Stochastic Processes

Joseph L. Doob, S. P., & Wiley. (1953). Stochastic Processes. Wiley.

Type

Book

Intellectual base

Textbook

Year

1953

Link

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Cited by

2 citations across 2 artifacts.

Domain-specific

• Doob martingale
  • The Doob martingale associated with Y and a filtration is Z_t=E[Y|F_t], provided the conditional expectations are well-defined; it is adapted and satisfies E[Z_t|F_s]=Z_s for s≤t.
• Stationary sequence
  • Strict stationarity preserves the complete joint law, while weak stationarity preserves only finite mean and lag-dependent covariance; ergodicity is a separate time-average property.

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