Law (stochastic processes)

In mathematics, the law of a stochastic process is the measure that the process induces on the collection of functions from the index set into the state space. The law encodes a lot of information about the process; in the case of a random walk, for example, the law is the probability distribution of the possible trajectories of the walk.

Definition

Let (Ω, F, P) be a probability space, T some index set, and (S, Σ) a measurable space. Let X : T × Ω  S be a stochastic process (so the map

X_{t} : \Omega \to S : \omega \mapsto X (t, \omega)

is a (F, Σ)-measurable function for each t  T). Let ST denote the collection of all functions from T into S. The process X (by way of currying) induces a function ΦX : Ω  ST, where

\left( \Phi_{X} (\omega) \right) (t) := X_{t} (\omega).

The law of the process X is then defined to be the pushforward measure

\mathcal{L}_{X} := \left( \Phi_{X} \right)_{*} ( \mathbf{P} ) = \mathbf P \circ \Phi_X^{-1}

on ST.

Example

See also

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