Processes in Continuous Time

  • Didier Dacunha-Castelle
  • Marie Duflo


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+.


Filtration Covariance Convolution 


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Copyright information

© Springer-Verlag New York Inc. 1986

Authors and Affiliations

  • Didier Dacunha-Castelle
    • 1
  • Marie Duflo
    • 2
  1. 1.Equipe de Recherche Associée au C.N.R.S. 532 Statistique Appliqué MathématiqueUniversité de Paris-SudOrsay CedexFrance
  2. 2.Université de Paris-NordVilletaneuseFrance

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