II_Stochastic_process-金融随机分析.pdf

Stochastic calculus for Stochastic calculus for Stochastic calculus for finance finance finance 2. Stochastic process 2. Stochastic process 1 2.1 Stochastic process   X Def 2.1.1 A stochastic process t t T is a parametrized collection of random variables defined on a probability space (,F , P) and assuming values in Rn , The parameter space T is usually the halfline ,but it may also be an interval ,the non-negative and even subsets of Rn for n 1. Note that for each t fixed we have a random variable X t (); On the other hand, fixing  we can consider the function t X t (); t T Which is called a path of X . t The (finite-dimensional) distributions of the process X={X } are the measurest ,...,t t t T 1 k defined on Rnk k=1,2,..., by  (F F F ) P[X F , , X F ];t T t ,,t 1 2 k t 1 t k i 1 k 1 k n Here F , ...,F denote Borel sets in R . 1 k THEOREM (Kolmogorov’s extension theorem). For all t , , t T, k N let vt ,...,t be probability 1 k 1 k measuers on Rnk s.t. K1 v (F ...F )  (F 1 F 1