I'm a beginner to the Probability theory. In the contents of my book, there are 'Martingale process', 'Levy process', 'Stochastic process' and so on. What is 'process'? I know about 'algorithm'. And I want to know about the relationship between 'Stochastic process' and 'Partial differential equations'. I'm just about to read the book. So please explain it slowly.
What is 'process' in probability
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probability
pde
stochastic-processes
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0These questions should be handled by any prob. theory book. I say don't worry about pde and stochastic processes (as this could be SDE or Feynmann-Kac relations) focus on understanding the more basic questions like what is a process and how it is described by the underlying probability densities etc. – 2017-02-28
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0A process, often used informally, is a collection of random variable...in practice, these variables often indicate the changes in some value in some time increment so the "process" describes the behavior in time of the value being studied. A simple example would be the running total of $\#Heads-\#Tails$ in a string of coin tosses. – 2017-02-28
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1I entirely concur with the sentiment expressed by @Chinny84 though....don't get hung up on that vocabulary at the early stages. Study the examples carefully. – 2017-02-28
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0@lulu Thanks for commenting! It's big help. I studied mathematics before for my undergraduate period. This time, I should self-study(not being taught) this probability theory. My question is to get any intuition about it. Moreover, I wanted to study 'Stochastic PDE' in haste but first and second chapter on my book is not about them but about martingale process which is not my interest(I guess it is necessary to know but... Yeah you know it is tiresome) – 2017-02-28
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0Thanks @lulu. At OP i remember trying to study this branch of mathematics and getting bogged down by some terse terminology but put the work into the basics and then the more complicated stuff follows. – 2017-02-28