Point processes have already led us to study a random evolution at times t ∈ ℝ+. However the study has been simplified by the fact that it depends only on a sequence of r.v.’s. We are now going to deal with continuous time processes, such as Brownian motion, where the time t is an element of ℝ+. Everything that is going to be said can easily be translated by taking, instead of ℝ+, an interval of ℝ+.
KeywordsFiltration Covariance Convolution
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