Kolmogorov extension theorem

In mathematics, the Kolmogorov extension theorem (also known as Kolmogorov existence theorem or Kolmogorov consistency theorem) is a theorem that guarantees that a suitably "consistent" collection of finite-dimensional distributions will define a stochastic process. It is credited to the Russian mathematician Andrey Nikolaevich Kolmogorov.

Let denote some interval (thought of as "time"), and let . For each and finite sequence of distinct times , let be a probability measure on . Suppose that these measures satisfy two consistency conditions:

1. for all permutations of and measurable sets ,

2. for all measurable sets ,

Then there exists a probability space and a stochastic process such that

for all , and measurable sets , i.e. has as its finite-dimensional distributions relative to times .

This page was last edited on 6 April 2018, at 20:08 (UTC).
Reference: https://en.wikipedia.org/wiki/Kolmogorov_extension_theorem under CC BY-SA license.

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Warning: DOMDocument::loadHTML(): Tag annotation invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag math invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag semantics invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mrow invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mstyle invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag msub invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mi invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mrow invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag msub invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mi invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mrow invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mn invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mo invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag msub invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mi invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mrow invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mi invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag annotation invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag math invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag semantics invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mrow invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mstyle invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag msub invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mi invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mrow invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mn invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mo invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag msub invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mi invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mrow invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag mi invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

Warning: DOMDocument::loadHTML(): Tag annotation invalid in Entity, line: 1 in /home/ashver/webapps/infospaze/index.php on line 389

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