TransformedProcess

TransformedProcess[expr,xproc,t]
represents the transformed process of expr where the variable x follows the random process proc and t denotes the time.

TransformedProcess[expr,{x1proc1,x2proc2,},t]
represents a transformed process where , , are independent and follow the processes , , .

Details and OptionsDetails and Options

  • TransformedProcess is typically used to represent functional transformations of one or a finite number of time slices.
  • can be entered as x EscdistEsc proc or .
  • The proceses must all be discrete-time or continuous-time processes.
  • The expression expr must be a function of for a finite number of different .
  • Assumptions on parameters can be specified using the option Assumptions->assum.
  • TransformedProcess can be used with such functions as Mean, PDF, Probability, and RandomFunction.

ExamplesExamplesopen allclose all

Basic Examples  (1)Basic Examples  (1)

Define a transformed Wiener process:

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Simulate the process:

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Mean and variance functions:

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Covariance function:

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Introduced in 2014
(10.0)
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