- stochastic filtration
- мат. стохастическая фильтрация
Большой англо-русский и русско-английский словарь. 2001.
stochastic filtration
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Filtration (mathematics) — In mathematics, a filtration is an indexed set Si of subobjects of a given algebraic structure S, with the index i running over some index set I that is a totally ordered set, subject to the condition that if i ≤ j in I then Si ⊆ Sj. The concept… … Wikipedia
Stochastic differential equation — A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, thus resulting in a solution which is itself a stochastic process. SDE are used to model diverse phenomena such as… … Wikipedia
Natural filtration — In the theory of stochastic processes in mathematics and statistics, the natural filtration associated to a stochastic process is a filtration associated to the process which records its past behaviour at each time. It is in a sense the simplest… … Wikipedia
Itō diffusion — In mathematics mdash; specifically, in stochastic analysis mdash; an Itō diffusion is a solution to a specific type of stochastic differential equation. Itō diffusions are named after the Japanese mathematician Kiyoshi Itō.OverviewA (time… … Wikipedia
Martingale (probability theory) — For the martingale betting strategy , see martingale (betting system). Stopped Brownian motion is an example of a martingale. It can be used to model an even coin toss betting game with the possibility of bankruptcy. In probability theory, a… … Wikipedia
Semimartingale — In probability theory, a real valued process X is called a semimartingale if it can be decomposed as the sum of a local martingale and an adapted finite variation process.Semimartingales are good integrators , forming the largest class of… … Wikipedia
Wiener process — In mathematics, the Wiener process is a continuous time stochastic process named in honor of Norbert Wiener. It is often called Brownian motion, after Robert Brown. It is one of the best known Lévy processes (càdlàg stochastic processes with… … Wikipedia
Adapted process — In the study of stochastic processes, an adapted process (or non anticipating process) is one that cannot see into the future . An informal interpretation[1] is that X is adapted if and only if, for every realisation and every n, Xn is known at… … Wikipedia
Brownian motion — This article is about the physical phenomenon; for the stochastic process, see Wiener process. For the sports team, see Brownian Motion (Ultimate). For the mobility model, see Random walk. Brownian motion (named after the botanist Robert Brown)… … Wikipedia
Stopping time — Example of a stopping time: a hitting time of Brownian motion In probability theory, in particular in the study of stochastic processes, a stopping time (also Markov time) is a specific type of “random time”. The theory of stopping rules and… … Wikipedia
Quantum probability — was developed in the 1980s as a noncommutative analog of the Kolmogorovian stochastic processes theory. One of its aims is to clarify the probabilistic mathematical foundations of quantum theory and its statistical interpretation.Significant… … Wikipedia
