List of stochastic processes topics

Stochastic processes topics

• Basic affine jump diffusion
• Bernoulli process: discrete-time processes with two possible states.
• * Bernoulli schemes: discrete-time processes with N possible states; every stationary process in N outcomes is a Bernoulli scheme, and vice versa.
• Birth–death process
• Branching process
• Branching random walk
• Brownian bridge
• Brownian motion
• Chinese restaurant process
• CIR process
• Continuous stochastic process
• Cox process
• Dirichlet processes
• Finite-dimensional distribution
• First passage time
• Galton-Watson process
• Gamma process
• Gaussian process – a process where all linear combinations of coordinates are normally distributed random variables.
• * Gauss-Markov process
• GenI process
• Girsanov's theorem
• Homogeneous processes: processes where the domain has some symmetry and the finite-dimensional probability distributions also have that symmetry. Special cases include stationary processes, also called time-homogeneous.
• Karhunen-Loève theorem
• Lévy process
• Local time
• Loop-erased random walk
• Markov processes are those in which the future is conditionally independent of the past given the present.
• * Markov chain
• * Markov chain central limit theorem
• * Continuous-time Markov process
• * Markov process
• * Semi-Markov process
• * Gauss-Markov processes: processes that are both Gaussian and Markov
• Martingales – processes with constraints on the expectation
• Onsager–Machlup function
• Ornstein-Uhlenbeck process
• Percolation theory
• Point processes: random arrangements of points in a space. They can be modelled as stochastic processes where the domain is a sufficiently large family of subsets of S, ordered by inclusion; the range is the set of natural numbers; and, if A is a subset of B, ƒ ≤ ƒ with probability 1.
• Poisson process
• * Compound Poisson process
• Population process
• Probabilistic cellular automaton
• Queueing theory
• * Queue
• Random field
• * Gaussian random field
• * Markov random field
• Sample-continuous process
• Stationary process
• Stochastic calculus
• * Itô calculus
• * Malliavin calculus
• * Semimartingale
• * Stratonovich integral
• Stochastic control
• Stochastic differential equation
• Stochastic process
• Telegraph process
• Time series
• Wald's martingale
• Wiener process