scholarly journals Doob: A Half-Century on

2005 ◽  
Vol 42 (1) ◽  
pp. 257-266 ◽  
Author(s):  
N. H. Bingham
Keyword(s):  
Stochastic Process ◽  
Probability Theory ◽  
Seventeenth Century ◽  
Stochastic Processes ◽  
Fiftieth Anniversary ◽  
Process Theory ◽  
Dynamic Aspect ◽  
Half Century ◽  
Classic Work

Probability theory, and its dynamic aspect stochastic process theory, is both a venerable subject, in that its roots go back to the mid-seventeenth century, and a young one, in that its modern formulation happened comparatively recently - well within living memory. The year 2003 marked the seventieth anniversary of Kolmogorov'sGrundbegriffe der Wahrscheinlichkeitsrechnung, usually regarded as having inaugurated modern (measure-theoretic) probability theory. It also marked the fiftieth anniversary of Doob'sStochastic Processes. The profound and continuing influence of this classic work prompts the present piece.

scholarly journals Doob: A Half-Century on

2005 ◽  
Vol 42 (01) ◽  
pp. 257-266
Author(s):  
N. H. Bingham
Keyword(s):  
Stochastic Process ◽  
Probability Theory ◽  
Seventeenth Century ◽  
Stochastic Processes ◽  
Fiftieth Anniversary ◽  
Process Theory ◽  
Dynamic Aspect ◽  
Half Century ◽  
Classic Work

Probability theory, and its dynamic aspect stochastic process theory, is both a venerable subject, in that its roots go back to the mid-seventeenth century, and a young one, in that its modern formulation happened comparatively recently - well within living memory. The year 2003 marked the seventieth anniversary of Kolmogorov's Grundbegriffe der Wahrscheinlichkeitsrechnung, usually regarded as having inaugurated modern (measure-theoretic) probability theory. It also marked the fiftieth anniversary of Doob's Stochastic Processes. The profound and continuing influence of this classic work prompts the present piece.

scholarly journals A probability space of continuous-time discrete value stochastic process with Markov property

2016 ◽  
Vol 12 (3) ◽  
pp. 5975-5991
Author(s):  
Miloslawa Sokol
Keyword(s):  
Stochastic Process ◽  
Probability Theory ◽  
Stochastic Processes ◽  
Continuous Time ◽  
Probability Space ◽  
Measure Theory ◽  
Markov Property ◽  
Finite Measure ◽  
Physical Models

Getting acquainted with the theory of stochastic processes we can read the following statement: "In the ordinary axiomatization of probability theory by means of measure theory, the problem is to construct a sigma-algebra of measurable subsets of the space of all functions, and then put a finite measure on it". The classical results for limited stochastic and intensity matrices goes back to Kolmogorov at least late 40-s. But for some infinity matrices the sum of probabilities of all trajectories is less than 1. Some years ago I constructed physical models of simulation of any stochastic processes having a stochastic or an intensity matrices and I programmed it. But for computers I had to do some limitations - set of states at present time had to be limited, at next time - not necessarily. If during simulation a realisation accepted a state out of the set of limited states - the simulation was interrupted. I saw that I used non-quadratic, half-infinity stochastic and intensity matrices and that the set of trajectories was bigger than for quadratic ones. My programs worked good also for stochastic processes described in literature as without probability space. I asked myself: did the probability space for these experiments not exist or were only set of events incompleted? This paper shows that the second hipothesis is true.

scholarly journals Stochastic Processes with a Particular Type of Variograms

2007 ◽  
Vol 2007 ◽  
pp. 1-5 ◽  
Author(s):  
Chunsheng Ma
Keyword(s):  
Stochastic Process ◽  
Brownian Motion ◽  
Stochastic Processes ◽  
Series Expansion ◽  
Real Line ◽  
Random Fields ◽  
The Other ◽  
Simple Construction ◽  
The Real ◽  
Line Form

This paper is concerned with a class of stochastic processes or random fields with second-order increments, whose variograms have a particular form, among which stochastic processes having orthogonal increments on the real line form an important subclass. A natural issue, how big this subclass is, has not been explicitly addressed in the literature. As a solution, this paper characterizes a stochastic process having orthogonal increments on the real line in terms of its variogram or its construction. Our findings are a little bit surprising: this subclass is big in terms of the variogram, and on the other hand, it is relatively “small” according to a simple construction. In particular, every such process with Gaussian increments can be simply constructed from Brownian motion. Using the characterizations we obtain a series expansion of the stochastic process with orthogonal increments.

scholarly journals A Double-indexed Functional Hill Process and Applications

2016 ◽  
Vol 8 (4) ◽  
pp. 144
Author(s):  
Modou Ngom ◽  
Gane Samb Lo
Keyword(s):  
Stochastic Process ◽  
Distribution Function ◽  
Asymptotic Behaviour ◽  
Stochastic Processes ◽  
Order Statistics ◽  
Finite Dimension ◽  
Domain Of Attraction ◽  
Extreme Value ◽  
Extreme Value Index

<div>Let $X_{1,n} \leq .... \leq X_{n,n}$ be the order statistics associated with a sample $X_{1}, ...., X_{n}$ whose pertaining distribution function (\textit{df}) is $F$. We are concerned with the functional asymptotic behaviour of the sequence of stochastic processes</div><div> </div><div>\begin{equation}<br />T_{n}(f,s)=\sum_{j=1}^{j=k}f(j)\left( \log X_{n-j+1,n}-\log<br />X_{n-j,n}\right)^{s} ,  \label{fme}<br />\end{equation}</div><div> </div><div>indexed by some classes $\mathcal{F}$ of functions $f:\mathbb{N}%^{\ast}\longmapsto \mathbb{R}_{+}$ and $s \in ]0,+\infty[$ and where $k=k(n)$ satisfies</div><div> </div><div>\begin{equation*}<br />1\leq k\leq n,k/n\rightarrow 0\text{ as }n\rightarrow \infty .<br />\end{equation*}</div><div> </div><div>We show that this is a stochastic process whose margins generate estimators of the extreme value index when $F$ is in the extreme domain of attraction. We focus in this paper on its finite-dimension asymptotic law and provide a class of new estimators of the extreme value index whose performances are compared to analogous ones. The results are next particularized for one explicit class $\mathcal{F}$.</div>

scholarly journals Applications of Generating Functions to Stochastic Processes and to the Complexity of the Knapsack Problem

2021 ◽  
Author(s):  
Jorma Jormakka ◽  
Sourangshu Ghosh
Keyword(s):  
Stochastic Process ◽  
Stochastic Processes ◽  
Polynomial Time ◽  
Knapsack Problem ◽  
Generating Functions ◽  
General Theorem ◽  
Main Idea ◽  
Polynomial Time Algorithm ◽  
Time Algorithm ◽  
Linear Transform

The paper describes a method of solving some stochastic processes using generating functions. A general theorem of generating functions of a particular type is derived. A generating function of this type is applied to a stochastic process yielding polynomial time algorithms for certain partitions. The method is generalized to a stochastic process describing a rather general linear transform. Finally, the main idea of the method is used in deriving a theoretical polynomial time algorithm to the knapsack problem.

scholarly journals Markov Stochastic Processes in Biology and Mathematics -- the Same, and yet Different

2018 ◽  
Vol 14 (1) ◽  
pp. 7540-7559
Author(s):  
MI lOS lAWA SOKO
Keyword(s):  
Stochastic Process ◽  
Stochastic Processes ◽  
Discrete Time ◽  
Stochastic Matrix ◽  
Random Number Generator ◽  
Point Of View ◽  
State Transitions ◽  
Similar Principle ◽  
Probabilistic Space ◽  
And Mathematics

Virtually every biological model utilising a random number generator is a Markov stochastic process. Numerical simulations of such processes are performed using stochastic or intensity matrices or kernels. Biologists, however, define stochastic processes in a slightly different way to how mathematicians typically do. A discrete-time discrete-value stochastic process may be defined by a function p : X0 × X → {f : Î¥ → [0, 1]}, where X is a set of states, X0 is a bounded subset of X, Î¥ is a subset of integers (here associated with discrete time), where the function p satisfies 0 < p(x, y)(t) < 1 and  EY p(x, y)(t) = 1. This definition generalizes a stochastic matrix. Although X0 is bounded, X may include every possible state and is often infinite. By interrupting the process whenever the state transitions into the X −X0 set, Markov stochastic processes defined this way may have non-quadratic stochastic matrices. Similar principle applies to intensity matrices, stochastic and intensity kernels resulting from considering many biological models as Markov stochastic processes. Class of such processes has important properties when considered from a point of view of theoretical mathematics. In particular, every process from this class may be simulated (hence they all exist in a physical sense) and has a well-defined probabilistic space associated with it.

On the modeling of linear system input stochastic processes with given accuracy and reliability

2018 ◽  
Vol 24 (2) ◽  
pp. 129-137
Author(s):  
Iryna Rozora ◽  
Mariia Lyzhechko
Keyword(s):  
Banach Space ◽  
Stochastic Process ◽  
Linear System ◽  
Stochastic Processes ◽  
Impulse Response Function ◽  
Output Process ◽  
Gaussian Stochastic Process ◽  
System Input ◽  
Time Invariant ◽  
Gaussian Stochastic Processes

AbstractThe paper is devoted to the model construction for input stochastic processes of a time-invariant linear system with a real-valued square-integrable impulse response function. The processes are considered as Gaussian stochastic processes with discrete spectrum. The response on the system is supposed to be an output process. We obtain the conditions under which the constructed model approximates a Gaussian stochastic process with given accuracy and reliability in the Banach space{C([0,1])}, taking into account the response of the system. For this purpose, the methods and properties of square-Gaussian processes are used.

Criteria for the non-ergodicity of stochastic processes: application to the exponential back-off protocol

1987 ◽  
Vol 24 (02) ◽  
pp. 347-354 ◽  
Author(s):  
Guy Fayolle ◽  
Rudolph Iasnogorodski
Keyword(s):  
Stochastic Process ◽  
Markov Chain ◽  
Stochastic Processes ◽  
State Space ◽  
Discrete Time ◽  
Random Variables ◽  
Countable State Space ◽  
Countable State ◽  
New Criteria

In this paper, we present some simple new criteria for the non-ergodicity of a stochastic process (Yn ), n ≧ 0 in discrete time, when either the upward or downward jumps are majorized by i.i.d. random variables. This situation is encountered in many practical situations, where the (Yn ) are functionals of some Markov chain with countable state space. An application to the exponential back-off protocol is described.

scholarly journals Probability unfolding, 1965‒2015

2016 ◽  
Vol 48 (A) ◽  
pp. 1-13
Author(s):  
N. H. Bingham
Keyword(s):  
Probability Theory ◽  
Half Century

AbstractWe give a personal (and we hope, not too idiosyncratic) view of how our subject of probability theory has developed during the last half-century, and the author in tandem with it.

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