Introduction to Stochastic Processes
Marco Bittelli, Roberto Olmi, Rodolfo Rosa · 2022
Abstract In Chapter 3, the reader finds an in-depth description of the fundamental theory of stochastic processes. The Chapter introduces concepts of continuous and discrete random variables, stationarity, ergodicity, recurrent and transient states, Markov processes and Markov chains. Examples from mathematics and physics are presented to exemplify random processes such as the Buffon’s needle and the Ehrenfest Urn Model.