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Continuous-time stochastic process

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Title: Continuous-time stochastic process  
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Subject: Stochastic process, Stochastic processes, Discrete-time stochastic process, Continuous stochastic process, Predictable process
Collection: Stochastic Processes
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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.


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.

See also


  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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