Editing Stochastic process

{{Short description|Collection of random variables}}
{{Probability fundamentals}}
[[File:BMonSphere.jpg|thumb|A computer-simulated realization of a [[Wiener process|Wiener]] or [[Brownian motion]] process on the surface of a sphere. The Wiener process is widely considered the most studied and central stochastic process in probability theory.<ref name="doob1953stochasticP46to47"/><ref name="RogersWilliams2000page1"/><ref name="Steele2012page29"/>]]

In [[probability theory]] and related fields, a '''stochastic''' ({{IPAc-en|s|t|ə|ˈ|k|æ|s|t|ɪ|k}}) or '''random process''' is a [[mathematical object]] usually defined as a [[Indexed family|family]] of [[random variable]]s in a [[probability space]], where the [[Index set|index]] of the family often has the interpretation of [[time]]. [[Stochastic]] processes are widely used as [[mathematical model]]s of systems and phenomena that appear to vary in a random manner. Examples include the growth of a [[bacteria]]l population, an [[electrical current]] fluctuating due to [[thermal noise]], or the movement of a [[gas]] [[molecule]].<ref name="doob1953stochasticP46to47">{{cite book|author=Joseph L. Doob|title=Stochastic processes|url=https://books.google.com/books?id=7Bu8jgEACAAJ|year=1990|publisher=Wiley|pages=46, 47}}</ref><ref name="Parzen1999">{{cite book|author=Emanuel Parzen|title=Stochastic Processes|url=https://books.google.com/books?id=0mB2CQAAQBAJ|year= 2015|publisher=Courier Dover Publications|isbn=978-0-486-79688-8|pages=7, 8}}</ref><ref name="GikhmanSkorokhod1969page1">{{cite book|author1=Iosif Ilyich Gikhman|author2=Anatoly Vladimirovich Skorokhod|title=Introduction to the Theory of Random Processes|url=https://books.google.com/books?id=q0lo91imeD0C|year=1969|publisher=Courier Corporation|isbn=978-0-486-69387-3|page=1}}</ref> Stochastic processes have applications in many disciplines such as [[biology]],<ref name="Bressloff2014">{{cite book |first=Paul C.|last=Bressloff |author-link=Paul Bressloff |title=Stochastic Processes in Cell Biology |url=https://books.google.com/books?id=SwZYBAAAQBAJ |year=2014 |publisher=Springer |isbn=978-3-319-08488-6}}</ref> [[chemistry]],<ref name="Kampen2011">{{cite book |first=N. G.|last=Van Kampen |title=Stochastic Processes in Physics and Chemistry |url=https://books.google.com/books?id=N6II-6HlPxEC |year=2011 |publisher=[[Elsevier]] |isbn=978-0-08-047536-3}}</ref> [[ecology]],<ref name="LandeEngen2003">{{cite book |first1=Russell|last1=Lande |first2=Steinar|last2=Engen |first3=Bernt-Erik|last3=Sæther |title=Stochastic Population Dynamics in Ecology and Conservation |url=https://books.google.com/books?id=6KClauq8OekC |year=2003 |publisher=[[Oxford University Press]] |isbn=978-0-19-852525-7}}</ref> [[neuroscience]],<ref name="LaingLord2010">{{cite book |first1=Carlo|last1=Laing |first2=Gabriel J.|last2=Lord |title=Stochastic Methods in Neuroscience |url=https://books.google.com/books?id=RaYSDAAAQBAJ |year=2010 |publisher=[[Oxford University Press]] |isbn=978-0-19-923507-0}}</ref> [[physics]],<ref name="PaulBaschnagel2013">{{cite book |first1=Wolfgang|last1=Paul |first2=Jörg|last2=Baschnagel |title=Stochastic Processes: From Physics to Finance |url=https://books.google.com/books?id=OWANAAAAQBAJ |year=2013 |publisher=[[Springer Science+Business Media]] |isbn=978-3-319-00327-6}}</ref> [[image processing]], [[signal processing]],<ref name="Dougherty1999">{{cite book |first=Edward R.|last=Dougherty |title=Random processes for image and signal processing |url=https://books.google.com/books?id=ePxDAQAAIAAJ |year=1999 |publisher=[[SPIE]] Optical Engineering Press |isbn=978-0-8194-2513-3}}</ref> [[stochastic control|control theory]],<ref name="Bertsekas1996">{{cite book |first=Dimitri P.|last=Bertsekas |author-link=Dimitri Bertsekas |title=Stochastic Optimal Control: The Discrete-Time Case |url=https://athenasc.com/socbook.html |year=1996 |publisher=Athena Scientific |isbn=1-886529-03-5}}</ref> [[information theory]],<ref name="CoverThomas2012page71">{{cite book |author1=Thomas M. Cover |author2=Joy A. Thomas |title=Elements of Information Theory |url=https://books.google.com/books?id=VWq5GG6ycxMC |year=2012 |publisher=[[Wiley (publisher)|John Wiley & Sons]] |isbn=978-1-118-58577-1 |page=71}}</ref> [[computer science]],<ref name="Baron2015">{{cite book |first=Michael|last=Baron |title=Probability and Statistics for Computer Scientists |edition=2nd |url=https://books.google.com/books?id=CwQZCwAAQBAJ |year=2015 |publisher=[[CRC Press]] |isbn=978-1-4987-6060-7 |page=131}}</ref> and [[telecommunications]].<ref name="BaccelliBlaszczyszyn2009">{{cite book |first1=François|last1=Baccelli |first2=Bartlomiej|last2=Blaszczyszyn |title=Stochastic Geometry and Wireless Networks |url=https://books.google.com/books?id=H3ZkTN2pYS4C |year=2009 |publisher=[[Now Publishers]] Inc. |isbn=978-1-60198-264-3}}</ref> Furthermore, seemingly random changes in [[financial market]]s have motivated the extensive use of stochastic processes in [[finance]].<ref name="Steele2001">{{cite book |first=J. Michael|last=Steele |title=Stochastic Calculus and Financial Applications |url=https://books.google.com/books?id=H06xzeRQgV4C |year=2001 |publisher=[[Springer Science+Business Media]] |isbn=978-0-387-95016-7}}</ref><ref name="MusielaRutkowski2006">{{cite book |first1=Marek|last1=Musiela |first2=Marek|last2=Rutkowski |title=Martingale Methods in Financial Modelling |url=https://books.google.com/books?id=iojEts9YAxIC |year= 2006 |publisher=[[Springer Science+Business Media]] |isbn=978-3-540-26653-2}}</ref><ref name="Shreve2004">{{cite book |first=Steven E.|last=Shreve |title=Stochastic Calculus for Finance II: Continuous-Time Models |url=https://books.google.com/books?id=O8kD1NwQBsQC |year=2004 |publisher=[[Springer Science+Business Media]] |isbn=978-0-387-40101-0}}</ref>

Applications and the study of phenomena have in turn inspired the proposal of new stochastic processes. Examples of such stochastic processes include the [[Wiener process]] or Brownian motion process,{{efn|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, [[Iosif Gikhman|Gikhman]] and [[Anatoliy Skorokhod|Skorokhod]]<ref name="GikhmanSkorokhod1969">{{cite book|author1=Iosif Ilyich Gikhman|author2=Anatoly Vladimirovich Skorokhod|title=Introduction to the Theory of Random Processes|url=https://books.google.com/books?id=yJyLzG7N7r8C|year=1969|publisher=Courier Corporation|isbn=978-0-486-69387-3}}</ref> or Rosenblatt.<ref name="Rosenblatt1962">{{cite book|author=Murray Rosenblatt|title=Random Processes|url=https://archive.org/details/randomprocesses00rose_0|url-access=registration|year=1962|publisher=Oxford University Press}}</ref>}} used by [[Louis Bachelier]] to study price changes on the [[Paris Bourse]],<ref name="JarrowProtter2004">{{cite book|last1=Jarrow|first1=Robert|title=A Festschrift for Herman Rubin|last2=Protter|first2=Philip|chapter=A short history of stochastic integration and mathematical finance: the early years, 1880–1970|year=2004|pages=75–80|issn=0749-2170|doi=10.1214/lnms/1196285381|citeseerx=10.1.1.114.632|series=Institute of Mathematical Statistics Lecture Notes - Monograph Series|isbn=978-0-940600-61-4}}</ref> and the [[Poisson process]], used by [[A. K. Erlang]] to study the number of phone calls occurring in a certain period of time.<ref name="Stirzaker2000">{{cite journal|last1=Stirzaker|first1=David|title=Advice to Hedgehogs, or, Constants Can Vary|journal=The Mathematical Gazette|volume=84|issue=500|year=2000|pages=197–210|issn=0025-5572|doi=10.2307/3621649|jstor=3621649|s2cid=125163415}}</ref> These two stochastic processes are considered the most important and central in the theory of stochastic processes,<ref name="doob1953stochasticP46to47"/><ref name="Parzen1999"/><ref>{{cite book|author1=Donald L. Snyder|author2=Michael I. Miller|title=Random Point Processes in Time and Space|url=https://books.google.com/books?id=c_3UBwAAQBAJ|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4612-3166-0|page=32}}</ref> and were invented repeatedly and independently, both before and after Bachelier and Erlang, in different settings and countries.<ref name="JarrowProtter2004"/><ref name="GuttorpThorarinsdottir2012">{{cite journal|last1=Guttorp|first1=Peter|last2=Thorarinsdottir|first2=Thordis L.|title=What Happened to Discrete Chaos, the Quenouille Process, and the Sharp Markov Property? Some History of Stochastic Point Processes|journal=International Statistical Review|volume=80|issue=2|year=2012|pages=253–268|issn=0306-7734|doi=10.1111/j.1751-5823.2012.00181.x|s2cid=80836 }}</ref>

The term '''random function''' is also used to refer to a stochastic or random process,<ref name="GusakKukush2010page21">{{cite book|first1=Dmytro|last1=Gusak|first2=Alexander|last2=Kukush|first3=Alexey|last3=Kulik|first4=Yuliya|last4=Mishura|author4-link=Yuliya Mishura|first5=Andrey|last5=Pilipenko|title=Theory of Stochastic Processes: With Applications to Financial Mathematics and Risk Theory|url=https://books.google.com/books?id=8Nzn51YTbX4C|year=2010|publisher=Springer Science & Business Media|isbn=978-0-387-87862-1|page=21}}</ref><ref name="Skorokhod2005page42">{{cite book|author=Valeriy Skorokhod|title=Basic Principles and Applications of Probability Theory|url=https://books.google.com/books?id=dQkYMjRK3fYC|year= 2005|publisher=Springer Science & Business Media|isbn=978-3-540-26312-8|page=42}}</ref> because a stochastic process can also be interpreted as a random element in a [[function space]].<ref name="Kallenberg2002page24"/><ref name="Lamperti1977page1">{{cite book|author=John Lamperti|title=Stochastic processes: a survey of the mathematical theory|url=https://books.google.com/books?id=Pd4cvgAACAAJ|year=1977|publisher=Springer-Verlag|isbn=978-3-540-90275-1|pages=1–2}}</ref> The terms ''stochastic process'' and ''random process'' are used interchangeably, often with no specific [[mathematical space]] for the set that indexes the random variables.<ref name="Kallenberg2002page24">{{cite book|author=Olav Kallenberg|title=Foundations of Modern Probability|url=https://books.google.com/books?id=L6fhXh13OyMC|year=2002|publisher=Springer Science & Business Media|isbn=978-0-387-95313-7|pages=24–25}}</ref><ref name="ChaumontYor2012">{{cite book|author1=Loïc Chaumont|author2=Marc Yor|title=Exercises in Probability: A Guided Tour from Measure Theory to Random Processes, Via Conditioning|url=https://books.google.com/books?id=1dcqV9mtQloC&pg=PR4|year= 2012|publisher=Cambridge University Press|isbn=978-1-107-60655-5|page=175}}</ref> But often these two terms are used when the random variables are indexed by the [[integers]] or an [[Interval (mathematics)|interval]] of the [[real line]].<ref name="GikhmanSkorokhod1969page1"/><ref name="ChaumontYor2012"/> 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.<ref name="GikhmanSkorokhod1969page1"/><ref name="AdlerTaylor2009page7">{{cite book|author1=Robert J. Adler|author2=Jonathan E. Taylor|title=Random Fields and Geometry|url=https://books.google.com/books?id=R5BGvQ3ejloC|year=2009|publisher=Springer Science & Business Media|isbn=978-0-387-48116-6|pages=7–8}}</ref> The values of a stochastic process are not always numbers and can be vectors or other mathematical objects.<ref name="GikhmanSkorokhod1969page1"/><ref name="Lamperti1977page1"/>

Based on their mathematical properties, stochastic processes can be grouped into various categories, which include [[random walk]]s,<ref name="LawlerLimic2010">{{cite book|author1=Gregory F. Lawler|author2=Vlada Limic|title=Random Walk: A Modern Introduction|url=https://books.google.com/books?id=UBQdwAZDeOEC|year= 2010|publisher=Cambridge University Press|isbn=978-1-139-48876-1}}</ref> [[Martingale (probability theory)|martingales]],<ref name="Williams1991">{{cite book|author=David Williams|title=Probability with Martingales|url=https://books.google.com/books?id=e9saZ0YSi-AC|year=1991|publisher=Cambridge University Press|isbn=978-0-521-40605-5}}</ref> [[Markov process]]es,<ref name="RogersWilliams2000">{{cite book|author1=L. C. G. Rogers|author2=David Williams|title=Diffusions, Markov Processes, and Martingales: Volume 1, Foundations|url=https://books.google.com/books?id=W0ydAgAAQBAJ&pg=PA1|year= 2000|publisher=Cambridge University Press|isbn=978-1-107-71749-7}}</ref> [[Lévy process]]es,<ref name="ApplebaumBook2004">{{cite book|author=David Applebaum|title=Lévy Processes and Stochastic Calculus|url=https://books.google.com/books?id=q7eDUjdJxIkC|year=2004|publisher=Cambridge University Press|isbn=978-0-521-83263-2}}</ref> [[Gaussian process]]es,<ref>{{cite book|author=Mikhail Lifshits|title=Lectures on Gaussian Processes|url=https://books.google.com/books?id=03m2UxI-UYMC|year=2012|publisher=Springer Science & Business Media|isbn=978-3-642-24939-6}}</ref> random fields,<ref name="Adler2010">{{cite book|author=Robert J. Adler|title=The Geometry of Random Fields|url=https://books.google.com/books?id=ryejJmJAj28C&pg=PA1|year= 2010|publisher=SIAM|isbn=978-0-89871-693-1}}</ref> [[renewal process]]es, and [[branching process]]es.<ref name="KarlinTaylor2012">{{cite book|author1=Samuel Karlin|author2=Howard E. Taylor|title=A First Course in Stochastic Processes|url=https://books.google.com/books?id=dSDxjX9nmmMC|year= 2012|publisher=Academic Press|isbn=978-0-08-057041-9}}</ref> The study of stochastic processes uses mathematical knowledge and techniques from [[probability]], [[calculus]], [[linear algebra]], [[set theory]], and [[topology]]<ref name="Hajek2015">{{cite book|author=Bruce Hajek|title=Random Processes for Engineers|url=https://books.google.com/books?id=Owy0BgAAQBAJ|year=2015|publisher=Cambridge University Press|isbn=978-1-316-24124-0}}</ref><ref name="LatoucheRamaswami1999">{{cite book|author1=G. Latouche|author2=V. Ramaswami|title=Introduction to Matrix Analytic Methods in Stochastic Modeling|url=https://books.google.com/books?id=Kan2ki8jqzgC|year=1999|publisher=SIAM|isbn=978-0-89871-425-8}}</ref><ref name="DaleyVere-Jones2007">{{cite book|author1=D.J. Daley|author2=David Vere-Jones|title=An Introduction to the Theory of Point Processes: Volume II: General Theory and Structure|url=https://books.google.com/books?id=nPENXKw5kwcC|year= 2007|publisher=Springer Science & Business Media|isbn=978-0-387-21337-8}}</ref> as well as branches of [[mathematical analysis]] such as [[real analysis]], [[measure theory]], [[Fourier analysis]], and [[functional analysis]].<ref name="Billingsley2008">{{cite book|author=Patrick Billingsley|title=Probability and Measure|url=https://books.google.com/books?id=QyXqOXyxEeIC|year=2008|publisher=Wiley India Pvt. Limited|isbn=978-81-265-1771-8}}</ref><ref name="Brémaud2014">{{cite book|author=Pierre Brémaud|title=Fourier Analysis and Stochastic Processes|url=https://books.google.com/books?id=dP2JBAAAQBAJ&pg=PA1|year= 2014|publisher=Springer|isbn=978-3-319-09590-5}}</ref><ref name="Bobrowski2005">{{cite book|author=Adam Bobrowski|title=Functional Analysis for Probability and Stochastic Processes: An Introduction|url=https://books.google.com/books?id=q7dR3d5nqaUC|year= 2005|publisher=Cambridge University Press|isbn=978-0-521-83166-6}}</ref> The theory of stochastic processes is considered to be an important contribution to mathematics<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 it continues to be an active topic of research for both theoretical reasons 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|year=2011|publisher=European Mathematical Society|isbn=978-3-03719-072-2}}</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|year=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|year=2014|publisher=Springer|isbn=978-3-319-08488-6|pages=vii–ix}}</ref>

==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.<ref name="Parzen1999"/><ref name="GikhmanSkorokhod1969page1"/> 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.<ref name="doob1953stochasticP46to47"/> 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 <math>n</math>-dimensional Euclidean space.<ref name="doob1953stochasticP46to47"/><ref name="GikhmanSkorokhod1969page1"/> An '''increment''' is the amount that a stochastic process changes between two index values, often interpreted as two points in time.<ref name="KarlinTaylor2012page27"/><ref name="Applebaum2004page1337"/> A stochastic process can have many [[Outcome (probability)|outcomes]], due to its randomness, and a single outcome of a stochastic process is called, among other names, a '''sample function''' or '''realization'''.<ref name="Lamperti1977page1"/><ref name="RogersWilliams2000page121b"/>

[[File:Wiener process 3d.png|thumb|right|A single computer-simulated '''sample function''' or '''realization''', among other terms, of a three-dimensional Wiener or Brownian motion process for time 0 ≤ t ≤ 2. The index set of this stochastic process is the non-negative numbers, while its state space is three-dimensional Euclidean space.]]

===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.<ref name="Florescu2014page294"/><ref name="KarlinTaylor2012page26">{{cite book|author1=Samuel Karlin|author2=Howard E. Taylor|title=A First Course in Stochastic Processes|url=https://books.google.com/books?id=dSDxjX9nmmMC|year=2012|publisher=Academic Press|isbn=978-0-08-057041-9|page=26}}</ref><ref>{{cite book|author1=Donald L. Snyder|author2=Michael I. Miller|title=Random Point Processes in Time and Space|url=https://books.google.com/books?id=c_3UBwAAQBAJ|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4612-3166-0|pages=24, 25}}</ref>

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]]'''.<ref name="Billingsley2008page482"/><ref name="Borovkov2013page527">{{cite book|author=Alexander A. Borovkov|title=Probability Theory|url=https://books.google.com/books?id=hRk_AAAAQBAJ|year=2013|publisher=Springer Science & Business Media|isbn=978-1-4471-5201-9|page=527}}</ref> If the index set is some interval of the real line, then time is said to be '''[[continuous time|continuous]]'''. The two types of stochastic processes are respectively referred to as '''discrete-time''' and '''[[continuous-time stochastic process]]es'''.<ref name="KarlinTaylor2012page27"/><ref name="Brémaud2014page120"/><ref name="Rosenthal2006page177">{{cite book|author=Jeffrey S Rosenthal|title=A First Look at Rigorous Probability Theory|url=https://books.google.com/books?id=am1IDQAAQBAJ|year=2006|publisher=World Scientific Publishing Co Inc|isbn=978-981-310-165-4|pages=177–178}}</ref> Discrete-time stochastic processes are considered easier to study because continuous-time processes require more advanced mathematical techniques and knowledge, particularly due to the index set being uncountable.<ref name="KloedenPlaten2013page63">{{cite book|author1=Peter E. Kloeden|author2=Eckhard Platen|title=Numerical Solution of Stochastic Differential Equations|url=https://books.google.com/books?id=r9r6CAAAQBAJ|year=2013|publisher=Springer Science & Business Media|isbn=978-3-662-12616-5|page=63}}</ref><ref name="Khoshnevisan2006page153">{{cite book|author1-link=Davar Khoshnevisan|author=Davar Khoshnevisan|title=Multiparameter Processes: An Introduction to Random Fields|url=https://books.google.com/books?id=XADpBwAAQBAJ|year=2006|publisher=Springer Science & Business Media|isbn=978-0-387-21631-7|pages=153–155}}</ref> If the index set is the integers, or some subset of them, then the stochastic process can also be called a '''random sequence'''.<ref name="Borovkov2013page527"/>

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 <math>n</math>-dimensional Euclidean space, then the stochastic process is called a <math>n</math>-'''dimensional vector process''' or <math>n</math>-'''vector process'''.<ref name="Florescu2014page294"/><ref name="KarlinTaylor2012page26"/>

===Etymology===
The word ''stochastic'' in [[English language|English]] was originally used as an adjective with the definition "pertaining to conjecturing", and stemming from a [[Greek language|Greek]] word meaning "to aim at a mark, guess", and the [[Oxford English Dictionary]] gives the year 1662 as its earliest occurrence.<ref name="OxfordStochastic">{{Cite OED|Stochastic}}</ref> 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".<ref name="Sheĭnin2006page5">{{cite book|author=O. B. Sheĭnin|title=Theory of probability and statistics as exemplified in short dictums|url=https://books.google.com/books?id=XqMZAQAAIAAJ|year=2006|publisher=NG Verlag|isbn=978-3-938417-40-9|page=5}}</ref> This phrase was used, with reference to Bernoulli, by [[Ladislaus Bortkiewicz]]<ref name="SheyninStrecker2011page136">{{cite book|author1=Oscar Sheynin|author2=Heinrich Strecker|title=Alexandr A. Chuprov: Life, Work, Correspondence|url=https://books.google.com/books?id=1EJZqFIGxBIC&pg=PA9|year=2011|publisher=V&R unipress GmbH|isbn=978-3-89971-812-6|page=136}}</ref> 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]].<ref name="OxfordStochastic"/> 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]],<ref name="Doob1934"/><ref name="Khintchine1934">{{cite journal|last1=Khintchine|first1=A.|title=Korrelationstheorie der stationeren stochastischen Prozesse|journal=Mathematische Annalen|volume=109|issue=1|year=1934|pages=604–615|issn=0025-5831|doi=10.1007/BF01449156|s2cid=122842868}}</ref> though the German term had been used earlier, for example, by Andrei Kolmogorov in 1931.<ref name="Kolmogoroff1931page1">{{cite journal|last1=Kolmogoroff|first1=A.|title=Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung|journal=Mathematische Annalen|volume=104|issue=1|year=1931|page=1|issn=0025-5831|doi=10.1007/BF01457949|s2cid=119439925}}</ref>

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.<ref name="OxfordRandom">{{Cite OED|Random}}</ref>

===Terminology===
The definition of a stochastic process varies,<ref name="FristedtGray2013page580">{{cite book|author1=Bert E. Fristedt|author2=Lawrence F. Gray|title=A Modern Approach to Probability Theory|url=https://books.google.com/books?id=9xT3BwAAQBAJ&pg=PA716|year= 2013|publisher=Springer Science & Business Media|isbn=978-1-4899-2837-5|page=580}}</ref> but a stochastic process is traditionally defined as a collection of random variables indexed by some set.<ref name="RogersWilliams2000page121"/><ref name="Asmussen2003page408"/> The terms ''random process'' and ''stochastic process'' are considered synonyms and are used interchangeably, without the index set being precisely specified.<ref name="Kallenberg2002page24"/><ref name="ChaumontYor2012"/><ref name="AdlerTaylor2009page7"/><ref name="Stirzaker2005page45">{{cite book|author=David Stirzaker|title=Stochastic Processes and Models|url=https://books.google.com/books?id=0avUelS7e7cC|year=2005|publisher=Oxford University Press|isbn=978-0-19-856814-8|page=45}}</ref><ref name="Rosenblatt1962page91">{{cite book|author=Murray Rosenblatt|title=Random Processes|url=https://archive.org/details/randomprocesses00rose_0|url-access=registration|year=1962|publisher=Oxford University Press|page=[https://archive.org/details/randomprocesses00rose_0/page/91 91]}}</ref><ref name="Gubner2006page383">{{cite book|author=John A. Gubner|title=Probability and Random Processes for Electrical and Computer Engineers|url=https://books.google.com/books?id=pa20eZJe4LIC|year=2006|publisher=Cambridge University Press|isbn=978-1-139-45717-0|page=383}}</ref> Both "collection",<ref name="Lamperti1977page1"/><ref name="Stirzaker2005page45"/> or "family" are used<ref name="Parzen1999"/><ref name="Ito2006page13">{{cite book|author=Kiyosi Itō|title=Essentials of Stochastic Processes|url=https://books.google.com/books?id=pY5_DkvI-CcC&pg=PR4|year=2006|publisher=American Mathematical Soc.|isbn=978-0-8218-3898-3|page=13}}</ref> while instead of "index set", sometimes the terms "parameter set"<ref name="Lamperti1977page1"/> or "parameter space"<ref name="AdlerTaylor2009page7"/> are used.

The term ''random function'' is also used to refer to a stochastic or random process,<ref name="GikhmanSkorokhod1969page1"/><ref name="Loeve1978">{{cite book|author=M. Loève|title=Probability Theory II|url=https://books.google.com/books?id=1y229yBbULIC|year=1978|publisher=Springer Science & Business Media|isbn=978-0-387-90262-3|page=163}}</ref><ref name="Brémaud2014page133">{{cite book|author=Pierre Brémaud|title=Fourier Analysis and Stochastic Processes|url=https://books.google.com/books?id=dP2JBAAAQBAJ&pg=PA1|year=2014|publisher=Springer|isbn=978-3-319-09590-5|page=133}}</ref> though sometimes it is only used when the stochastic process takes real values.<ref name="Lamperti1977page1"/><ref name="Ito2006page13"/> This term is also used when the index sets are mathematical spaces other than the real line,<ref name="GikhmanSkorokhod1969page1"/><ref name="GusakKukush2010page1">{{harvtxt|Gusak|Kukush|Kulik|Mishura|2010}}, p. 1</ref> while the terms ''stochastic process'' and ''random process'' are usually used when the index set is interpreted as time,<ref name="GikhmanSkorokhod1969page1"/><ref name="GusakKukush2010page1"/><ref name="Bass2011page1">{{cite book|author=Richard F. Bass|title=Stochastic Processes|url=https://books.google.com/books?id=Ll0T7PIkcKMC|year=2011|publisher=Cambridge University Press|isbn=978-1-139-50147-7|page=1}}</ref> and other terms are used such as ''random field'' when the index set is <math>n</math>-dimensional Euclidean space <math>\mathbb{R}^n</math> or a [[manifold]].<ref name="GikhmanSkorokhod1969page1"/><ref name="Lamperti1977page1"/><ref name="AdlerTaylor2009page7"/>

===Notation===
A stochastic process can be denoted, among other ways, by <math>\{X(t)\}_{t\in T} </math>,<ref name="Brémaud2014page120"/> <math>\{X_t\}_{t\in T} </math>,<ref name="Asmussen2003page408"/> <math>\{X_t\}</math><ref name="Lamperti1977page3">,{{cite book|author=John Lamperti|title=Stochastic processes: a survey of the mathematical theory|url=https://books.google.com/books?id=Pd4cvgAACAAJ|year=1977|publisher=Springer-Verlag|isbn=978-3-540-90275-1|page=3}}</ref> <math>\{X(t)\}</math> or simply as <math>X</math>. Some authors mistakenly write <math>X(t)</math> even though it is an [[abuse of notation#Function notation|abuse of function notation]].<ref name="Klebaner2005page55">{{cite book|author=Fima C. Klebaner|title=Introduction to Stochastic Calculus with Applications|url=https://books.google.com/books?id=JYzW0uqQxB0C|year=2005|publisher=Imperial College Press|isbn=978-1-86094-555-7|page=55}}</ref> For example, <math>X(t)</math> or <math>X_t</math> are used to refer to the random variable with the index <math>t</math>, and not the entire stochastic process.<ref name="Lamperti1977page3"/> If the index set is <math>T=[0,\infty)</math>, then one can write, for example, <math>(X_t , t \geq 0)</math> to denote the stochastic process.<ref name="ChaumontYor2012"/>

==Examples==

===Bernoulli process===
{{Main|Bernoulli process}}

One of the simplest stochastic processes is the [[Bernoulli process]],<ref name="Florescu2014page293"/> 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 <math>p</math> and zero with probability <math>1-p</math>. This process can be linked to an idealisation of repeatedly flipping a coin, where the probability of obtaining a head is taken to be <math>p</math> and its value is one, while the value of a tail is zero.<ref name= "Florescu2014page301">{{cite book| first= Ionut |last= Florescu|title=Probability and Stochastic Processes|url=https://books.google.com/books?id=Z5xEBQAAQBAJ&pg=PR22|year=2014|publisher=John Wiley & Sons|isbn=978-1-118-59320-2|page=301}}</ref> In other words, a Bernoulli process is a sequence of iid Bernoulli random variables,<ref name="BertsekasTsitsiklis2002page273">{{cite book| first1= Dimitri P.| last1= Bertsekas| first2= John N. |last2= Tsitsiklis|title=Introduction to Probability |url= https://books.google.com/books?id=bcHaAAAAMAAJ|year=2002|publisher= Athena Scientific| isbn=978-1-886529-40-3|page=273}}</ref> where each idealised coin flip is an example of a [[Bernoulli trial]].<ref name="Ibe2013page11">{{cite book| first= Oliver C. |last= Ibe |title= Elements of Random Walk and Diffusion Processes|url=https://books.google.com/books?id=DUqaAAAAQBAJ&pg=PT10|year=2013|publisher=John Wiley & Sons|isbn=978-1-118-61793-9 |page= 11}}</ref>

===Random walk===
{{Main|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.<ref name="Klenke2013page347">{{cite book|author=Achim Klenke|title=Probability Theory: A Comprehensive Course|url=https://books.google.com/books?id=aqURswEACAAJ|year=2013|publisher=Springer|isbn=978-1-4471-5362-7|pages=347}}</ref><ref name="LawlerLimic2010page1">{{cite book|author1=Gregory F. Lawler|author2=Vlada Limic|title=Random Walk: A Modern Introduction|url=https://books.google.com/books?id=UBQdwAZDeOEC|year=2010|publisher=Cambridge University Press|isbn=978-1-139-48876-1|page=1}}</ref><ref name="Kallenberg2002page136">{{cite book|author=Olav Kallenberg|title=Foundations of Modern Probability|url=https://books.google.com/books?id=L6fhXh13OyMC|date= 2002|publisher=Springer Science & Business Media|isbn=978-0-387-95313-7|page=136}}</ref><ref name="Florescu2014page383">{{cite book|author=Ionut Florescu|title=Probability and Stochastic Processes|url=https://books.google.com/books?id=Z5xEBQAAQBAJ&pg=PR22|year=2014|publisher=John Wiley & Sons|isbn=978-1-118-59320-2|page=383}}</ref><ref name="Durrett2010page277">{{cite book|author=Rick Durrett|title=Probability: Theory and Examples|url=https://books.google.com/books?id=evbGTPhuvSoC|year=2010|publisher=Cambridge University Press|isbn=978-1-139-49113-6|page=277}}</ref> But some also use the term to refer to processes that change in continuous time,<ref name="Weiss2006page1">{{cite book|last1=Weiss|first1=George H.|title=Encyclopedia of Statistical Sciences|chapter=Random Walks|year=2006|doi=10.1002/0471667196.ess2180.pub2|page=1|isbn=978-0471667193}}</ref> particularly the Wiener process used in financial models, which has led to some confusion, resulting in its criticism.<ref name="Spanos1999page454">{{cite book|author=Aris Spanos|title=Probability Theory and Statistical Inference: Econometric Modeling with Observational Data|url=https://books.google.com/books?id=G0_HxBubGAwC|year=1999|publisher=Cambridge University Press|isbn=978-0-521-42408-0|page=454}}</ref> There are various other 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.<ref name="Weiss2006page1"/><ref name="Klebaner2005page81">{{cite book|author=Fima C. Klebaner|title=Introduction to Stochastic Calculus with Applications|url=https://books.google.com/books?id=JYzW0uqQxB0C|year=2005|publisher=Imperial College Press|isbn=978-1-86094-555-7|page=81}}</ref>

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, <math>p</math>, or decreases by one with probability <math>1-p</math>, so the index set of this random walk is the natural numbers, while its state space is the integers. If <math>p=0.5</math>, this random walk is called a symmetric random walk.<ref name="Gut2012page88">{{cite book|author=Allan Gut|title=Probability: A Graduate Course|url=https://books.google.com/books?id=XDFA-n_M5hMC|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4614-4708-5|page=88}}</ref><ref name="GrimmettStirzaker2001page71">{{cite book|author1=Geoffrey Grimmett|author2=David Stirzaker|title=Probability and Random Processes|url=https://books.google.com/books?id=G3ig-0M4wSIC|year=2001|publisher=OUP Oxford|isbn=978-0-19-857222-0|page=71}}</ref>

===Wiener process===
{{Main|Wiener process}}

The Wiener process is a stochastic process with [[stationary increments|stationary]] and [[independent increments]] that are [[normally distributed]] based on the size of the increments.<ref name="RogersWilliams2000page1">{{cite book|author1=L. C. G. Rogers|author2=David Williams|title=Diffusions, Markov Processes, and Martingales: Volume 1, Foundations|url=https://books.google.com/books?id=W0ydAgAAQBAJ&pg=PA1|year=2000|publisher=Cambridge University Press|isbn=978-1-107-71749-7|page=1}}</ref><ref name="Klebaner2005page56">{{cite book|author=Fima C. Klebaner|title=Introduction to Stochastic Calculus with Applications|url=https://books.google.com/books?id=JYzW0uqQxB0C|year=2005|publisher=Imperial College Press|isbn=978-1-86094-555-7|page=56}}</ref> 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.<ref name="Brush1968page1">{{cite journal|last1=Brush|first1=Stephen G.|title=A history of random processes|journal=Archive for History of Exact Sciences|volume=5|issue=1|year=1968|pages=1–2|issn=0003-9519|doi=10.1007/BF00328110|s2cid=117623580}}</ref><ref name="Applebaum2004page1338">{{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=1338}}</ref><ref name="GikhmanSkorokhod1969page21">{{cite book|author1=Iosif Ilyich Gikhman|author2=Anatoly Vladimirovich Skorokhod|title=Introduction to the Theory of Random Processes|url=https://books.google.com/books?id=yJyLzG7N7r8C&pg=PR2|year=1969|publisher=Courier Corporation|isbn=978-0-486-69387-3|page=21}}</ref>

[[File:DriftedWienerProcess1D.svg|thumb|left|Realizations of Wiener processes (or Brownian motion processes) with drift ({{color|blue|blue}}) and without drift ({{color|red|red}})]]

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.<ref name="doob1953stochasticP46to47"/><ref name="RogersWilliams2000page1"/><ref name="Steele2012page29">{{cite book|author=J. Michael Steele|title=Stochastic Calculus and Financial Applications|url=https://books.google.com/books?id=fsgkBAAAQBAJ&pg=PR4|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4684-9305-4|page=29}}</ref><ref name="Florescu2014page471">{{cite book|author=Ionut Florescu|title=Probability and Stochastic Processes|url=https://books.google.com/books?id=Z5xEBQAAQBAJ&pg=PR22|year=2014|publisher=John Wiley & Sons|isbn=978-1-118-59320-2|page=471}}</ref><ref name="KarlinTaylor2012page21">{{cite book|author1=Samuel Karlin|author2=Howard E. Taylor|title=A First Course in Stochastic Processes|url=https://books.google.com/books?id=dSDxjX9nmmMC|year=2012|publisher=Academic Press|isbn=978-0-08-057041-9|pages=21, 22}}</ref><ref name="KaratzasShreve2014pageVIII">{{cite book|author1=Ioannis Karatzas|author2=Steven Shreve|title=Brownian Motion and Stochastic Calculus|url=https://books.google.com/books?id=w0SgBQAAQBAJ&pg=PT5|year=1991|publisher=Springer|isbn=978-1-4612-0949-2|page=VIII}}</ref><ref name="RevuzYor2013pageIX">{{cite book|author1=Daniel Revuz|author2=Marc Yor|title=Continuous Martingales and Brownian Motion|url=https://books.google.com/books?id=OYbnCAAAQBAJ|year=2013|publisher=Springer Science & Business Media|isbn=978-3-662-06400-9|page=IX|author1-link=Daniel Revuz}}</ref> 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.<ref name="Rosenthal2006page186">{{cite book|author=Jeffrey S Rosenthal|title=A First Look at Rigorous Probability Theory|url=https://books.google.com/books?id=am1IDQAAQBAJ|year=2006|publisher=World Scientific Publishing Co Inc|isbn=978-981-310-165-4|page=186}}</ref> But the process can be defined more generally so its state space can be <math>n</math>-dimensional Euclidean space.<ref name="Klebaner2005page81"/><ref name="KarlinTaylor2012page21"/><ref>{{cite book|author1=Donald L. Snyder|author2=Michael I. Miller|title=Random Point Processes in Time and Space|url=https://books.google.com/books?id=c_3UBwAAQBAJ|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4612-3166-0|page=33}}</ref> If the [[mean]] of any increment is zero, then the resulting Wiener or Brownian motion process is said to have zero drift. If the mean of the increment for any two points in time is equal to the time difference multiplied by some constant <math> \mu</math>, which is a real number, then the resulting stochastic process is said to have drift <math> \mu</math>.<ref name="Steele2012page118">{{cite book|author=J. Michael Steele|title=Stochastic Calculus and Financial Applications|url=https://books.google.com/books?id=fsgkBAAAQBAJ&pg=PR4|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4684-9305-4|page=118}}</ref><ref name="MörtersPeres2010page1"/><ref name="KaratzasShreve2014page78">{{cite book|author1=Ioannis Karatzas|author2=Steven Shreve|title=Brownian Motion and Stochastic Calculus|url=https://books.google.com/books?id=w0SgBQAAQBAJ&pg=PT5|year=1991|publisher=Springer|isbn=978-1-4612-0949-2|page=78}}</ref>

[[Almost surely]], a sample path of a Wiener process is continuous everywhere but [[nowhere differentiable function|nowhere differentiable]]. It can be considered as a continuous version of the simple random walk.<ref name="Applebaum2004page1337">{{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|page=1337}}</ref><ref name="MörtersPeres2010page1">{{cite book|author1=Peter Mörters|author2=Yuval Peres|title=Brownian Motion|url=https://books.google.com/books?id=e-TbA-dSrzYC|year=2010|publisher=Cambridge University Press|isbn=978-1-139-48657-6|pages=1, 3}}</ref> The process arises as the mathematical limit of other stochastic processes such as certain random walks rescaled,<ref name="KaratzasShreve2014page61">{{cite book|author1=Ioannis Karatzas|author2=Steven Shreve|title=Brownian Motion and Stochastic Calculus|url=https://books.google.com/books?id=w0SgBQAAQBAJ&pg=PT5|year=1991|publisher=Springer|isbn=978-1-4612-0949-2|page=61}}</ref><ref name="Shreve2004page93">{{cite book|author=Steven E. Shreve|title=Stochastic Calculus for Finance II: Continuous-Time Models|url=https://books.google.com/books?id=O8kD1NwQBsQC|year=2004|publisher=Springer Science & Business Media|isbn=978-0-387-40101-0|page=93}}</ref> which is the subject of [[Donsker's theorem]] or invariance principle, also known as the functional central limit theorem.<ref name="Kallenberg2002page225and260">{{cite book|author=Olav Kallenberg|title=Foundations of Modern Probability|url=https://books.google.com/books?id=L6fhXh13OyMC|year=2002|publisher=Springer Science & Business Media|isbn=978-0-387-95313-7|pages=225, 260}}</ref><ref name="KaratzasShreve2014page70">{{cite book|author1=Ioannis Karatzas|author2=Steven Shreve|title=Brownian Motion and Stochastic Calculus|url=https://books.google.com/books?id=w0SgBQAAQBAJ&pg=PT5|year=1991|publisher=Springer|isbn=978-1-4612-0949-2|page=70}}</ref><ref name="MörtersPeres2010page131">{{cite book|author1=Peter Mörters|author2=Yuval Peres|title=Brownian Motion|url=https://books.google.com/books?id=e-TbA-dSrzYC|year=2010|publisher=Cambridge University Press|isbn=978-1-139-48657-6|page=131}}</ref>

The Wiener process is a member of some important families of stochastic processes, including Markov processes, Lévy processes and Gaussian processes.<ref name="RogersWilliams2000page1"/><ref name="Applebaum2004page1337"/> The process also has many applications and is the main stochastic process used in stochastic calculus.<ref name="Klebaner2005">{{cite book|author=Fima C. Klebaner|title=Introduction to Stochastic Calculus with Applications|url=https://books.google.com/books?id=JYzW0uqQxB0C|year=2005|publisher=Imperial College Press|isbn=978-1-86094-555-7}}</ref><ref name="KaratzasShreve2014page">{{cite book|author1=Ioannis Karatzas|author2=Steven Shreve|title=Brownian Motion and Stochastic Calculus|url=https://books.google.com/books?id=w0SgBQAAQBAJ&pg=PT5|year=1991|publisher=Springer|isbn=978-1-4612-0949-2}}</ref> It plays a central role in quantitative finance,<ref name="Applebaum2004page1341">{{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|page=1341}}</ref><ref name="KarlinTaylor2012page340">{{cite book|author1=Samuel Karlin|author2=Howard E. Taylor|title=A First Course in Stochastic Processes|url=https://books.google.com/books?id=dSDxjX9nmmMC|year=2012|publisher=Academic Press|isbn=978-0-08-057041-9|page=340}}</ref> where it is used, for example, in the Black–Scholes–Merton model.<ref name="Klebaner2005page124">{{cite book|author=Fima C. Klebaner|title=Introduction to Stochastic Calculus with Applications|url=https://books.google.com/books?id=JYzW0uqQxB0C|year=2005|publisher=Imperial College Press|isbn=978-1-86094-555-7|page=124}}</ref> 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.<ref name="Steele2012page29"/><ref name="KaratzasShreve2014page47">{{cite book|author1=Ioannis Karatzas|author2=Steven Shreve|title=Brownian Motion and Stochastic Calculus|url=https://books.google.com/books?id=w0SgBQAAQBAJ&pg=PT5|year=1991|publisher=Springer|isbn=978-1-4612-0949-2|page=47}}</ref><ref name="Wiersema2008page2">{{cite book|author=Ubbo F. Wiersema|title=Brownian Motion Calculus|url=https://books.google.com/books?id=0h-n0WWuD9cC|year=2008|publisher=John Wiley & Sons|isbn=978-0-470-02171-2|page=2}}</ref>

===Poisson process===
{{Main|Poisson process}}

The Poisson process is a stochastic process that has different forms and definitions.<ref name="Tijms2003page1">{{cite book|author=Henk C. Tijms|title=A First Course in Stochastic Models|url=https://books.google.com/books?id=eBeNngEACAAJ|year=2003|publisher=Wiley|isbn=978-0-471-49881-0|pages=1, 2}}</ref><ref name="DaleyVere-Jones2006chap2">{{cite book|author1=D.J. Daley|author2=D. Vere-Jones|title=An Introduction to the Theory of Point Processes: Volume I: Elementary Theory and Methods|url=https://books.google.com/books?id=6Sv4BwAAQBAJ|year=2006|publisher=Springer Science & Business Media|isbn=978-0-387-21564-8|pages=19–36}}</ref> 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.<ref name="Tijms2003page1"/>

If a Poisson process is defined with a single positive constant, then the process is called a homogeneous Poisson process.<ref name="Tijms2003page1"/><ref name="PinskyKarlin2011">{{cite book|author1=Mark A. Pinsky|author2=Samuel Karlin|title=An Introduction to Stochastic Modeling|url=https://books.google.com/books?id=PqUmjp7k1kEC|year=2011|publisher=Academic Press|isbn=978-0-12-381416-6|page=241}}</ref> The homogeneous Poisson process is a member of important classes of stochastic processes such as Markov processes and Lévy processes.<ref name="Applebaum2004page1337"/>

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.<ref name="Kingman1992page38">{{cite book|author=J. F. C. Kingman|title=Poisson Processes|url=https://books.google.com/books?id=VEiM-OtwDHkC|year=1992|publisher=Clarendon Press|isbn=978-0-19-159124-2|page=38}}</ref><ref name="DaleyVere-Jones2006page19">{{cite book|author1=D.J. Daley|author2=D. Vere-Jones|title=An Introduction to the Theory of Point Processes: Volume I: Elementary Theory and Methods|url=https://books.google.com/books?id=6Sv4BwAAQBAJ|year=2006|publisher=Springer Science & Business Media|isbn=978-0-387-21564-8|page=19}}</ref> If the parameter constant of the Poisson process is replaced with some non-negative integrable function of <math>t</math>, the resulting process is called an inhomogeneous or nonhomogeneous Poisson process, where the average density of points of the process is no longer constant.<ref name="Kingman1992page22">{{cite book|author=J. F. C. Kingman|title=Poisson Processes|url=https://books.google.com/books?id=VEiM-OtwDHkC|year=1992|publisher=Clarendon Press|isbn=978-0-19-159124-2|page=22}}</ref> 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.<ref name="KarlinTaylor2012page118">{{cite book|author1=Samuel Karlin|author2=Howard E. Taylor|title=A First Course in Stochastic Processes|url=https://books.google.com/books?id=dSDxjX9nmmMC|year=2012|publisher=Academic Press|isbn=978-0-08-057041-9|pages=118, 119}}</ref><ref name="Kleinrock1976page61">{{cite book|author=Leonard Kleinrock|title=Queueing Systems: Theory|url=https://archive.org/details/queueingsystems00klei|url-access=registration|year=1976|publisher=Wiley|isbn=978-0-471-49110-1|page=[https://archive.org/details/queueingsystems00klei/page/61 61]}}</ref>

Defined on the real line, the Poisson process can be interpreted as a stochastic process,<ref name="Applebaum2004page1337"/><ref name="Rosenblatt1962page94">{{cite book|author=Murray Rosenblatt|title=Random Processes|url=https://archive.org/details/randomprocesses00rose_0|url-access=registration|year=1962|publisher=Oxford University Press|page=[https://archive.org/details/randomprocesses00rose_0/page/94 94]}}</ref> among other random objects.<ref name="Haenggi2013page10and18">{{cite book|author=Martin Haenggi|title=Stochastic Geometry for Wireless Networks|url=https://books.google.com/books?id=CLtDhblwWEgC|year=2013|publisher=Cambridge University Press|isbn=978-1-107-01469-5|pages=10, 18}}</ref><ref name="ChiuStoyan2013page41and108">{{cite book|author1=Sung Nok Chiu|author2=Dietrich Stoyan|author3=Wilfrid S. Kendall|author4=Joseph Mecke|title=Stochastic Geometry and Its Applications|url=https://books.google.com/books?id=825NfM6Nc-EC|year=2013|publisher=John Wiley & Sons|isbn=978-1-118-65825-3|pages=41, 108}}</ref> But then it can be defined on the <math>n</math>-dimensional Euclidean space or other mathematical spaces,<ref name="Kingman1992page11">{{cite book|author=J. F. C. Kingman|title=Poisson Processes|url=https://books.google.com/books?id=VEiM-OtwDHkC|year=1992|publisher=Clarendon Press|isbn=978-0-19-159124-2|page=11}}</ref> where it is often interpreted as a random set or a random counting measure, instead of a stochastic process.<ref name="Haenggi2013page10and18"/><ref name="ChiuStoyan2013page41and108"/> 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.<ref name="Stirzaker2000"/><ref name="Streit2010page1">{{cite book|author=Roy L. Streit|title=Poisson Point Processes: Imaging, Tracking, and Sensing|url=https://books.google.com/books?id=KAWmFYUJ5zsC&pg=PA11|year=2010|publisher=Springer Science & Business Media|isbn=978-1-4419-6923-1|page=1}}</ref> 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.<ref name="Streit2010page1"/><ref name="Kingman1992pagev">{{cite book|author=J. F. C. Kingman|title=Poisson Processes|url=https://books.google.com/books?id=VEiM-OtwDHkC|year=1992|publisher=Clarendon Press|isbn=978-0-19-159124-2|page=v}}</ref>

==Definitions==

===Stochastic process===
A stochastic process is defined as a collection of random variables defined on a common [[probability space]] <math>(\Omega, \mathcal{F}, P)</math>, where <math>\Omega</math> is a [[sample space]], <math>\mathcal{F}</math> is a <math>\sigma</math>-[[Sigma-algebra|algebra]], and <math>P</math> is a [[probability measure]]; and the random variables, indexed by some set <math>T</math>, all take values in the same mathematical space <math>S</math>, which must be [[measurable]] with respect to some <math>\sigma</math>-algebra <math>\Sigma</math>.<ref name="Lamperti1977page1"/>

In other words, for a given probability space <math>(\Omega, \mathcal{F}, P)</math> and a measurable space <math>(S,\Sigma)</math>, a stochastic process is a collection of <math>S</math>-valued random variables, which can be written as:<ref name="Florescu2014page293">{{cite book|author=Ionut Florescu|title=Probability and Stochastic Processes|url=https://books.google.com/books?id=Z5xEBQAAQBAJ&pg=PR22|year=2014|publisher=John Wiley & Sons|isbn=978-1-118-59320-2|page=293}}</ref>
<div class="center"><math>
\{X(t):t\in T \}.
</math></div>

Historically, in many problems from the natural sciences a point <math>t\in T</math> had the meaning of time, so <math>X(t)</math> is a random variable representing a value observed at time <math>t</math>.<ref name="Borovkov2013page528">{{cite book|author=Alexander A. Borovkov|author-link=Alexander A. Borovkov|title=Probability Theory|url=https://books.google.com/books?id=hRk_AAAAQBAJ|year=2013|publisher=Springer Science & Business Media|isbn=978-1-4471-5201-9|page=528}}</ref> A stochastic process can also be written as <math> \{X(t,\omega):t\in T \}</math> to reflect that it is actually a function of two variables, <math>t\in T</math> and <math>\omega\in \Omega</math>.<ref name="Lamperti1977page1"/><ref name="LindgrenRootzen2013page11">{{cite book|author1=Georg Lindgren|author2=Holger Rootzen|author3=Maria Sandsten|title=Stationary Stochastic Processes for Scientists and Engineers|url=https://books.google.com/books?id=FYJFAQAAQBAJ&pg=PR1|year=2013|publisher=CRC Press|isbn=978-1-4665-8618-5|pages=11}}</ref>

There are other ways to consider a stochastic process, with the above definition being considered the traditional one.<ref name="RogersWilliams2000page121">{{cite book|author1=L. C. G. Rogers|author2=David Williams|title=Diffusions, Markov Processes, and Martingales: Volume 1, Foundations|url=https://books.google.com/books?id=W0ydAgAAQBAJ&pg=PA1|year=2000|publisher=Cambridge University Press|isbn=978-1-107-71749-7|pages=121, 122}}</ref><ref name="Asmussen2003page408">{{cite book|author=Søren Asmussen|title=Applied Probability and Queues|url=https://books.google.com/books?id=BeYaTxesKy0C|year=2003|publisher=Springer Science & Business Media|isbn=978-0-387-00211-8|page=408}}</ref> For example, a stochastic process can be interpreted or defined as a <math>S^T</math>-valued random variable, where <math>S^T</math> is the space of all the possible [[Function (mathematics)|functions]] from the set <math>T</math> into the space <math>S</math>.<ref name="Kallenberg2002page24"/><ref name="RogersWilliams2000page121"/> However this alternative definition as a "function-valued random variable" in general requires additional regularity assumptions to be well-defined.<ref name="aumann">{{cite journal |last1=Aumann |first1=Robert |title=Borel structures for function spaces |journal=Illinois Journal of Mathematics |date=December 1961 |volume=5 |issue=4 |doi=10.1215/ijm/1255631584 |s2cid=117171116 |doi-access=free }}</ref>

===Index set===
The set <math>T</math> is called the '''index set'''<ref name="Parzen1999"/><ref name="Florescu2014page294"/> or '''parameter set'''<ref name="Lamperti1977page1"/><ref name="Skorokhod2005page93">{{cite book|author=Valeriy Skorokhod|title=Basic Principles and Applications of Probability Theory|url=https://books.google.com/books?id=dQkYMjRK3fYC|year=2005|publisher=Springer Science & Business Media|isbn=978-3-540-26312-8|pages=93, 94}}</ref> 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 <math>T</math> the interpretation of time.<ref name="doob1953stochasticP46to47"/> In addition to these sets, the index set <math>T</math> can be another set with a [[total order]] or a more general set,<ref name="doob1953stochasticP46to47"/><ref name="Billingsley2008page482">{{cite book|author=Patrick Billingsley|title=Probability and Measure|url=https://books.google.com/books?id=QyXqOXyxEeIC|year=2008|publisher=Wiley India Pvt. Limited|isbn=978-81-265-1771-8|page=482}}</ref> such as the Cartesian plane <math>\mathbb{R}^2</math> or <math>n</math>-dimensional Euclidean space, where an element <math>t\in T</math> can represent a point in space.<ref name="KarlinTaylor2012page27">{{cite book|author1=Samuel Karlin|author2=Howard E. Taylor|title=A First Course in Stochastic Processes|url=https://books.google.com/books?id=dSDxjX9nmmMC|year=2012|publisher=Academic Press|isbn=978-0-08-057041-9|page=27}}</ref><ref>{{cite book|author1=Donald L. Snyder|author2=Michael I. Miller|title=Random Point Processes in Time and Space|url=https://books.google.com/books?id=c_3UBwAAQBAJ|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4612-3166-0|page=25}}</ref> That said, many results and theorems are only possible for stochastic processes with a totally ordered index set.<ref name="Skorokhod2005page104">{{cite book|author=Valeriy Skorokhod|title=Basic Principles and Applications of Probability Theory|url=https://books.google.com/books?id=dQkYMjRK3fYC|year=2005|publisher=Springer Science & Business Media|isbn=978-3-540-26312-8|page=104}}</ref>

=== State space ===
The [[mathematical space]] <math>S</math> of a stochastic process is called its ''state space''. This mathematical space can be defined using [[integer]]s, [[real line]]s, <math>n</math>-dimensional [[Euclidean space]]s, 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.<ref name="doob1953stochasticP46to47"/><ref name="GikhmanSkorokhod1969page1"/><ref name="Lamperti1977page1"/><ref name="Florescu2014page294">{{cite book|author=Ionut Florescu|title=Probability and Stochastic Processes|url=https://books.google.com/books?id=Z5xEBQAAQBAJ&pg=PR22|year=2014|publisher=John Wiley & Sons|isbn=978-1-118-59320-2|pages=294, 295}}</ref><ref name="Brémaud2014page120">{{cite book|author=Pierre Brémaud|title=Fourier Analysis and Stochastic Processes|url=https://books.google.com/books?id=dP2JBAAAQBAJ&pg=PA1|year=2014|publisher=Springer|isbn=978-3-319-09590-5|page=120}}</ref>

===Sample function===
A '''sample function''' is a single [[Outcome (probability)|outcome]] of a stochastic process, so it is formed by taking a single possible value of each random variable of the stochastic process.<ref name="Lamperti1977page1"/><ref name="Florescu2014page296">{{cite book|author=Ionut Florescu|title=Probability and Stochastic Processes|url=https://books.google.com/books?id=Z5xEBQAAQBAJ&pg=PR22|year=2014|publisher=John Wiley & Sons|isbn=978-1-118-59320-2|page=296}}</ref> More precisely, if <math>\{X(t,\omega):t\in T \}</math> is a stochastic process, then for any point <math>\omega\in\Omega</math>, the [[Map (mathematics)|mapping]]
<div class="center"><math>
X(\cdot,\omega): T \rightarrow S,
</math></div>
is called a sample function, a '''realization''', or, particularly when <math>T</math> is interpreted as time, a '''sample path''' of the stochastic process <math>\{X(t,\omega):t\in T \}</math>.<ref name="RogersWilliams2000page121b">{{cite book|author1=L. C. G. Rogers|author2=David Williams|title=Diffusions, Markov Processes, and Martingales: Volume 1, Foundations|url=https://books.google.com/books?id=W0ydAgAAQBAJ&pg=PA1|year=2000|publisher=Cambridge University Press|isbn=978-1-107-71749-7|pages=121–124}}</ref> This means that for a fixed <math>\omega\in\Omega</math>, there exists a sample function that maps the index set <math>T</math> to the state space <math>S</math>.<ref name="Lamperti1977page1"/> Other names for a sample function of a stochastic process include '''trajectory''', '''path function'''<ref name="Billingsley2008page493">{{cite book|author=Patrick Billingsley|title=Probability and Measure|url=https://books.google.com/books?id=QyXqOXyxEeIC|year=2008|publisher=Wiley India Pvt. Limited|isbn=978-81-265-1771-8|page=493}}</ref> or '''path'''.<ref name="Øksendal2003page10">{{cite book|author=Bernt Øksendal|title=Stochastic Differential Equations: An Introduction with Applications|url=https://books.google.com/books?id=VgQDWyihxKYC|year=2003|publisher=Springer Science & Business Media|isbn=978-3-540-04758-2|page=10}}</ref>

===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 <math>\{X(t):t\in T \}</math> is a stochastic process with state space <math>S</math> and index set <math>T=[0,\infty)</math>, then for any two non-negative numbers <math>t_1\in [0,\infty)</math> and <math>t_2\in [0,\infty)</math> such that <math>t_1\leq t_2</math>, the difference <math>X_{t_2}-X_{t_1}</math> is a <math>S</math>-valued random variable known as an increment.<ref name="KarlinTaylor2012page27"/><ref name="Applebaum2004page1337"/> When interested in the increments, often the state space <math>S</math> is the real line or the natural numbers, but it can be <math>n</math>-dimensional Euclidean space or more abstract spaces such as [[Banach space]]s.<ref name="Applebaum2004page1337"/>

===Further definitions===

====Law====
For a stochastic process <math>X\colon\Omega \rightarrow S^T</math> defined on the probability space <math>(\Omega, \mathcal{F}, P)</math>, the '''law''' of stochastic process <math>X</math> is defined as the [[pushforward measure]]:
<div class="center"><math>
\mu=P\circ X^{-1},
</math></div>
where <math>P</math> is a probability measure, the symbol <math>\circ </math> denotes function composition and <math>X^{-1}</math> is the pre-image of the measurable function or, equivalently, the <math>S^T</math>-valued random variable <math>X</math>, where <math>S^T</math> is the space of all the possible <math>S</math>-valued functions of <math>t\in T</math>, so the law of a stochastic process is a probability measure.<ref name="Kallenberg2002page24"/><ref name="RogersWilliams2000page121"/><ref name="FrizVictoir2010page571"/><ref name="Resnick2013page40">{{cite book|author=Sidney I. Resnick|title=Adventures in Stochastic Processes|url=https://books.google.com/books?id=VQrpBwAAQBAJ|year=2013|publisher=Springer Science & Business Media|isbn=978-1-4612-0387-2|pages=40–41}}</ref>

For a measurable subset <math>B</math> of <math>S^T</math>, the pre-image of <math>X</math> gives
<div class="center"><math>
X^{-1}(B)=\{\omega\in \Omega: X(\omega)\in B \},
</math></div>
so the law of a <math>X</math> can be written as:<ref name="Lamperti1977page1"/>
<div class="center"><math>
\mu(B)=P(\{\omega\in \Omega: X(\omega)\in B \}).
</math></div>

The law of a stochastic process or a random variable is also called the '''probability law''', '''probability distribution''', or the '''distribution'''.<ref name="Borovkov2013page528"/><ref name="FrizVictoir2010page571"/><ref name="Whitt2006page23">{{cite book|author=Ward Whitt|title=Stochastic-Process Limits: An Introduction to Stochastic-Process Limits and Their Application to Queues|url=https://books.google.com/books?id=LkQOBwAAQBAJ&pg=PR5|year=2006|publisher=Springer Science & Business Media|isbn=978-0-387-21748-2|page=23}}</ref><ref name="ApplebaumBook2004page4">{{cite book|author=David Applebaum|title=Lévy Processes and Stochastic Calculus|url=https://books.google.com/books?id=q7eDUjdJxIkC|year=2004|publisher=Cambridge University Press|isbn=978-0-521-83263-2|page=4}}</ref><ref name="RevuzYor2013page10">{{cite book|author1=Daniel Revuz|author2=Marc Yor|title=Continuous Martingales and Brownian Motion|url=https://books.google.com/books?id=OYbnCAAAQBAJ|year=2013|publisher=Springer Science & Business Media|isbn=978-3-662-06400-9|page=10}}</ref>

====Finite-dimensional probability distributions====
{{Main|Finite-dimensional distribution}}
For a stochastic process <math>X</math> with law <math>\mu</math>, its '''finite-dimensional distribution''' for <math>t_1,\dots,t_n\in T</math> is defined as:
<div class="center"><math>
\mu_{t_1,\dots,t_n} =P\circ (X({t_1}),\dots, X({t_n}))^{-1},
</math></div>
This measure <math>\mu_{t_1,..,t_n}</math> is the joint distribution of the random vector <math>
(X({t_1}),\dots, X({t_n}))
</math>; it can be viewed as a "projection" of the law <math>\mu</math> onto a finite subset of <math>T</math>.<ref name="Kallenberg2002page24"/><ref name="RogersWilliams2000page123">{{cite book|author1=L. C. G. Rogers|author2=David Williams|title=Diffusions, Markov Processes, and Martingales: Volume 1, Foundations|url=https://books.google.com/books?id=W0ydAgAAQBAJ&pg=PA356|year=2000|publisher=Cambridge University Press|isbn=978-1-107-71749-7|pages=123}}</ref>

For any measurable subset <math>C</math> of the <math>n</math>-fold [[Cartesian power]] <math>S^n=S\times\dots \times S</math>, the finite-dimensional distributions of a stochastic process <math>X</math> can be written as:<ref name="Lamperti1977page1"/>
<div class="center"><math>
\mu_{t_1,\dots,t_n}(C) =P \Big(\big\{\omega\in \Omega: \big( X_{t_1}(\omega), \dots, X_{t_n}(\omega) \big) \in C \big\} \Big).
</math></div>
The finite-dimensional distributions of a stochastic process satisfy two mathematical conditions known as consistency conditions.<ref name="Rosenthal2006page177"/>

====Stationarity====
{{Main|Stationary process}}
'''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 <math>X</math> is a stationary stochastic process, then for any <math>t\in T</math> the random variable <math>X_t</math> has the same distribution, which means that for any set of <math>n</math> index set values <math>t_1,\dots, t_n</math>, the corresponding <math>n</math> random variables
<div class="center"><math>
X_{t_1}, \dots X_{t_n},
</math></div>
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.<ref name="Lamperti1977page6">{{cite book|author=John Lamperti|title=Stochastic processes: a survey of the mathematical theory|url=https://books.google.com/books?id=Pd4cvgAACAAJ|year=1977|publisher=Springer-Verlag|isbn=978-3-540-90275-1|pages=6 and 7}}</ref><ref name="GikhmanSkorokhod1969page4">{{cite book|author1=Iosif I. Gikhman |author2=Anatoly Vladimirovich Skorokhod|title=Introduction to the Theory of Random Processes|url=https://books.google.com/books?id=yJyLzG7N7r8C&pg=PR2|year=1969|publisher=Courier Corporation|isbn=978-0-486-69387-3|page=4}}</ref> But the concept of stationarity also exists for point processes and random fields, where the index set is not interpreted as time.<ref name="Lamperti1977page6"/><ref name="Adler2010page14">{{cite book|author=Robert J. Adler|title=The Geometry of Random Fields|url=https://books.google.com/books?id=ryejJmJAj28C&pg=PA263|year=2010|publisher=SIAM|isbn=978-0-89871-693-1|pages=14, 15}}</ref><ref name="ChiuStoyan2013page112">{{cite book|author1=Sung Nok Chiu|author2=Dietrich Stoyan|author3=Wilfrid S. Kendall|author4=Joseph Mecke|title=Stochastic Geometry and Its Applications|url=https://books.google.com/books?id=825NfM6Nc-EC|year=2013|publisher=John Wiley & Sons|isbn=978-1-118-65825-3|page=112}}</ref>

When the index set <math>T</math> 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.<ref name="Lamperti1977page6"/> The intuition behind stationarity is that as time passes the distribution of the stationary stochastic process remains the same.<ref name="Doob1990page94">{{cite book|author=Joseph L. Doob|title=Stochastic processes|url=https://books.google.com/books?id=NrsrAAAAYAAJ|year=1990|publisher=Wiley|pages=94–96}}</ref> A sequence of random variables forms a stationary stochastic process only if the random variables are identically distributed.<ref name="Lamperti1977page6"/>

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 <math>X</math> is said to be stationary in the wide sense, then the process <math>X</math> has a finite second moment for all <math>t\in T</math> and the covariance of the two random variables <math>X_t</math> and <math>X_{t+h}</math> depends only on the number <math>h</math> for all <math>t\in T</math>.<ref name="Doob1990page94"/><ref name="Florescu2014page298">{{cite book|author=Ionut Florescu|title=Probability and Stochastic Processes|url=https://books.google.com/books?id=Z5xEBQAAQBAJ&pg=PR22|year=2014|publisher=John Wiley & Sons|isbn=978-1-118-59320-2|pages=298, 299}}</ref> [[Aleksandr Khinchin|Khinchin]] introduced the related concept of '''stationarity in the wide sense''', which has other names including '''covariance stationarity''' or '''stationarity in the broad sense'''.<ref name="Florescu2014page298"/><ref name="GikhmanSkorokhod1969page8">{{cite book|author1=Iosif Ilyich Gikhman|author2=Anatoly Vladimirovich Skorokhod|title=Introduction to the Theory of Random Processes|url=https://books.google.com/books?id=yJyLzG7N7r8C&pg=PR2|year=1969|publisher=Courier Corporation|isbn=978-0-486-69387-3|page=8}}</ref>

====Filtration====
A [[Filtration (probability theory)|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 <math>\{\mathcal{F}_t\}_{t\in T} </math>, on a probability space <math>(\Omega, \mathcal{F}, P)</math> is a family of sigma-algebras such that <math>  \mathcal{F}_s \subseteq \mathcal{F}_t \subseteq  \mathcal{F} </math> for all <math>s \leq t</math>, where <math>t, s\in T</math> and <math>\leq</math> denotes the total order of the index set <math>T</math>.<ref name="Florescu2014page294"/> With the concept of a filtration, it is possible to study the amount of information contained in a stochastic process <math>X_t</math> at <math>t\in T</math>, which can be interpreted as time <math>t</math>.<ref name="Florescu2014page294"/><ref name="Williams1991page93"/> The intuition behind a filtration <math>\mathcal{F}_t</math> is that as time <math>t</math> passes, more and more information on <math>X_t</math> is known or available, which is captured in <math>\mathcal{F}_t</math>, resulting in finer and finer partitions of <math>\Omega</math>.<ref name="Klebaner2005page22">{{cite book|author=Fima C. Klebaner|title=Introduction to Stochastic Calculus with Applications|url=https://books.google.com/books?id=JYzW0uqQxB0C|year=2005|publisher=Imperial College Press|isbn=978-1-86094-555-7|pages=22–23}}</ref><ref name="MörtersPeres2010page37">{{cite book|author1=Peter Mörters|author2=Yuval Peres|title=Brownian Motion|url=https://books.google.com/books?id=e-TbA-dSrzYC|year=2010|publisher=Cambridge University Press|isbn=978-1-139-48657-6|page=37}}</ref>

====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 <math>X</math> that has the same index set <math>T</math>, state space <math>S</math>, and probability space <math>(\Omega,{\cal F},P)</math> as another stochastic process <math>Y</math> is said to be a modification of <math>X</math> if for all <math>t\in T</math> the following
<div class="center"><math>
P(X_t=Y_t)=1 ,
</math></div>
holds. Two stochastic processes that are modifications of each other have the same finite-dimensional law<ref name="RogersWilliams2000page130">{{cite book|author1=L. C. G. Rogers|author2=David Williams|title=Diffusions, Markov Processes, and Martingales: Volume 1, Foundations|url=https://books.google.com/books?id=W0ydAgAAQBAJ&pg=PA356|year=2000|publisher=Cambridge University Press|isbn=978-1-107-71749-7|page=130}}</ref> and they are said to be '''stochastically equivalent''' or '''equivalent'''.<ref name="Borovkov2013page530">{{cite book|author=Alexander A. Borovkov|title=Probability Theory|url=https://books.google.com/books?id=hRk_AAAAQBAJ|year=2013|publisher=Springer Science & Business Media|isbn=978-1-4471-5201-9|page=530}}</ref>

Instead of modification, the term '''version''' is also used,<ref name="Adler2010page14"/><ref name="Klebaner2005page48">{{cite book|author=Fima C. Klebaner|title=Introduction to Stochastic Calculus with Applications|url=https://books.google.com/books?id=JYzW0uqQxB0C|year=2005|publisher=Imperial College Press|isbn=978-1-86094-555-7|page=48}}</ref><ref name="Øksendal2003page14">{{cite book|author=Bernt Øksendal|title=Stochastic Differential Equations: An Introduction with Applications|url=https://books.google.com/books?id=VgQDWyihxKYC|year=2003|publisher=Springer Science & Business Media|isbn=978-3-540-04758-2|page=14}}</ref><ref name="Florescu2014page472">{{cite book|author=Ionut Florescu|title=Probability and Stochastic Processes|url=https://books.google.com/books?id=Z5xEBQAAQBAJ&pg=PR22|year=2014|publisher=John Wiley & Sons|isbn=978-1-118-59320-2|pages=472}}</ref> 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.<ref name="RevuzYor2013page18">{{cite book|author1=Daniel Revuz|author2=Marc Yor|title=Continuous Martingales and Brownian Motion|url=https://books.google.com/books?id=OYbnCAAAQBAJ|year=2013|publisher=Springer Science & Business Media|isbn=978-3-662-06400-9|pages=18–19}}</ref><ref name="FrizVictoir2010page571"/>

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.<ref name="Øksendal2003page14"/><ref name="Florescu2014page472"/><ref name="ApplebaumBook2004page20">{{cite book|author=David Applebaum|title=Lévy Processes and Stochastic Calculus|url=https://books.google.com/books?id=q7eDUjdJxIkC|year=2004|publisher=Cambridge University Press|isbn=978-0-521-83263-2|page=20}}</ref> The theorem can also be generalized to random fields so the index set is <math>n</math>-dimensional Euclidean space<ref name="Kunita1997page31">{{cite book|author=Hiroshi Kunita|title=Stochastic Flows and Stochastic Differential Equations|url=https://books.google.com/books?id=_S1RiCosqbMC|year=1997|publisher=Cambridge University Press|isbn=978-0-521-59925-2|page=31}}</ref> as well as to stochastic processes with [[metric spaces]] as their state spaces.<ref name="Kallenberg2002page">{{cite book|author=Olav Kallenberg|title=Foundations of Modern Probability|url=https://books.google.com/books?id=L6fhXh13OyMC|year=2002|publisher=Springer Science & Business Media|isbn=978-0-387-95313-7|page=35}}</ref>

====Indistinguishable====
Two stochastic processes <math>X</math> and <math>Y</math> defined on the same probability space <math>(\Omega,\mathcal{F},P)</math> with the same index set <math>T</math> and set space <math>S</math> are said be '''indistinguishable''' if the following
<div class="center"><math>
P(X_t=Y_t   \text{ for all }  t\in T )=1 ,
</math></div>
holds.<ref name="FrizVictoir2010page571"/><ref name="RogersWilliams2000page130"/> If two <math>X</math> and <math>Y</math> are modifications of each other and are [[almost surely continuous]], then <math>X</math> and <math>Y</math> are indistinguishable.<ref name="JeanblancYor2009page11">{{cite book|author1=Monique Jeanblanc|author1-link= Monique Jeanblanc |author2=Marc Yor|author2-link=Marc Yor|author3=Marc Chesney|title=Mathematical Methods for Financial Markets|url=https://books.google.com/books?id=ZhbROxoQ-ZMC|year=2009|publisher=Springer Science & Business Media|isbn=978-1-85233-376-8|page=11}}</ref>

====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]],{{efn|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.<ref name="Skorokhod2005page93"/>}} which means that the index set has a dense countable subset.<ref name="Adler2010page14"/><ref name="Ito2006page32">{{cite book|author=Kiyosi Itō|title=Essentials of Stochastic Processes|url=https://books.google.com/books?id=pY5_DkvI-CcC&pg=PR4|year=2006|publisher=American Mathematical Soc.|isbn=978-0-8218-3898-3|pages=32–33}}</ref>

More precisely, a real-valued continuous-time stochastic process <math>X</math> with a probability space <math>(\Omega,{\cal F},P)</math> is separable if its index set <math>T</math> has a dense countable subset <math>U\subset T</math> and there is a set <math>\Omega_0 \subset \Omega</math> of probability zero, so <math>P(\Omega_0)=0</math>, such that for every open set <math>G\subset T</math> and every closed set <math>F\subset \textstyle R =(-\infty,\infty) </math>, the two events <math>\{ X_t \in F \text{ for all }  t \in G\cap U\}</math> and <math>\{ X_t \in F \text{ for all }  t \in G\}</math> differ from each other at most on a subset of <math>\Omega_0</math>.<ref name="GikhmanSkorokhod1969page150">{{cite book|author1=Iosif Ilyich Gikhman|author2=Anatoly Vladimirovich Skorokhod|title=Introduction to the Theory of Random Processes|url=https://books.google.com/books?id=yJyLzG7N7r8C&pg=PR2|year=1969|publisher=Courier Corporation|isbn=978-0-486-69387-3|page=150}}</ref><ref name="Todorovic2012page19">{{cite book|author=Petar Todorovic|title=An Introduction to Stochastic Processes and Their Applications|url=https://books.google.com/books?id=XpjqBwAAQBAJ&pg=PP5|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4613-9742-7|pages=19–20}}</ref><ref name="Molchanov2005page340">{{cite book|author=Ilya Molchanov|title=Theory of Random Sets|url=https://books.google.com/books?id=kWEwk1UL42AC|year=2005|publisher=Springer Science & Business Media|isbn=978-1-85233-892-3|page=340}}</ref>
The definition of separability{{efn|The definition of separability for a continuous-time real-valued stochastic process can be stated in other ways.<ref name="Billingsley2008page526">{{cite book|author=Patrick Billingsley|title=Probability and Measure|url=https://books.google.com/books?id=QyXqOXyxEeIC|year=2008|publisher=Wiley India Pvt. Limited|isbn=978-81-265-1771-8|pages=526–527}}</ref><ref name="Borovkov2013page535">{{cite book|author=Alexander A. Borovkov|title=Probability Theory|url=https://books.google.com/books?id=hRk_AAAAQBAJ|year=2013|publisher=Springer Science & Business Media|isbn=978-1-4471-5201-9|page=535}}</ref>}} can also be stated for other index sets and state spaces,<ref name="GusakKukush2010page22">{{harvtxt|Gusak|Kukush|Kulik|Mishura|2010}}, p. 22</ref> such as in the case of random fields, where the index set as well as the state space can be <math>n</math>-dimensional Euclidean space.<ref name="AdlerTaylor2009page7"/><ref name="Adler2010page14"/>

The concept of separability of a stochastic process was introduced by [[Joseph Doob]],.<ref name="Ito2006page32"/> The underlying idea of separability is to make a countable set of points of the index set determine the properties of the stochastic process.<ref name="Billingsley2008page526"/> Any stochastic process with a countable index set already meets the separability conditions, so discrete-time stochastic processes are always separable.<ref name="Doob1990page56">{{cite book|author=Joseph L. Doob|title=Stochastic processes|url=https://books.google.com/books?id=NrsrAAAAYAAJ|year=1990|publisher=Wiley|pages=56}}</ref> A theorem by Doob, sometimes known as Doob's separability theorem, says that any real-valued continuous-time stochastic process has a separable modification.<ref name="Ito2006page32"/><ref name="Todorovic2012page19"/><ref name="Khoshnevisan2006page155">{{cite book|author=Davar Khoshnevisan|title=Multiparameter Processes: An Introduction to Random Fields|url=https://books.google.com/books?id=XADpBwAAQBAJ|year=2006|publisher=Springer Science & Business Media|isbn=978-0-387-21631-7|page=155}}</ref> Versions of this theorem also exist for more general stochastic processes with index sets and state spaces other than the real line.<ref name="Skorokhod2005page93"/>

====Independence====
Two stochastic processes <math>X</math> and <math>Y</math> defined on the same probability space <math>(\Omega,\mathcal{F},P)</math> with the same index set <math>T</math> are said be '''independent''' if for all <math>n \in \mathbb{N}</math> and for every choice of epochs <math>t_1,\ldots,t_n \in T</math>, the random vectors <math>\left( X(t_1),\ldots,X(t_n) \right)</math> and <math>\left( Y(t_1),\ldots,Y(t_n) \right)</math> are independent.<ref name=Lapidoth>Lapidoth, Amos, ''A Foundation in Digital Communication'', Cambridge University Press, 2009.</ref>{{rp|p. 515}}

====Uncorrelatedness====
Two stochastic processes <math>\left\{X_t\right\}</math> and <math>\left\{Y_t\right\}</math> are called '''uncorrelated''' if their cross-covariance <math>\operatorname{K}_{\mathbf{X}\mathbf{Y}}(t_1,t_2) = \operatorname{E} \left[ \left( X(t_1)- \mu_X(t_1) \right) \left( Y(t_2)- \mu_Y(t_2) \right) \right]</math> is zero for all times.<ref name=KunIlPark>Kun Il Park, Fundamentals of Probability and Stochastic Processes with Applications to Communications, Springer, 2018, 978-3-319-68074-3</ref>{{rp|p. 142}} Formally:

:<math>\left\{X_t\right\},\left\{Y_t\right\} \text{ uncorrelated} \quad \iff \quad \operatorname{K}_{\mathbf{X}\mathbf{Y}}(t_1,t_2) = 0 \quad \forall t_1,t_2</math>.

====Independence implies uncorrelatedness====
If two stochastic processes <math>X</math> and <math>Y</math> are independent, then they are also uncorrelated.<ref name=KunIlPark/>{{rp|p. 151}}

====Orthogonality====
Two stochastic processes <math>\left\{X_t\right\}</math> and <math>\left\{Y_t\right\}</math> are called '''orthogonal''' if their cross-correlation <math>\operatorname{R}_{\mathbf{X}\mathbf{Y}}(t_1,t_2) = \operatorname{E}[X(t_1) \overline{Y(t_2)}]</math> is zero for all times.<ref name=KunIlPark/>{{rp|p. 142}} Formally:

:<math>\left\{X_t\right\},\left\{Y_t\right\} \text{ orthogonal} \quad \iff \quad \operatorname{R}_{\mathbf{X}\mathbf{Y}}(t_1,t_2) = 0 \quad \forall t_1,t_2</math>.

====Skorokhod space====
{{Main|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 <math>[0,1]</math> or <math>[0,\infty)</math>, and take values on the real line or on some metric space.<ref name="Whitt2006page78">{{cite book|author=Ward Whitt|title=Stochastic-Process Limits: An Introduction to Stochastic-Process Limits and Their Application to Queues|url=https://books.google.com/books?id=LkQOBwAAQBAJ&pg=PR5|year=2006|publisher=Springer Science & Business Media|isbn=978-0-387-21748-2|pages=78–79}}</ref><ref name="GusakKukush2010page24">{{harvtxt|Gusak|Kukush|Kulik|Mishura|2010}}, p. 24</ref><ref name="Bogachev2007Vol2page53">{{cite book|author=Vladimir I. Bogachev|title=Measure Theory (Volume 2)|url=https://books.google.com/books?id=CoSIe7h5mTsC|year=2007|publisher=Springer Science & Business Media|isbn=978-3-540-34514-5|page=53}}</ref> Such functions are known as càdlàg or cadlag functions, based on the acronym of the French phrase ''continue à droite, limite à gauche''.<ref name="Whitt2006page78"/><ref name="Klebaner2005page4">{{cite book|author=Fima C. Klebaner|title=Introduction to Stochastic Calculus with Applications|url=https://books.google.com/books?id=JYzW0uqQxB0C|year=2005|publisher=Imperial College Press|isbn=978-1-86094-555-7|page=4}}</ref> A Skorokhod function space, introduced by [[Anatoliy Skorokhod]],<ref name="Bogachev2007Vol2page53"/> is often denoted with the letter <math>D</math>,<ref name="Whitt2006page78"/><ref name="GusakKukush2010page24"/><ref name="Bogachev2007Vol2page53"/><ref name="Klebaner2005page4"/> so the function space is also referred to as space <math>D</math>.<ref name="Whitt2006page78"/><ref name="Asmussen2003page420">{{cite book|author=Søren Asmussen|title=Applied Probability and Queues|url=https://books.google.com/books?id=BeYaTxesKy0C|year=2003|publisher=Springer Science & Business Media|isbn=978-0-387-00211-8|page=420}}</ref><ref name="Billingsley2013page121">{{cite book|author=Patrick Billingsley|title=Convergence of Probability Measures|url=https://books.google.com/books?id=6ItqtwaWZZQC|year=2013|publisher=John Wiley & Sons|isbn=978-1-118-62596-5|page=121}}</ref> The notation of this function space can also include the interval on which all the càdlàg functions are defined, so, for example, <math>D[0,1]</math> denotes the space of càdlàg functions defined on the [[unit interval]] <math>[0,1]</math>.<ref name="Klebaner2005page4"/><ref name="Billingsley2013page121"/><ref name="Bass2011page34">{{cite book|author=Richard F. Bass|title=Stochastic Processes|url=https://books.google.com/books?id=Ll0T7PIkcKMC|year=2011|publisher=Cambridge University Press|isbn=978-1-139-50147-7|page=34}}</ref>

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.<ref name="Bogachev2007Vol2page53"/><ref name="Asmussen2003page420"/> 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.<ref name="Billingsley2013page121"/><ref name="BinghamKiesel2013page154">{{cite book|author1=Nicholas H. Bingham|author2=Rüdiger Kiesel|title=Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives|url=https://books.google.com/books?id=AOIlBQAAQBAJ|year=2013|publisher=Springer Science & Business Media|isbn=978-1-4471-3856-3|page=154}}</ref>

====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.<ref name="Borovkov2013page532">{{cite book|author=Alexander A. Borovkov|title=Probability Theory|url=https://books.google.com/books?id=hRk_AAAAQBAJ|year=2013|publisher=Springer Science & Business Media|isbn=978-1-4471-5201-9|page=532}}</ref><ref name="Khoshnevisan2006page148to165">{{cite book|author=Davar Khoshnevisan|title=Multiparameter Processes: An Introduction to Random Fields|url=https://books.google.com/books?id=XADpBwAAQBAJ|year=2006|publisher=Springer Science & Business Media|isbn=978-0-387-21631-7|pages=148–165}}</ref> 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.<ref name="Todorovic2012page22">{{cite book|author=Petar Todorovic|title=An Introduction to Stochastic Processes and Their Applications|url=https://books.google.com/books?id=XpjqBwAAQBAJ&pg=PP5|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4613-9742-7|page=22}}</ref><ref name="Whitt2006page79">{{cite book|author=Ward Whitt|title=Stochastic-Process Limits: An Introduction to Stochastic-Process Limits and Their Application to Queues|url=https://books.google.com/books?id=LkQOBwAAQBAJ&pg=PR5|year=2006|publisher=Springer Science & Business Media|isbn=978-0-387-21748-2|page=79}}</ref>

==Further examples==

===Markov processes and chains===
{{Main|Markov chain}}
Markov processes are stochastic processes, traditionally in [[Discrete time and continuous time|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.<ref name="Serfozo2009page2">{{cite book|author=Richard Serfozo|title=Basics of Applied Stochastic Processes|url=https://books.google.com/books?id=JBBRiuxTN0QC|year=2009|publisher=Springer Science & Business Media|isbn=978-3-540-89332-5|page=2}}</ref><ref name="Rozanov2012page58">{{cite book|author=Y.A. Rozanov|title=Markov Random Fields|url=https://books.google.com/books?id=wGUECAAAQBAJ|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4613-8190-7|page=58}}</ref>

The Brownian motion process and the Poisson process (in one dimension) are both examples of Markov processes<ref name="Ross1996page235and358">{{cite book|author=Sheldon M. Ross|title=Stochastic processes|url=https://books.google.com/books?id=ImUPAQAAMAAJ|year=1996|publisher=Wiley|isbn=978-0-471-12062-9|pages=235, 358}}</ref> in continuous time, while [[random walk]]s on the integers and the [[gambler's ruin]] problem are examples of Markov processes in discrete time.<ref name="Florescu2014page373">{{cite book|author=Ionut Florescu|title=Probability and Stochastic Processes|url=https://books.google.com/books?id=Z5xEBQAAQBAJ&pg=PR22|year=2014|publisher=John Wiley & Sons|isbn=978-1-118-59320-2|pages=373, 374}}</ref><ref name="KarlinTaylor2012page49">{{cite book|author1=Samuel Karlin|author2=Howard E. Taylor|title=A First Course in Stochastic Processes|url=https://books.google.com/books?id=dSDxjX9nmmMC|year=2012|publisher=Academic Press|isbn=978-0-08-057041-9|page=49}}</ref>

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.<ref name="Asmussen2003page7">{{cite book|url=https://books.google.com/books?id=BeYaTxesKy0C|title=Applied Probability and Queues|year=2003|publisher=Springer Science & Business Media|isbn=978-0-387-00211-8|page=7|author=Søren Asmussen}}</ref> For example, it is common to define a Markov chain as a Markov process in either [[Continuous and discrete variables|discrete or continuous time]] with a countable state space (thus regardless of the nature of time),<ref name="Parzen1999page188">{{cite book|url=https://books.google.com/books?id=0mB2CQAAQBAJ|title=Stochastic Processes|year=2015|publisher=Courier Dover Publications|isbn=978-0-486-79688-8|page=188|author=Emanuel Parzen}}</ref><ref name="KarlinTaylor2012page29">{{cite book|url=https://books.google.com/books?id=dSDxjX9nmmMC|title=A First Course in Stochastic Processes|year=2012|publisher=Academic Press|isbn=978-0-08-057041-9|pages=29, 30|author1=Samuel Karlin|author2=Howard E. Taylor}}</ref><ref name="Lamperti1977chap6">{{cite book|url=https://books.google.com/books?id=Pd4cvgAACAAJ|title=Stochastic processes: a survey of the mathematical theory|publisher=Springer-Verlag|year=1977|isbn=978-3-540-90275-1|pages=106–121|author=John Lamperti}}</ref><ref name="Ross1996page174and231">{{cite book|url=https://books.google.com/books?id=ImUPAQAAMAAJ|title=Stochastic processes|publisher=Wiley|year=1996|isbn=978-0-471-12062-9|pages=174, 231|author=Sheldon M. Ross}}</ref> 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).<ref name="Asmussen2003page7" /> 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]].<ref name="MeynTweedie2009">{{cite book|author1=Sean Meyn|author2=Richard L. Tweedie|title=Markov Chains and Stochastic Stability|url=https://books.google.com/books?id=Md7RnYEPkJwC|year=2009|publisher=Cambridge University Press|isbn=978-0-521-73182-9|page=19}}</ref>

Markov processes form an important class of stochastic processes and have applications in many areas.<ref name="LatoucheRamaswami1999"/><ref name="KarlinTaylor2012page47">{{cite book|author1=Samuel Karlin|author2=Howard E. Taylor|title=A First Course in Stochastic Processes|url=https://books.google.com/books?id=dSDxjX9nmmMC|year=2012|publisher=Academic Press|isbn=978-0-08-057041-9|page=47}}</ref> 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]].<ref name="RubinsteinKroese2011page225">{{cite book|author1=Reuven Y. Rubinstein|author2=Dirk P. Kroese|title=Simulation and the Monte Carlo Method|url=https://books.google.com/books?id=yWcvT80gQK4C|year=2011|publisher=John Wiley & Sons|isbn=978-1-118-21052-9|page=225}}</ref><ref name="GamermanLopes2006">{{cite book|author1=Dani Gamerman|author2=Hedibert F. Lopes|title=Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference, Second Edition|url=https://books.google.com/books?id=yPvECi_L3bwC|year=2006|publisher=CRC Press|isbn=978-1-58488-587-0}}</ref>

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 <math>n</math>-dimensional Euclidean space, which results in collections of random variables known as Markov random fields.<ref name="Rozanov2012page61">{{cite book|author=Y.A. Rozanov|title=Markov Random Fields|url=https://books.google.com/books?id=wGUECAAAQBAJ|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4613-8190-7|page=61}}</ref><ref>{{cite book|author1=Donald L. Snyder|author2=Michael I. Miller|title=Random Point Processes in Time and Space|url=https://books.google.com/books?id=c_3UBwAAQBAJ|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4612-3166-0|page=27}}</ref><ref name="Bremaud2013page253">{{cite book|author=Pierre Bremaud|title=Markov Chains: Gibbs Fields, Monte Carlo Simulation, and Queues|url=https://books.google.com/books?id=jrPVBwAAQBAJ|year=2013|publisher=Springer Science & Business Media|isbn=978-1-4757-3124-8|page=253}}</ref>

===Martingale===
{{Main|Martingale (probability theory)}}
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,<ref name="Klebaner2005page65">{{cite book|author=Fima C. Klebaner|title=Introduction to Stochastic Calculus with Applications|url=https://books.google.com/books?id=JYzW0uqQxB0C|year=2005|publisher=Imperial College Press|isbn=978-1-86094-555-7|page=65}}</ref><ref name="KaratzasShreve2014page11">{{cite book|author1=Ioannis Karatzas|author2=Steven Shreve|title=Brownian Motion and Stochastic Calculus|url=https://books.google.com/books?id=w0SgBQAAQBAJ&pg=PT5|year=1991|publisher=Springer|isbn=978-1-4612-0949-2|page=11}}</ref><ref name="Williams1991page93">{{cite book|author=David Williams|title=Probability with Martingales|url=https://books.google.com/books?id=e9saZ0YSi-AC|year=1991|publisher=Cambridge University Press|isbn=978-0-521-40605-5|pages=93, 94}}</ref> but they can also be complex-valued<ref name="Doob1990page292">{{cite book|author=Joseph L. Doob|title=Stochastic processes|url=https://books.google.com/books?id=NrsrAAAAYAAJ|year=1990|publisher=Wiley|pages=292, 293}}</ref> or even more general.<ref name="Pisier2016">{{cite book|author=Gilles Pisier|title=Martingales in Banach Spaces|url=https://books.google.com/books?id=n3JNDAAAQBAJ&pg=PR4|year=2016|publisher=Cambridge University Press|isbn=978-1-316-67946-3}}</ref>

A symmetric random walk and a Wiener process (with zero drift) are both examples of martingales, respectively, in discrete and continuous time.<ref name="Klebaner2005page65"/><ref name="KaratzasShreve2014page11"/> For a [[sequence]] of [[independent and identically distributed]] random variables <math>X_1, X_2, X_3, \dots</math> with zero mean, the stochastic process formed from the successive partial sums <math>X_1,X_1+ X_2, X_1+ X_2+X_3, \dots</math> is a discrete-time martingale.<ref name="Steele2012page12">{{cite book|author=J. Michael Steele|title=Stochastic Calculus and Financial Applications|url=https://books.google.com/books?id=fsgkBAAAQBAJ&pg=PR4|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4684-9305-4|pages=12, 13}}</ref> In this aspect, discrete-time martingales generalize the idea of partial sums of independent random variables.<ref name="HallHeyde2014page2">{{cite book|author1=P. Hall|author2-link=Chris Heyde|author2=C. C. Heyde|title=Martingale Limit Theory and Its Application|url=https://books.google.com/books?id=gqriBQAAQBAJ&pg=PR10|year=2014|publisher=Elsevier Science|isbn=978-1-4832-6322-9|page=2}}</ref>

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''.<ref name="KaratzasShreve2014page11"/> Martingales can also be built from other martingales.<ref name="Steele2012page12"/> For example, there are martingales based on the martingale the Wiener process, forming continuous-time martingales.<ref name="Klebaner2005page65"/><ref name="Steele2012page115">{{cite book|author=J. Michael Steele|title=Stochastic Calculus and Financial Applications|url=https://books.google.com/books?id=fsgkBAAAQBAJ&pg=PR4|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4684-9305-4|page=115}}</ref>

Martingales mathematically formalize the idea of a 'fair game' where it is possible form reasonable expectations for payoffs,<ref name="Ross1996page295">{{cite book|author=Sheldon M. Ross|title=Stochastic processes|url=https://books.google.com/books?id=ImUPAQAAMAAJ|year=1996|publisher=Wiley|isbn=978-0-471-12062-9|page=295}}</ref> and they were originally developed to show that it is not possible to gain an 'unfair' advantage in such a game.<ref name="Steele2012page11"/> But now they are used in many areas of probability, which is one of the main reasons for studying them.<ref name="Williams1991page93"/><ref name="Steele2012page11">{{cite book|author=J. Michael Steele|title=Stochastic Calculus and Financial Applications|url=https://books.google.com/books?id=fsgkBAAAQBAJ&pg=PR4|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4684-9305-4|page=11}}</ref><ref name="Kallenberg2002page96">{{cite book|author=Olav Kallenberg|title=Foundations of Modern Probability|url=https://books.google.com/books?id=L6fhXh13OyMC|year=2002|publisher=Springer Science & Business Media|isbn=978-0-387-95313-7|pages=96}}</ref> Many problems in probability have been solved by finding a martingale in the problem and studying it.<ref name="Steele2012page371">{{cite book|author=J. Michael Steele|title=Stochastic Calculus and Financial Applications|url=https://books.google.com/books?id=fsgkBAAAQBAJ&pg=PR4|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4684-9305-4|page=371}}</ref> Martingales will converge, given some conditions on their moments, so they are often used to derive convergence results, due largely to [[martingale convergence theorem]]s.<ref name="HallHeyde2014page2"/><ref name="Steele2012page22">{{cite book|author=J. Michael Steele|title=Stochastic Calculus and Financial Applications|url=https://books.google.com/books?id=fsgkBAAAQBAJ&pg=PR4|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4684-9305-4|page=22}}</ref><ref name="GrimmettStirzaker2001page336">{{cite book|author1=Geoffrey Grimmett|author2=David Stirzaker|title=Probability and Random Processes|url=https://books.google.com/books?id=G3ig-0M4wSIC|year=2001|publisher=OUP Oxford|isbn=978-0-19-857222-0|page=336}}</ref>

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.<ref name="GlassermanKou2006">{{cite journal|last1=Glasserman|first1=Paul|last2=Kou|first2=Steven|title=A Conversation with Chris Heyde|journal=Statistical Science|volume=21|issue=2|year=2006|pages=292, 293|issn=0883-4237|doi=10.1214/088342306000000088|arxiv=math/0609294|bibcode=2006math......9294G|s2cid=62552177}}</ref> They have found applications in areas in probability theory such as queueing theory and Palm calculus<ref name="BaccelliBremaud2013">{{cite book|author1=Francois Baccelli|author2=Pierre Bremaud|title=Elements of Queueing Theory: Palm Martingale Calculus and Stochastic Recurrences|url=https://books.google.com/books?id=DH3pCAAAQBAJ&pg=PR2|year=2013|publisher=Springer Science & Business Media|isbn=978-3-662-11657-9}}</ref> and other fields such as economics<ref name="HallHeyde2014pageX">{{cite book|author1=P. Hall|author2=C. C. Heyde|title=Martingale Limit Theory and Its Application|url=https://books.google.com/books?id=gqriBQAAQBAJ&pg=PR10|year= 2014|publisher=Elsevier Science|isbn=978-1-4832-6322-9|page=x}}</ref> and finance.<ref name="MusielaRutkowski2006"/>

===Lévy process===
{{Main|Lévy process}}
Lévy processes are types of stochastic processes that can be considered as generalizations of random walks in continuous time.<ref name="Applebaum2004page1337"/><ref name="Bertoin1998pageVIII">{{cite book|author=Jean Bertoin|title=Lévy Processes|url=https://books.google.com/books?id=ftcsQgMp5cUC&pg=PR8|year=1998|publisher=Cambridge University Press|isbn=978-0-521-64632-1|page=viii}}</ref> These processes have many applications in fields such as finance, fluid mechanics, physics and biology.<ref name="Applebaum2004page1336">{{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}}</ref><ref name="ApplebaumBook2004page69">{{cite book|author=David Applebaum|title=Lévy Processes and Stochastic Calculus|url=https://books.google.com/books?id=q7eDUjdJxIkC|year=2004|publisher=Cambridge University Press|isbn=978-0-521-83263-2|page=69}}</ref> 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 <math>X</math> is a Lévy process if for <math>n</math> non-negatives numbers, <math>0\leq t_1\leq \dots \leq t_n</math>, the corresponding <math>n-1</math> increments
<div class="center"><math>
X_{t_2}-X_{t_1}, \dots ,  X_{t_n}-X_{t_{n-1}},
</math></div>
are all independent of each other, and the distribution of each increment only depends on the difference in time.<ref name="Applebaum2004page1337"/>

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 <math> I= [0,\infty) </math>, which gives the interpretation of time. Important stochastic processes such as the Wiener process, the homogeneous Poisson process (in one dimension), and [[subordinator (mathematics)|subordinators]] are all Lévy processes.<ref name="Applebaum2004page1337"/><ref name="Bertoin1998pageVIII"/>

===Random field===
{{Main|Random field}}
A random field is a collection of random variables indexed by a <math>n</math>-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.<ref name="AdlerTaylor2009page7"/> 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.<ref name="GikhmanSkorokhod1969page1"/><ref name="Lamperti1977page1"/><ref name="KoralovSinai2007page171">{{cite book|author1=Leonid Koralov|author2=Yakov G. Sinai|title=Theory of Probability and Random Processes|url=https://books.google.com/books?id=tlWOphOFRgwC|year=2007|publisher=Springer Science & Business Media|isbn=978-3-540-68829-7|page=171}}</ref> 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.<ref name="ApplebaumBook2004page19">{{cite book|author=David Applebaum|title=Lévy Processes and Stochastic Calculus|url=https://books.google.com/books?id=q7eDUjdJxIkC|year=2004|publisher=Cambridge University Press|isbn=978-0-521-83263-2|page=19}}</ref>

===Point process===
{{Main|Point process}}
A point process is a collection of points randomly located on some mathematical space such as the real line, <math>n</math>-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'''.<ref name="ChiuStoyan2013page109">{{cite book|author1=Sung Nok Chiu|author2=Dietrich Stoyan|author3=Wilfrid S. Kendall|author4=Joseph Mecke|title=Stochastic Geometry and Its Applications|url=https://books.google.com/books?id=825NfM6Nc-EC|year=2013|publisher=John Wiley & Sons|isbn=978-1-118-65825-3|page=109}}</ref> There are different interpretations of a point process, such a random counting measure or a random set.<ref name="ChiuStoyan2013page108">{{cite book|author1=Sung Nok Chiu|author2=Dietrich Stoyan|author3=Wilfrid S. Kendall|author4=Joseph Mecke|title=Stochastic Geometry and Its Applications|url=https://books.google.com/books?id=825NfM6Nc-EC|year=2013|publisher=John Wiley & Sons|isbn=978-1-118-65825-3|page=108}}</ref><ref name="Haenggi2013page10">{{cite book|author=Martin Haenggi|title=Stochastic Geometry for Wireless Networks|url=https://books.google.com/books?id=CLtDhblwWEgC|year=2013|publisher=Cambridge University Press|isbn=978-1-107-01469-5|page=10}}</ref> 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,<ref name="DaleyVere-Jones2006page194">{{cite book|author1=D.J. Daley|author2=D. Vere-Jones|title=An Introduction to the Theory of Point Processes: Volume I: Elementary Theory and Methods|url=https://books.google.com/books?id=6Sv4BwAAQBAJ|year=2006|publisher=Springer Science & Business Media|isbn=978-0-387-21564-8|page=194}}</ref><ref name="CoxIsham1980page3">{{cite book|first1=D. R.|last1=Cox|author1-link=David Cox (statistician)|first2=Valerie|last2=Isham|author2-link=Valerie Isham|title=Point Processes|at=[https://books.google.com/books?id=KWF2xY6s3PoC&pg=PA3 p. 3]|year=1980|publisher=CRC Press|isbn=978-0-412-21910-8|title-link= Point Processes}}</ref> though it has been remarked that the difference between point processes and stochastic processes is not clear.<ref name="CoxIsham1980page3"/>

Other authors consider a point process as a stochastic process, where the process is indexed by sets of the underlying space{{efn|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,<ref name="Kingman1992page8">{{cite book|author=J. F. C. Kingman|title=Poisson Processes|url=https://books.google.com/books?id=VEiM-OtwDHkC|year=1992|publisher=Clarendon Press|isbn=978-0-19-159124-2|page=8}}</ref><ref name="MollerWaagepetersen2003page7">{{cite book|author1=Jesper Moller|author2=Rasmus Plenge Waagepetersen|title=Statistical Inference and Simulation for Spatial Point Processes|url=https://books.google.com/books?id=dBNOHvElXZ4C|year=2003|publisher=CRC Press|isbn=978-0-203-49693-0|page=7}}</ref> which corresponds to the index set in stochastic process terminology.}} on which it is defined, such as the real line or <math>n</math>-dimensional Euclidean space.<ref name="KarlinTaylor2012page31">{{cite book|author1=Samuel Karlin|author2=Howard E. Taylor|title=A First Course in Stochastic Processes|url=https://books.google.com/books?id=dSDxjX9nmmMC|year=2012|publisher=Academic Press|isbn=978-0-08-057041-9|page=31}}</ref><ref name="Schmidt2014page99">{{cite book|author=Volker Schmidt|title=Stochastic Geometry, Spatial Statistics and Random Fields: Models and Algorithms|url=https://books.google.com/books?id=brsUBQAAQBAJ&pg=PR5|date= 2014|publisher=Springer|isbn=978-3-319-10064-7|page=99}}</ref> Other stochastic processes such as renewal and counting processes are studied in the theory of point processes.<ref name="DaleyVere-Jones200">{{cite book|author1=D.J. Daley|author2=D. Vere-Jones|title=An Introduction to the Theory of Point Processes: Volume I: Elementary Theory and Methods|url=https://books.google.com/books?id=6Sv4BwAAQBAJ|year=2006|publisher=Springer Science & Business Media|isbn=978-0-387-21564-8}}</ref><ref name="CoxIsham1980page3" />

==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,<ref name="David1955">{{cite journal|last1=David|first1=F. N.|title=Studies in the History of Probability and Statistics I. Dicing and Gaming (A Note on the History of Probability)|journal=Biometrika|volume=42|issue=1/2|pages=1–15|year=1955|issn=0006-3444|doi=10.2307/2333419|jstor=2333419}}</ref> but very little analysis on them was done in terms of probability.<ref name="Maistrov2014page1">{{cite book|author=L. E. Maistrov|title=Probability Theory: A Historical Sketch|url=https://books.google.com/books?id=2ZbiBQAAQBAJ&pg=PR9|year=2014|publisher=Elsevier Science|isbn=978-1-4832-1863-2|page=1}}</ref> 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 [[Problem of points|gambling problem]].<ref name="Seneta2006page1">{{cite book|author1-link=Eugene Seneta|last1=Seneta|first1=E.|title=Encyclopedia of Statistical Sciences|chapter=Probability, History of|year=2006|doi=10.1002/0471667196.ess2065.pub2|page=1|isbn=978-0471667193}}</ref><ref name="Tabak2014page24to26">{{cite book|author=John Tabak|title=Probability and Statistics: The Science of Uncertainty|url=https://books.google.com/books?id=h3WVqBPHboAC|year=2014|publisher=Infobase Publishing|isbn=978-0-8160-6873-9|pages=24–26}}</ref> 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.<ref name="Bellhouse2005">{{cite journal|last1=Bellhouse|first1=David|title=Decoding Cardano's Liber de Ludo Aleae|journal=Historia Mathematica|volume=32|issue=2|year=2005|pages=180–202|issn=0315-0860|doi=10.1016/j.hm.2004.04.001|doi-access=free}}</ref>

After Cardano, [[Jakob Bernoulli]]{{efn|Also known as James or Jacques Bernoulli.<ref name="Hald2005page221">{{cite book|author=Anders Hald|title=A History of Probability and Statistics and Their Applications before 1750|url=https://books.google.com/books?id=pOQy6-qnVx8C|year=2005|publisher=John Wiley & Sons|isbn=978-0-471-72517-6|page=221}}</ref>}} wrote [[Ars Conjectandi]], which is considered a significant event in the history of probability theory. Bernoulli's book was published, also posthumously, in 1713 and inspired many mathematicians to study probability.<ref name="Maistrov2014page56">{{cite book|author=L. E. Maistrov|title=Probability Theory: A Historical Sketch|url=https://books.google.com/books?id=2ZbiBQAAQBAJ&pg=PR9|year=2014|publisher=Elsevier Science|isbn=978-1-4832-1863-2|page=56}}</ref><ref name="Tabak2014page37">{{cite book|author=John Tabak|title=Probability and Statistics: The Science of Uncertainty|url=https://books.google.com/books?id=h3WVqBPHboAC|year=2014|publisher=Infobase Publishing|isbn=978-0-8160-6873-9|page=37}}</ref> But despite some renowned mathematicians contributing to probability theory, such as [[Pierre-Simon Laplace]], [[Abraham de Moivre]], [[Carl Gauss]], [[Siméon Poisson]] and [[Pafnuty Chebyshev]],<ref name="Chung1998">{{cite journal|last1=Chung|first1=Kai Lai|title=Probability and Doob|journal=The American Mathematical Monthly|volume=105|issue=1|pages=28–35|year=1998|issn=0002-9890|doi=10.2307/2589523|jstor=2589523}}</ref><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> most of the mathematical community{{efn|It has been remarked that a notable exception was the St Petersburg School in Russia, where mathematicians  led by Chebyshev studied probability theory.<ref name="BenziBenzi2007">{{cite journal|last1=Benzi|first1=Margherita|last2=Benzi|first2=Michele|last3=Seneta|first3=Eugene|title=Francesco Paolo Cantelli. b. 20 December 1875 d. 21 July 1966|journal=International Statistical Review|volume=75|issue=2|year=2007|page=128|issn=0306-7734|doi=10.1111/j.1751-5823.2007.00009.x|s2cid=118011380 }}</ref>}} did not consider probability theory to be part of mathematics until the 20th century.<ref name="Chung1998"/><ref name="BenziBenzi2007"/><ref name="Doob1996">{{cite journal|last1=Doob|first1=Joseph L.|title=The Development of Rigor in Mathematical Probability (1900-1950)|journal=The American Mathematical Monthly|volume=103|issue=7|pages=586–595|year=1996|issn=0002-9890|doi=10.2307/2974673|jstor=2974673}}</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>

===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, are 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.<ref name="Truesdell1975page22">{{cite journal|last1=Truesdell|first1=C.|title=Early kinetic theories of gases|journal=Archive for History of Exact Sciences|volume=15|issue=1|year=1975|pages=22–23|issn=0003-9519|doi=10.1007/BF00327232|s2cid=189764116}}</ref><ref name="Brush1967page150">{{cite journal|last1=Brush|first1=Stephen G.|title=Foundations of statistical mechanics 1845?1915|journal=Archive for History of Exact Sciences|volume=4|issue=3|year=1967|pages=150–151|issn=0003-9519|doi=10.1007/BF00412958|s2cid=120059181}}</ref>
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 modelled the gas particles as moving in random directions at random velocities.<ref name="Truesdell1975page31">{{cite journal|last1=Truesdell|first1=C.|title=Early kinetic theories of gases|journal=Archive for History of Exact Sciences|volume=15|issue=1|year=1975|pages=31–32|issn=0003-9519|doi=10.1007/BF00327232|s2cid=189764116}}</ref><ref name="Brush1958">{{cite journal|last1=Brush|first1=S.G.|title=The development of the kinetic theory of gases IV. Maxwell|journal=Annals of Science|volume=14|issue=4|year=1958|pages=243–255|issn=0003-3790|doi=10.1080/00033795800200147}}</ref> 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]].<ref name="Brush1968page15">{{cite journal|last1=Brush|first1=Stephen G.|title=A history of random processes|journal=Archive for History of Exact Sciences|volume=5|issue=1|year=1968|pages=15–16|issn=0003-9519|doi=10.1007/BF00328110|s2cid=117623580}}</ref>

===Measure theory and probability theory===
At the [[International Congress of Mathematicians]] in [[Paris]] in 1900, [[David Hilbert]] presented a list of [[Hilbert's problems|mathematical problems]], where his sixth problem asked for a mathematical treatment of physics and probability involving [[axiom]]s.<ref name="Bingham2000"/> 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 (mathematician)|Paul Lévy]] published the first probability book that used ideas from measure theory.<ref name="Bingham2000"/>

In the 1920s, fundamental contributions to probability theory were made in the Soviet Union by mathematicians such as [[Sergei Bernstein]], [[Aleksandr Khinchin]],{{efn|The name Khinchin is also written in (or transliterated into) English as Khintchine.<ref name="Doob1934">{{cite journal|last1=Doob|first1=Joseph|title=Stochastic Processes and Statistics|journal=Proceedings of the National Academy of Sciences of the United States of America|volume=20|issue=6|year=1934|pages=376–379|doi=10.1073/pnas.20.6.376|pmid=16587907|pmc=1076423|bibcode=1934PNAS...20..376D|doi-access=free}}</ref>}} and [[Andrei Kolmogorov]].<ref name="Cramer1976"/> Kolmogorov published in 1929 his first attempt at presenting a mathematical foundation, based on measure theory, for probability theory.<ref name="KendallBatchelor1990page33">{{cite journal|last1=Kendall|first1=D. G.|last2=Batchelor|first2=G. K.|last3=Bingham|first3=N. H.|last4=Hayman|first4=W. K.|last5=Hyland|first5=J. M. E.|last6=Lorentz|first6=G. G.|last7=Moffatt|first7=H. K.|last8=Parry|first8=W.|last9=Razborov|first9=A. A.|last10=Robinson|first10=C. A.|last11=Whittle|first11=P.|title=Andrei Nikolaevich Kolmogorov (1903–1987)|journal=Bulletin of the London Mathematical Society|volume=22|issue=1|year=1990|page=33|issn=0024-6093|doi=10.1112/blms/22.1.31}}</ref> In the early 1930s, Khinchin and Kolmogorov set up probability seminars, which were attended by researchers such as [[Eugene Slutsky]] and [[Nikolai Smirnov (mathematician)|Nikolai Smirnov]],<ref name="Vere-Jones2006page1">{{cite book|last1=Vere-Jones|first1=David|title=Encyclopedia of Statistical Sciences|chapter=Khinchin, Aleksandr Yakovlevich|page=1|year=2006|doi=10.1002/0471667196.ess6027.pub2|isbn=978-0471667193}}</ref> and Khinchin gave the first mathematical definition of a stochastic process as a set of random variables indexed by the real line.<ref name="Doob1934"/><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=978-0471667193}}</ref>{{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> }}

===Birth of modern probability theory===
In 1933, Andrei Kolmogorov published in German, his book on the foundations of probability theory titled ''Grundbegriffe der Wahrscheinlichkeitsrechnung'',{{efn|Later translated into English and published in 1950 as Foundations of the Theory of Probability<ref name="Bingham2000"/>}} 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.<ref name="Bingham2000"/><ref name="Cramer1976"/>

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 (mathematician)|Paul Lévy]], [[Wolfgang Doeblin]], and [[Harald Cramér]].<ref name="Bingham2000"/><ref name="Cramer1976"/>
Decades later, Cramér referred to the 1930s as the "heroic period of mathematical probability theory".<ref name="Cramer1976"/> [[World War II]] greatly interrupted the development of probability theory, causing, for example, the migration of Feller from [[Sweden]] to the [[United States|United States of America]]<ref name="Cramer1976"/> and the death of Doeblin, considered now a pioneer in stochastic processes.<ref name="Lindvall1991">{{cite journal|last1=Lindvall|first1=Torgny|title=W. Doeblin, 1915-1940|journal=The Annals of Probability|volume=19|issue=3|year=1991|pages=929–934|issn=0091-1798|doi=10.1214/aop/1176990329|doi-access=free}}</ref>

[[File:Joseph Doob.jpg|thumb|right|Mathematician [[Joseph Doob]] did early work on the theory of stochastic processes, making fundamental contributions, particularly in the theory of martingales.<ref name="Getoor2009"/><ref name="Snell2005"/> His book ''Stochastic Processes'' is considered highly influential in the field of probability theory.<ref name="Bingham2005"/> ]]

===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.<ref name="Cramer1976"/><ref name="Meyer2009">{{cite journal|last1=Meyer|first1=Paul-André|title=Stochastic Processes from 1950 to the Present|journal=Electronic Journal for History of Probability and Statistics|volume=5|issue=1|year=2009|pages=1–42}}</ref> 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.<ref name="Ito1998Prize">{{cite journal|title=Kiyosi Itô receives Kyoto Prize|journal=Notices of the AMS|volume=45|issue=8|year=1998|pages=981–982}}</ref>

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.<ref name="Meyer2009"/> Further work, considered pioneering, was done by [[Gilbert Hunt]] in the 1950s, connecting Markov processes and potential theory, which had a significant effect on the theory of Lévy processes and led to more interest in studying Markov processes with methods developed by Itô.<ref name="JarrowProtter2004"/><ref name="Bertoin1998pageVIIIandIX">{{cite book|author=Jean Bertoin|title=Lévy Processes|url=https://books.google.com/books?id=ftcsQgMp5cUC&pg=PR8|year=1998|publisher=Cambridge University Press|isbn=978-0-521-64632-1|page=viii and ix}}</ref><ref name="Steele2012page176">{{cite book|author=J. Michael Steele|title=Stochastic Calculus and Financial Applications|url=https://books.google.com/books?id=fsgkBAAAQBAJ&pg=PR4|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4684-9305-4|page=176}}</ref>

In 1953, Doob published his book ''Stochastic processes'', which had a strong influence on the theory of stochastic processes and stressed the importance of measure theory in probability.<ref name="Meyer2009"/>
<ref name="Bingham2005">{{cite journal|last1=Bingham|first1=N. H.|title=Doob: a half-century on|journal=Journal of Applied Probability|volume=42|issue=1|year=2005|pages=257–266|issn=0021-9002|doi=10.1239/jap/1110381385|doi-access=free}}</ref> Doob also chiefly developed the theory of martingales, with later substantial contributions by [[Paul-André Meyer]]. Earlier work had been carried out by [[Sergei Bernstein]], [[Paul Lévy (mathematician)|Paul Lévy]] and [[Jean Ville]], the latter adopting the term martingale for the stochastic process.<ref name="HallHeyde2014page1">{{cite book|author1=P. Hall|author2=C. C. Heyde|title=Martingale Limit Theory and Its Application|url=https://books.google.com/books?id=gqriBQAAQBAJ&pg=PR10|year=2014|publisher=Elsevier Science|isbn=978-1-4832-6322-9|pages=1, 2}}</ref><ref name="Dynkin1989">{{cite journal|last1=Dynkin|first1=E. B.|title=Kolmogorov and the Theory of Markov Processes|journal=The Annals of Probability|volume=17|issue=3|year=1989|pages=822–832|issn=0091-1798|doi=10.1214/aop/1176991248|doi-access=free}}</ref> 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.<ref name="Meyer2009"/>

Other fields of probability were developed and used to study stochastic processes, with one main approach being the theory of large deviations.<ref name="Meyer2009"/> 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,<ref name="Ellis1995page98">{{cite journal|last1=Ellis|first1=Richard S.|title=An overview of the theory of large deviations and applications to statistical mechanics|journal=Scandinavian Actuarial Journal|volume=1995|issue=1|year=1995|page=98|issn=0346-1238|doi=10.1080/03461238.1995.10413952}}</ref> which would later result in Varadhan winning the 2007 Abel Prize.<ref name="RaussenSkau2008">{{cite journal|last1=Raussen|first1=Martin|last2=Skau|first2=Christian|title=Interview with Srinivasa Varadhan|journal=Notices of the AMS|volume=55|issue=2|year=2008|pages=238–246}}</ref> In the 1990s and 2000s the theories of [[Schramm–Loewner evolution]]<ref name="HenkelKarevski2012page113">{{cite book|author1=Malte Henkel|author2=Dragi Karevski|title=Conformal Invariance: an Introduction to Loops, Interfaces and Stochastic Loewner Evolution|url=https://books.google.com/books?id=fnCQWd0GEZ8C&pg=PA113|year=2012|publisher=Springer Science & Business Media|isbn=978-3-642-27933-1|page=113}}</ref> and [[rough paths]]<ref name="FrizVictoir2010page571">{{cite book|author1=Peter K. Friz|author2=Nicolas B. Victoir|author1-link=Peter Friz|title=Multidimensional Stochastic Processes as Rough Paths: Theory and Applications|url=https://books.google.com/books?id=CVgwLatxfGsC|year=2010|publisher=Cambridge University Press|isbn=978-1-139-48721-4|page=571}}</ref> were introduced and developed to study stochastic processes and other mathematical objects in probability theory, which respectively resulted in [[Fields Medal]]s being awarded to [[Wendelin Werner]]<ref name="Werner2004Fields">{{cite journal|title=2006 Fields Medals Awarded|journal=Notices of the AMS|volume=53|issue=9|year=2015|pages=1041–1044}}</ref> in 2008 and to [[Martin Hairer]] in 2014.<ref name="Hairer2004Fields">{{cite journal|last1=Quastel|first1=Jeremy|title=The Work of the 2014 Fields Medalists|journal=Notices of the AMS|volume=62|issue=11|year=2015|pages=1341–1344}}</ref>

The theory of stochastic processes still continues to be a focus of research, with yearly international conferences on the topic of stochastic processes.<ref name="BlathImkeller2011"/><ref name="Applebaum2004page1336"/>

===Discoveries of specific stochastic processes===
Although Khinchin gave mathematical definitions of stochastic processes in the 1930s,<ref name="Doob1934"/><ref name="Vere-Jones2006page4"/> specific stochastic processes had already been discovered in different settings, such as the Brownian motion process and the Poisson process.<ref name="JarrowProtter2004"/><ref name="GuttorpThorarinsdottir2012"/> Some families of stochastic processes such as point processes or renewal processes have long and complex histories, stretching back centuries.<ref name="DaleyVere-Jones2006chap1">{{cite book|author1=D.J. Daley|author2=D. Vere-Jones|title=An Introduction to the Theory of Point Processes: Volume I: Elementary Theory and Methods|url=https://books.google.com/books?id=6Sv4BwAAQBAJ|year=2006|publisher=Springer Science & Business Media|isbn=978-0-387-21564-8|pages=1–4}}</ref>

====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.<ref name="Florescu2014page301"/> The process is a sequence of independent Bernoulli trials,<ref name="BertsekasTsitsiklis2002page273"/> which are named after [[Jacob Bernoulli]] who used them to study games of chance, including probability problems proposed and studied earlier by Christiaan Huygens.<ref name="Hald2005page226">{{cite book|author=Anders Hald|title=A History of Probability and Statistics and Their Applications before 1750|url=https://books.google.com/books?id=pOQy6-qnVx8C|year=2005|publisher=John Wiley & Sons|isbn=978-0-471-72517-6|page=226}}</ref> Bernoulli's work, including the Bernoulli process, were published in his book ''Ars Conjectandi'' in 1713.<ref name="Lebowitz1984">{{cite book|author=Joel Louis Lebowitz|title=Nonequilibrium phenomena II: from stochastics to hydrodynamics|url=https://books.google.com/books?id=E8IRAQAAIAAJ|year=1984|publisher=North-Holland Pub.|isbn=978-0-444-86806-0|pages=8–10}}</ref>

====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.<ref name="Weiss2006page1"/><ref name="Lebowitz1984"/> For example, the problem known as the ''Gambler's ruin'' is based on a simple random walk,<ref name="KarlinTaylor2012page49"/><ref name="Florescu2014page374">{{cite book|author=Ionut Florescu|title=Probability and Stochastic Processes|url=https://books.google.com/books?id=Z5xEBQAAQBAJ&pg=PR22|year=2014|publisher=John Wiley & Sons|isbn=978-1-118-59320-2|pages=374}}</ref> and is an example of a random walk with absorbing barriers.<ref name="Seneta2006page1"/><ref name="Ibe2013page5">{{cite book|author=Oliver C. Ibe|title=Elements of Random Walk and Diffusion Processes|url=https://books.google.com/books?id=DUqaAAAAQBAJ&pg=PT10|year=2013|publisher=John Wiley & Sons|isbn=978-1-118-61793-9|page=5}}</ref> Pascal, Fermat and Huyens all gave numerical solutions to this problem without detailing their methods,<ref name="Hald2005page63">{{cite book|author=Anders Hald|title=A History of Probability and Statistics and Their Applications before 1750|url=https://books.google.com/books?id=pOQy6-qnVx8C|year=2005|publisher=John Wiley & Sons|isbn=978-0-471-72517-6|page=63}}</ref> and then more detailed solutions were presented by Jakob Bernoulli and [[Abraham de Moivre]].<ref name="Hald2005page202">{{cite book|author=Anders Hald|title=A History of Probability and Statistics and Their Applications before 1750|url=https://books.google.com/books?id=pOQy6-qnVx8C|year=2005|publisher=John Wiley & Sons|isbn=978-0-471-72517-6|page=202}}</ref>

For random walks in <math>n</math>-dimensional integer [[Lattice (group)|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.<ref name="Florescu2014page385">{{cite book|author=Ionut Florescu|title=Probability and Stochastic Processes|url=https://books.google.com/books?id=Z5xEBQAAQBAJ&pg=PR22|year=2014|publisher=John Wiley & Sons|isbn=978-1-118-59320-2|pages=385}}</ref><ref name="Hughes1995page111">{{cite book|author=Barry D. Hughes|title=Random Walks and Random Environments: Random walks|url=https://books.google.com/books?id=QhOen_t0LeQC|year=1995|publisher=Clarendon Press|isbn=978-0-19-853788-5|page=111}}</ref>

====Wiener process====
The [[Wiener process]] or Brownian motion process has its origins in different fields including statistics, finance and physics.<ref name="JarrowProtter2004"/> 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.<ref name="Thiele1880">{{cite journal|last1=Thiele|first1=Thorwald N.|title=Om Anvendelse af mindste Kvadraterbs Methode i nogle Tilfælde, hvoren Komplikation af visse Slags uensartede tilfældige Fejlkilder giver Fejleneen "systematisk" Karakter|journal=Kongelige Danske Videnskabernes Selskabs Skrifter |volume=Series 5|issue=12|year=1880|pages=381–408|url=https://biodiversitylibrary.org/page/43213604}}</ref><ref name="Hald1981page1and18">{{cite journal|last1=Hald|first1=Anders |title=T. N. Thiele's Contributions to Statistics|journal=International Statistical Review / Revue Internationale de Statistique|volume=49|issue=1|year=1981|pages=1–20|issn=0306-7734|doi=10.2307/1403034|jstor=1403034}}</ref><ref name="Lauritzen1981page319">{{cite journal|last1=Lauritzen|first1=Steffen L.|title=Time Series Analysis in 1880: A Discussion of Contributions Made by T.N. Thiele|journal=International Statistical Review / Revue Internationale de Statistique|volume=49|issue=3|year=1981|pages=319–320|issn=0306-7734|doi=10.2307/1402616|jstor=1402616}}</ref> 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.<ref name="Lauritzen1981page319"/>

[[File:Wiener Zurich1932.tif|thumb|200px|[[Norbert Wiener]] gave the first mathematical proof of the existence of the Wiener process. This mathematical object had appeared previously in the work of [[Thorvald Thiele]], [[Louis Bachelier]], and [[Albert Einstein]].<ref name="JarrowProtter2004"/>]]

The French mathematician [[Louis Bachelier]] used a Wiener process in his 1900 thesis<ref name=Bachelier1900a>{{cite journal |last=Bachelier |first=Luis |year=1900 |title=Théorie de la spéculation |journal=[[Ann. Sci. Éc. Norm. Supér.]] |volume=Serie 3;17 |pages=21–89 |url=http://archive.numdam.org/article/ASENS_1900_3_17__21_0.pdf |archive-url=https://web.archive.org/web/20110605013545/http://archive.numdam.org/article/ASENS_1900_3_17__21_0.pdf |archive-date=2011-06-05 |url-status=live |doi=10.24033/asens.476 |doi-access=free }}</ref><ref name=Bachelier1900b>{{cite journal |last=Bachelier |first=Luis |year=1900 |title=The Theory of Speculation |journal=Ann. Sci. Éc. Norm. Supér. |volume=Serie 3;17 |pages=21–89 (Engl. translation by David R. May, 2011) |url=https://drive.google.com/file/d/0B5LLDy7-d3SKNGI0M2E0NGItYzFlMS00NGU2LWE2ZDAtODc3MDY3MzdiNmY0/view |doi=10.24033/asens.476 |doi-access=free }}</ref> in order to model price changes on the [[Paris Bourse]], a [[stock exchange]],<ref name="CourtaultKabanov2000">{{cite journal|last1=Courtault|first1=Jean-Michel|last2=Kabanov|first2=Yuri|last3=Bru|first3=Bernard|last4=Crepel|first4=Pierre|last5=Lebon|first5=Isabelle|last6=Le Marchand|first6=Arnaud|title=Louis Bachelier on the Centenary of Theorie de la Speculation|journal=Mathematical Finance|volume=10|issue=3|year=2000|pages=339–353|issn=0960-1627|doi=10.1111/1467-9965.00098|s2cid=14422885 |url=https://halshs.archives-ouvertes.fr/halshs-00447592/file/BACHEL2.PDF |archive-url=https://web.archive.org/web/20180721214136/https://halshs.archives-ouvertes.fr/halshs-00447592/file/BACHEL2.PDF |archive-date=2018-07-21 |url-status=live}}</ref> without knowing the work of Thiele.<ref name="JarrowProtter2004"/> It has been speculated that Bachelier drew ideas from the random walk model of [[Jules Regnault]], but Bachelier did not cite him,<ref name="Jovanovic2012">{{cite journal|last1=Jovanovic|first1=Franck|title=Bachelier: Not the forgotten forerunner he has been depicted as. An analysis of the dissemination of Louis Bachelier's work in economics|journal=The European Journal of the History of Economic Thought|volume=19|issue=3|year=2012|pages=431–451|issn=0967-2567|doi=10.1080/09672567.2010.540343|s2cid=154003579|url=http://r-libre.teluq.ca/1168/1/dissemination%20of%20Louis%20Bachelier_EJHET_R2.pdf |archive-url=https://web.archive.org/web/20180721111017/http://r-libre.teluq.ca/1168/1/dissemination%20of%20Louis%20Bachelier_EJHET_R2.pdf |archive-date=2018-07-21 |url-status=live}}</ref> and Bachelier's thesis is now considered pioneering in the field of financial mathematics.<ref name="CourtaultKabanov2000"/><ref name="Jovanovic2012"/>

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,<ref name="Jovanovic2012"/> which was cited by mathematicians including Doob, Feller<ref name="Jovanovic2012"/> and Kolmogorov.<ref name="JarrowProtter2004"/> 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.<ref name="Jovanovic2012"/>

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 equation]], known as a [[diffusion equation]], for describing the probability of finding a particle in a certain region of space. Shortly after Einstein's first paper on Brownian movement, [[Marian Smoluchowski]] published work where he cited Einstein, but wrote that he had independently derived the equivalent results by using a different method.<ref name="Brush1968page25">{{cite journal|last1=Brush|first1=Stephen G.|title=A history of random processes|journal=Archive for History of Exact Sciences|volume=5|issue=1|year=1968|page=25|issn=0003-9519|doi=10.1007/BF00328110|s2cid=117623580}}</ref>

Einstein's work, as well as experimental results obtained by [[Jean Perrin]], later inspired Norbert Wiener in the 1920s<ref name="Brush1968page30">{{cite journal|last1=Brush|first1=Stephen G.|title=A history of random processes|journal=Archive for History of Exact Sciences|volume=5|issue=1|year=1968|pages=1–36|issn=0003-9519|doi=10.1007/BF00328110|s2cid=117623580}}</ref> 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.<ref name="JarrowProtter2004"/>

====Poisson process====
The Poisson process is named after [[Siméon Poisson]], due to its definition involving the [[Poisson distribution]], but Poisson never studied the process.<ref name="Stirzaker2000"/><ref name="DaleyVere-Jones2006page8">{{cite book|author1=D.J. Daley|author2=D. Vere-Jones|title=An Introduction to the Theory of Point Processes: Volume I: Elementary Theory and Methods|url=https://books.google.com/books?id=6Sv4BwAAQBAJ|year=2006|publisher=Springer Science & Business Media|isbn=978-0-387-21564-8|pages=8–9}}</ref> There are a number of claims for early uses or discoveries of the Poisson
process.<ref name="Stirzaker2000"/><ref name="GuttorpThorarinsdottir2012"/>
At the beginning of the 20th century, the Poisson process would arise independently in different situations.<ref name="Stirzaker2000"/><ref name="GuttorpThorarinsdottir2012"/>
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.<ref name="EmbrechtsFrey2001page367">{{cite book|last1=Embrechts|first1=Paul|title=Stochastic Processes: Theory and Methods|last2=Frey|first2=Rüdiger|last3=Furrer|first3=Hansjörg|chapter=Stochastic processes in insurance and finance|volume=19|year=2001|page=367|issn=0169-7161|doi=10.1016/S0169-7161(01)19014-0|series=Handbook of Statistics|isbn=978-0444500144}}</ref><ref name="Cramér1969">{{cite journal|last1=Cramér|first1=Harald|title=Historical review of Filip Lundberg's works on risk theory|journal=Scandinavian Actuarial Journal|volume=1969|issue=sup3|year=1969|pages=6–12|issn=0346-1238|doi=10.1080/03461238.1969.10404602}}</ref>

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.<ref name="Stirzaker2000"/>

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.<ref name="Stirzaker2000"/> 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.<ref name="Stirzaker2000"/>

====Markov processes====
Markov processes and Markov chains are named after [[Andrey Markov]] who studied Markov chains in the early 20th century. Markov was interested in studying an extension of independent random sequences. 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,<ref name="GrinsteadSnell1997page464">{{cite book|author1=Charles Miller Grinstead|author2=James Laurie Snell|title=Introduction to Probability|url=https://archive.org/details/flooved3489|year=1997|publisher=American Mathematical Soc.|isbn=978-0-8218-0749-1|pages=[https://archive.org/details/flooved3489/page/n473 464]–466}}</ref><ref name="Bremaud2013pageIX">{{cite book|author=Pierre Bremaud|title=Markov Chains: Gibbs Fields, Monte Carlo Simulation, and Queues|url=https://books.google.com/books?id=jrPVBwAAQBAJ|year=2013|publisher=Springer Science & Business Media|isbn=978-1-4757-3124-8|page=ix}}</ref><ref name="Hayes2013">{{cite journal|last1=Hayes|first1=Brian|title=First links in the Markov chain|journal=American Scientist|volume=101|issue=2|year=2013|pages=92–96|doi=10.1511/2013.101.92}}</ref> which had been commonly regarded as a requirement for such mathematical laws to hold.<ref name="Hayes2013"/> 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.

In 1912, Poincaré studied Markov chains on [[finite group]]s with an aim to study card shuffling. Other early uses of Markov chains include a diffusion model, introduced by [[Paul Ehrenfest|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.<ref name="GrinsteadSnell1997page464"/><ref name="Bremaud2013pageIX"/> 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]].<ref name="Seneta1998">{{cite journal|last1=Seneta|first1=E.|title=I.J. Bienaymé [1796-1878]: Criticality, Inequality, and Internationalization|journal=International Statistical Review / Revue Internationale de Statistique|volume=66|issue=3|year=1998|pages=291–292|issn=0306-7734|doi=10.2307/1403518|jstor=1403518}}</ref> Starting in 1928, [[Maurice Fréchet]] became interested in Markov chains, eventually resulting in him publishing in 1938 a detailed study on Markov chains.<ref name="GrinsteadSnell1997page464"/><ref name="BruHertz2001">{{cite book|last1=Bru|first1=B.|title=Statisticians of the Centuries|last2=Hertz|first2=S.|chapter=Maurice Fréchet|year=2001|pages=331–334|doi=10.1007/978-1-4613-0179-0_71|isbn=978-0-387-95283-3}}</ref>

[[Andrei Kolmogorov]] developed in a 1931 paper a large part of the early theory of continuous-time Markov processes.<ref name="Cramer1976"/><ref name="KendallBatchelor1990page33"/> 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.<ref name="KendallBatchelor1990page33"/><ref name="BarbutLocker2016page5">{{cite book|author1=Marc Barbut|author2=Bernard Locker|author3=Laurent Mazliak|title=Paul Lévy and Maurice Fréchet: 50 Years of Correspondence in 107 Letters|url=https://books.google.com/books?id=lSz_vQAACAAJ|date= 2016|publisher=Springer London|isbn=978-1-4471-7262-8|page=5}}</ref> 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.<ref name="KendallBatchelor1990page33"/><ref name="Skorokhod2005page146">{{cite book|author=Valeriy Skorokhod|title=Basic Principles and Applications of Probability Theory|url=https://books.google.com/books?id=dQkYMjRK3fYC|year=2005|publisher=Springer Science & Business Media|isbn=978-3-540-26312-8|page=146}}</ref> Independent of Kolmogorov's work, [[Sydney Chapman (mathematician)|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.<ref name="Bernstein2005">{{cite journal|last1=Bernstein|first1=Jeremy|title=Bachelier|journal=American Journal of Physics|volume=73|issue=5|year=2005|pages=398–396|issn=0002-9505|doi=10.1119/1.1848117|bibcode=2005AmJPh..73..395B}}</ref> The differential equations are now called the Kolmogorov equations<ref name="Anderson2012pageVII">{{cite book|author=William J. Anderson|title=Continuous-Time Markov Chains: An Applications-Oriented Approach|url=https://books.google.com/books?id=YpHfBwAAQBAJ&pg=PR8|year=2012|publisher=Springer Science & Business Media|isbn=978-1-4612-3038-0|page=vii}}</ref> or the Kolmogorov–Chapman equations.<ref name="KendallBatchelor1990page57">{{cite journal|last1=Kendall|first1=D. G.|last2=Batchelor|first2=G. K.|last3=Bingham|first3=N. H.|last4=Hayman|first4=W. K.|last5=Hyland|first5=J. M. E.|last6=Lorentz|first6=G. G.|last7=Moffatt|first7=H. K.|last8=Parry|first8=W.|last9=Razborov|first9=A. A.|last10=Robinson|first10=C. A.|last11=Whittle|first11=P.|title=Andrei Nikolaevich Kolmogorov (1903–1987)|journal=Bulletin of the London Mathematical Society|volume=22|issue=1|year=1990|page=57|issn=0024-6093|doi=10.1112/blms/22.1.31}}</ref> 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.<ref name="Cramer1976"/>

====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,<ref name="Applebaum2004page1336"/> but they have connections to [[infinitely divisible distribution]]s going back to the 1920s.<ref name="Bertoin1998pageVIII"/> In a 1932 paper, Kolmogorov derived a [[Characteristic function (probability theory)|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.<ref name="Cramer1976"/><ref name="ApplebaumBook2004page67">{{cite book|author=David Applebaum|title=Lévy Processes and Stochastic Calculus|url=https://books.google.com/books?id=q7eDUjdJxIkC|year=2004|publisher=Cambridge University Press|isbn=978-0-521-83263-2|page=67}}</ref> 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]].<ref name="Bertoin1998pageVIII"/>

==Mathematical construction==
In mathematics, constructions of mathematical objects are needed, which is also the case for stochastic processes, to prove that they exist mathematically.<ref name="Rosenthal2006page177"/> 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.<ref name="Adler2010page13">{{cite book|author=Robert J. Adler|title=The Geometry of Random Fields|url=https://books.google.com/books?id=ryejJmJAj28C&pg=PA263|year= 2010|publisher=SIAM|isbn=978-0-89871-693-1|page=13}}</ref>

Another approach involves defining a collection of random variables to have specific finite-dimensional distributions, and then using [[Kolmogorov extension theorem|Kolmogorov's existence theorem]]{{efn|The theorem has other names including Kolmogorov's consistency theorem,<ref name="AthreyaLahiri2006">{{cite book|author1=Krishna B. Athreya|author2=Soumendra N. Lahiri|title=Measure Theory and Probability Theory|url=https://books.google.com/books?id=9tv0taI8l6YC|year=2006|publisher=Springer Science & Business Media|isbn=978-0-387-32903-1}}</ref>  Kolmogorov's extension theorem<ref name="Øksendal2003page11">{{cite book|author=Bernt Øksendal|title=Stochastic Differential Equations: An Introduction with Applications|url=https://books.google.com/books?id=VgQDWyihxKYC|year=2003|publisher=Springer Science & Business Media|isbn=978-3-540-04758-2|page=11}}</ref> or the Daniell–Kolmogorov theorem.<ref name="Williams1991page124">{{cite book|author=David Williams|title=Probability with Martingales|url=https://books.google.com/books?id=e9saZ0YSi-AC|year=1991|publisher=Cambridge University Press|isbn=978-0-521-40605-5|page=124}}</ref>}} to prove a corresponding stochastic process exists.<ref name="Rosenthal2006page177"/><ref name="Adler2010page13"/> This theorem, which is an existence theorem for measures on infinite product spaces,<ref name="Durrett2010page410">{{cite book|author=Rick Durrett|title=Probability: Theory and Examples|url=https://books.google.com/books?id=evbGTPhuvSoC|year=2010|publisher=Cambridge University Press|isbn=978-1-139-49113-6|page=410}}</ref> 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.<ref name="Rosenthal2006page177"/>

===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.<ref name="KloedenPlaten2013page63"/><ref name="Khoshnevisan2006page153"/> One problem is that it is 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.<ref name="Billingsley2008page493to494">{{cite book|author=Patrick Billingsley|title=Probability and Measure|url=https://books.google.com/books?id=QyXqOXyxEeIC|year=2008|publisher=Wiley India Pvt. Limited|isbn=978-81-265-1771-8|pages=493–494}}</ref> This means that the distribution of the stochastic process does not, necessarily, specify uniquely the properties of the sample functions of the stochastic process.<ref name="Adler2010page13"/><ref name="Borovkov2013page529">{{cite book|author=Alexander A. Borovkov|title=Probability Theory|url=https://books.google.com/books?id=hRk_AAAAQBAJ|year=2013|publisher=Springer Science & Business Media|isbn=978-1-4471-5201-9|pages=529–530}}</ref>

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.<ref name="Ito2006page32"/> For example, the supremum of a stochastic process or random field is not necessarily a well-defined random variable.<ref name="AdlerTaylor2009page7"/><ref name="Khoshnevisan2006page153"/> For a continuous-time stochastic process <math>X</math>, other characteristics that depend on an uncountable number of points of the index set <math>T</math> include:<ref name="Ito2006page32"/>
* a sample function of a stochastic process <math>X</math> is a [[continuous function]] of <math>t\in T</math>;
* a sample function of a stochastic process <math>X</math> is a [[bounded function]] of <math>t\in T</math>; and
* a sample function of a stochastic process <math>X</math> is an [[increasing function]] of <math>t\in T</math>.
where the symbol '''∈''' can be read "a member of the set", as in <math>t</math> a member of the set <math>T</math>.

To overcome the two difficulties described above, i.e., "more than one..." and "functionals of...", different assumptions and approaches are possible.<ref name="Asmussen2003page408"/>

===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.<ref name="AthreyaLahiri2006page221">{{cite book|author1=Krishna B. Athreya|author2=Soumendra N. Lahiri|title=Measure Theory and Probability Theory|url=https://books.google.com/books?id=9tv0taI8l6YC|year=2006|publisher=Springer Science & Business Media|isbn=978-0-387-32903-1|page=221}}</ref> 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.<ref name="AdlerTaylor2009page14">{{cite book|author1=Robert J. Adler|author2=Jonathan E. Taylor|title=Random Fields and Geometry|url=https://books.google.com/books?id=R5BGvQ3ejloC|year=2009|publisher=Springer Science & Business Media|isbn=978-0-387-48116-6|page=14}}</ref> 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.<ref name="Ito2006page32"/><ref name="AdlerTaylor2009page14"/>

Another approach is possible, originally developed by [[Anatoliy Skorokhod]] and [[Andrei Kolmogorov]],<ref name="AthreyaLahiri2006page211">{{cite book|author1=Krishna B. Athreya|author2=Soumendra N. Lahiri|title=Measure Theory and Probability Theory|url=https://books.google.com/books?id=9tv0taI8l6YC|year=2006|publisher=Springer Science & Business Media|isbn=978-0-387-32903-1|page=211}}</ref> 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,<ref name="Asmussen2003page408"/><ref name="Getoor2009">{{cite journal|last1=Getoor|first1=Ronald|title=J. L. Doob: Foundations of stochastic processes and probabilistic potential theory|journal=The Annals of Probability|volume=37|issue=5|year=2009|page=1655|issn=0091-1798|doi=10.1214/09-AOP465|arxiv=0909.4213|bibcode=2009arXiv0909.4213G|s2cid=17288507}}</ref> but such a stochastic process based on this approach will be automatically separable.<ref name="Borovkov2013page536">{{cite book|author=Alexander A. Borovkov|title=Probability Theory|url=https://books.google.com/books?id=hRk_AAAAQBAJ|year=2013|publisher=Springer Science & Business Media|isbn=978-1-4471-5201-9|page=536}}</ref>

Although less used, the separability assumption is considered more general because every stochastic process has a separable version.<ref name="Getoor2009"/> It is also used when it is not possible to construct a stochastic process in a Skorokhod space.<ref name="Borovkov2013page535"/> 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 <math>n</math>-dimensional Euclidean space.<ref name="AdlerTaylor2009page7"/><ref name="Yakir2013page5">{{cite book|author=Benjamin Yakir|title=Extremes in Random Fields: A Theory and Its Applications|url=https://books.google.com/books?id=HShwAAAAQBAJ&pg=PT97|year=2013|publisher=John Wiley & Sons|isbn=978-1-118-72062-2|page=5}}</ref>

== Application ==

=== Applications in Finance ===

==== Black-Scholes Model ====
One of the most famous applications of stochastic processes in finance is the '''[[Black-Scholes model]]''' for option pricing. Developed by [[Fischer Black]], [[Myron Scholes]], and [[Robert Solow]], this model uses '''[[Geometric Brownian motion]]''', a specific type of stochastic process, to describe the dynamics of asset prices.<ref>{{Cite journal |last1=Black |first1=Fischer |last2=Scholes |first2=Myron |date=1973 |title=The Pricing of Options and Corporate Liabilities |url=https://www.jstor.org/stable/1831029 |journal=Journal of Political Economy |volume=81 |issue=3 |pages=637–654 |doi=10.1086/260062 |jstor=1831029 |issn=0022-3808}}</ref><ref>{{Citation |last=Merton |first=Robert C. |title=Theory of rational option pricing |date=July 2005 |work=Theory of Valuation |pages=229–288 |url=http://www.worldscientific.com/doi/abs/10.1142/9789812701022_0008 |access-date=2024-09-30 |edition=2 |publisher=WORLD SCIENTIFIC |language=en |doi=10.1142/9789812701022_0008 |isbn=978-981-256-374-3|hdl=1721.1/49331 |hdl-access=free }}</ref> The model assumes that the price of a stock follows a continuous-time stochastic process and provides a closed-form solution for pricing European-style options. The Black-Scholes formula has had a profound impact on financial markets, forming the basis for much of modern options trading.

The key assumption of the Black-Scholes model is that the price of a financial asset, such as a stock, follows a '''[[log-normal distribution]]''', with its continuous returns following a normal distribution. Although the model has limitations, such as the assumption of constant volatility, it remains widely used due to its simplicity and practical relevance.

==== Stochastic Volatility Models ====
Another significant application of stochastic processes in finance is in '''[[Stochastic volatility|stochastic volatility models]]''', which aim to capture the time-varying nature of market volatility. The '''[[Heston model]]'''<ref>{{Cite journal |last=Heston |first=Steven L. |date=1993 |title=A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options |url=https://www.jstor.org/stable/2962057 |journal=The Review of Financial Studies |volume=6 |issue=2 |pages=327–343 |doi=10.1093/rfs/6.2.327 |jstor=2962057 |issn=0893-9454}}</ref> is a popular example, allowing for the volatility of asset prices to follow its own stochastic process. Unlike the Black-Scholes model, which assumes constant volatility, stochastic volatility models provide a more flexible framework for modeling market dynamics, particularly during periods of high uncertainty or market stress.

=== Applications in Biology ===

==== Population Dynamics ====
One of the primary applications of stochastic processes in biology is in '''[[population dynamics]]'''. In contrast to [[deterministic model]]s, which assume that populations change in predictable ways, stochastic models account for the inherent randomness in births, deaths, and migration. The '''[[birth-death process]]''',<ref name="Ross 2010">{{Cite book |last=Ross |first=Sheldon M. |title=Introduction to probability models |date=2010 |publisher=Elsevier |isbn=978-0-12-375686-2 |edition=10th |location=Amsterdam Heidelberg}}</ref> a simple stochastic model, describes how populations fluctuate over time due to random births and deaths. These models are particularly important when dealing with small populations, where random events can have large impacts, such as in the case of endangered species or small microbial populations.

Another example is the '''[[branching process]]''',<ref name="Ross 2010"/> which models the growth of a population where each individual reproduces independently. The branching process is often used to describe population extinction or explosion, particularly in epidemiology, where it can model the spread of infectious diseases within a population.

=== Applications in Computer Science ===

==== Randomized Algorithms ====
Stochastic processes play a critical role in computer science, particularly in the analysis and development of '''randomized algorithms'''. These algorithms utilize random inputs to simplify problem-solving or enhance performance in complex computational tasks. For instance, Markov chains are widely used in probabilistic algorithms for optimization and sampling tasks, such as those employed in search engines like Google's PageRank.<ref name="Randomized algorithms">{{Cite book |title=Randomized algorithms |date=1995 |publisher=Cambridge University Press |isbn=978-0-511-81407-5 |editor-last=Motwani |editor-first=Rajeev |location=Cambridge New York |editor-last2=Raghavan |editor-first2=Prabhakar}}</ref> These methods balance computational efficiency with accuracy, making them invaluable for handling large datasets. Randomized algorithms are also extensively applied in areas such as cryptography, large-scale simulations, and artificial intelligence, where uncertainty must be managed effectively.<ref name="Randomized algorithms"/>

==== Queuing Theory ====
Another significant application of stochastic processes in computer science is in '''queuing theory''', which models the random arrival and service of tasks in a system.<ref>{{Cite book |last=Shortle |first=John F. |title=Fundamentals of queueing theory |last2=Thompson |first2=James M. |last3=Gross |first3=Donald |last4=Harris |first4=Carl M. |date=2017 |publisher=John Wiley & Sons |isbn=978-1-118-94352-6 |edition=Fifth |series=Wiley series in probability and statistics |location=Hoboken, New Jersey}}</ref> This is particularly relevant in network traffic analysis and server management. For instance, queuing models help predict delays, manage resource allocation, and optimize throughput in web servers and communication networks. The flexibility of stochastic models allows researchers to simulate and improve the performance of high-traffic environments. For example, queueing theory is crucial for designing efficient data centers and cloud computing infrastructures.<ref>{{Cite book |title=Fundamentals of queueing theory |date=2018 |publisher=John Wiley & Sons |isbn=978-1-118-94356-4 |edition=5 |location=Hoboken}}</ref>

==See also==
{{Columns-list|colwidth=30em|
* [[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]]
* [[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 ==
{{Notelist}}

== References ==
{{Reflist}}
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==Further reading==
{{further reading cleanup|date=July 2018}}

===Articles===
* {{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}}
* {{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}}
* {{cite journal|last1=Guttorp|first1=Peter|last2=Thorarinsdottir|first2=Thordis L.|title=What Happened to Discrete Chaos, the Quenouille Process, and the Sharp Markov Property? Some History of Stochastic Point Processes|journal=International Statistical Review|volume=80|issue=2|year=2012|pages=253–268|issn=0306-7734|doi=10.1111/j.1751-5823.2012.00181.x|s2cid=80836 }}
* {{cite book|last1=Jarrow|first1=Robert|title=A Festschrift for Herman Rubin|last2=Protter|first2=Philip|chapter=A short history of stochastic integration and mathematical finance: the early years, 1880–1970|year=2004|pages=75–91|issn=0749-2170|doi=10.1214/lnms/1196285381|series=Institute of Mathematical Statistics Lecture Notes - Monograph Series|isbn=978-0-940600-61-4}}
* {{cite journal|last1=Meyer|first1=Paul-André|title=Stochastic Processes from 1950 to the Present|journal=Electronic Journal for History of Probability and Statistics|volume=5|issue=1|year=2009|pages=1–42}}

===Books===
* {{cite book|author=Robert J. Adler|title=The Geometry of Random Fields|url=https://books.google.com/books?id=ryejJmJAj28C&pg=PA263|publisher=SIAM|isbn=978-0-89871-693-1|year=2010}}
* {{cite book|author1=Robert J. Adler|author2=Jonathan E. Taylor|title=Random Fields and Geometry|url=https://books.google.com/books?id=R5BGvQ3ejloC|publisher=Springer Science & Business Media|isbn=978-0-387-48116-6|year=2009}}
* {{cite book|author=Pierre Brémaud|title=Markov Chains: Gibbs Fields, Monte Carlo Simulation, and Queues|url=https://books.google.com/books?id=jrPVBwAAQBAJ|publisher=Springer Science & Business Media|isbn=978-1-4757-3124-8|year=2013}}
* {{cite book|author=Joseph L. Doob|title=Stochastic processes|url=https://books.google.com/books?id=NrsrAAAAYAAJ|publisher=Wiley|year=1990|author-link=Joseph L. Doob}}
* {{cite book|author=Anders Hald|title=A History of Probability and Statistics and Their Applications before 1750|url=https://books.google.com/books?id=pOQy6-qnVx8C|publisher=John Wiley & Sons|isbn=978-0-471-72517-6|year=2005}}
* {{cite book|author=Crispin Gardiner|url=https://books.google.com/books?id=321EuQAACAAJ&q=Stochastic+methods|title= Stochastic Methods|publisher=Springer|isbn=978-3-540-70712-7|year=2010|author-link = Crispin Gardiner}}
* {{cite book|author1=Iosif I. Gikhman |author2=Anatoly Vladimirovich Skorokhod|title=Introduction to the Theory of Random Processes|url=https://books.google.com/books?id=yJyLzG7N7r8C&pg=PR2|publisher=Courier Corporation|isbn=978-0-486-69387-3|year=1996}}
* {{cite book|author=Emanuel Parzen|title=Stochastic Processes|url=https://books.google.com/books?id=0mB2CQAAQBAJ|publisher=Courier Dover Publications|isbn=978-0-486-79688-8|year=2015|author-link=Emanuel Parzen}}
* {{cite book|author=Murray Rosenblatt|title=Random Processes|url=https://archive.org/details/randomprocesses00rose_0|url-access=registration|publisher=Oxford University Press|year=1962|author-link=Murray Rosenblatt}}

== External links ==
* {{Commons category-inline|Stochastic processes}}

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{{Stochastic processes}}
{{Industrial and applied mathematics}}

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{{DEFAULTSORT:Stochastic Process}}
[[Category:Stochastic processes| ]]
[[Category:Stochastic models]]
[[Category:Statistical data types]]