeIC). Wiley India Pvt. Limited. ISBN 978-81-265-1771-8.
42. Pierre Brémaud (2014). Fourier Analysis and Stochastic Processes (https://books.google.co
m/books?id=dP2JBAAAQBAJ&pg=PA1). Springer. ISBN 978-3-319-09590-5.
43. Adam Bobrowski (2005). Functional Analysis for Probability and Stochastic Processes: An
Introduction (https://books.google.com/books?id=q7dR3d5nqaUC). Cambridge University
Press. ISBN 978-0-521-83166-6.
44. Applebaum, David (2004). "Lévy processes: From probability to finance and quantum
groups". Notices of the AMS. 51 (11): 1336–1347.
45. Jochen Blath; Peter Imkeller; Sylvie Roelly (2011). Surveys in Stochastic Processes (https://
books.google.com/books?id=CyK6KAjwdYkC). European Mathematical Society. ISBN 978-
3-03719-072-2.
46. Michel Talagrand (2014). Upper and Lower Bounds for Stochastic Processes: Modern
Methods and Classical Problems (https://books.google.com/books?id=tfa5BAAAQBAJ&pg=
PR4). Springer Science & Business Media. pp. 4–. ISBN 978-3-642-54075-2.
47. Paul C. Bressloff (2014). Stochastic Processes in Cell Biology (https://books.google.com/bo
oks?id=SwZYBAAAQBAJ&pg=PA1). Springer. pp. vii–ix. ISBN 978-3-319-08488-6.
48. Samuel Karlin; Howard E. Taylor (2012). A First Course in Stochastic Processes (https://boo
ks.google.com/books?id=dSDxjX9nmmMC). Academic Press. p. 27. ISBN 978-0-08-
057041-9.
49. Applebaum, David (2004). "Lévy processes: From probability to finance and quantum
groups". Notices of the AMS. 51 (11): 1337.
50. L. C. G. Rogers; David Williams (2000). Diffusions, Markov Processes, and Martingales:
Volume 1, Foundations (https://books.google.com/books?id=W0ydAgAAQBAJ&pg=PA1).
Cambridge University Press. pp. 121–124. ISBN 978-1-107-71749-7.
51. Ionut Florescu (2014). Probability and Stochastic Processes (https://books.google.com/book
s?id=Z5xEBQAAQBAJ&pg=PR22). John Wiley & Sons. pp. 294, 295. ISBN 978-1-118-
59320-2.
52. Samuel Karlin; Howard E. Taylor (2012). A First Course in Stochastic Processes (https://boo
ks.google.com/books?id=dSDxjX9nmmMC). Academic Press. p. 26. ISBN 978-0-08-
057041-9.
53. Donald L. Snyder; Michael I. Miller (2012). Random Point Processes in Time and Space (htt
ps://books.google.com/books?id=c_3UBwAAQBAJ). Springer Science & Business Media.
pp. 24, 25. ISBN 978-1-4612-3166-0.
54. Patrick Billingsley (2008). Probability and Measure (https://books.google.com/books?id=Qy
XqOXyxEeIC). Wiley India Pvt. Limited. p. 482. ISBN 978-81-265-1771-8.
55. Alexander A. Borovkov (2013). Probability Theory (https://books.google.com/books?id=hRk_
AAAAQBAJ). Springer Science & Business Media. p. 527. ISBN 978-1-4471-5201-9.
56. Pierre Brémaud (2014). Fourier Analysis and Stochastic Processes (https://books.google.co
m/books?id=dP2JBAAAQBAJ&pg=PA1). Springer. p. 120. ISBN 978-3-319-09590-5.
57. Jeffrey S Rosenthal (2006). A First Look at Rigorous Probability Theory (https://books.googl
e.com/books?id=am1IDQAAQBAJ). World Scientific Publishing Co Inc. pp. 177–178.
ISBN 978-981-310-165-4.
58. Peter E. Kloeden; Eckhard Platen (2013). Numerical Solution of Stochastic Differential
Equations (https://books.google.com/books?id=r9r6CAAAQBAJ). Springer Science &
Business Media. p. 63. ISBN 978-3-662-12616-5.
59. Davar Khoshnevisan (2006). Multiparameter Processes: An Introduction to Random Fields
(https://books.google.com/books?id=XADpBwAAQBAJ). Springer Science & Business
Media. pp. 153–155. ISBN 978-0-387-21631-7.
60. "Stochastic" (https://oed.com/search?searchType=dictionary&q=Stochastic). Oxford English
Dictionary (Online ed.). Oxford University Press. (Subscription or participating institution
membership (https://www.oed.com/public/login/loggingin#withyourlibrary) required.)
61. O. B. Sheĭnin (2006). Theory of probability and statistics as exemplified in short dictums (http
s://books.google.com/books?id=XqMZAQAAIAAJ). NG Verlag. p. 5. ISBN 978-3-938417-40-
9.
62. Oscar Sheynin; Heinrich Strecker (2011). Alexandr A. Chuprov: Life, Work, Correspondence
(https://books.google.com/books?id=1EJZqFIGxBIC&pg=PA9). V&R unipress GmbH.
p. 136. ISBN 978-3-89971-812-6.
63. Doob, Joseph (1934). "Stochastic Processes and Statistics" (https://www.ncbi.nlm.nih.gov/p
mc/articles/PMC1076423). Proceedings of the National Academy of Sciences of the United
States of America. 20 (6): 376–379. Bibcode:1934PNAS...20..376D (https://ui.adsabs.harvar
d.edu/abs/1934PNAS...20..376D). doi:10.1073/pnas.20.6.376 (https://doi.org/10.1073%2Fpn
as.20.6.376). PMC 1076423 (https://www.ncbi.nlm.nih.gov/pmc/articles/PMC1076423).
PMID 16587907 (https://pubmed.ncbi.nlm.nih.gov/16587907).
64. Khintchine, A. (1934). "Korrelationstheorie der stationeren stochastischen Prozesse".
Mathematische Annalen. 109 (1): 604–615. doi:10.1007/BF01449156 (https://doi.org/10.100
7%2FBF01449156). ISSN 0025-5831 (https://www.worldcat.org/issn/0025-5831).
S2CID 122842868 (https://api.semanticscholar.org/CorpusID:122842868).
65. Kolmogoroff, A. (1931). "Über die analytischen Methoden in der
Wahrscheinlichkeitsrechnung". Mathematische Annalen. 104 (1): 1.
doi:10.1007/BF01457949 (https://doi.org/10.1007%2FBF01457949). ISSN 0025-5831 (http
s://www.worldcat.org/issn/0025-5831). S2CID 119439925 (https://api.semanticscholar.org/C
orpusID:119439925).
66. "Random" (https://oed.com/search?searchType=dictionary&q=Random). Oxford English
Dictionary (Online ed.). Oxford University Press. (Subscription or participating institution
membership (https://www.oed.com/public/login/loggingin#withyourlibrary) required.)
67. Bert E. Fristedt; Lawrence F. Gray (2013). A Modern Approach to Probability Theory (https://b
ooks.google.com/books?id=9xT3BwAAQBAJ&pg=PA716). Springer Science & Business
Media. p. 580. ISBN 978-1-4899-2837-5.
68. L. C. G. Rogers; David Williams (2000). Diffusions, Markov Processes, and Martingales:
Volume 1, Foundations (https://books.google.com/books?id=W0ydAgAAQBAJ&pg=PA1).
Cambridge University Press. pp. 121, 122. ISBN 978-1-107-71749-7.
69. Søren Asmussen (2003). Applied Probability and Queues (https://books.google.com/books?i
d=BeYaTxesKy0C). Springer Science & Business Media. p. 408. ISBN 978-0-387-00211-8.
70. David Stirzaker (2005). Stochastic Processes and Models (https://books.google.com/books?
id=0avUelS7e7cC). Oxford University Press. p. 45. ISBN 978-0-19-856814-8.
71. Murray Rosenblatt (1962). Random Processes (https://archive.org/details/randomprocesses
00rose_0). Oxford University Press. p. 91 (https://archive.org/details/randomprocesses00ros
e_0/page/91).
72. John A. Gubner (2006). Probability and Random Processes for Electrical and Computer
Engineers (https://books.google.com/books?id=pa20eZJe4LIC). Cambridge University
Press. p. 383. ISBN 978-1-139-45717-0.
73. Kiyosi Itō (2006). Essentials of Stochastic Processes (https://books.google.com/books?id=p
Y5_DkvI-CcC&pg=PR4). American Mathematical Soc. p. 13. ISBN 978-0-8218-3898-3.
74. M. Loève (1978). Probability Theory II (https://books.google.com/books?id=1y229yBbULIC).
Springer Science & Business Media. p. 163. ISBN 978-0-387-90262-3.
75. Pierre Brémaud (2014). Fourier Analysis and Stochastic Processes (https://books.google.co
m/books?id=dP2JBAAAQBAJ&pg=PA1). Springer. p. 133. ISBN 978-3-319-09590-5.
76. Gusak et al. (2010), p. 1
77. Richard F. Bass (2011). Stochastic Processes (https://books.google.com/books?id=Ll0T7PIk
cKMC). Cambridge University Press. p. 1. ISBN 978-1-139-50147-7.
78. ,John Lamperti (1977). Stochastic processes: a survey of the mathematical theory (https://bo
oks.google.com/books?id=Pd4cvgAACAAJ). Springer-Verlag. p. 3. ISBN 978-3-540-90275-
1.
79. Fima C. Klebaner (2005). Introduction to Stochastic Calculus with Applications (https://book
s.google.com/books?id=JYzW0uqQxB0C). Imperial College Press. p. 55. ISBN 978-1-
86094-555-7.
80. Ionut Florescu (2014). Probability and Stochastic Processes (https://books.google.com/book
s?id=Z5xEBQAAQBAJ&pg=PR22). John Wiley & Sons. p. 293. ISBN 978-1-118-59320-2.
81. Florescu, Ionut (2014). Probability and Stochastic Processes (https://books.google.com/book
s?id=Z5xEBQAAQBAJ&pg=PR22). John Wiley & Sons. p. 301. ISBN 978-1-118-59320-2.
82. Bertsekas, Dimitri P.; Tsitsiklis, John N. (2002). Introduction to Probability (https://books.goog
le.com/books?id=bcHaAAAAMAAJ). Athena Scientific. p. 273. ISBN 978-1-886529-40-3.
83. Ibe, Oliver C. (2013). Elements of Random Walk and Diffusion Processes (https://books.goo
gle.com/books?id=DUqaAAAAQBAJ&pg=PT10). John Wiley & Sons. p. 11. ISBN 978-1-
118-61793-9.
 84. Achim Klenke (2013). Probability Theory: A Comprehensive Course (https://books.google.co
m/books?id=aqURswEACAAJ). Springer. p. 347. ISBN 978-1-4471-5362-7.
85. Gregory F. Lawler; Vlada Limic (2010). Random Walk: A Modern Introduction (https://books.g
oogle.com/books?id=UBQdwAZDeOEC). Cambridge University Press. p. 1. ISBN 978-1-
139-48876-1.
86. Olav Kallenberg (2002). Foundations of Modern Probability (https://books.google.com/book
s?id=L6fhXh13OyMC). Springer Science & Business Media. p. 136. ISBN 978-0-387-
95313-7.
87. Ionut Florescu (2014). Probability and Stochastic Processes (https://books.google.com/book
s?id=Z5xEBQAAQBAJ&pg=PR22). John Wiley & Sons. p. 383. ISBN 978-1-118-59320-2.
88. Rick Durrett (2010). Probability: Theory and Examples (https://books.google.com/books?id=
evbGTPhuvSoC). Cambridge University Press. p. 277. ISBN 978-1-139-49113-6.
89. Weiss, George H. (2006). "Random Walks". Encyclopedia of Statistical Sciences. p. 1.
doi:10.1002/0471667196.ess2180.pub2 (https://doi.org/10.1002%2F0471667196.ess2180.p
ub2). ISBN 978-0471667193.
90. Aris Spanos (1999). Probability Theory and Statistical Inference: Econometric Modeling with
Observational Data (https://books.google.com/books?id=G0_HxBubGAwC). Cambridge
University Press. p. 454. ISBN 978-0-521-42408-0.
91. Fima C. Klebaner (2005). Introduction to Stochastic Calculus with Applications (https://book
s.google.com/books?id=JYzW0uqQxB0C). Imperial College Press. p. 81. ISBN 978-1-
86094-555-7.
92. Allan Gut (2012). Probability: A Graduate Course (https://books.google.com/books?id=XDFA
-n_M5hMC). Springer Science & Business Media. p. 88. ISBN 978-1-4614-4708-5.
93. Geoffrey Grimmett; David Stirzaker (2001). Probability and Random Processes (https://book
s.google.com/books?id=G3ig-0M4wSIC). OUP Oxford. p. 71. ISBN 978-0-19-857222-0.
94. Fima C. Klebaner (2005). Introduction to Stochastic Calculus with Applications (https://book
s.google.com/books?id=JYzW0uqQxB0C). Imperial College Press. p. 56. ISBN 978-1-
86094-555-7.
95. Brush, Stephen G. (1968). "A history of random processes". Archive for History of Exact
Sciences. 5 (1): 1–2. doi:10.1007/BF00328110 (https://doi.org/10.1007%2FBF00328110).
ISSN 0003-9519 (https://www.worldcat.org/issn/0003-9519). S2CID 117623580 (https://api.s
emanticscholar.org/CorpusID:117623580).
96. Applebaum, David (2004). "Lévy processes: From probability to finance and quantum
groups". Notices of the AMS. 51 (11): 1338.
97. Iosif Ilyich Gikhman; Anatoly Vladimirovich Skorokhod (1969). Introduction to the Theory of
Random Processes (https://books.google.com/books?id=yJyLzG7N7r8C&pg=PR2). Courier
Corporation. p. 21. ISBN 978-0-486-69387-3.
98. Ionut Florescu (2014). Probability and Stochastic Processes (https://books.google.com/book
s?id=Z5xEBQAAQBAJ&pg=PR22). John Wiley & Sons. p. 471. ISBN 978-1-118-59320-2.
99. Samuel Karlin; Howard E. Taylor (2012). A First Course in Stochastic Processes (https://boo
ks.google.com/books?id=dSDxjX9nmmMC). Academic Press. pp. 21, 22. ISBN 978-0-08-
057041-9.
100. Ioannis Karatzas; Steven Shreve (1991). Brownian Motion and Stochastic Calculus (https://b
ooks.google.com/books?id=w0SgBQAAQBAJ&pg=PT5). Springer. p. VIII. ISBN 978-1-
4612-0949-2.
101. Daniel Revuz; Marc Yor (2013). Continuous Martingales and Brownian Motion (https://book
s.google.com/books?id=OYbnCAAAQBAJ). Springer Science & Business Media. p. IX.
ISBN 978-3-662-06400-9.
102. Jeffrey S Rosenthal (2006). A First Look at Rigorous Probability Theory (https://books.googl
e.com/books?id=am1IDQAAQBAJ). World Scientific Publishing Co Inc. p. 186. ISBN 978-
981-310-165-4.
103. Donald L. Snyder; Michael I. Miller (2012). Random Point Processes in Time and Space (htt
ps://books.google.com/books?id=c_3UBwAAQBAJ). Springer Science & Business Media.
p. 33. ISBN 978-1-4612-3166-0.
104. J. Michael Steele (2012). Stochastic Calculus and Financial Applications (https://books.goog
le.com/books?id=fsgkBAAAQBAJ&pg=PR4). Springer Science & Business Media. p. 118.
ISBN 978-1-4684-9305-4.
105. Peter Mörters; Yuval Peres (2010). Brownian Motion (https://books.google.com/books?id=e-
TbA-dSrzYC). Cambridge University Press. pp. 1, 3. ISBN 978-1-139-48657-6.
106. Ioannis Karatzas; Steven Shreve (1991). Brownian Motion and Stochastic Calculus (https://b
ooks.google.com/books?id=w0SgBQAAQBAJ&pg=PT5). Springer. p. 78. ISBN 978-1-4612-
0949-2.
107. Ioannis Karatzas; Steven Shreve (1991). Brownian Motion and Stochastic Calculus (https://b
ooks.google.com/books?id=w0SgBQAAQBAJ&pg=PT5). Springer. p. 61. ISBN 978-1-4612-
0949-2.
108. Steven E. Shreve (2004). Stochastic Calculus for Finance II: Continuous-Time Models (http
s://books.google.com/books?id=O8kD1NwQBsQC). Springer Science & Business Media.
p. 93. ISBN 978-0-387-40101-0.
109. Olav Kallenberg (2002). Foundations of Modern Probability (https://books.google.com/book
s?id=L6fhXh13OyMC). Springer Science & Business Media. pp. 225, 260. ISBN 978-0-387-
95313-7.
110. Ioannis Karatzas; Steven Shreve (1991). Brownian Motion and Stochastic Calculus (https://b
ooks.google.com/books?id=w0SgBQAAQBAJ&pg=PT5). Springer. p. 70. ISBN 978-1-4612-
0949-2.
111. Peter Mörters; Yuval Peres (2010). Brownian Motion (https://books.google.com/books?id=e-
TbA-dSrzYC). Cambridge University Press. p. 131. ISBN 978-1-139-48657-6.
112. Fima C. Klebaner (2005). Introduction to Stochastic Calculus with Applications (https://book
s.google.com/books?id=JYzW0uqQxB0C). Imperial College Press. ISBN 978-1-86094-555-
7.
113. Ioannis Karatzas; Steven Shreve (1991). Brownian Motion and Stochastic Calculus (https://b
ooks.google.com/books?id=w0SgBQAAQBAJ&pg=PT5). Springer. ISBN 978-1-4612-0949-
2.
114. Applebaum, David (2004). "Lévy processes: From probability to finance and quantum
groups". Notices of the AMS. 51 (11): 1341.
115. Samuel Karlin; Howard E. Taylor (2012). A First Course in Stochastic Processes (https://boo
ks.google.com/books?id=dSDxjX9nmmMC). Academic Press. p. 340. ISBN 978-0-08-
057041-9.
116. Fima C. Klebaner (2005). Introduction to Stochastic Calculus with Applications (https://book
s.google.com/books?id=JYzW0uqQxB0C). Imperial College Press. p. 124. ISBN 978-1-
86094-555-7.
117. Ioannis Karatzas; Steven Shreve (1991). Brownian Motion and Stochastic Calculus (https://b
ooks.google.com/books?id=w0SgBQAAQBAJ&pg=PT5). Springer. p. 47. ISBN 978-1-4612-
0949-2.
118. Ubbo F. Wiersema (2008). Brownian Motion Calculus (https://books.google.com/books?id=0
h-n0WWuD9cC). John Wiley & Sons. p. 2. ISBN 978-0-470-02171-2.
119. Henk C. Tijms (2003). A First Course in Stochastic Models (https://books.google.com/books?
id=eBeNngEACAAJ). Wiley. pp. 1, 2. ISBN 978-0-471-49881-0.
120. D.J. Daley; D. Vere-Jones (2006). An Introduction to the Theory of Point Processes: Volume
I: Elementary Theory and Methods (https://books.google.com/books?id=6Sv4BwAAQBAJ).
Springer Science & Business Media. pp. 19–36. ISBN 978-0-387-21564-8.
121. Mark A. Pinsky; Samuel Karlin (2011). An Introduction to Stochastic Modeling (https://books.
google.com/books?id=PqUmjp7k1kEC). Academic Press. p. 241. ISBN 978-0-12-381416-6.
122. J. F. C. Kingman (1992). Poisson Processes (https://books.google.com/books?id=VEiM-Otw
DHkC). Clarendon Press. p. 38. ISBN 978-0-19-159124-2.
123. D.J. Daley; D. Vere-Jones (2006). An Introduction to the Theory of Point Processes: Volume
I: Elementary Theory and Methods (https://books.google.com/books?id=6Sv4BwAAQBAJ).
Springer Science & Business Media. p. 19. ISBN 978-0-387-21564-8.
124. J. F. C. Kingman (1992). Poisson Processes (https://books.google.com/books?id=VEiM-Otw
DHkC). Clarendon Press. p. 22. ISBN 978-0-19-159124-2.
125. Samuel Karlin; Howard E. Taylor (2012). A First Course in Stochastic Processes (https://boo
ks.google.com/books?id=dSDxjX9nmmMC). Academic Press. pp. 118, 119. ISBN 978-0-08-
057041-9.
126. Leonard Kleinrock (1976). Queueing Systems: Theory (https://archive.org/details/queueings
ystems00klei). Wiley. p. 61 (https://archive.org/details/queueingsystems00klei/page/61).
ISBN 978-0-471-49110-1.
127. Murray Rosenblatt (1962). Random Processes (https://archive.org/details/randomprocesses
00rose_0). Oxford University Press. p. 94 (https://archive.org/details/randomprocesses00ros
e_0/page/94).
128. Martin Haenggi (2013). Stochastic Geometry for Wireless Networks (https://books.google.co
m/books?id=CLtDhblwWEgC). Cambridge University Press. pp. 10, 18. ISBN 978-1-107-
01469-5.
129. Sung Nok Chiu; Dietrich Stoyan; Wilfrid S. Kendall; Joseph Mecke (2013). Stochastic
Geometry and Its Applications (https://books.google.com/books?id=825NfM6Nc-EC). John
Wiley & Sons. pp. 41, 108. ISBN 978-1-118-65825-3.
130. J. F. C. Kingman (1992). Poisson Processes (https://books.google.com/books?id=VEiM-Otw
DHkC). Clarendon Press. p. 11. ISBN 978-0-19-159124-2.
131. Roy L. Streit (2010). Poisson Point Processes: Imaging, Tracking, and Sensing (https://book
s.google.com/books?id=KAWmFYUJ5zsC&pg=PA11). Springer Science & Business Media.
p. 1. ISBN 978-1-4419-6923-1.
132. J. F. C. Kingman (1992). Poisson Processes (https://books.google.com/books?id=VEiM-Otw
DHkC). Clarendon Press. p. v. ISBN 978-0-19-159124-2.
133. Alexander A. Borovkov (2013). Probability Theory (https://books.google.com/books?id=hRk_
AAAAQBAJ). Springer Science & Business Media. p. 528. ISBN 978-1-4471-5201-9.
134. Georg Lindgren; Holger Rootzen; Maria Sandsten (2013). Stationary Stochastic Processes
for Scientists and Engineers (https://books.google.com/books?id=FYJFAQAAQBAJ&pg=PR
1). CRC Press. p. 11. ISBN 978-1-4665-8618-5.
135. Aumann, Robert (December 1961). "Borel structures for function spaces" (https://doi.org/10.1
215%2Fijm%2F1255631584). Illinois Journal of Mathematics. 5 (4).
doi:10.1215/ijm/1255631584 (https://doi.org/10.1215%2Fijm%2F1255631584).
S2CID 117171116 (https://api.semanticscholar.org/CorpusID:117171116).
136. Valeriy Skorokhod (2005). Basic Principles and Applications of Probability Theory (https://bo
oks.google.com/books?id=dQkYMjRK3fYC). Springer Science & Business Media. pp. 93,
94. ISBN 978-3-540-26312-8.
137. Donald L. Snyder; Michael I. Miller (2012). Random Point Processes in Time and Space (htt
ps://books.google.com/books?id=c_3UBwAAQBAJ). Springer Science & Business Media.
p. 25. ISBN 978-1-4612-3166-0.
138. Valeriy Skorokhod (2005). Basic Principles and Applications of Probability Theory (https://bo
oks.google.com/books?id=dQkYMjRK3fYC). Springer Science & Business Media. p. 104.
ISBN 978-3-540-26312-8.
139. Ionut Florescu (2014). Probability and Stochastic Processes (https://books.google.com/book
s?id=Z5xEBQAAQBAJ&pg=PR22). John Wiley & Sons. p. 296. ISBN 978-1-118-59320-2.
140. Patrick Billingsley (2008). Probability and Measure (https://books.google.com/books?id=Qy
XqOXyxEeIC). Wiley India Pvt. Limited. p. 493. ISBN 978-81-265-1771-8.
141. Bernt Øksendal (2003). Stochastic Differential Equations: An Introduction with Applications
(https://books.google.com/books?id=VgQDWyihxKYC). Springer Science & Business
Media. p. 10. ISBN 978-3-540-04758-2.
142. Peter K. Friz; Nicolas B. Victoir (2010). Multidimensional Stochastic Processes as Rough
Paths: Theory and Applications (https://books.google.com/books?id=CVgwLatxfGsC).
Cambridge University Press. p. 571. ISBN 978-1-139-48721-4.
143. Sidney I. Resnick (2013). Adventures in Stochastic Processes (https://books.google.com/bo
oks?id=VQrpBwAAQBAJ). Springer Science & Business Media. pp. 40–41. ISBN 978-1-
4612-0387-2.
144. Ward Whitt (2006). Stochastic-Process Limits: An Introduction to Stochastic-Process Limits
and Their Application to Queues (https://books.google.com/books?id=LkQOBwAAQBAJ&pg
=PR5). Springer Science & Business Media. p. 23. ISBN 978-0-387-21748-2.
145. David Applebaum (2004). Lévy Processes and Stochastic Calculus (https://books.google.co
m/books?id=q7eDUjdJxIkC). Cambridge University Press. p. 4. ISBN 978-0-521-83263-2.
146. Daniel Revuz; Marc Yor (2013). Continuous Martingales and Brownian Motion (https://book
s.google.com/books?id=OYbnCAAAQBAJ). Springer Science & Business Media. p. 10.
ISBN 978-3-662-06400-9.
147. L. C. G. Rogers; David Williams (2000). Diffusions, Markov Processes, and Martingales:
Volume 1, Foundations (https://books.google.com/books?id=W0ydAgAAQBAJ&pg=PA356).
Cambridge University Press. p. 123. ISBN 978-1-107-71749-7.
148. John Lamperti (1977). Stochastic processes: a survey of the mathematical theory (https://boo
ks.google.com/books?id=Pd4cvgAACAAJ). Springer-Verlag. pp. 6 and 7. ISBN 978-3-540-
90275-1.
149. Iosif I. Gikhman; Anatoly Vladimirovich Skorokhod (1969). Introduction to the Theory of
Random Processes (https://books.google.com/books?id=yJyLzG7N7r8C&pg=PR2). Courier
Corporation. p. 4. ISBN 978-0-486-69387-3.
150. Robert J. Adler (2010). The Geometry of Random Fields (https://books.google.com/books?id
=ryejJmJAj28C&pg=PA263). SIAM. pp. 14, 15. ISBN 978-0-89871-693-1.
151. Sung Nok Chiu; Dietrich Stoyan; Wilfrid S. Kendall; Joseph Mecke (2013). Stochastic
Geometry and Its Applications (https://books.google.com/books?id=825NfM6Nc-EC). John
Wiley & Sons. p. 112. ISBN 978-1-118-65825-3.
152. Joseph L. Doob (1990). Stochastic processes (https://books.google.com/books?id=NrsrAAA
AYAAJ). Wiley. pp. 94–96.
153. Ionut Florescu (2014). Probability and Stochastic Processes (https://books.google.com/book
s?id=Z5xEBQAAQBAJ&pg=PR22). John Wiley & Sons. pp. 298, 299. ISBN 978-1-118-
59320-2.
154. Iosif Ilyich Gikhman; Anatoly Vladimirovich Skorokhod (1969). Introduction to the Theory of
Random Processes (https://books.google.com/books?id=yJyLzG7N7r8C&pg=PR2). Courier
Corporation. p. 8. ISBN 978-0-486-69387-3.
155. David Williams (1991). Probability with Martingales (https://books.google.com/books?id=e9s
aZ0YSi-AC). Cambridge University Press. pp. 93, 94. ISBN 978-0-521-40605-5.
156. Fima C. Klebaner (2005). Introduction to Stochastic Calculus with Applications (https://book
s.google.com/books?id=JYzW0uqQxB0C). Imperial College Press. pp. 22–23. ISBN 978-1-
86094-555-7.
157. Peter Mörters; Yuval Peres (2010). Brownian Motion (https://books.google.com/books?id=e-
TbA-dSrzYC). Cambridge University Press. p. 37. ISBN 978-1-139-48657-6.
158. L. C. G. Rogers; David Williams (2000). Diffusions, Markov Processes, and Martingales:
Volume 1, Foundations (https://books.google.com/books?id=W0ydAgAAQBAJ&pg=PA356).
Cambridge University Press. p. 130. ISBN 978-1-107-71749-7.
159. Alexander A. Borovkov (2013). Probability Theory (https://books.google.com/books?id=hRk_
AAAAQBAJ). Springer Science & Business Media. p. 530. ISBN 978-1-4471-5201-9.
160. Fima C. Klebaner (2005). Introduction to Stochastic Calculus with Applications (https://book
s.google.com/books?id=JYzW0uqQxB0C). Imperial College Press. p. 48. ISBN 978-1-
86094-555-7.
161. Bernt Øksendal (2003). Stochastic Differential Equations: An Introduction with Applications
(https://books.google.com/books?id=VgQDWyihxKYC). Springer Science & Business
Media. p. 14. ISBN 978-3-540-04758-2.
162. Ionut Florescu (2014). Probability and Stochastic Processes (https://books.google.com/book
s?id=Z5xEBQAAQBAJ&pg=PR22). John Wiley & Sons. p. 472. ISBN 978-1-118-59320-2.
163. Daniel Revuz; Marc Yor (2013). Continuous Martingales and Brownian Motion (https://book
s.google.com/books?id=OYbnCAAAQBAJ). Springer Science & Business Media. pp. 18–
19. ISBN 978-3-662-06400-9.
164. David Applebaum (2004). Lévy Processes and Stochastic Calculus (https://books.google.co
m/books?id=q7eDUjdJxIkC). Cambridge University Press. p. 20. ISBN 978-0-521-83263-2.
165. Hiroshi Kunita (1997). Stochastic Flows and Stochastic Differential Equations (https://books.
google.com/books?id=_S1RiCosqbMC). Cambridge University Press. p. 31. ISBN 978-0-
521-59925-2.
166. Olav Kallenberg (2002). Foundations of Modern Probability (https://books.google.com/book
s?id=L6fhXh13OyMC). Springer Science & Business Media. p. 35. ISBN 978-0-387-95313-
7.
167. Monique Jeanblanc; Marc Yor; Marc Chesney (2009). Mathematical Methods for Financial
Markets (https://books.google.com/books?id=ZhbROxoQ-ZMC). Springer Science &
Business Media. p. 11. ISBN 978-1-85233-376-8.
168. Kiyosi Itō (2006). Essentials of Stochastic Processes (https://books.google.com/books?id=p
Y5_DkvI-CcC&pg=PR4). American Mathematical Soc. pp. 32–33. ISBN 978-0-8218-3898-3.
169. Iosif Ilyich Gikhman; Anatoly Vladimirovich Skorokhod (1969). Introduction to the Theory of
Random Processes (https://books.google.com/books?id=yJyLzG7N7r8C&pg=PR2). Courier
Corporation. p. 150. ISBN 978-0-486-69387-3.
170. Petar Todorovic (2012). An Introduction to Stochastic Processes and Their Applications (http
s://books.google.com/books?id=XpjqBwAAQBAJ&pg=PP5). Springer Science & Business
Media. pp. 19–20. ISBN 978-1-4613-9742-7.
171. Ilya Molchanov (2005). Theory of Random Sets (https://books.google.com/books?id=kWEwk
1UL42AC). Springer Science & Business Media. p. 340. ISBN 978-1-85233-892-3.
172. Patrick Billingsley (2008). Probability and Measure (https://books.google.com/books?id=Qy
XqOXyxEeIC). Wiley India Pvt. Limited. pp. 526–527. ISBN 978-81-265-1771-8.
173. Alexander A. Borovkov (2013). Probability Theory (https://books.google.com/books?id=hRk_
AAAAQBAJ). Springer Science & Business Media. p. 535. ISBN 978-1-4471-5201-9.
174. Gusak et al. (2010), p. 22
175. Joseph L. Doob (1990). Stochastic processes (https://books.google.com/books?id=NrsrAAA
AYAAJ). Wiley. p. 56.
176. Davar Khoshnevisan (2006). Multiparameter Processes: An Introduction to Random Fields
(https://books.google.com/books?id=XADpBwAAQBAJ). Springer Science & Business
Media. p. 155. ISBN 978-0-387-21631-7.
177. Lapidoth, Amos, A Foundation in Digital Communication, Cambridge University Press, 2009.
178. Kun Il Park, Fundamentals of Probability and Stochastic Processes with Applications to
Communications, Springer, 2018, 978-3-319-68074-3
179. Ward Whitt (2006). Stochastic-Process Limits: An Introduction to Stochastic-Process Limits
and Their Application to Queues (https://books.google.com/books?id=LkQOBwAAQBAJ&pg
=PR5). Springer Science & Business Media. pp. 78–79. ISBN 978-0-387-21748-2.
180. Gusak et al. (2010), p. 24
181. Vladimir I. Bogachev (2007). Measure Theory (Volume 2) (https://books.google.com/books?i
d=CoSIe7h5mTsC). Springer Science & Business Media. p. 53. ISBN 978-3-540-34514-5.
182. Fima C. Klebaner (2005). Introduction to Stochastic Calculus with Applications (https://book
s.google.com/books?id=JYzW0uqQxB0C). Imperial College Press. p. 4. ISBN 978-1-86094-
555-7.
183. Søren Asmussen (2003). Applied Probability and Queues (https://books.google.com/books?i
d=BeYaTxesKy0C). Springer Science & Business Media. p. 420. ISBN 978-0-387-00211-8.
184. Patrick Billingsley (2013). Convergence of Probability Measures (https://books.google.com/b
ooks?id=6ItqtwaWZZQC). John Wiley & Sons. p. 121. ISBN 978-1-118-62596-5.
185. Richard F. Bass (2011). Stochastic Processes (https://books.google.com/books?id=Ll0T7PIk
cKMC). Cambridge University Press. p. 34. ISBN 978-1-139-50147-7.
186. Nicholas H. Bingham; Rüdiger Kiesel (2013). Risk-Neutral Valuation: Pricing and Hedging
of Financial Derivatives (https://books.google.com/books?id=AOIlBQAAQBAJ). Springer
Science & Business Media. p. 154. ISBN 978-1-4471-3856-3.
187. Alexander A. Borovkov (2013). Probability Theory (https://books.google.com/books?id=hRk_
AAAAQBAJ). Springer Science & Business Media. p. 532. ISBN 978-1-4471-5201-9.
188. Davar Khoshnevisan (2006). Multiparameter Processes: An Introduction to Random Fields
(https://books.google.com/books?id=XADpBwAAQBAJ). Springer Science & Business
Media. pp. 148–165. ISBN 978-0-387-21631-7.
189. Petar Todorovic (2012). An Introduction to Stochastic Processes and Their Applications (http
s://books.google.com/books?id=XpjqBwAAQBAJ&pg=PP5). Springer Science & Business
Media. p. 22. ISBN 978-1-4613-9742-7.
190. Ward Whitt (2006). Stochastic-Process Limits: An Introduction to Stochastic-Process Limits
and Their Application to Queues (https://books.google.com/books?id=LkQOBwAAQBAJ&pg
=PR5). Springer Science & Business Media. p. 79. ISBN 978-0-387-21748-2.
191. Richard Serfozo (2009). Basics of Applied Stochastic Processes (https://books.google.com/b
ooks?id=JBBRiuxTN0QC). Springer Science & Business Media. p. 2. ISBN 978-3-540-
89332-5.
192. Y.A. Rozanov (2012). Markov Random Fields (https://books.google.com/books?id=wGUEC
AAAQBAJ). Springer Science & Business Media. p. 58. ISBN 978-1-4613-8190-7.
193. Sheldon M. Ross (1996). Stochastic processes (https://books.google.com/books?id=ImUPA
QAAMAAJ). Wiley. pp. 235, 358. ISBN 978-0-471-12062-9.
194. Ionut Florescu (2014). Probability and Stochastic Processes (https://books.google.com/book
s?id=Z5xEBQAAQBAJ&pg=PR22). John Wiley & Sons. pp. 373, 374. ISBN 978-1-118-
59320-2.
195. Samuel Karlin; Howard E. Taylor (2012). A First Course in Stochastic Processes (https://boo
ks.google.com/books?id=dSDxjX9nmmMC). Academic Press. p. 49. ISBN 978-0-08-
057041-9.
196. Søren Asmussen (2003). Applied Probability and Queues (https://books.google.com/books?i
d=BeYaTxesKy0C). Springer Science & Business Media. p. 7. ISBN 978-0-387-00211-8.
197. Emanuel Parzen (2015). Stochastic Processes (https://books.google.com/books?id=0mB2C
QAAQBAJ). Courier Dover Publications. p. 188. ISBN 978-0-486-79688-8.
198. Samuel Karlin; Howard E. Taylor (2012). A First Course in Stochastic Processes (https://boo
ks.google.com/books?id=dSDxjX9nmmMC). Academic Press. pp. 29, 30. ISBN 978-0-08-
057041-9.
199. John Lamperti (1977). Stochastic processes: a survey of the mathematical theory (https://boo
ks.google.com/books?id=Pd4cvgAACAAJ). Springer-Verlag. pp. 106–121. ISBN 978-3-540-
90275-1.
200. Sheldon M. Ross (1996). Stochastic processes (https://books.google.com/books?id=ImUPA
QAAMAAJ). Wiley. pp. 174, 231. ISBN 978-0-471-12062-9.
201. Sean Meyn; Richard L. Tweedie (2009). Markov Chains and Stochastic Stability (https://boo
ks.google.com/books?id=Md7RnYEPkJwC). Cambridge University Press. p. 19. ISBN 978-
0-521-73182-9.
202. Samuel Karlin; Howard E. Taylor (2012). A First Course in Stochastic Processes (https://boo
ks.google.com/books?id=dSDxjX9nmmMC). Academic Press. p. 47. ISBN 978-0-08-
057041-9.
203. Reuven Y. Rubinstein; Dirk P. Kroese (2011). Simulation and the Monte Carlo Method (http
s://books.google.com/books?id=yWcvT80gQK4C). John Wiley & Sons. p. 225. ISBN 978-1-
118-21052-9.
204. Dani Gamerman; Hedibert F. Lopes (2006). Markov Chain Monte Carlo: Stochastic
Simulation for Bayesian Inference, Second Edition (https://books.google.com/books?id=yPv
ECi_L3bwC). CRC Press. ISBN 978-1-58488-587-0.
205. Y.A. Rozanov (2012). Markov Random Fields (https://books.google.com/books?id=wGUEC
AAAQBAJ). Springer Science & Business Media. p. 61. ISBN 978-1-4613-8190-7.
206. Donald L. Snyder; Michael I. Miller (2012). Random Point Processes in Time and Space (htt
ps://books.google.com/books?id=c_3UBwAAQBAJ). Springer Science & Business Media.
p. 27. ISBN 978-1-4612-3166-0.
207. Pierre Bremaud (2013). Markov Chains: Gibbs Fields, Monte Carlo Simulation, and Queues
(https://books.google.com/books?id=jrPVBwAAQBAJ). Springer Science & Business Media.
p. 253. ISBN 978-1-4757-3124-8.
208. Fima C. Klebaner (2005). Introduction to Stochastic Calculus with Applications (https://book
s.google.com/books?id=JYzW0uqQxB0C). Imperial College Press. p. 65. ISBN 978-1-
86094-555-7.
209. Ioannis Karatzas; Steven Shreve (1991). Brownian Motion and Stochastic Calculus (https://b
ooks.google.com/books?id=w0SgBQAAQBAJ&pg=PT5). Springer. p. 11. ISBN 978-1-4612-
0949-2.
210. Joseph L. Doob (1990). Stochastic processes (https://books.google.com/books?id=NrsrAAA
AYAAJ). Wiley. pp. 292, 293.
211. Gilles Pisier (2016). Martingales in Banach Spaces (https://books.google.com/books?id=n3J
NDAAAQBAJ&pg=PR4). Cambridge University Press. ISBN 978-1-316-67946-3.
212. J. Michael Steele (2012). Stochastic Calculus and Financial Applications (https://books.goog
le.com/books?id=fsgkBAAAQBAJ&pg=PR4). Springer Science & Business Media. pp. 12,
13. ISBN 978-1-4684-9305-4.
213. P. Hall; C. C. Heyde (2014). Martingale Limit Theory and Its Application (https://books.googl
e.com/books?id=gqriBQAAQBAJ&pg=PR10). Elsevier Science. p. 2. ISBN 978-1-4832-
6322-9.
214. J. Michael Steele (2012). Stochastic Calculus and Financial Applications (https://books.goog
le.com/books?id=fsgkBAAAQBAJ&pg=PR4). Springer Science & Business Media. p. 115.
ISBN 978-1-4684-9305-4.
215. Sheldon M. Ross (1996). Stochastic processes (https://books.google.com/books?id=ImUPA
QAAMAAJ). Wiley. p. 295. ISBN 978-0-471-12062-9.
216. J. Michael Steele (2012). Stochastic Calculus and Financial Applications (https://books.goog
le.com/books?id=fsgkBAAAQBAJ&pg=PR4). Springer Science & Business Media. p. 11.
ISBN 978-1-4684-9305-4.
217. Olav Kallenberg (2002). Foundations of Modern Probability (https://books.google.com/book
s?id=L6fhXh13OyMC). Springer Science & Business Media. p. 96. ISBN 978-0-387-95313-
7.
218. J. Michael Steele (2012). Stochastic Calculus and Financial Applications (https://books.goog
le.com/books?id=fsgkBAAAQBAJ&pg=PR4). Springer Science & Business Media. p. 371.
ISBN 978-1-4684-9305-4.
219. J. Michael Steele (2012). Stochastic Calculus and Financial Applications (https://books.goog
le.com/books?id=fsgkBAAAQBAJ&pg=PR4). Springer Science & Business Media. p. 22.
ISBN 978-1-4684-9305-4.
220. Geoffrey Grimmett; David Stirzaker (2001). Probability and Random Processes (https://book
s.google.com/books?id=G3ig-0M4wSIC). OUP Oxford. p. 336. ISBN 978-0-19-857222-0.
221. Glasserman, Paul; Kou, Steven (2006). "A Conversation with Chris Heyde". Statistical
Science. 21 (2): 292, 293. arXiv:math/0609294 (https://arxiv.org/abs/math/0609294).
Bibcode:2006math......9294G (https://ui.adsabs.harvard.edu/abs/2006math......9294G).
doi:10.1214/088342306000000088 (https://doi.org/10.1214%2F088342306000000088).
ISSN 0883-4237 (https://www.worldcat.org/issn/0883-4237). S2CID 62552177 (https://api.se
manticscholar.org/CorpusID:62552177).
222. Francois Baccelli; Pierre Bremaud (2013). Elements of Queueing Theory: Palm Martingale
Calculus and Stochastic Recurrences (https://books.google.com/books?id=DH3pCAAAQBA
J&pg=PR2). Springer Science & Business Media. ISBN 978-3-662-11657-9.
223. P. Hall; C. C. Heyde (2014). Martingale Limit Theory and Its Application (https://books.googl
e.com/books?id=gqriBQAAQBAJ&pg=PR10). Elsevier Science. p. x. ISBN 978-1-4832-
6322-9.
224. Jean Bertoin (1998). Lévy Processes (https://books.google.com/books?id=ftcsQgMp5cUC&
pg=PR8). Cambridge University Press. p. viii. ISBN 978-0-521-64632-1.
225. Applebaum, David (2004). "Lévy processes: From probability to finance and quantum
groups". Notices of the AMS. 51 (11): 1336.
226. David Applebaum (2004). Lévy Processes and Stochastic Calculus (https://books.google.co
m/books?id=q7eDUjdJxIkC). Cambridge University Press. p. 69. ISBN 978-0-521-83263-2.
227. Leonid Koralov; Yakov G. Sinai (2007). Theory of Probability and Random Processes (http
s://books.google.com/books?id=tlWOphOFRgwC). Springer Science & Business Media.
p. 171. ISBN 978-3-540-68829-7.
228. David Applebaum (2004). Lévy Processes and Stochastic Calculus (https://books.google.co
m/books?id=q7eDUjdJxIkC). Cambridge University Press. p. 19. ISBN 978-0-521-83263-2.
229. Sung Nok Chiu; Dietrich Stoyan; Wilfrid S. Kendall; Joseph Mecke (2013). Stochastic
Geometry and Its Applications (https://books.google.com/books?id=825NfM6Nc-EC). John
Wiley & Sons. p. 109. ISBN 978-1-118-65825-3.
230. Sung Nok Chiu; Dietrich Stoyan; Wilfrid S. Kendall; Joseph Mecke (2013). Stochastic
Geometry and Its Applications (https://books.google.com/books?id=825NfM6Nc-EC). John
Wiley & Sons. p. 108. ISBN 978-1-118-65825-3.
231. Martin Haenggi (2013). Stochastic Geometry for Wireless Networks (https://books.google.co
m/books?id=CLtDhblwWEgC). Cambridge University Press. p. 10. ISBN 978-1-107-01469-
5.
232. D.J. Daley; D. Vere-Jones (2006). An Introduction to the Theory of Point Processes: Volume
I: Elementary Theory and Methods (https://books.google.com/books?id=6Sv4BwAAQBAJ).
Springer Science & Business Media. p. 194. ISBN 978-0-387-21564-8.
233. Cox, D. R.; Isham, Valerie (1980). Point Processes. CRC Press. p. 3 (https://books.google.co
m/books?id=KWF2xY6s3PoC&pg=PA3). ISBN 978-0-412-21910-8.
234. J. F. C. Kingman (1992). Poisson Processes (https://books.google.com/books?id=VEiM-Otw
DHkC). Clarendon Press. p. 8. ISBN 978-0-19-159124-2.
235. Jesper Moller; Rasmus Plenge Waagepetersen (2003). Statistical Inference and Simulation
for Spatial Point Processes (https://books.google.com/books?id=dBNOHvElXZ4C). CRC
Press. p. 7. ISBN 978-0-203-49693-0.
236. Samuel Karlin; Howard E. Taylor (2012). A First Course in Stochastic Processes (https://boo
ks.google.com/books?id=dSDxjX9nmmMC). Academic Press. p. 31. ISBN 978-0-08-
057041-9.
237. Volker Schmidt (2014). Stochastic Geometry, Spatial Statistics and Random Fields: Models
and Algorithms (https://books.google.com/books?id=brsUBQAAQBAJ&pg=PR5). Springer.
p. 99. ISBN 978-3-319-10064-7.
238. D.J. Daley; D. Vere-Jones (2006). An Introduction to the Theory of Point Processes: Volume
I: Elementary Theory and Methods (https://books.google.com/books?id=6Sv4BwAAQBAJ).
Springer Science & Business Media. ISBN 978-0-387-21564-8.
239. Gagniuc, Paul A. (2017). Markov Chains: From Theory to Implementation and
Experimentation. US: John Wiley & Sons. pp. 1–2. ISBN 978-1-119-38755-8.
240. David, F. N. (1955). "Studies in the History of Probability and Statistics I. Dicing and Gaming
(A Note on the History of Probability)". Biometrika. 42 (1/2): 1–15. doi:10.2307/2333419 (http
s://doi.org/10.2307%2F2333419). ISSN 0006-3444 (https://www.worldcat.org/issn/0006-344
4). JSTOR 2333419 (https://www.jstor.org/stable/2333419).
241. L. E. Maistrov (2014). Probability Theory: A Historical Sketch (https://books.google.com/book
s?id=2ZbiBQAAQBAJ&pg=PR9). Elsevier Science. p. 1. ISBN 978-1-4832-1863-2.
242. Seneta, E. (2006). "Probability, History of". Encyclopedia of Statistical Sciences. p. 1.
doi:10.1002/0471667196.ess2065.pub2 (https://doi.org/10.1002%2F0471667196.ess2065.p
ub2). ISBN 978-0471667193.
243. John Tabak (2014). Probability and Statistics: The Science of Uncertainty (https://books.goo
gle.com/books?id=h3WVqBPHboAC). Infobase Publishing. pp. 24–26. ISBN 978-0-8160-
6873-9.
244. Bellhouse, David (2005). "Decoding Cardano's Liber de Ludo Aleae" (https://doi.org/10.101
6%2Fj.hm.2004.04.001). Historia Mathematica. 32 (2): 180–202.
doi:10.1016/j.hm.2004.04.001 (https://doi.org/10.1016%2Fj.hm.2004.04.001). ISSN 0315-
0860 (https://www.worldcat.org/issn/0315-0860).
245. Anders Hald (2005). A History of Probability and Statistics and Their Applications before
1750 (https://books.google.com/books?id=pOQy6-qnVx8C). John Wiley & Sons. p. 221.
ISBN 978-0-471-72517-6.
246. L. E. Maistrov (2014). Probability Theory: A Historical Sketch (https://books.google.com/book
s?id=2ZbiBQAAQBAJ&pg=PR9). Elsevier Science. p. 56. ISBN 978-1-4832-1863-2.
247. John Tabak (2014). Probability and Statistics: The Science of Uncertainty (https://books.goo
gle.com/books?id=h3WVqBPHboAC). Infobase Publishing. p. 37. ISBN 978-0-8160-6873-9.
248. Chung, Kai Lai (1998). "Probability and Doob". The American Mathematical Monthly. 105
(1): 28–35. doi:10.2307/2589523 (https://doi.org/10.2307%2F2589523). ISSN 0002-9890 (htt
ps://www.worldcat.org/issn/0002-9890). JSTOR 2589523 (https://www.jstor.org/stable/25895
23).
249. Bingham, N. (2000). "Studies in the history of probability and statistics XLVI. Measure into
probability: from Lebesgue to Kolmogorov". Biometrika. 87 (1): 145–156.
doi:10.1093/biomet/87.1.145 (https://doi.org/10.1093%2Fbiomet%2F87.1.145). ISSN 0006-
3444 (https://www.worldcat.org/issn/0006-3444).
250. Benzi, Margherita; Benzi, Michele; Seneta, Eugene (2007). "Francesco Paolo Cantelli. b. 20
December 1875 d. 21 July 1966". International Statistical Review. 75 (2): 128.
doi:10.1111/j.1751-5823.2007.00009.x (https://doi.org/10.1111%2Fj.1751-5823.2007.00009.
x). ISSN 0306-7734 (https://www.worldcat.org/issn/0306-7734). S2CID 118011380 (https://a
pi.semanticscholar.org/CorpusID:118011380).
251. Doob, Joseph L. (1996). "The Development of Rigor in Mathematical Probability (1900-
1950)". The American Mathematical Monthly. 103 (7): 586–595. doi:10.2307/2974673 (http
s://doi.org/10.2307%2F2974673). ISSN 0002-9890 (https://www.worldcat.org/issn/0002-989
0). JSTOR 2974673 (https://www.jstor.org/stable/2974673).
252. Cramer, Harald (1976). "Half a Century with Probability Theory: Some Personal
Recollections" (https://doi.org/10.1214%2Faop%2F1176996025). The Annals of Probability.
4 (4): 509–546. doi:10.1214/aop/1176996025 (https://doi.org/10.1214%2Faop%2F11769960
25). ISSN 0091-1798 (https://www.worldcat.org/issn/0091-1798).
253. Truesdell, C. (1975). "Early kinetic theories of gases". Archive for History of Exact Sciences.
15 (1): 22–23. doi:10.1007/BF00327232 (https://doi.org/10.1007%2FBF00327232).
ISSN 0003-9519 (https://www.worldcat.org/issn/0003-9519). S2CID 189764116 (https://api.s
emanticscholar.org/CorpusID:189764116).
254. Brush, Stephen G. (1967). "Foundations of statistical mechanics 1845?1915". Archive for
History of Exact Sciences. 4 (3): 150–151. doi:10.1007/BF00412958 (https://doi.org/10.100
7%2FBF00412958). ISSN 0003-9519 (https://www.worldcat.org/issn/0003-9519).
S2CID 120059181 (https://api.semanticscholar.org/CorpusID:120059181).
255. Truesdell, C. (1975). "Early kinetic theories of gases". Archive for History of Exact Sciences.
15 (1): 31–32. doi:10.1007/BF00327232 (https://doi.org/10.1007%2FBF00327232).
ISSN 0003-9519 (https://www.worldcat.org/issn/0003-9519). S2CID 189764116 (https://api.s
emanticscholar.org/CorpusID:189764116).
256. Brush, S.G. (1958). "The development of the kinetic theory of gases IV. Maxwell". Annals of
Science. 14 (4): 243–255. doi:10.1080/00033795800200147 (https://doi.org/10.1080%2F00
033795800200147). ISSN 0003-3790 (https://www.worldcat.org/issn/0003-3790).
257. Brush, Stephen G. (1968). "A history of random processes". Archive for History of Exact
Sciences. 5 (1): 15–16. doi:10.1007/BF00328110 (https://doi.org/10.1007%2FBF00328110).
ISSN 0003-9519 (https://www.worldcat.org/issn/0003-9519). S2CID 117623580 (https://api.s
emanticscholar.org/CorpusID:117623580).
258. Kendall, D. G.; Batchelor, G. K.; Bingham, N. H.; Hayman, W. K.; Hyland, J. M. E.; Lorentz, G.
G.; Moffatt, H. K.; Parry, W.; Razborov, A. A.; Robinson, C. A.; Whittle, P. (1990). "Andrei
Nikolaevich Kolmogorov (1903–1987)". Bulletin of the London Mathematical Society. 22 (1):
33. doi:10.1112/blms/22.1.31 (https://doi.org/10.1112%2Fblms%2F22.1.31). ISSN 0024-
6093 (https://www.worldcat.org/issn/0024-6093).
259. Vere-Jones, David (2006). "Khinchin, Aleksandr Yakovlevich". Encyclopedia of Statistical
Sciences. p. 1. doi:10.1002/0471667196.ess6027.pub2 (https://doi.org/10.1002%2F047166
7196.ess6027.pub2). ISBN 978-0471667193.
260. Vere-Jones, David (2006). "Khinchin, Aleksandr Yakovlevich". Encyclopedia of Statistical
Sciences. p. 4. doi:10.1002/0471667196.ess6027.pub2 (https://doi.org/10.1002%2F047166
7196.ess6027.pub2). ISBN 978-0471667193.
261. Snell, J. Laurie (2005). "Obituary: Joseph Leonard Doob" (https://doi.org/10.1239%2Fjap%2
F1110381384). Journal of Applied Probability. 42 (1): 251. doi:10.1239/jap/1110381384 (htt
ps://doi.org/10.1239%2Fjap%2F1110381384). ISSN 0021-9002 (https://www.worldcat.org/is
sn/0021-9002).
262. Lindvall, Torgny (1991). "W. Doeblin, 1915-1940" (https://doi.org/10.1214%2Faop%2F11769
90329). The Annals of Probability. 19 (3): 929–934. doi:10.1214/aop/1176990329 (https://do
i.org/10.1214%2Faop%2F1176990329). ISSN 0091-1798 (https://www.worldcat.org/issn/00
91-1798).
263. Getoor, Ronald (2009). "J. L. Doob: Foundations of stochastic processes and probabilistic
potential theory". The Annals of Probability. 37 (5): 1655. arXiv:0909.4213 (https://arxiv.org/a
bs/0909.4213). Bibcode:2009arXiv0909.4213G (https://ui.adsabs.harvard.edu/abs/2009arXi
v0909.4213G). doi:10.1214/09-AOP465 (https://doi.org/10.1214%2F09-AOP465).
ISSN 0091-1798 (https://www.worldcat.org/issn/0091-1798). S2CID 17288507 (https://api.se
manticscholar.org/CorpusID:17288507).
264. Bingham, N. H. (2005). "Doob: a half-century on" (https://doi.org/10.1239%2Fjap%2F111038
1385). Journal of Applied Probability. 42 (1): 257–266. doi:10.1239/jap/1110381385 (https://
doi.org/10.1239%2Fjap%2F1110381385). ISSN 0021-9002 (https://www.worldcat.org/issn/0
021-9002).
265. Meyer, Paul-André (2009). "Stochastic Processes from 1950 to the Present". Electronic
Journal for History of Probability and Statistics. 5 (1): 1–42.
266. "Kiyosi Itô receives Kyoto Prize". Notices of the AMS. 45 (8): 981–982. 1998.
267. Jean Bertoin (1998). Lévy Processes (https://books.google.com/books?id=ftcsQgMp5cUC&
pg=PR8). Cambridge University Press. p. viii and ix. ISBN 978-0-521-64632-1.
268. J. Michael Steele (2012). Stochastic Calculus and Financial Applications (https://books.goog
le.com/books?id=fsgkBAAAQBAJ&pg=PR4). Springer Science & Business Media. p. 176.
ISBN 978-1-4684-9305-4.
269. P. Hall; C. C. Heyde (2014). Martingale Limit Theory and Its Application (https://books.googl
e.com/books?id=gqriBQAAQBAJ&pg=PR10). Elsevier Science. pp. 1, 2. ISBN 978-1-4832-
6322-9.
270. Dynkin, E. B. (1989). "Kolmogorov and the Theory of Markov Processes" (https://doi.org/10.1
214%2Faop%2F1176991248). The Annals of Probability. 17 (3): 822–832.
doi:10.1214/aop/1176991248 (https://doi.org/10.1214%2Faop%2F1176991248).
ISSN 0091-1798 (https://www.worldcat.org/issn/0091-1798).
271. Ellis, Richard S. (1995). "An overview of the theory of large deviations and applications to
statistical mechanics". Scandinavian Actuarial Journal. 1995 (1): 98.
doi:10.1080/03461238.1995.10413952 (https://doi.org/10.1080%2F03461238.1995.104139
52). ISSN 0346-1238 (https://www.worldcat.org/issn/0346-1238).
272. Raussen, Martin; Skau, Christian (2008). "Interview with Srinivasa Varadhan". Notices of the
AMS. 55 (2): 238–246.
273. Malte Henkel; Dragi Karevski (2012). Conformal Invariance: an Introduction to Loops,
Interfaces and Stochastic Loewner Evolution (https://books.google.com/books?id=fnCQWd0
GEZ8C&pg=PA113). Springer Science & Business Media. p. 113. ISBN 978-3-642-27933-
1.
274. "2006 Fields Medals Awarded". Notices of the AMS. 53 (9): 1041–1044. 2015.
275. Quastel, Jeremy (2015). "The Work of the 2014 Fields Medalists". Notices of the AMS. 62
(11): 1341–1344.
276. D.J. Daley; D. Vere-Jones (2006). An Introduction to the Theory of Point Processes: Volume
I: Elementary Theory and Methods (https://books.google.com/books?id=6Sv4BwAAQBAJ).
Springer Science & Business Media. pp. 1–4. ISBN 978-0-387-21564-8.
277. Anders Hald (2005). A History of Probability and Statistics and Their Applications before
1750 (https://books.google.com/books?id=pOQy6-qnVx8C). John Wiley & Sons. p. 226.
ISBN 978-0-471-72517-6.
278. Joel Louis Lebowitz (1984). Nonequilibrium phenomena II: from stochastics to
hydrodynamics (https://books.google.com/books?id=E8IRAQAAIAAJ). North-Holland Pub.
pp. 8–10. ISBN 978-0-444-86806-0.
279. Ionut Florescu (2014). Probability and Stochastic Processes (https://books.google.com/book
s?id=Z5xEBQAAQBAJ&pg=PR22). John Wiley & Sons. p. 374. ISBN 978-1-118-59320-2.
280. Oliver C. Ibe (2013). Elements of Random Walk and Diffusion Processes (https://books.goog
le.com/books?id=DUqaAAAAQBAJ&pg=PT10). John Wiley & Sons. p. 5. ISBN 978-1-118-
61793-9.
281. Anders Hald (2005). A History of Probability and Statistics and Their Applications before
1750 (https://books.google.com/books?id=pOQy6-qnVx8C). John Wiley & Sons. p. 63.
ISBN 978-0-471-72517-6.
282. Anders Hald (2005). A History of Probability and Statistics and Their Applications before
1750 (https://books.google.com/books?id=pOQy6-qnVx8C). John Wiley & Sons. p. 202.
ISBN 978-0-471-72517-6.
283. Ionut Florescu (2014). Probability and Stochastic Processes (https://books.google.com/book
s?id=Z5xEBQAAQBAJ&pg=PR22). John Wiley & Sons. p. 385. ISBN 978-1-118-59320-2.
284. Barry D. Hughes (1995). Random Walks and Random Environments: Random walks (http
s://books.google.com/books?id=QhOen_t0LeQC). Clarendon Press. p. 111. ISBN 978-0-19-
853788-5.
285. Thiele, Thorwald N. (1880). "Om Anvendelse af mindste Kvadraterbs Methode i nogle
Tilfælde, hvoren Komplikation af visse Slags uensartede tilfældige Fejlkilder giver
Fejleneen "systematisk" Karakter" (https://biodiversitylibrary.org/page/43213604). Kongelige
Danske Videnskabernes Selskabs Skrifter. Series 5 (12): 381–408.
286. Hald, Anders (1981). "T. N. Thiele's Contributions to Statistics". International Statistical
Review / Revue Internationale de Statistique. 49 (1): 1–20. doi:10.2307/1403034 (https://doi.
org/10.2307%2F1403034). ISSN 0306-7734 (https://www.worldcat.org/issn/0306-7734).
JSTOR 1403034 (https://www.jstor.org/stable/1403034).
287. Lauritzen, Steffen L. (1981). "Time Series Analysis in 1880: A Discussion of Contributions
Made by T.N. Thiele". International Statistical Review / Revue Internationale de Statistique.
49 (3): 319–320. doi:10.2307/1402616 (https://doi.org/10.2307%2F1402616). ISSN 0306-
7734 (https://www.worldcat.org/issn/0306-7734). JSTOR 1402616 (https://www.jstor.org/stab
le/1402616).
288. Bachelier, Luis (1900). "Théorie de la spéculation" (http://archive.numdam.org/article/ASEN
S_1900_3_17__21_0.pdf) (PDF). Ann. Sci. Éc. Norm. Supér. Serie 3, 17: 21–89.
doi:10.24033/asens.476 (https://doi.org/10.24033%2Fasens.476). Archived (https://web.arch
ive.org/web/20110605013545/http://archive.numdam.org/article/ASENS_1900_3_17__21_
0.pdf) (PDF) from the original on 2011-06-05.
289. Bachelier, Luis (1900). "The Theory of Speculation" (https://drive.google.com/file/d/0B5LLDy
7-d3SKNGI0M2E0NGItYzFlMS00NGU2LWE2ZDAtODc3MDY3MzdiNmY0/view). Ann. Sci.
Éc. Norm. Supér. Serie 3, 17: 21–89 (Engl. translation by David R. May, 2011).
doi:10.24033/asens.476 (https://doi.org/10.24033%2Fasens.476).
290. Courtault, Jean-Michel; Kabanov, Yuri; Bru, Bernard; Crepel, Pierre; Lebon, Isabelle; Le
Marchand, Arnaud (2000). "Louis Bachelier on the Centenary of Theorie de la Speculation"
(https://halshs.archives-ouvertes.fr/halshs-00447592/file/BACHEL2.PDF) (PDF).
Mathematical Finance. 10 (3): 339–353. doi:10.1111/1467-9965.00098 (https://doi.org/10.11
11%2F1467-9965.00098). ISSN 0960-1627 (https://www.worldcat.org/issn/0960-1627).
S2CID 14422885 (https://api.semanticscholar.org/CorpusID:14422885). Archived (https://we
b.archive.org/web/20180721214136/https://halshs.archives-ouvertes.fr/halshs-00447592/fil
e/BACHEL2.PDF) (PDF) from the original on 2018-07-21.
291. Jovanovic, Franck (2012). "Bachelier: Not the forgotten forerunner he has been depicted as.
An analysis of the dissemination of Louis Bachelier's work in economics" (http://r-libre.teluq.
ca/1168/1/dissemination%20of%20Louis%20Bachelier_EJHET_R2.pdf) (PDF). The
European Journal of the History of Economic Thought. 19 (3): 431–451.
doi:10.1080/09672567.2010.540343 (https://doi.org/10.1080%2F09672567.2010.540343).
ISSN 0967-2567 (https://www.worldcat.org/issn/0967-2567). S2CID 154003579 (https://api.s
emanticscholar.org/CorpusID:154003579). Archived (https://web.archive.org/web/20180721
111017/http://r-libre.teluq.ca/1168/1/dissemination%20of%20Louis%20Bachelier_EJHET_R
2.pdf) (PDF) from the original on 2018-07-21.
292. Brush, Stephen G. (1968). "A history of random processes". Archive for History of Exact
Sciences. 5 (1): 25. doi:10.1007/BF00328110 (https://doi.org/10.1007%2FBF00328110).
ISSN 0003-9519 (https://www.worldcat.org/issn/0003-9519). S2CID 117623580 (https://api.s
emanticscholar.org/CorpusID:117623580).
293. Brush, Stephen G. (1968). "A history of random processes". Archive for History of Exact
Sciences. 5 (1): 1–36. doi:10.1007/BF00328110 (https://doi.org/10.1007%2FBF00328110).
ISSN 0003-9519 (https://www.worldcat.org/issn/0003-9519). S2CID 117623580 (https://api.s
emanticscholar.org/CorpusID:117623580).
294. D.J. Daley; D. Vere-Jones (2006). An Introduction to the Theory of Point Processes: Volume
I: Elementary Theory and Methods (https://books.google.com/books?id=6Sv4BwAAQBAJ).
Springer Science & Business Media. pp. 8–9. ISBN 978-0-387-21564-8.
295. Embrechts, Paul; Frey, Rüdiger; Furrer, Hansjörg (2001). "Stochastic processes in insurance
and finance". Stochastic Processes: Theory and Methods. Handbook of Statistics. Vol. 19.
p. 367. doi:10.1016/S0169-7161(01)19014-0 (https://doi.org/10.1016%2FS0169-7161%280
1%2919014-0). ISBN 978-0444500144. ISSN 0169-7161 (https://www.worldcat.org/issn/016
9-7161).
296. Cramér, Harald (1969). "Historical review of Filip Lundberg's works on risk theory".
Scandinavian Actuarial Journal. 1969 (sup3): 6–12. doi:10.1080/03461238.1969.10404602
(https://doi.org/10.1080%2F03461238.1969.10404602). ISSN 0346-1238 (https://www.world
cat.org/issn/0346-1238).
297. Gagniuc, Paul A. (2017). Markov Chains: From Theory to Implementation and
Experimentation. NJ: John Wiley & Sons. pp. 2–8. ISBN 978-1-119-38755-8.
298. Gagniuc, Paul A. (2017). Markov Chains: From Theory to Implementation and
Experimentation. NJ: John Wiley & Sons. pp. 1–235. ISBN 978-1-119-38755-8.
299. Charles Miller Grinstead; James Laurie Snell (1997). Introduction to Probability (https://archi
ve.org/details/flooved3489). American Mathematical Soc. pp. 464 (https://archive.org/details/
flooved3489/page/n473)–466. ISBN 978-0-8218-0749-1.
300. Pierre Bremaud (2013). Markov Chains: Gibbs Fields, Monte Carlo Simulation, and Queues
(https://books.google.com/books?id=jrPVBwAAQBAJ). Springer Science & Business Media.
p. ix. ISBN 978-1-4757-3124-8.
301. Hayes, Brian (2013). "First links in the Markov chain". American Scientist. 101 (2): 92–96.
doi:10.1511/2013.101.92 (https://doi.org/10.1511%2F2013.101.92).
302. Seneta, E. (1998). "I.J. Bienaymé [1796-1878]: Criticality, Inequality, and
Internationalization". International Statistical Review / Revue Internationale de Statistique.
66 (3): 291–292. doi:10.2307/1403518 (https://doi.org/10.2307%2F1403518). ISSN 0306-
7734 (https://www.worldcat.org/issn/0306-7734). JSTOR 1403518 (https://www.jstor.org/stab
le/1403518).
303. Bru, B.; Hertz, S. (2001). "Maurice Fréchet". Statisticians of the Centuries. pp. 331–334.
doi:10.1007/978-1-4613-0179-0_71 (https://doi.org/10.1007%2F978-1-4613-0179-0_71).
ISBN 978-0-387-95283-3.
304. Marc Barbut; Bernard Locker; Laurent Mazliak (2016). Paul Lévy and Maurice Fréchet: 50
Years of Correspondence in 107 Letters (https://books.google.com/books?id=lSz_vQAACA
AJ). Springer London. p. 5. ISBN 978-1-4471-7262-8.
305. Valeriy Skorokhod (2005). Basic Principles and Applications of Probability Theory (https://bo
oks.google.com/books?id=dQkYMjRK3fYC). Springer Science & Business Media. p. 146.
ISBN 978-3-540-26312-8.
306. Bernstein, Jeremy (2005). "Bachelier". American Journal of Physics. 73 (5): 398–396.
Bibcode:2005AmJPh..73..395B (https://ui.adsabs.harvard.edu/abs/2005AmJPh..73..395B).
doi:10.1119/1.1848117 (https://doi.org/10.1119%2F1.1848117). ISSN 0002-9505 (https://ww
w.worldcat.org/issn/0002-9505).
307. William J. Anderson (2012). Continuous-Time Markov Chains: An Applications-Oriented
Approach (https://books.google.com/books?id=YpHfBwAAQBAJ&pg=PR8). Springer
Science & Business Media. p. vii. ISBN 978-1-4612-3038-0.
308. Kendall, D. G.; Batchelor, G. K.; Bingham, N. H.; Hayman, W. K.; Hyland, J. M. E.; Lorentz, G.
G.; Moffatt, H. K.; Parry, W.; Razborov, A. A.; Robinson, C. A.; Whittle, P. (1990). "Andrei
Nikolaevich Kolmogorov (1903–1987)". Bulletin of the London Mathematical Society. 22 (1):
57. doi:10.1112/blms/22.1.31 (https://doi.org/10.1112%2Fblms%2F22.1.31). ISSN 0024-
6093 (https://www.worldcat.org/issn/0024-6093).
309. David Applebaum (2004). Lévy Processes and Stochastic Calculus (https://books.google.co
m/books?id=q7eDUjdJxIkC). Cambridge University Press. p. 67. ISBN 978-0-521-83263-2.
310. Robert J. Adler (2010). The Geometry of Random Fields (https://books.google.com/books?id
=ryejJmJAj28C&pg=PA263). SIAM. p. 13. ISBN 978-0-89871-693-1.
311. Krishna B. Athreya; Soumendra N. Lahiri (2006). Measure Theory and Probability Theory (ht
tps://books.google.com/books?id=9tv0taI8l6YC). Springer Science & Business Media.
ISBN 978-0-387-32903-1.
312. Bernt Øksendal (2003). Stochastic Differential Equations: An Introduction with Applications
(https://books.google.com/books?id=VgQDWyihxKYC). Springer Science & Business
Media. p. 11. ISBN 978-3-540-04758-2.
313. David Williams (1991). Probability with Martingales (https://books.google.com/books?id=e9s
aZ0YSi-AC). Cambridge University Press. p. 124. ISBN 978-0-521-40605-5.
314. Rick Durrett (2010). Probability: Theory and Examples (https://books.google.com/books?id=
evbGTPhuvSoC). Cambridge University Press. p. 410. ISBN 978-1-139-49113-6.
315. Patrick Billingsley (2008). Probability and Measure (https://books.google.com/books?id=Qy
XqOXyxEeIC). Wiley India Pvt. Limited. pp. 493–494. ISBN 978-81-265-1771-8.
316. Alexander A. Borovkov (2013). Probability Theory (https://books.google.com/books?id=hRk_
AAAAQBAJ). Springer Science & Business Media. pp. 529–530. ISBN 978-1-4471-5201-9.
317. Krishna B. Athreya; Soumendra N. Lahiri (2006). Measure Theory and Probability Theory (ht
tps://books.google.com/books?id=9tv0taI8l6YC). Springer Science & Business Media.
p. 221. ISBN 978-0-387-32903-1.
318. Robert J. Adler; Jonathan E. Taylor (2009). Random Fields and Geometry (https://books.goo
gle.com/books?id=R5BGvQ3ejloC). Springer Science & Business Media. p. 14. ISBN 978-
0-387-48116-6.
319. Krishna B. Athreya; Soumendra N. Lahiri (2006). Measure Theory and Probability Theory (ht
tps://books.google.com/books?id=9tv0taI8l6YC). Springer Science & Business Media.
p. 211. ISBN 978-0-387-32903-1.
320. Alexander A. Borovkov (2013). Probability Theory (https://books.google.com/books?id=hRk_
AAAAQBAJ). Springer Science & Business Media. p. 536. ISBN 978-1-4471-5201-9.
321. Benjamin Yakir (2013). Extremes in Random Fields: A Theory and Its Applications (https://bo
oks.google.com/books?id=HShwAAAAQBAJ&pg=PT97). John Wiley & Sons. p. 5.
ISBN 978-1-118-72062-2.

Further reading

Articles
Applebaum, David (2004). "Lévy processes: From probability to finance and quantum
groups". Notices of the AMS. 51 (11): 1336–1347.
Cramer, Harald (1976). "Half a Century with Probability Theory: Some Personal
Recollections" (https://doi.org/10.1214%2Faop%2F1176996025). The Annals of Probability.
4 (4): 509–546. doi:10.1214/aop/1176996025 (https://doi.org/10.1214%2Faop%2F11769960
25). ISSN 0091-1798 (https://www.worldcat.org/issn/0091-1798).
Guttorp, Peter; Thorarinsdottir, Thordis L. (2012). "What Happened to Discrete Chaos, the
Quenouille Process, and the Sharp Markov Property? Some History of Stochastic Point
Processes". International Statistical Review. 80 (2): 253–268. doi:10.1111/j.1751-
5823.2012.00181.x (https://doi.org/10.1111%2Fj.1751-5823.2012.00181.x). ISSN 0306-
7734 (https://www.worldcat.org/issn/0306-7734). S2CID 80836 (https://api.semanticscholar.o
rg/CorpusID:80836).
Jarrow, Robert; Protter, Philip (2004). "A short history of stochastic integration and
mathematical finance: the early years, 1880–1970". A Festschrift for Herman Rubin. Institute
of Mathematical Statistics Lecture Notes - Monograph Series. pp. 75–91.
doi:10.1214/lnms/1196285381 (https://doi.org/10.1214%2Flnms%2F1196285381).
ISBN 978-0-940600-61-4. ISSN 0749-2170 (https://www.worldcat.org/issn/0749-2170).
Meyer, Paul-André (2009). "Stochastic Processes from 1950 to the Present". Electronic
Journal for History of Probability and Statistics. 5 (1): 1–42.

Books
Robert J. Adler (2010). The Geometry of Random Fields (https://books.google.com/books?id
=ryejJmJAj28C&pg=PA263). SIAM. ISBN 978-0-89871-693-1.
Robert J. Adler; Jonathan E. Taylor (2009). Random Fields and Geometry (https://books.goo
gle.com/books?id=R5BGvQ3ejloC). Springer Science & Business Media. ISBN 978-0-387-
48116-6.
Pierre Brémaud (2013). Markov Chains: Gibbs Fields, Monte Carlo Simulation, and Queues
(https://books.google.com/books?id=jrPVBwAAQBAJ). Springer Science & Business Media.
ISBN 978-1-4757-3124-8.
Joseph L. Doob (1990). Stochastic processes (https://books.google.com/books?id=NrsrAAA
AYAAJ). Wiley.
Anders Hald (2005). A History of Probability and Statistics and Their Applications before
1750 (https://books.google.com/books?id=pOQy6-qnVx8C). John Wiley & Sons. ISBN 978-
0-471-72517-6.
 Crispin Gardiner (2010). Stochastic Methods (https://books.google.com/books?id=321EuQA
ACAAJ&q=Stochastic+methods). Springer. ISBN 978-3-540-70712-7.
Iosif I. Gikhman; Anatoly Vladimirovich Skorokhod (1996). Introduction to the Theory of
Random Processes (https://books.google.com/books?id=yJyLzG7N7r8C&pg=PR2). Courier
Corporation. ISBN 978-0-486-69387-3.
Emanuel Parzen (2015). Stochastic Processes (https://books.google.com/books?id=0mB2C
QAAQBAJ). Courier Dover Publications. ISBN 978-0-486-79688-8.
Murray Rosenblatt (1962). Random Processes (https://archive.org/details/randomprocesses
00rose_0). Oxford University Press.

External links
Media related to Stochastic processes at Wikimedia Commons

Retrieved from "https://en.wikipedia.org/w/index.php?title=Stochastic_process&oldid=1166638994"