| 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. Stochastic processes are widely used as mathematical models of systems and phenomena that appear to vary in a random manner. They have applications in many disciplines such as biology, chemistry, ecology, neuroscience, physics, image processing, signal processing, control theory, information theory, computer science, cryptography and telecommunications. Furthermore, seemingly random changes in financial markets have motivated the extensive use of stochastic processes in finance. | | 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. Stochastic processes are widely used as mathematical models of systems and phenomena that appear to vary in a random manner. They have applications in many disciplines such as biology, chemistry, ecology, neuroscience, physics, image processing, signal processing, control theory, information theory, computer science, cryptography and telecommunications. Furthermore, seemingly random changes in financial markets have motivated the extensive use of stochastic processes in finance. |
| In [[probability theory]] and related fields, a '''stochastic''' or '''random process''' is a [[mathematical object]] usually defined as a [[Indexed family|family]] of [[random variable]]s. Historically, the random variables were associated with or indexed by a set of numbers, usually viewed as points in time, giving the interpretation of a stochastic process representing numerical values of some system [[random]]ly changing over [[time]], such as 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><ref name=":0">{{Cite book|title=Markov Chains: From Theory to Implementation and Experimentation|last=Gagniuc|first=Paul A.|publisher=John Wiley & Sons|year=2017|isbn=978-1-119-38755-8|location= NJ|pages=1–235}}</ref> Stochastic processes are widely used as [[mathematical models]] of systems and phenomena that appear to vary in a random manner. They have applications in many disciplines such as [[biology]],<ref name="Bressloff2014">{{cite book|author=Paul C. 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|author=N.G. 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|author1=Russell Lande|author2=Steinar Engen|author3=Bernt-Erik 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|author1=Carlo Laing|author2=Gabriel J Lord|title=Stochastic Methods in Neuroscience|url=https://books.google.com/books?id=RaYSDAAAQBAJ|year=2010|publisher=OUP Oxford|isbn=978-0-19-923507-0}}</ref>, [[physics]]<ref name="PaulBaschnagel2013">{{cite book|author1=Wolfgang Paul|author2=Jörg 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|author=Edward R. 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|author=Dimitri P. Bertsekas|title=Stochastic Optimal Control: The Discrete-Time Case|url=http://www.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=PT16|year=2012|publisher=John Wiley & Sons|isbn=978-1-118-58577-1|page=71}}</ref> [[computer science]],<ref name="Baron2015">{{cite book|author=Michael Baron|title=Probability and Statistics for Computer Scientists, Second Edition|url=https://books.google.com/books?id=CwQZCwAAQBAJ|year=2015|publisher=CRC Press|isbn=978-1-4987-6060-7|page=131}}</ref> [[cryptography]]<ref>{{cite book|author1=Jonathan Katz|author2=Yehuda Lindell|title=Introduction to Modern Cryptography: Principles and Protocols|url=https://archive.org/details/Introduction_to_Modern_Cryptography|year=2007|publisher=CRC Press|isbn=978-1-58488-586-3|page=[https://archive.org/details/Introduction_to_Modern_Cryptography/page/n44 26]}}</ref> and [[telecommunications]].<ref name="BaccelliBlaszczyszyn2009">{{cite book|author1=François Baccelli|author2=Bartlomiej 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 markets]] have motivated the extensive use of stochastic processes in [[finance]].<ref name="Steele2001">{{cite book|author=J. Michael 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|author1=Marek Musiela|author2=Marek 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|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}}</ref> | | In [[probability theory]] and related fields, a '''stochastic''' or '''random process''' is a [[mathematical object]] usually defined as a [[Indexed family|family]] of [[random variable]]s. Historically, the random variables were associated with or indexed by a set of numbers, usually viewed as points in time, giving the interpretation of a stochastic process representing numerical values of some system [[random]]ly changing over [[time]], such as 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><ref name=":0">{{Cite book|title=Markov Chains: From Theory to Implementation and Experimentation|last=Gagniuc|first=Paul A.|publisher=John Wiley & Sons|year=2017|isbn=978-1-119-38755-8|location= NJ|pages=1–235}}</ref> Stochastic processes are widely used as [[mathematical models]] of systems and phenomena that appear to vary in a random manner. They have applications in many disciplines such as [[biology]],<ref name="Bressloff2014">{{cite book|author=Paul C. 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|author=N.G. 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|author1=Russell Lande|author2=Steinar Engen|author3=Bernt-Erik 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|author1=Carlo Laing|author2=Gabriel J Lord|title=Stochastic Methods in Neuroscience|url=https://books.google.com/books?id=RaYSDAAAQBAJ|year=2010|publisher=OUP Oxford|isbn=978-0-19-923507-0}}</ref>, [[physics]]<ref name="PaulBaschnagel2013">{{cite book|author1=Wolfgang Paul|author2=Jörg 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|author=Edward R. 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|author=Dimitri P. Bertsekas|title=Stochastic Optimal Control: The Discrete-Time Case|url=http://www.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=PT16|year=2012|publisher=John Wiley & Sons|isbn=978-1-118-58577-1|page=71}}</ref> [[computer science]],<ref name="Baron2015">{{cite book|author=Michael Baron|title=Probability and Statistics for Computer Scientists, Second Edition|url=https://books.google.com/books?id=CwQZCwAAQBAJ|year=2015|publisher=CRC Press|isbn=978-1-4987-6060-7|page=131}}</ref> [[cryptography]]<ref>{{cite book|author1=Jonathan Katz|author2=Yehuda Lindell|title=Introduction to Modern Cryptography: Principles and Protocols|url=https://archive.org/details/Introduction_to_Modern_Cryptography|year=2007|publisher=CRC Press|isbn=978-1-58488-586-3|page=[https://archive.org/details/Introduction_to_Modern_Cryptography/page/n44 26]}}</ref> and [[telecommunications]].<ref name="BaccelliBlaszczyszyn2009">{{cite book|author1=François Baccelli|author2=Bartlomiej 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 markets]] have motivated the extensive use of stochastic processes in [[finance]].<ref name="Steele2001">{{cite book|author=J. Michael 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|author1=Marek Musiela|author2=Marek 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|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}}</ref> |