Continuous-time stochastic process

In probability theory and statistics, a continuous-time stochastic process, or a continuous-space-time stochastic process is a stochastic process for which the index variable takes a continuous set of values, as contrasted with a discrete-time process for which the index variable takes only distinct values. An alternative terminology uses continuous parameter as being more inclusive.

A more restricted class of processes are the continuous stochastic processes; here the term often (but not always ) implies both that the index variable is continuous and that sample paths of the process are continuous. Given the possible confusion, caution is needed.

Continuous-time stochastic processes that are constructed from discrete-time processes via a waiting time distribution are called continuous-time random walks.

Examples
An example of a continuous-time stochastic process for which sample paths are not continuous is a Poisson process. An example with continuous paths is the Ornstein–Uhlenbeck process.