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# Continuous-time stochastic process

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 Title: Continuous-time stochastic process Author: World Heritage Encyclopedia Language: English Subject: Collection: Stochastic Processes Publisher: World Heritage Encyclopedia Publication Date:

### Continuous-time stochastic process

In probability theory and statistics, a continuous-time stochastic process, or a continuous-space-time stochastic process is a stochastic process for which the index variable takes a continuous set of values, as contrasted with a discrete-time process for which the index variable takes only distinct values. An alternative terminology uses continuous parameter as being more inclusive.[1]

A more restricted class of processes are the continuous stochastic processes: here the term often (but not always[2]) implies both that the index variable is continuous and that sample paths of the process are continuous. Given the possible confusion, caution is needed.[2]

Continuous-time stochastic processes that are constructed from discrete-time processes via a waiting time distribution are called continuous-time random walks.

## Examples

An example of a continuous-time stochastic process for which sample paths are not continuous is a Poisson process. An example with continuous paths is the Ornstein–Uhlenbeck process.

## References

1. ^ Parzen, E. (1962) Stochastic Processes, Holden-Day. ISBN 0-8162-6664-6 (Chapter 6)
2. ^ a b Dodge, Y. (2006) The Oxford Dictionary of Statistical Terms, OUP. ISBN 0-19-920613-9 (Entry for "continuous process")
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