Open main menu
Home
Random
Recent changes
Special pages
Community portal
Preferences
About Wikipedia
Disclaimers
Incubator escapee wiki
Search
User menu
Talk
Dark mode
Contributions
Create account
Log in
Editing
Stochastic
(section)
Warning:
You are not logged in. Your IP address will be publicly visible if you make any edits. If you
log in
or
create an account
, your edits will be attributed to your username, along with other benefits.
Anti-spam check. Do
not
fill this in!
==Mathematics== In the early 1930s, Aleksandr Khinchin gave the first mathematical definition of a stochastic process as a family of random variables indexed by the real line.<ref name="Vere-Jones2006page4">{{cite book|last1=Vere-Jones|first1=David|title=Encyclopedia of Statistical Sciences|chapter=Khinchin, Aleksandr Yakovlevich|page=4|year=2006|doi=10.1002/0471667196.ess6027.pub2|isbn=0471667196}}</ref><ref name="Doob1934"/>{{efn|Doob, when citing Khinchin, uses the term 'chance variable', which used to be an alternative term for 'random variable'.<ref name="Snell2005">{{cite journal|last1=Snell|first1=J. Laurie|title=Obituary: Joseph Leonard Doob|journal=Journal of Applied Probability|volume=42|issue=1|year=2005|page=251|issn=0021-9002|doi=10.1239/jap/1110381384|doi-access=free}}</ref> }} Further fundamental work on probability theory and stochastic processes was done by Khinchin as well as other mathematicians such as [[Andrey Kolmogorov]], [[Joseph Doob]], [[William Feller]], [[Maurice Fréchet]], [[Paul Lévy (mathematician)|Paul Lévy]], [[Wolfgang Doeblin]], and [[Harald Cramér]].<ref name="Bingham2000">{{cite journal|last1=Bingham|first1=N.|title=Studies in the history of probability and statistics XLVI. Measure into probability: from Lebesgue to Kolmogorov|journal=Biometrika|volume=87|issue=1|year=2000|pages=145–156|issn=0006-3444|doi=10.1093/biomet/87.1.145}}</ref><ref name="Cramer1976">{{cite journal|last1=Cramer|first1=Harald|title=Half a Century with Probability Theory: Some Personal Recollections|journal=The Annals of Probability|volume=4|issue=4|year=1976|pages=509–546|issn=0091-1798|doi=10.1214/aop/1176996025|doi-access=free}}</ref> Decades later Cramér referred to the 1930s as the "heroic period of mathematical probability theory".<ref name="Cramer1976"/> In mathematics, the theory of stochastic processes is an important contribution to [[probability theory]],<ref name="Applebaum2004">{{cite journal|last1=Applebaum|first1=David|title=Lévy processes: From probability to finance and quantum groups|journal=Notices of the AMS|volume=51|issue=11|year=2004|pages=1336–1347}}</ref> and continues to be an active topic of research for both theory and applications.<ref name="BlathImkeller2011">{{cite book|author1=Jochen Blath|author2=Peter Imkeller|author3=Sylvie Roelly|author3-link=Sylvie Roelly|title=Surveys in Stochastic Processes|url=https://books.google.com/books?id=CyK6KAjwdYkC&pg=PR5|year=2011|publisher=European Mathematical Society|isbn=978-3-03719-072-2|pages=5–}}</ref><ref name="Talagrand2014">{{cite book|author=Michel Talagrand|title=Upper and Lower Bounds for Stochastic Processes: Modern Methods and Classical Problems|url=https://books.google.com/books?id=tfa5BAAAQBAJ&pg=PR4|date=12 February 2014|publisher=Springer Science & Business Media|isbn=978-3-642-54075-2|pages=4–}}</ref><ref name="Bressloff2014VII">{{cite book|author=Paul C. Bressloff|title=Stochastic Processes in Cell Biology|url=https://books.google.com/books?id=SwZYBAAAQBAJ&pg=PA1|date=22 August 2014|publisher=Springer|isbn=978-3-319-08488-6|pages=vii–ix}}</ref> The word ''stochastic'' is used to describe other terms and objects in mathematics. Examples include a [[stochastic matrix]], which describes a stochastic process known as a [[Markov process]], and stochastic calculus, which involves [[differential equation]]s and [[integral]]s based on stochastic processes such as the [[Wiener process]], also called the Brownian motion process.
Edit summary
(Briefly describe your changes)
By publishing changes, you agree to the
Terms of Use
, and you irrevocably agree to release your contribution under the
CC BY-SA 4.0 License
and the
GFDL
. You agree that a hyperlink or URL is sufficient attribution under the Creative Commons license.
Cancel
Editing help
(opens in new window)