chapter  4
72 Pages

Continuous-Time Stochastic Processes: Continuous Paths

Stochastic processes are the main modelling tool when dynamically evolving phenomena with a random component are considered. Of course, we will consider such phenomena as stock prices, interest rates, and premium processes, but one can also think about examples from nature such as weather or technical systems such as the flow of interacting particles through some filter. We will therefore introduce the notion of a stochastic process in this chapter.