Stochastic equivalence
2010 Mathematics Subject Classification: Primary: 60Gxx Secondary: 60Axx [MSN][ZBL]
The equivalence relation between random variables that differ only on a set of probability zero. More precisely, two random variables and , defined on a common probability space , are called stochastically equivalent if . In most problems of probability theory one deals with classes of equivalent random variables, rather than with the random variables themselves.
Two stochastic processes and , , defined on a common probability space are called stochastically equivalent if for any stochastic equivalence holds between the corresponding random variables: . With regard to stochastic processes and with coinciding finite-dimensional distributions, the term "stochastic equivalence" is sometimes used in the broad sense.
Comments
The members of a stochastic equivalence class (of random variables or stochastic processes) are sometimes referred to as versions (of each other or of the equivalence class). A version of a random variable or stochastic process is also called a modification.
References
[Do] | J.L. Doob, "Classical potential theory and its probabilistic counterpart" , Springer (1984) pp. 390 MR0731258 Zbl 0549.31001 |
[GS] | I.I. Gihman, A.V. Skorohod, "The theory of stochastic processes" , 1 , Springer (1974) pp. 43ff (Translated from Russian) MR0346882 Zbl 0291.60019 |
[De] | C. Dellacherie, "Capacités et processus stochastiques" , Springer (1972) pp. 46 MR0448504 Zbl 0246.60032 |
[S] | A.V. Skorohod, "Random processes with independent increments" , Kluwer (1991) pp. 9 (Translated from Russian) MR1155400 |
[LS] | R.Sh. Liptser, A.N. Shiryayev, "Theory of martingales" , Kluwer (1989) pp. 4 (Translated from Russian) MR1022664 Zbl 0728.60048 |
Stochastic equivalence. Encyclopedia of Mathematics. URL: http://www.encyclopediaofmath.org/index.php?title=Stochastic_equivalence&oldid=26950