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Stochastic processes
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From Simple English Wikipedia, the free encyclopedia
v
t
e
Stochastic processes
Discrete time
Markov chain
Random walk
Loop-erased
Self-avoiding
Biased
Maximal entropy
Bernoulli process
Branching process
Chinese restaurant process
Galton–Watson process
Independent and identically distributed random variables
Moran process
Continuous time
Additive process
Bessel process
Birth–death process
pure birth
Brownian motion
Bridge
Excursion
Fractional
Geometric
Meander
Cauchy process
Contact process
Continuous-time random walk
Cox process
Diffusion process
Dyson Brownian motion
Empirical process
Feller process
Fleming–Viot process
Gamma process
Geometric process
Hawkes process
Hunt process
Interacting particle systems
Itô diffusion
Itô process
Jump diffusion
Jump process
Lévy process
Local time
Markov additive process
McKean–Vlasov process
Ornstein–Uhlenbeck process
Poisson process
Compound
Non-homogeneous
Schramm–Loewner evolution
Semimartingale
Sigma-martingale
Stable process
Superprocess
Telegraph process
Variance gamma process
Wiener process
Wiener sausage
Both
Branching process
Galves–Löcherbach model
Gaussian process
Hidden Markov model (HMM)
Markov process
Martingale
Differences
Local
Sub-
Super-
Random dynamical system
Regenerative process
Renewal process
Stochastic chains with memory of variable length
White noise
Fields and other
Dirichlet process
Gaussian random field
Gibbs measure
Hopfield model
Ising model
Potts model
Boolean network
Markov random field
Percolation
Pitman–Yor process
Point process
Cox
Poisson
Random field
Random graph
Time series models
Autoregressive conditional heteroskedasticity (ARCH) model
Autoregressive integrated moving average (ARIMA) model
Autoregressive (AR) model
Autoregressive–moving-average (ARMA) model
Generalized autoregressive conditional heteroskedasticity (GARCH) model
Moving-average (MA) model
Financial models
Binomial options pricing model
Black–Derman–Toy
Black–Karasinski
Black–Scholes
Chan–Karolyi–Longstaff–Sanders (CKLS)
Chen
Constant elasticity of variance (CEV)
Cox–Ingersoll–Ross (CIR)
Garman–Kohlhagen
Heath–Jarrow–Morton (HJM)
Heston
Ho–Lee
Hull–White
Korn-Kreer-Lenssen
LIBOR market
Rendleman–Bartter
SABR volatility
Vašíček
Wilkie
Actuarial models
Bühlmann
Cramér–Lundberg
Risk process
Sparre–Anderson
Queueing models
Bulk
Fluid
Generalized queueing network
M/G/1
M/M/1
M/M/c
Properties
Càdlàg paths
Continuous
Continuous paths
Ergodic
Exchangeable
Feller-continuous
Gauss–Markov
Markov
Mixing
Piecewise-deterministic
Predictable
Progressively measurable
Self-similar
Stationary
Time-reversible
Limit theorems
Central limit theorem
Donsker's theorem
Doob's martingale convergence theorems
Ergodic theorem
Fisher–Tippett–Gnedenko theorem
Large deviation principle
Law of large numbers (weak/strong)
Law of the iterated logarithm
Maximal ergodic theorem
Sanov's theorem
Zero–one laws
(
Blumenthal
,
Borel–Cantelli
,
Engelbert–Schmidt
,
Hewitt–Savage
,
Kolmogorov
,
Lévy
)
Inequalities
Burkholder–Davis–Gundy
Doob's martingale
Doob's upcrossing
Kunita–Watanabe
Marcinkiewicz–Zygmund
Tools
Cameron–Martin formula
Convergence of random variables
Doléans-Dade exponential
Doob decomposition theorem
Doob–Meyer decomposition theorem
Doob's optional stopping theorem
Dynkin's formula
Feynman–Kac formula
Filtration
Girsanov theorem
Infinitesimal generator
Itô integral
Itô's lemma
Karhunen–Loève theorem
Kolmogorov continuity theorem
Kolmogorov extension theorem
Lévy–Prokhorov metric
Malliavin calculus
Martingale representation theorem
Optional stopping theorem
Prokhorov's theorem
Quadratic variation
Reflection principle
Skorokhod integral
Skorokhod's representation theorem
Skorokhod space
Snell envelope
Stochastic differential equation
Tanaka
Stopping time
Stratonovich integral
Uniform integrability
Usual hypotheses
Wiener space
Classical
Abstract
Disciplines
Actuarial mathematics
Control theory
Econometrics
Ergodic theory
Extreme value theory (EVT)
Large deviations theory
Mathematical finance
Mathematical statistics
Probability theory
Queueing theory
Renewal theory
Ruin theory
Signal processing
Statistics
Stochastic analysis
Time series analysis
Machine learning
List of stochastic processes topics
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