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Stochastic process, differentiable

From Encyclopedia of Mathematics - Reading time: 1 min


A stochastic process $ X ( t) $ such that the limit

limΔt0 X(t+Δt)X(t)Δt= X(t)

exists; it is called the derivative of the stochastic process $ X ( t) $. One distinguishes between differentiation with probability $ 1 $ and mean-square differentiation, according to how this limit is interpreted. The condition of mean-square differentiability can be naturally expressed in terms of the correlation function

B(t1,t2)= EX(t1)X(t2).

Namely, $ X ^ \prime ( t) $ exists if and only if the limit

B(t1,t2)=

= limΔt10Δt20B(t1+Δt1,t2+Δt2)B(t1+Δt1,t2)B(t1,t2+Δt2)+B(t1,t2)Δt1Δt2

exists. A stochastic process having a mean-square derivative is absolutely continuous. More precisely, for every $ t $ and with probability 1,

X(t)=X(t0)+t0tX(s)ds, tt0.

A sufficient condition for the existence of a process equivalent to a given one with continuously differentiable trajectories is that its mean square-derivative $ X ^ \prime ( t) $ is continuous and has $ B ^ {\prime\prime} ( t _ {1} , t _ {2} ) $ as its correlation function. For Gaussian processes this condition is also necessary.

References[edit]

[1] I.I. Gikhman, A.V. Skorokhod, "Introduction to the theory of stochastic processes" , Saunders (1967) (Translated from Russian)

Comments[edit]

For additional references see Stochastic process.


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