19. An Introduction to Stochastic Processes

  1. S. David Promislow

Published Online: 14 JAN 2011

DOI: 10.1002/9781119971528.ch19

Fundamentals of Actuarial Mathematics, Second Edition

Fundamentals of Actuarial Mathematics, Second Edition

How to Cite

Promislow, S. D. (2010) An Introduction to Stochastic Processes, in Fundamentals of Actuarial Mathematics, Second Edition, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/9781119971528.ch19

Author Information

  1. York University, Toronto, Canada

Publication History

  1. Published Online: 14 JAN 2011
  2. Published Print: 17 DEC 2010

ISBN Information

Print ISBN: 9780470684115

Online ISBN: 9781119971528

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Keywords:

  • stochastic processes - an introduction;
  • stochastic process, tools to model - quantity varying randomly in time;
  • realization, sample path or scenario of stochastic process - functions defined on index set T;
  • Markov chains, computing probabilities - of each ‘branch’ of tree-like structure;
  • Markov chain examples - famous, being the random walk;
  • Martingales, class of stochastic processes;
  • finite-state Markov chains - relabelling integers, values taken by random variables;
  • multi-period transitions - matrix P, transitions over a single period;
  • random walk with absorbing barriers

Summary

This chapter contains sections titled:

  • Introduction

  • Markov chains

  • Martingales

  • Finite-state Markov chains

  • Notes and references

  • Exercises