By Kardi Teknomo, PhD.

stochastic process

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This tutorial will introduce you to the several methods of stochastic process. I assume you have learned basic statistics and have some knowledge about probability distributions.


Stochastic Process

What is Stochastic Process?
Stochastic Process as a Simple Experiment

Random Walk

What is Random Walk?
Random Walk from Normal Distribution
Simulation of Random Walk in Microsoft Excel
How to forecast using Random Walk?
How to know the probability distribution of a random walk?
Wiener Process

Brownian Motion

What is Brownian motion?
What is Arithmetic Brownian Motion?
What is Geometric Brownian Motion?
Simulation of Brownian motion in Excel
Simulation of ABM in Excel
Simulation of GBM in Excel
Parameters Estimation in ABM
Parameters Estimation in GBM
Summary Brownian Motion
(Future contents)
Poisson Process
Markov Chain
Reliability Analysis
Resources on Stochastic Process

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These tutorial is copyrighted .

Preferable reference for this tutorial is

Teknomo, Kardi. (2019) Stochastic Process Tutorial .