Chapter 7 Stochastic processes

Learning Objectives

1. Define in general terms a stochastic process and in particular a counting process.
2. Classify a stochastic process.
3. Describe possible applications of mixed processes.
4. Explain what is meant by the Markov property in the context of a stochastic process and in terms of filtrations.

Theory

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7.1 Defining stochastic process

7.1.1 Defining a counting process

7.2 Classifying stochastic processes

7.2.1 Time basis

Continous or discrete time

7.2.2 State space

Continous or discrete state space

7.2.3 Mixed type stochastic process

7.3 Applications of mixed processes

R Practice

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