Chapter 6
Stochastic Processes
Let us summarize what we have already accomplished. Our ultimate goal was to learn to make decisions under uncertainty. We introduced a language of probability in Chapter 2 and learned how to measure uncertainty. Then, through Chapters 3, Chapters 4, Chapters 5, we studied random variables, random vectors, and their distributions. Have we learned enough to describe a situation involving uncertainty and be able to make good decisions?
Let us look around. If you say “Freeze!” and everything freezes for a moment, the situation will be completely described by random variables surrounding us at a particular moment of time. However, the real world is dynamic. Many variables develop and change in real time: air temperatures, ...
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