RANDOM PROCESS

Random Process

A random process (or stochastic process) is a family of random variables {X (t :) t ∈T} defined
on a given probability space indexed by the parameter t, where t varies over the index set T.

Example:

1. Consider the experiment of the throwing a fair die. Suppose 𝑋𝑋𝑛𝑛 n ≥ 1 is the outcome of the
nth throw. Then {𝑋𝑋𝑛𝑛 : n ≥1} is a family of random variables such that for each n ≥ 1 we have
a distinct value. This random process is known as Bernoulli process.

2. Consider the random event of receiving telephone calls in a particular interval. Suppose that
X (t) denotes the random variable representing the number of incoming calls in an interval (0,
t) of duration t units. Then the family {X (t) t ∈T} where T = (0, ∞) is a random process.

Classification of random process

Consider the random process{X (t): t ∈T}. If the index set T of a process is discrete then the
process is called a discrete parameter (or discrete time) process. A discrete parameter process
is also called a random sequence and is denoted by {𝑋𝑋𝑛𝑛 : 𝑛𝑛 = 1, 2, … }

A discrete parameter process may have a discrete or continuous state space. Similarly if the
index set T is continuous in time then the process is a continuous parameter process. Also for
a continuous parameter process the state space may be discrete or continuous.

Thus the random process can be classified into the following four types.

• Discrete parameter – Discrete state space

• Discrete parameter- Continuous state space

• Continuous parameter – Discrete state space

• Continuous parameter- Continuous state space

Example: 1

1. The Bernoulli process is a discrete parameter - discrete state process

2. Now consider } {X 1: ≤ n ≤ 24 n where Xn represents the temperature at the end of 𝑛𝑛𝑡𝑡ℎ hour
in a day. Then this is a discrete parameter - continuous state process (Since the temperature can
take any value and hence continuous)

3. Consider the number of incoming calls X (t) during the interval (0, t). This process is
continuous parameter -discrete state space.
4. Suppose that X (t) represents the maximum temperature at a particular place in the interval
(0, t). Then the set of possible values of X (t) is continuous and hence we have a system of
continuous parameter- continuous state space.

Mean of the process

The mean or (average) value of the process {X (t :) t ∈T} is the expected value of a typical
member X (t) of the process E(X (t)) = µ(t)

where µ(t) is often called as the ensemble (group) average of X(t).

SPECIAL CLASSES OF RANDOM PROCESSES

Stationary Process

If a certain probability distribution or averages do not depend on t, then the stochastic process
is called a stationary process.

Strictly stationary process

A stochastic process{X (t :) t ∈T} is said to be stationary in the strict sense or SSS process if
for n ≥ 1 its 𝑛𝑛𝑡𝑡ℎ order joint density function satisfies the condition.

𝑓𝑓(𝑥𝑥1 , 𝑥𝑥2 , … 𝑥𝑥𝑛𝑛 , 𝑡𝑡1 , 𝑡𝑡2 , … 𝑡𝑡𝑛𝑛 ) = 𝑓𝑓(𝑥𝑥1 , 𝑥𝑥2 , … 𝑥𝑥𝑛𝑛 ; 𝑡𝑡1 + 𝜏𝜏, 𝑡𝑡2 + 𝜏𝜏, … 𝑡𝑡𝑛𝑛 + 𝜏𝜏)

for all 𝑥𝑥1 , 𝑥𝑥2 , … 𝑥𝑥𝑛𝑛 ∈ 𝑋𝑋, 𝑡𝑡1 , 𝑡𝑡2 , … 𝑡𝑡𝑛𝑛 , 𝜏𝜏 ∈ 𝑇𝑇

Wide Sense Stationary or Covariance Stationary

A stochastic process is said to be WSS if

1. E(X (t)) = µ(t) is independent of time t.

2. 𝑅𝑅(𝑡𝑡1 , 𝑡𝑡2 ) = 𝑅𝑅(0, 𝑡𝑡2 − 𝑡𝑡1 ) = R (0, τ) where τ = 𝑡𝑡2 − 𝑡𝑡1 , 𝑡𝑡2 ≥ 0 , 𝑡𝑡1 ≥ 0

3. 𝑅𝑅(0) = 𝐸𝐸(𝑋𝑋 2 (𝑡𝑡)) < ∞

Independent process
A stochastic process {X(t): t∈T} is said to be an independent process provided its nth order joint
distribution satisfies the condition
n n

F(x1 , x2 , … , xn : t1 , t 2 , … , t n ) = � F(xi , t i ) = � P(X(t i )≤ xi )

i=1 i=1

Markov process
A stochastic process is called a Markov process if for any t 0 < t1 < t 2 … < t n < t the
conditional distribution of 𝑋𝑋(𝑡𝑡)for given values of 𝑋𝑋(t 0 ), 𝑋𝑋(t1 ), … , 𝑋𝑋(t n ) depends only on
𝑋𝑋(t n ) (i.e)
𝑃𝑃(𝑋𝑋(𝑡𝑡) ≤ 𝑥𝑥⁄𝑋𝑋(t n ) = 𝑥𝑥n , 𝑋𝑋(t n−1 ) = 𝑥𝑥n−1 … 𝑋𝑋(t 0 ) = 𝑥𝑥0
= 𝑃𝑃(𝑋𝑋(𝑡𝑡) ≤ 𝑥𝑥⁄𝑋𝑋(t n ) = 𝑥𝑥n )
In other words if the future behaviour of the process depends only on the present state and not
on the past the process is a Markov process.
A discrete state space Markov process is called a Markov chain.

Poisson process
If the time between the renewals follow an exponential distribution then the corresponding
renewal counting process is a continuous parameter Markov chain known as the Poisson
process.