Stochastic Differential Equations and Applications

A stochastic process x(t), tϵI is a family of random variables x(t) defined in a measure space (Ω,ℱ) or in a probability space (Ω,ℱ P); here x(t) is either real valued or n-vector valued and I is an interval, usually [0,∞). Notice that x(t) is a function x(t,ω)), ωϵΩ.