A.1 Kolmogorov’s existence theorem
In this appendix we give a proof of Kolmogorov’s theorem, Theorem 4.8, on the existence of stochastic processes with prescribed finite dimensional distributions. In addition to the notation introduced in Chapter 4, we use for the projection onto the coordinates from J ⊂ L ⊂ I. Moreover, and we write ℌ for the family of all finite subsets of I. Finally
denotes the family of cylinder sets and we call ...
Get Brownian Motion, 2nd Edition now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.