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vi Theory and Statistical Applications of Stochastic Processes

Chapter 2. Stochastic Processes with Independent

Increments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.1. Existence of processes with independent increments
in terms of incremental characteristic functions . . . . . . . . . . . . . . . . 21
2.2. Wiener process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
2.2.1. One-dimensional Wiener process . . . . . . . . . . . . . . . . . . . 24
2.2.2. Independent stochastic processes. Multidimensional
Wiener process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
2.3. Poisson process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
2.3.1. Poisson process defined via the existence theorem . . . . . . . . . . 27
2.3.2. Poisson process defined via the distributions
of the increments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
2.3.3. Poisson process as a renewal process . . . . . . . . . . . . . . . . . 30
2.4. Compound Poisson process . . . . . . . . . . . . . . . . . . . . . . . . . 33
2.5. Lévy processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
2.5.1. Wiener process with a drift . . . . . . . . . . . . . . . . . . . . . . . 36
2.5.2. Compound Poisson process as a Lévy process . . . . . . . . . . . . 36
2.5.3. Sum of a Wiener process with a drift and
a Poisson process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
2.5.4. Gamma process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
2.5.5. Stable Lévy motion . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
2.5.6. Stable Lévy subordinator with stability
parameter α ∈ (0, 1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38

Chapter 3. Gaussian Processes. Integration with Respect to

Gaussian Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
3.1. Gaussian vectors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
3.2. Theorem of Gaussian representation (theorem on
normal correlation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
3.3. Gaussian processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
3.4. Examples of Gaussian processes . . . . . . . . . . . . . . . . . . . . . . 46
3.4.1. Wiener process as an example of a Gaussian process . . . . . . . . 46
3.4.2. Fractional Brownian motion . . . . . . . . . . . . . . . . . . . . . . 48
3.4.3. Sub-fractional and bi-fractional Brownian motion . . . . . . . . . . 50
3.4.4. Brownian bridge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
3.4.5. Ornstein–Uhlenbeck process . . . . . . . . . . . . . . . . . . . . . . 51
3.5. Integration of non-random functions with respect
to Gaussian processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
3.5.1. General approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
3.5.2. Integration of non-random functions with respect
to the Wiener process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
3.5.3. Integration w.r.t. the fractional Brownian motion . . . . . . . . . . . 57
 Contents vii

3.6. Two-sided Wiener process and fractional Brownian

motion: Mandelbrot–van Ness representation of fractional
Brownian motion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
3.7. Representation of fractional Brownian motion as the
Wiener integral on the compact integral . . . . . . . . . . . . . . . . . . . . 63

Chapter 4. Construction, Properties and Some Functionals of the

Wiener Process and Fractional Brownian Motion . . . . . . . . . . . . 67
4.1. Construction of a Wiener process on the interval [0, 1] . . . . . . . . . 67
4.2. Construction of a Wiener process on R+ . . . . . . . . . . . . . . . . . 72
4.3. Nowhere differentiability of the trajectories of
a Wiener process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
4.4. Power variation of the Wiener process and of the
fractional Brownian motion . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
4.4.1. Ergodic theorem for power variations . . . . . . . . . . . . . . . . . 77
4.5. Self-similar stochastic processes . . . . . . . . . . . . . . . . . . . . . . 79
4.5.1. Definition of self-similarity and some examples . . . . . . . . . . . 79
4.5.2. Power variations of self-similar processes
on finite intervals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80

Chapter 5. Martingales and Related Processes . . . . . . . . . . . . . . 85

5.1. Notion of stochastic basis with filtration . . . . . . . . . . . . . . . . . 85
5.2. Notion of (sub-, super-) martingale: elementary
properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
5.3. Examples of (sub-, super-) martingales . . . . . . . . . . . . . . . . . . 87
5.4. Markov moments and stopping times . . . . . . . . . . . . . . . . . . . 90
5.5. Martingales and related processes with discrete time . . . . . . . . . . 96
5.5.1. Upcrossings of the interval and existence
of the limit of submartingale . . . . . . . . . . . . . . . . . . . . . . . . . . 96
5.5.2. Examples of martingales having a limit and of
uniformly and non-uniformly integrable martingales . . . . . . . . . . . . 102
5.5.3. Lévy convergence theorem . . . . . . . . . . . . . . . . . . . . . . . 104
5.5.4. Optional stopping . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105
5.5.5. Maximal inequalities for (sub-, super-)
martingales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
5.5.6. Doob decomposition for the integrable processes
with discrete time . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
5.5.7. Quadratic variation and quadratic characteristics:
Burkholder–Davis–Gundy inequalities . . . . . . . . . . . . . . . . . . . . 113
5.5.8. Change of probability measure and Girsanov
theorem for discrete-time processes . . . . . . . . . . . . . . . . . . . . . . 116
5.5.9. Strong law of large numbers for martingales
with discrete time . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120
viii Theory and Statistical Applications of Stochastic Processes

5.6. Lévy martingale stopped . . . . . . . . . . . . . . . . . . . . . . . . . . 126

5.7. Martingales with continuous time . . . . . . . . . . . . . . . . . . . . . 127

Chapter 6. Regularity of Trajectories of Stochastic

Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131
6.1. Continuity in probability and in L2 (Ω, F, P) . . . . . . . . . . . . . . . 131
6.2. Modification of stochastic processes: stochastically
equivalent and indistinguishable processes . . . . . . . . . . . . . . . . . . . 133
6.3. Separable stochastic processes: existence of
separable modification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
6.4. Conditions of D-regularity and absence of the
discontinuities of the second kind for stochastic processes . . . . . . . . . . 138
6.4.1. Skorokhod conditions of D-regularity in terms
of three-dimensional distributions . . . . . . . . . . . . . . . . . . . . . . . 138
6.4.2. Conditions of absence of the discontinuities
of the second kind formulated in terms of conditional
probabilities of large increments . . . . . . . . . . . . . . . . . . . . . . . 144
6.5. Conditions of continuity of trajectories of
stochastic processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148
6.5.1. Kolmogorov conditions of continuity in terms
of two-dimensional distributions . . . . . . . . . . . . . . . . . . . . . . . 148
6.5.2. Hölder continuity of stochastic processes:
a sufficient condition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 152
6.5.3. Conditions of continuity in terms of
conditional probabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154

Chapter 7. Markov and Diffusion Processes . . . . . . . . . . . . . . . . 157

7.1. Markov property . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157
7.2. Examples of Markov processes . . . . . . . . . . . . . . . . . . . . . . . 163
7.2.1. Discrete-time Markov chain . . . . . . . . . . . . . . . . . . . . . . 163
7.2.2. Continuous-time Markov chain . . . . . . . . . . . . . . . . . . . . 165
7.2.3. Process with independent increments . . . . . . . . . . . . . . . . . 168
7.3. Semigroup resolvent operator and generator related
to the homogeneous Markov process . . . . . . . . . . . . . . . . . . . . . . 168
7.3.1. Semigroup related to Markov process . . . . . . . . . . . . . . . . . 168
7.3.2. Resolvent operator and resolvent equation . . . . . . . . . . . . . . 169
7.3.3. Generator of a semigroup . . . . . . . . . . . . . . . . . . . . . . . . 171
7.4. Definition and basic properties of diffusion process . . . . . . . . . . . 175
7.5. Homogeneous diffusion process. Wiener process
as a diffusion process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 179
7.6. Kolmogorov equations for diffusions . . . . . . . . . . . . . . . . . . . 181
 Contents ix

Chapter 8. Stochastic Integration . . . . . . . . . . . . . . . . . . . . . . . 187

8.1. Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 187
8.2. Definition of Itô integral . . . . . . . . . . . . . . . . . . . . . . . . . . 189
8.2.1. Itô integral of Wiener process . . . . . . . . . . . . . . . . . . . . . 195
8.3. Continuity of Itô integral . . . . . . . . . . . . . . . . . . . . . . . . . . 197
8.4. Extended Itô integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . 199
8.5. Itô processes and Itô formula . . . . . . . . . . . . . . . . . . . . . . . . 203
8.6. Multivariate stochastic calculus . . . . . . . . . . . . . . . . . . . . . . 212
8.7. Maximal inequalities for Itô martingales . . . . . . . . . . . . . . . . . 215
8.7.1. Strong law of large numbers for Itô
local martingales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218
8.8. Lévy martingale characterization of Wiener process . . . . . . . . . . . 220
8.9. Girsanov theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 223
8.10. Itô representation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 228

Chapter 9. Stochastic Differential Equations . . . . . . . . . . . . . . . 233

9.1. Definition, solvability conditions, examples . . . . . . . . . . . . . . . 233
9.1.1. Existence and uniqueness of solution . . . . . . . . . . . . . . . . . 234
9.1.2. Some special stochastic differential equations . . . . . . . . . . . . 238
9.2. Properties of solutions to stochastic differential
equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 241
9.3. Continuous dependence of solutions on coefficients . . . . . . . . . . . 245
9.4. Weak solutions to stochastic differential equations . . . . . . . . . . . . 247
9.5. Solutions to SDEs as diffusion processes . . . . . . . . . . . . . . . . . 249
9.6. Viability, comparison and positivity of solutions to
stochastic differential equations . . . . . . . . . . . . . . . . . . . . . . . . . 252
9.6.1. Comparison theorem for one-dimensional projections of
stochastic differential equations . . . . . . . . . . . . . . . . . . . . . . . . 257
9.6.2. Non-negativity of solutions to stochastic
differential equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 258
9.7. Feynman–Kac formula . . . . . . . . . . . . . . . . . . . . . . . . . . . 258
9.8. Diffusion model of financial markets . . . . . . . . . . . . . . . . . . . 260
9.8.1. Admissible portfolios, arbitrage and equivalent
martingale measure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 263
9.8.2. Contingent claims, pricing and hedging . . . . . . . . . . . . . . . . 266

Part 2. Statistics of Stochastic Processes . . . . . . . . . . . . . . . . . 271

Chapter 10. Parameter Estimation . . . . . . . . . . . . . . . . . . . . . . 273

10.1. Drift and diffusion parameter estimation in the linear
regression model with discrete time . . . . . . . . . . . . . . . . . . . . . . . 273
10.1.1. Drift estimation in the linear regression model
with discrete time in the case when the initial value is known . . . . . . . 274
x Theory and Statistical Applications of Stochastic Processes

10.1.2. Drift estimation in the case when the initial value

is unknown . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 277
10.2. Estimation of the diffusion coefficient in a linear
regression model with discrete time . . . . . . . . . . . . . . . . . . . . . . . 277
10.3. Drift and diffusion parameter estimation in the linear
model with continuous time and the Wiener noise . . . . . . . . . . . . . . 278
10.3.1. Drift parameter estimation . . . . . . . . . . . . . . . . . . . . . . 279
10.3.2. Diffusion parameter estimation . . . . . . . . . . . . . . . . . . . 280
10.4. Parameter estimation in linear models with fractional
Brownian motion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 281
10.4.1. Estimation of Hurst index . . . . . . . . . . . . . . . . . . . . . . . 281
10.4.2. Estimation of the diffusion parameter . . . . . . . . . . . . . . . . 283
10.5. Drift parameter estimation . . . . . . . . . . . . . . . . . . . . . . . . . 284
10.6. Drift parameter estimation in the simplest
autoregressive model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 285
10.7. Drift parameters estimation in the homogeneous
diffusion model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 289

Chapter 11. Filtering Problem. Kalman-Bucy Filter . . . . . . . . . . . 293

11.1. General setting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 293
11.2. Auxiliary properties of the non-observable process . . . . . . . . . . . 294
11.3. What is an optimal filter . . . . . . . . . . . . . . . . . . . . . . . . . . 295
11.4. Representation of an optimal filter via an integral
equation with respect to an observable process . . . . . . . . . . . . . . . . 296
11.5. Integral Wiener-Hopf equation . . . . . . . . . . . . . . . . . . . . . . 299

Appendices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 311

Appendix 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 313

Appendix 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 329

Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 363

Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 369
 Preface

This book is concerned with both mathematical theory of stochastic processes and
some theoretical aspects of statistics for stochastic processes. Our general idea was to
combine classic topics of the theory of stochastic processes – measure-theoretic
issues of existence, processes with independent increments, Gaussian processes,
martingales, continuity and related properties of trajectories and Markov properties –
with contemporary subjects – stochastic analysis, stochastic differential equations,
fractional Brownian motion and parameter estimation in diffusion models. A more
detailed exposition of the contents of the book is given in the Introduction.

We aimed to make the presentation of material as self-contained as possible. With

this in mind, we have included several complete proofs, which are often either
omitted from textbooks on stochastic processes or replaced by some informal or
heuristic arguments. For this reason, we have also included some auxiliary materials,
mainly related to different subjects of real analysis and probability theory, in the
comprehensive appendix. However, we could not cover the full scope of the topic, so
a substantial background in calculus, measure theory and probability theory is
required.

The book is based on lecture courses, Theory of stochastic processes, Statistics of

stochastic processes, Stochastic analysis, Stochastic differential equations, Theory of
Markov processes, Generalized processes of fractional Brownian motion and
Diffusion processes, taught regularly in the Mechanics and Mathematics Faculty of
Taras Shevchenko National University of Kyiv and Stochastic differential equations
lecture courses taught at the University of Verona in Spring 2016; Fractional
Brownian motion and related processes: stochastic calculus, statistical applications
and modeling taught in School in Bedlewo in March 2015; Fractional Brownian
motion and related processes taught at Ulm University in June 2015; and a
Fractional Brownian motion in a nutshell mini-course given at the 7th Jagna
International Conference in 2014.
xii Theory and Statistical Applications of Stochastic Processes

The book is targeted at the widest audience: students of mathematical and related
programs, postgraduate students, postdoctoral researchers, lecturers, researchers,
practitioners in the fields concerned with the application of stochastic processes, etc.
The book would be most useful when accompanied by a problem in stochastic
processes; we recommend [GUS 10] as it matches our topics best.

We would like to express our gratitude to everyone who made the creation of this
book possible. In particular, we would like to thank Łukasz Stettner, Professor at the
Department of Probability Theory and Mathematics of Finance, Institute of
Mathematics, Polish Academy of Sciences; Luca Di Persio, Assistant Professor at the
Department of Computer Science at the University of Verona; Evgeny Spodarev,
Professor and Director of the Institute of Stochastics at Ulm University, for their
hospitality while hosting Yuliya Mishura during lecture courses. We would also like
to thank Alexander Kukush, Professor at the Department of Mathematical Analysis
of Taras Shevchenko National University of Kyiv, for proofreading the statistical part
of the manuscript, and Evgeniya Munchak, PhD student at the Department of
Probability, Statistics, and Actuarial Mathematics of Taras Shevchenko National
University of Kyiv, for her help in typesetting the manuscript.

Yuliya M ISHURA
Georgiy S HEVCHENKO
September 2017
 Introduction

In the world that surrounds us, a lot of events have a random (nondeterministic)
structure. At molecular and subatomic levels, all natural phenomena are random.
Movement of particles in the surrounding environment is accidental. Numerical
characteristics of cosmic radiation and the results of monitoring the effect of ionizing
radiation are random. The majority of economic factors surrounding asset prices on
financial markets vary randomly. Despite efforts to mitigate risk and randomness,
they cannot be completely eliminated. Moreover, in complex systems, it is often
easier to reach an equilibrium state when they are not too tightly controlled.
Summing-up, chance manifests itself in almost everything that surrounds us, and
these manifestations vary over time. Anyone can simulate time-varying randomness
by tossing a coin or rolling a dice repeatedly and recording the results of successive
experiments. (If a physical random number is unavailable, one of the numerous
computer algorithms to generate random numbers can be used.) In view of this
ubiquity of randomness, the theory of probability and stochastic processes has a long
history, despite the fact that the rigorous mathematical notion of probability was
introduced less than a century ago. Let us speak more on this history.

People have perceived randomness since ancient times, for example, gambling
already existed in ancient Egypt before 3000 BC. It is difficult to tell exactly when
systematic attempts to understand randomness began. Probably, the most notable
were those made by the prominent ancient Greek philosopher Epicurus (341–270
BC). Although his views were heavily influenced by Democritus, he attacked
Democritus’ materialism, which was fully deterministic. Epicurus insisted that all
atoms experience some random perturbations in their dynamics. Although modern
physics confirms these ideas, Epicurus himself attributed the randomness to the free
will of atoms. The phenomenon of random detours of atoms was called clinamen
(cognate to inclination) by the Roman poet Lucretius, who had brilliantly exposed
Epicurus’ philosophy in his poem On the Nature of Things.
xiv Theory and Statistical Applications of Stochastic Processes

Moving closer to present times, let us speak of the times where there was no
theory of stochastic processes, physics was already a well-developed subject, but
there wasn’t any equipment suitable to study objects in sufficiently small microscopic
detail. In 1825, botanist Robert Brown first observed a phenomenon, later called
Brownian motion, which consisted of a chaotic movement of a pollen particle in a
vessel. He could not come up with a model of this system, so just stated that the
behavior is random.

A suitable model for the phenomenon arose only several decades later, in a very
different problem, concerned with the pricing of financial assets traded on a stock
exchange. A French mathematician Louis Bachelier (1870–1946), who aimed to find
a mathematical description of stochastic fluctuations of stock prices, provided a
mathematical model in his thesis “Théorie de la spéculation” [BAC 95], which was
defended at the University of Paris in 1900. The model is, in modern terms, a
stochastic process, which is characterized by the fact that its increments in time, in a
certain statistical sense, are proportional to the square root of the time change; this
“square root” phenomenon had also be observed earlier in physics; Bachelier was the
first to provide a model for it. Loosely speaking, according to Bachelier, the asset
price St at time t is modeled by
√
St = at + b tξ,

where a, b are constant coefficients, and ξ is a random variable having Gaussian

distribution.

The work of Bachelier was undervalued, probably due to the fact that applied
mathematics was virtually absent at the time, as well as concise probability theory.
Bachelier spent his further life teaching in different universities in France and never
returned to the topic of his thesis. It was only brought to the spotlight 50 years after
its publication, after the death of Bachelier. Now, Bachelier is considered a precursor
of mathematical finance, and the principal organization in this subject bears his name:
Bachelier Finance Society.

Other works which furthered understanding towards Brownian motion were made
by prominent physicists, Albert Einstein (1879–1955) and Marian Smoluchowski
(1872–1917). Their articles [EIN 05] and [VON 06] explained the phenomenon of
Brownian motion by thermal motion of atoms and molecules. According to this
theory, the molecules of a gas are constantly moving with different speeds in
different directions. If we put a particle, say of pollen which has a small surface area,
inside the gas, then the forces from impacts with different molecules do not
compensate each other. As a result, this Brownian particle will experience a chaotic
movement with velocity and direction changing approximately 1014 times per
second. This gave a physical explanation to the phenomenon observed by the
botanist. It also turned out that a kinetic theory of thermal motion required a
 Introduction xv

stochastic process Bt . Einstein and Smoluchowski not only described this stochastic
process, but also found its important probabilistic characteristics.

Only a quarter of a century later, in 1931, Andrey Kolmogorov (1903–1987) laid

the groundwork for probability theory in his pioneering works About the Analytical
Methods of Probability Theory and Foundations of the Theory of Probability [KOL 31,
KOL 77]. This allowed his fellow researcher Aleksandr Khinchin (1894–1859) to give
a definition of stochastic process in his article [KHI 34].

There is an anecdote related to the role of Khinchin in defining a stochastic

process and the origins of the “stochastic” as a synonym for randomness (the original
Greek word means “guessing” and “predicting”). They say that when Khinchin
defined the term “random process”, it did not go well with the Soviet authorities. The
reason is that the notion of random process used by Khinchin contradicted dialectical
materialism (diamat). In diamat, similarly to Democritus’ materialism, all processes
in nature are characterized by totally deterministic development, transformation, etc.,
so the phrase “random process” itself sounded paradoxical. As a result, to avoid dire
consequences (we recall that 1934 was the apogee of Stalin’s Great Terror), Khinchin
had to change the name. After some research, he came up with the term “stochastic”,
from στ oχαστ ική τ έχνη, the Greek title of Ars Conjectandi, a celebrated book by
Jacob Bernoulli (1655–1705) published in 1713, which contains many classic results.
Being popularized later by William Feller [FEL 49] and Joseph Doob [DOO 53], this
became a standard notion in English and German literature. Perhaps paradoxically, in
Russian literature, the term “stochastic processes” did not live for long. The 1956
Russian translation of Doob’s monograph [DOO 53] of this name was entitled
Probabilistic processes, and now the standard name is random process.

An alternative explanation, given, for example, in [DEL 17], attributes the term
“stochastic” to Ladislaus Władysław Bortkiewicz (1868–1931), Russian economist
and statistician, who in his paper, Die Iterationen [BOR 17], defined the term
“stochastic” as “the investigation of empirical varieties, which is based on probability
theory, and, therefore, on the law of large numbers. But stochastic is not simply
probability theory, but above all probability theory and applications”. This meaning
correlates with the one given in Ars Conjectandi by Jacob Bernoulli, so the true
origin of the term probably is somewhere between these two stories. It is also worth
mentioning that Bortkiewicz is known for proving the Poisson approximation
theorem about the convergence of binomial distributions with small parameters to the
Poisson distribution, which he called the law of small numbers.

This historical discussion would be incomplete without mentioning Paul Lévy

(1886–1971), a French mathematician who made many important contributions to
the theory of stochastic processes. Many objects and theorems now bear his name:
Lévy processes, Lévy-Khinchin representation, Lévy representation, etc. Among
xvi Theory and Statistical Applications of Stochastic Processes

other things, he wrote the first extensive monograph on the (mathematical model of)
Brownian motion [LÉV 65].

Further important progress in probability theory is related to Norbert Wiener

(1894–1964). He was a jack of all trades: a philosopher, a journalist, but the most
important legacy that he left was as a mathematician. In mathematics, his interest was
very broad, from number theory and real analysis, to probability theory and statistics.
Besides many other important contributions, he defined an integral (of a deterministic
function) with respect to the mathematical model of Brownian motion, which now
bears his name: a Wiener process (and the corresponding integral is called a Wiener
integral).

The ideas of Wiener were developed by Kiyoshi Itô (1915–2008), who introduced
an integral of random functions with respect to the Wiener process in [ITÔ 44]. This
lead to the emergence of a broad field of stochastic analysis, a probabilistic
counterpart to real integro-differential calculus. In particular, he defined stochastic
differential equations (the name is self-explanatory), which allowed us to study
diffusion processes, which are natural generalizations of the Wiener process. As with
Lévy, many objects in stochastic analysis are named after Itô: Itô integral, Itô
process, Itô representation, Wiener-Itô decomposition, etc.

An important contribution to the theory of stochastic processes and stochastic

differential equations was made by Ukrainian mathematicians Iosif Gihman
(1918–1985) and more notably by Anatoliy Skorokhod (1930–2011). Their books
[GIH 72, GIK 04a, GIK 04b, GIK 07] are now classical monographs. There are many
things in stochastic analysis named after Skorokhod: Skorokhod integral, Skorokhod
space, Skorokhod representation, etc.

Our book, of course, is not the first book on stochastic processes. They are
described in many other texts, from some of which we have borrowed many ideas
presented here, and we are grateful to their authors for the texts. It is impossible to
mention every single book here, so we cite only few texts of our selection. We
apologize to the authors of many other wonderful texts which we are not able to cite
here.

The extensive treatment of probability theory with all necessary context is

available in the books of P. Billingsley [BIL 95], K.-L. Chung [CHU 79],
O. Kallenberg [KAL 02], L. Koralov and Y. Sinai [KOR 07], M. Loève
[LOÈ 77, LOÈ 78], D. Williams [WIL 91]. It is also worth mentioning the classic
monograph of P. Billingsley [BIL 99] concerned with different kinds of convergence
concepts in probability theory.

For books which describe the theory of stochastic processes in general, we

recommend that the reader looks at the monograph by J. Doob [DOO 53], the
extensive three-volume monograph by I. Gikhman and A. Skorokhod
 Introduction xvii

[GIK 04a, GIK 04b, GIK 07], the textbooks of Z. Brzezniak and T. Zastawniak
[BRZ 99], K.-L. Chung [CHU 79], G. Lawler [LAW 06], S. Resnick [RES 92],
S. Ross [ROS 96], R. Schilling and L. Partzsch [SCH 14], A. Skorokhod [SKO 65],
J. Zabczyk [ZAB 04]. It is also worth mentioning the book by A. Bulinskiy and
A. Shiryaev [BUL 05], from which we borrowed many ideas; unfortunately, it is only
available in Russian. Martingale theory is well presented in the books of R. Liptser
and A. Shiryaev [LIP 89], J. Jacod and A. Shiryaev [JAC 03], L. Rogers and
D. Williams [ROG 00a], and the classic monograph of D. Revuz and M. Yor
[REV 99]. There are many excellent texts related to different aspects of Lévy
processes, including the books of D. Applebaum [APP 09], K. Sato [SAT 13],
W. Schoutens [SCH 03], and the collection [BAR 01].

Stochastic analysis now stands as an independent subject, so there are many

books covering different aspects of it. The books of K.-L. Chung and D. Williams
[CHU 90], I. Karatzas and S. Shreve [KAR 91], H. McKean [MCK 69], J.-F. Le Gall
[LEG 16], L. Rogers and D. Williams [ROG 00b] cover stochastic analysis in
general, and the monograph of P. Protter [PRO 04] goes much deeper into integration
issues. Stochastic differential equations and diffusion processes are the subject of the
best-selling textbook of B. Øksendal [ØKS 03], and the monographs of N. Ikeda and
S. Watanabe [IKE 89], K. Itô and H. McKean [ITÔ 74], A. Skorokhod [SKO 65], and
D. Strook and S. Varadhan [STR 06]. The ultimate guide to Malliavin calculus is
given by D. Nualart [NUA 06]. Concerning financial applications, stochastic analysis
is presented in the books of T. Björk [BJÖ 04], M. Jeanblanc, M. Yor, and
M. Chesney [JEA 09], A. Shiryaev [SHI 99], and S. Shreve [SHR 04].

Different aspects of statistical methods for stochastic processes are covered by the
books of P. Brockwell and R. Davis [BRO 06], C. Heyde [HEY 97], Y. Kutoyants
[KUT 04], G. Seber and A. Lee [SEB 03].

Finally, fractional Brownian motion, one of the main research interests of the
authors of this book, is covered by the books of F. Biagini et al. [BIA 08], Y. Mishura
[MIS 08], I. Nourdin [NOU 12], D. Nualart [NUA 06], and by lecture notes of
G. Shevchenko [SHE 15].

Our book consists of two parts: the first is concerned with the theory of stochastic
processes and the second with statistical aspects.

In the first chapter, we define the main subjects: stochastic process, trajectory and
finite-dimensional distributions. We discuss the fundamental issues: existence and
construction of a stochastic process, measurability and other essential properties, and
sigma-algebras generated by stochastic processes.

The second chapter is devoted to stochastic processes with independent

increments. A definition is given and simple criteria which provide the existence are
xviii Theory and Statistical Applications of Stochastic Processes

discussed. We also provide numerous important examples of processes with

independent increments, including Lévy processes, and study their properties.

The third chapter is concerned with a subclass of stochastic processes, arguably

the most important for applications: Gaussian processes. First, we discuss Gaussian
random variables and vectors, and then we give a definition of Gaussian processes.
Furthermore, we give several important examples of Gaussian processes and discuss
their properties. Then, we discuss integration with respect to Gaussian processes and
related topics. Particular attention is given to fractional Brownian motion and Wiener
processes, with discussion of several integral representations of fractional Brownian
motion.

The fourth chapter focuses on some delicate properties of two Gaussian

processes, which are of particular interest for applications: the Wiener process and
fractional Brownian motion. In particular, an explicit construction of the Wiener
process is provided and nowhere differentiability of its trajectories is shown. Having
in mind the question of parameter estimation for stochastic processes, we also
discuss the asymptotic behavior of power variations for the Wiener process and
fractional Brownian motion in this chapter.

In the fifth chapter, we attempted to cover the main topics in the martingale
theory. The main focus is on the discrete time case; however, we also give several
results for stochastic processes. In particular, we discuss the notions of stochastic
basis with filtration and stopping times, limit behavior of martingales, optional
stopping theorem, Doob decomposition, quadratic variations, maximal inequalities
by Doob and Burkholder-Davis-Gundy, and the strong law of large numbers.

The sixth chapter is devoted to properties of trajectories of a stochastic process.

We introduce different notions of continuity as well as important concepts of
separability, indistinguishability and stochastic equivalence, and establish several
sufficient conditions for continuity of trajectories and for absence of discontinuities
of the second kind. To the best of our knowledge, this is the first time that the
different aspects of regularity and continuity are comprehensively discussed and
compared.

The seventh chapter discusses Markov processes. The definition, together with
several important examples, is followed by analytical theory of Markov semigroups.
The chapter is concluded by the investigation of diffusion processes, which serves as
a bridge to stochastic analysis discussed in the following chapters. We provide a
definition and establish important criteria and characterization of diffusion processes.
We pay particular attention to the forward and backward Kolmogorov equations,
which are of great importance for applications.

In the eighth chapter, we give the classical introduction to stochastic integration

theory, which includes the definition and properties of Itô integral, Itô formula,
 Introduction xix

multivariate stochastic calculus, maximal inequalities for stochastic integrals,

Girsanov theorem and Itô representation.

The ninth chapter, which closes the theoretical part of the book, is concerned with
stochastic differential equations. We give a definition of stochastic differential
equations and establish the existence and uniqueness of its solution. Several
properties of the solution are established, including integrability, continuous
dependence of the solution on the initial data and on the coefficients of the equation.
Furthermore, we prove that solutions to stochastic differential equations are diffusion
processes and provide a link to partial differential equations, the Feynman-Kac
formula. Finally, we discuss the diffusion model of a financial market, giving notions
of arbitrage, equivalent martingale measure, pricing and hedging of contingent
claims.

The tenth chapter opens the second part of the book, which is devoted to statistical
aspects. It studies the estimation of parameters of stochastic processes in different
scenarios: in a linear regression model with discrete time, in a continuous time linear
model driven by Wiener process, in models with fractional Brownian motions, in a
linear autoregressive model and in homogeneous diffusion models.

In the eleventh chapter, the classic problem of optimal filtering is studied. A

statistical setting is described, then a representation of optimal filter is given as an
integral with respect to an observable process. Finally, the integral Wiener-Hopf
equation is derived, a linear stochastic differential equation for the optimal filter is
derived, and the error of the optimal filter is identified in terms of solution of the
Riccati equation. In the case of constant coefficients, the explicit solutions of these
equations are found.

Auxiliary results, which are referred to in the book, are collected in Appendices
1 and 2. In Appendix 1, we give essential facts from calculus, measure theory and
theory of operators. Appendix 2 contains important facts from probability theory.
 PART 1

Theory of Stochastic Processes

Theory and Statistical Applications of Stochastic Processes,

First Edition. Yuliya Mishura and Georgiy Shevchenko.
© ISTE Ltd 2017. Published by ISTE Ltd and John Wiley & Sons, Inc.
 1

Stochastic Processes. General

Properties. Trajectories,
Finite-dimensional Distributions

1.1. Definition of a stochastic process

Let (Ω, F, P) be a probability space. Here, Ω is a sample space, i.e. a collection of

all possible outcomes or results of the experiment, and F is a σ-field; in other words,
(Ω, F) is a measurable space, and P is a probability measure on F. Let (S, Σ) be
another measurable space with σ-field Σ, and let us consider the functions defined
on the space (Ω, F) and taking their values in (S, Σ). Recall the notion of random
variable.

D EFINITION 1.1.– A random variable on the probability space (Ω, F) with the values
ξ
in the measurable space (S, Σ) is a measurable map Ω → S, i.e. a map for which the
following condition holds: the pre-image ξ −1 (B) of any set B ∈ Σ belongs to F.
Equivalent forms of this definition are: for any B ∈ Σ, we have that

ξ −1 (B) ∈ F,

or, for any B ∈ Σ, we have that

{ω : ξ(ω) ∈ B} ∈ F.

Consider examples of random variables.

1) The number shown by rolling a fair die. Here,

Ω = {ω1 , ω2 , ω3 , ω4 , ω5 , ω6 }, F = 2Ω , S = 1, 2, 3, 4, 5, 6, Σ = 2S .

Theory and Statistical Applications of Stochastic Processes,

First Edition. Yuliya Mishura and Georgiy Shevchenko.
© ISTE Ltd 2017. Published by ISTE Ltd and John Wiley & Sons, Inc.
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*** START OF THE PROJECT GUTENBERG EBOOK A MILITARY

DICTIONARY AND GAZETTEER ***
 Please see the Transcriber’s Notes at the end of
this text.

MILITARY DICTIONARY
AND

G A Z ET T EER .
COMPRISING

ANCIENT AND MODERN MILITARY TECHNICAL TERMS, HISTORICAL

ACCOUNTS
OF ALL NORTH AMERICAN INDIANS, AS WELL AS ANCIENT WARLIKE
TRIBES; ALSO NOTICES OF BATTLES FROM THE EARLIEST PERIOD
TO THE PRESENT TIME, WITH A CONCISE EXPLANATION OF
TERMS USED IN HERALDRY AND THE OFFICES THEREOF.
THE WORK ALSO GIVES VALUABLE GEOGRAPHICAL INFORMATION.

COMPILED FROM THE BEST AUTHORITIES OF ALL NATIONS.

WITH AN APPENDIX CONTAINING THE ARTICLES OF WAR, Etc.

BY

T H O M A S W I L H E L M,
CAPTAIN EIGHTH INFANTRY.

REVISED EDITION.

PHILADELPHIA:
L. R. HAMERSLY & CO.
1881.

Entered, according to Act of Congress, in the year 1880,

by
T H O M A S W I L H E L M, U.S.A.,

In the office of the Librarian of Congress at Washington.

 TO

BREVET MAJOR-GENERAL AUGUST V. KAUTZ,

COLONEL EIGHTH REGIMENT OF INFANTRY, U.S.A.,

BY WHOSE SUGGESTIONS, ENCOURAGEMENT, AND AID THE WORK WAS

UNDERTAKEN, PERSEVERED IN, AND COMPLETED,

THIS COMPILATION
IS, WITH RESPECT AND GRATITUDE, DEDICATED
BY HIS OBEDIENT SERVANT,
THE COMPILER.
 PREFACE TO THE FIRST EDITION.

It is with no small degree of relief that the compiler of this work

now turns from a self-imposed task, involving some years of the
closest application, to write a brief preface, not as a necessity, but in
justice to the work and the numerous friends who have taken the
warmest interest in its progress and final completion.
It is inevitable that in the vast amount of patient and persistent
labor in a work of this kind, extending to 1386 pages, and containing
17,257 distinct articles, there should be a few errors, oversights, and
inconsistencies, notwithstanding all the vigilance to the contrary.
Condensation has been accomplished where it was possible to do
so, and repetition avoided to a great extent by reference, where
further information was contained in other articles of this book.
The contributions to the Regimental Library, which afforded the
opportunity for this compilation, of standard foreign works, were of
infinite value, and many thanks are tendered for them.
To G. & C. Merriam, Publishers, for the use of Webster’s
Unabridged Dictionary; J. B. Lippincott & Co., Publishers, Philadelphia;
D. Van Nostrand, Publisher, New York; Maj. William A. Marye,
Ordnance Department, U.S.A.; Maj. W. S. Worth, Eighth Infantry,
U.S.A.; Maj. D. T. Wells, Eighth Infantry, U.S.A.; Lieut. F. A. Whitney,
Adjutant Eighth Infantry, U.S.A.; Lieut. C. A. L. Totten, Fourth
Artillery, U.S.A.; Lieut. C. M. Baily, Quartermaster Eighth Infantry,
U.S.A.; and Lieut. G. P. Scriven, Third Artillery, U.S.A., the compiler is
indebted for courteous assistance in the preparation of this volume.

October, 1879.
 PREFACE TO THE REVISED
EDITION.

In submitting this volume to the public it is deemed proper to say

that the design of the work is to bring together into one series, and
in as compact a form as possible for ready reference, such
information as the student of the science and art of war, persons
interested in the local or reserve forces, libraries, as well as the
editors of the daily press, should possess. In short, it is believed that
the work will be useful to individuals of all ranks and conditions.
The compiler has labored under some disadvantages in obtaining
the necessary information for this volume, and much is due to the
encouragement and assistance received from accomplished and
eminent officers, through which he was enabled to undertake the
revision of the first issue of this work with greater assurance; and
among the officers referred to, Lieut. William R. Quinan, of the Fourth
Artillery, U.S.A., deserves especially to be mentioned. It may not be
out of place here to state that the compiler takes no credit to himself
beyond the labor contributed in the several years of research, and
bringing forward to date the matter requiring it, with such changes
as the advance of time and improvements demand.
As it was thought best to make this work purely military, all naval
references which appeared in the first edition have been eliminated.

May, 1881.
 AUTHORITIES CONSULTED IN THE
COMPILATION OF THIS WORK.

ENGLISH AND AMERICAN WORKS.

A Handy Dictionary of Military Terms—Knollys.
Aide Memoire to the Military Sciences—Originally edited by a
Committee of the Royal Engineers in England (Revised and
Enlarged).
Analytical Digest of the Military Laws of the United States—Scott.
A Treatise on the Law of Evidence—Greenleaf.
Beeton’s Dictionary of Universal Biography.
Beeton’s Dictionary of Universal Geography.
Chambers’s Encyclopædia.
Customs of Service for Non-Commissioned Officers and Soldiers of the
Army—Kautz.
Customs of Service for Officers of the Army—Kautz.
Classical Dictionary—Smith.
Digest of Opinions of the Judge-Advocate-General—Winthrop.
Dictionary of the United States Army—Gardner.
Dictionary of Greek and Roman Antiquities—Smith.
Dictionary of Greek and Roman Biography and Mythology—Smith.
Dictionary of Greek and Roman Geography—Smith.
Dictionary of Arts, Manufactures, and Mines—Ure.
Dictionary of Every Days Difficulties—Shilton.
Dictionary of Science, Literature, and Art—Brande.
Elements of the Art and Science of War—Wheeler.
Elements of Military Arts and Sciences—Halleck.
Encyclopædia Britannica.
French and English Pronouncing Dictionary—Spiers and Surenne.
Field Exercise (English), 1870.
Field-Book of the Revolution—Lossing.
Hand-Book of Artillery—Roberts.
Haydn’s Dictionary of Dates—Payne.
Haydn’s Dictionary of Science—Payne.
Haydn’s Dictionary of the Bible—Payne.
History of the United States—Bancroft.
History of the War in the Peninsula and in the South of France—Napier.
History of England—Knight.
History of the Rebellion—Tenney.
Infantry, Cavalry, and Artillery Tactics, U.S.A.
Instructions for Field Artillery.
Jomini’s Art of War—Translated from the French by Captains Mendell
and Craighill, U.S.A.
Jomini’s Treatise on Grand Military Operations, or a Critical and Military
History of the Wars of Frederick the Great—Translated by
Colonel S. B. Holabird, U.S.A.
Johnson’s New Universal Encyclopædia.
Judge-Advocate and Recorder’s Guide—Regan.
Law Dictionary—Bouvier.
Lippincott’s Pronouncing Gazetteer of the World—Thomas.
Manual for Engineer Troops—Duane.
Maxims of War—Napoleon.
Military Bridges—Haupt.
Military Catechism and Hand-Book—Walshe.
Military Dictionary—Duane.
Military Dictionary—Scott.
Military Engineering—Mahan.
Military Law and Court-Martial—Benet.
Military Miscellany—Marshall.
Military Schools and Courses of Instruction in the Science and Art of War
—Barnard.
Native Races of the Pacific Slope—Bancroft.
Naval and Military Technical Dictionary of the French Language—Burns.
Ordnance and Gunnery—Benton.
Pictorial Field-Book of the War of 1812—Lossing.
Practical Treatise on Attack and Defense—Jebb.
Queen’s Regulations and Orders for the Army (British).
Report of Commissioners of Indian Affairs, 1870.
Report of the Chief of Ordnance, 1878.
Shifts and Expedients of Camp-Life—Lord and Baines.
The Armies of Europe—McClellan.
The Last Century of Universal History, 1767-1867—Fiwald.
The Military Laws of the United States—Callan.
The Soldier’s Pocket-Book for Field-Service—Major-General Sir G.
Wolseley.
United States Army Regulations.
United States Bridge Equipage—Prepared by a Board of Engineer
Officers—Lieutenant W. R. Quinan, 4th U. S. Artillery.
United States Revised Statutes.
Webster’s Dictionary—G. & C. Merriam.

GERMAN WORKS.
Dienst-Vorschriften der Königlich Preussischen Armee—Karl von Helldorff.
Die Lehre vom neueren Festungskrieg—W. Rüstow.
Grundzüge der Taktik der drei Waffen, Infanterie, Kavallerie, und
Artillerie—Dr. H. v. Brandt.
Heerwesen und Infanteriedienst der Königlich Preussischen Armee—A. v.
Witzleben.
Kriegsfeuerwerkerei zum Gebrauch für die Königlich Preussischen Artillerie
—A. Bath.
Kriegswörterbuch—Carl Ad. Loehr.
Militair Conversations-Lexikon—Hans Eggert Willibald von der Lühe.

FRENCH WORKS.
Encyclopédie Militaire et Maritime.
Géographie Phisique, Historique et Militaire—Théophile Lava.
Législation et Administration Militaires—M. Léon Guillot.
Sur la Formation des Troupes pour le Combat—Jomini.
 IMPORTANT MAXIMS.

Misfortune will certainly fall upon the land where the wealth of the
tax-gatherer or the greedy gambler in stocks stands, in public
estimation, above the uniform of the brave man who sacrifices his
life, health, or fortune in the defense of his country.
Officers should feel a conviction that resignation, bravery, and
faithful attention to duty are virtues without which no glory is
possible, no army is respectable, and that firmness amid reverses is
more honorable than enthusiasm in success.
It is not well to create a too great contempt for the enemy, lest
the morale of the soldier should be shaken if he encounter an
obstinate resistance.
It would seem to be easy to convince brave men that death comes
more surely to those who fly in disorder than to those who remain
together and present a firm front to the enemy, or who rally
promptly when their lines have been for the instant broken.
Courage should be recompensed and honored, the different
grades in rank respected, and discipline should exist in the
sentiments and convictions rather than in external forms only.—
Jomini.
An army without discipline is but a mob in uniform, more
dangerous to itself than to its enemy. Should any one from ignorance
not perceive the immense advantages that arise from a good
discipline, it will be sufficient to observe the alterations that have
happened in Europe since the year 1700.—Saxe.
If the first duty of a state is its own security, the second is the
security of neighboring states whose existence is necessary for its
own preservation.—Jomini’s “Life of Napoleon.”
 A good general, a well-organized system, good instruction, and
severe discipline, aided by effective establishments, will always make
good troops, independently of the cause for which they fight. At the
same time, a love of country, a spirit of enthusiasm, a sense of
national honor, will operate upon young soldiers with advantage.
The officer who obeys, whatever may be the nature or extent of
his command, will always stand excused executing implicitly the
orders which have been given to him.
Every means should be taken to attach the soldier to his colors.
This is best accomplished by showing consideration and respect to
the old soldier.
The first qualification of a soldier is fortitude under fatigue and
privation. Courage is only the second; hardship, poverty, and want
are the best schools for a soldier.
Troops, whether halted, or encamped, or on the march, should be
always in favorable position, possessing the essentials required for a
field of battle.
Some men are so physically and morally constituted as to see
everything through a highly-colored medium. They raise up a picture
in the mind on every slight occasion, and give to every trivial
occurrence a dramatic interest. But whatever knowledge, or talent,
or courage, or other good qualities such men may possess, nature
has not formed them for the command of armies or the direction of
great military operations.—Napoleon’s “Maxims of War.”

M I L I T A R Y D I C T I O N A R Y.
 A.

Aachen. See Aix-la-Chapelle.

Aar. A river in Switzerland, flows into the Rhine opposite and near
Waldshut, in Aargau. Prince Charles, while crossing the river, August
17, 1799, was repulsed by the French generals Ney and Heudelet.
Aarau. A city in Switzerland. Peace was here declared, July 18,
1712, ending the war between the cantons Zurich and Berne on one
side, and Luzerne, Uri, Schuyz, Unterwalden, and Zug on the other.
Abad (Abadides). A line of Moorish kings who reigned in Seville
from 1026 to 1090.
Abaisse. In heraldry, when the fesse or any other armorial figure
is depressed, or situated below the centre of the shield, it is said to
be abaisse (“lowered”).
Abandon. In a military sense, used in the relinquishment of a
military post, district, or station, or the breaking up of a military
establishment. To abandon any fort, post, guard, arms, ammunition,
or colors without good cause is punishable.
Abase, To. An old word signifying to lower a flag. Abaisser is in
use in the French marine, and both may be derived from the still
older abeigh, to cast down, to humble.
Abatement. In heraldry, is a mark placed over a portion of the
paternal coat of arms, indicating some base or ungentlemanly act on
the part of the bearer.
Abatis, or Abattis. A means of defense formed by cutting off the
smaller branches of trees felled in the direction from which the
enemy may be expected. The ends of the larger branches are
sharpened and the butts of the limbs or trees fastened by crochet
picket, or by imbedding in the earth, so that they cannot be easily
removed. Abatis is generally used in parts of a ditch or intrenchment
to delay the enemy under fire.
Abblast. See Arbalest.
Abblaster. See Arbalist.
Abdivtes. A piratical people descended from the Saracens, who
lived south of Mount Ida (Psilorati), in the island of Crete (Candia),
where they established themselves in 825.
Abduction (Fr.). Diminution; diminishing the front of a line or
column by breaking off a division, subdivision, or files, in order to
avoid some obstacle.
Abencerrages. A Moorish tribe which occupied the kingdom of
Granada. Granada was disturbed by incessant quarrels between this
tribe and the Zegris from 1480 to 1492. They were finally
extinguished by Abou-Abdoullah, or Boabdil, the last Moorish king of
Granada, and the same who was dethroned by Ferdinand and
Isabella in 1492.
Abensburg. A small town of Bavaria, on the Abens, 18 miles
southwest of Ratisbon. Here Napoleon defeated the Austrians, April
20, 1809.
Aberconway, or Conway. A maritime city of the Gauls in
England, fortified by William the Conqueror, and taken by Cromwell
in 1645.
Abet. In a military sense it is a grave crime to aid or abet in
mutiny or sedition, or excite resistance against lawful orders.
Abgersate. Fortress of the Osrhoene, in Mesopotamia. The
Persians took it by assault in the year 534.
Abii. A Scythian tribe which inhabited the shores of the Jaxartes,
to the northeast of Sogdiana. They were vanquished by Alexander
the Great.
Abipones. A tribe of Indians living in the Argentine Confederation,
who were formerly numerous and powerful, but are now reduced to
a small number.
Able-bodied. In a military sense applies to one who is physically
competent as a soldier.
Ablecti. Ancient military term applied to a select body of men
taken from the extraordinarii of the Roman army to serve as a body-
guard to the commanding general or the consul. The guard consisted
of 40 mounted and 160 dismounted men.
Abo. A Russian city and seaport, on the Aurajoki near its entrance
into the Gulf of Bothnia. It formerly belonged to Sweden, but was
taken with the whole of Finland by the Russians in the war begun by
Sweden in 1741. By a treaty of peace concluded hero in 1743 the
conquered possessions were restored to Sweden. They were ceded
to Russia in 1809.
Abolla. A warm kind of military garment, lined or doubled, worn
by both Greeks and Romans.
Abou-girgeh. A city of Upper Egypt where the French defeated
the Egyptians in 1799.
Aboukir (anc. Canopus). A village of Egypt on a promontory at
the western extremity of the bay of the same name, 15 miles
northeast of Alexandria. In the bay Nelson defeated the French fleet,
August 1, 1798. This engagement, which resulted in a loss to the
French of 11 line-of-battle ships, is known as the “battle of the Nile.”
In 1801 a British expedition under Sir Ralph Abercromby landed at
Aboukir, and captured the place after an obstinate and sanguinary
conflict with the French (March 8). Here also a Turkish army of
15,000 men was defeated by 5000 French under Bonaparte, July 25,
1799.
Aboumand. Village of Upper Egypt, near the river Nile, where the
French fought the Arabs in 1799.
About. A technical word to express the movement by which a
body of troops or artillery carriages change front.
Abraham, Heights of. Near Quebec, Lower Canada. In the
memorable engagement which took place here September 13, 1759,
the French under Gen. Montcalm were defeated by the English under
Gen. Wolfe, who was killed in the moment of victory.
Abri (Fr.). Shelter, cover, concealment; arm-sheds in a camp
secure from rain, dust, etc.; place of security from the effect of shot,
shells, or attack.
Absence, Leave of. The permission which officers of the army
obtain to absent themselves from duty. In the U. S. service an officer
is entitled to 30 days’ leave in each year on full pay. This time he
may permit to accumulate for a period not exceeding 4 years. An
officer, however, may enjoy 5 months’ continuous leave on full pay,
provided the fifth month of such leave is wholly distinct from the
four-year period within and for which the 4 months’ absence with full
pay was enjoyed. An officer on leave over this time is entitled to half-
pay only.
Absent. A term used in military returns in accounting for the
deficiency of any given number of officers or soldiers, and is usually
distinguished under two heads, viz.: Absent with leave, such as
officers with permission, or enlisted men on furlough. Absent without
leave; men who desert are sometimes reported absent without
leave, to bring their crimes under cognizance of regimental, garrison,
or field-officers’ courts; thus, under mitigating circumstances, trial by
general court-martial is avoided. Absence without leave entails
forfeiture of pay during such absence, unless it is excused as
unavoidable. An officer absent without leave for three months may
be dropped from the rolls of the army by the President, and is not
eligible to reappointment.
Absolute Force of Gunpowder. Is measured by the pressure it
exerts on its environment when it exactly fills the space in which it is
fired. Various attempts have been made to determine this force
experimentally with widely different results. Robins estimated the
pressure on the square inch at 1000 atmospheres, Hutton at 1800,
and Count Rumford as high as 100,000 atmospheres. While Rodman,
by experiments upon strong cast-iron shells, verified the accuracy of
Rumford’s formulas, he found that his estimate of the force was
greatly in error. According to Rodman the pressure is approximately
14,000 atmospheres. Dr. Woodbridge, another American philosopher
and inventor, has shown that, fired in small quantities, the force of
gunpowder does not exceed 6200 atmospheres. This agrees closely
with the conclusion arrived at by the English “Committee on
Explosives,” 1875, who found that even in large guns the force did
not exceed 42 tons.
Absorokas. A tribe of North American Indians. See Crows.
Absterdam Projectile. See Projectile.
Abydus. An ancient city of Mysia on the Hellespont nearly
opposite Sestus on the European shore. Near this town Xerxes
placed the bridge of boats by which his troops were conveyed across
the channel to the town of Sestus, 480 B.C.
Abyssinia. A country of Eastern Africa, forming an elevated table-
land and containing many fertile valleys. Theodore II., the king of
this country, having maltreated and imprisoned some English
subjects, an expedition under Lord Napier was sent against him from
Bombay in 1867. On April 14, 1868, the mountain fortress of
Magdala was stormed and taken with but little trouble, and Theodore
was found dead on the hill, having killed himself. The country is at
present governed by Emperor John of Ethiopia, who was crowned in
1872.
Academies, Military. See Military Academies.
Accelerator. A cannon in which several charges are successively
fired to give an increasing velocity to the projectile while moving in
the bore. See Multi-charge Gun.
Accessible. Easy of access or approach. A place or fort is said to
be accessible when it can be approached with a hostile force by land
or sea.
Accintus. A word in ancient times signifying the complete
accoutrements of a soldier.
Accolade. The ceremonious act of conferring knighthood in
ancient times. It consisted of an embrace and gentle blow with the
sword on the shoulder of the person on whom the honor of
knighthood was being conferred.
 Accord. The conditions under which a fortress or command of
troops is surrendered.
Accoutre. To furnish with accoutrements.
Accoutrements. Dress, equipage, trappings. Specifically, the
equipments of a soldier, except arms and clothing.
Accused. In a military sense, the designation of one who is
arraigned before a military court.
Acerræ (now Acera). A city in the kingdom of Naples, taken and
burned by Hannibal in 216 B.C. In 90 B.C. the Romans defeated under
its walls the allied rebels commanded by Papius.
Acerræ. A city of the Gauls, taken by Marcellus in 222 B.C.
Achæan League. A confederacy which existed from very early
times among the twelve states of the province of Achaia, in the
north of the Peloponnesus. It was broken up after the death of
Alexander the Great, but was set on foot again by some of the
original cities, 280 B.C., the epoch of its rise into great historical
importance; for from this time it gained strength, and finally spread
over the whole Peloponnesus, though not without much opposition,
principally on the part of Lacedæmon. It was finally dissolved by the
Romans, on the event of the capture of Corinth by Mummius, 147
B.C. The two most celebrated leaders of this league were Aratus, the
principal instrument of its early aggrandizement, and Philopœmen,
the contemporary and rival, in military reputation, of Scipio and
Hannibal.
Achern. A city in the grand duchy of Baden, on the river Acher.
Near this place a monument marks the spot where Marshal Turenne
was killed by a random shot in 1675.
Acheron. A small stream in ancient Bruttium. In 330 B.C.,
Alexander, king of Epirus, was killed while crossing it.
Acinaces. A short sword used by the Persians.
Aclides. In Roman antiquity, a kind of missile weapon with a
thong fixed to it whereby it might be drawn back again.
 Acoluthi. In military antiquity, was a title given in the Grecian
empire to the captain or commander of the body-guards appointed
for the security of the emperor’s palace.
Aconite. A poisonous plant. Several ancient races poisoned their
arrows with an extract from this plant.
Acontium. In Grecian antiquity, a kind of dart or javelin
resembling the Roman spiculum.
Acquereaux (Fr.). A machine of war, which was used in the
Middle Ages to throw stones.
Acqui. A walled town of the Sardinian states on the river Bormida
in the division of Alessandria. It was taken by the Spaniards in 1745,
retaken by the Piedmontese in 1746; it was dismantled by the
French, who defeated the Austrians and Piedmontese here in 1794.
Acquit. To release or set free from an obligation, accusation, guilt,
censure, suspicion, or whatever devolves upon a person as a charge
or duty; as, the court acquits the accused. This word has also the
reflexive signification of “to bear, or conduct one’s self;” as, the
soldier acquitted himself well in battle.
Acquittance Roll. In the British service, a roll containing the
names of the men of each troop or company or regiment, showing
the debts and credits, with the signature of each man, and certificate
of the officer commanding it.
Acre, or St. Jean d’Acre. A seaport town of Palestine (in ancient
times the celebrated city of Ptolemais), which was the scene of many
sieges. It was last stormed and taken by the British in 1840. Acre
was gallantly defended by Djezzar Pacha against Bonaparte in July,
1798, till relieved by Sir Smith, who resisted twelve attempts by the
French, between March 16 and May 20, 1799.
Acre, or Acre-fight. An old duel fought by warriors between the
frontiers of England and Scotland, with sword and lance. This
dueling was also called camp-fight.
Acrobalistes (Fr.). A name given by the ancients to warlike races,
such as the Parthians and Armenians, who shot arrows from a long
distance.
 Acropolis. In ancient Greece, the name given to the citadel or
fortress of a city, usually built on the summit of a hill. The most
celebrated was that of Athens, remains of which still exist.
Acs. A village in Hungary on the right bank of the Danube, noted
as the scene of several battles in the Hungarian revolution, that of
August 3, 1849, being the most important.
Acting Assistant Surgeons. See Surgeons, Acting Assistant.
Action. An engagement between two armies, or bodies of troops.
The word is likewise used to signify some memorable act done by an
officer, soldier, detachment, or party.
Actium (now Azio). A town of ancient Greece in Arcanania, near
the entrance of the Ambracian Gulf. It became famous for the great
naval engagement fought near here in 31 B.C. between Octavius and
Antony, in which the former was victorious.
Active Service. Duty against an enemy; operations in his
presence. Or in the present day it denotes serving on full pay, on the
active list, in contradistinction to those who are virtually retired, and
placed on the retired list.
Activity. In a military sense, denotes attention, labor, diligence,
and study.
Acto, or Acton. A kind of defensive tunic, made of quilted leather
or other strong material, formerly worn under the outer dress and
even under a coat of mail.
Act of Grace. In Great Britain, an act of Parliament for a general
and free pardon to deserters from the service and others.
Actuarius. A name given by the Romans to officers charged with
the supplying of provisions to troops.
Adacted. Applies to stakes, or piles, driven into the earth by large
malls shod with iron, as in securing ramparts or pontons.
Adda. A stream in Italy. The Romans defeated the Gauls on its
banks in 223 B.C.
Addiscombe Seminary. An institution near Croydon, Surrey,
England, for the education of young gentlemen intended for the
military service of the East India Company; closed in 1861.
Aden. A free port on the southwest corner of Arabia. It was
captured by England in 1839, and is now used as a coal depot for
Indian steamers.
Aderbaidjan (Fr.). A mountainous province of Persia, celebrated
for raising the finest horses in the province for army purposes.
Adige (anc. Athesis). A river in Northern Italy formed by
numberless streamlets from the Helvetian Alps. In 563 the Romans
defeated the Goths and Franks on its banks. Gen. Massena crossed it
in 1806.
Adis. A city in Africa. Xantippe, chief of the Carthaginians,
defeated under its walls the Romans commanded by Regulus.
Adit. A passage under ground by which miners approach the part
they intend to sap.
Adjeighur. A fortress in Bundelcund, which was captured in 1809
by a force under the command of Col. Gabriel Martindell.
Adjourn. To suspend business for a time, as from one day to
another; said of military courts. Adjournment without day (sine die),
indefinite postponement.
Adjutant (from adjuvo, “to help”). A regimental staff-officer with
the rank of lieutenant, appointed by the regimental commander to
assist him in the execution of all the details of the regiment or post.
He is the channel of official communication. It is his duty to attend
daily on the commanding officer for orders or instructions of any kind
that are to be issued to the command, and promulgate the same in
writing after making a complete record thereof. He has charge of the
books, files, and men of the headquarters; keeps the rosters;
parades and inspects all escorts, guards, and other armed parties
previous to their proceeding on duty. He should be competent to
instruct a regiment in every part of the field exercise, should
understand the internal economy of his corps, and should notice
every irregularity or deviation from the established rules or
regulations. He should, of course, be an officer of experience, and
should be selected with reference to special fitness, as so much
depends upon his manner and thoughtfulness in the exercise of the
various and important duties imposed upon him. Unexceptionable
deportment is especially becoming to the adjutant.
Adjutant-General. An officer of distinction selected to assist the
general of an army in all his operations. The principal staff-officer of
the U. S. army. The principal staff-officers of generals of lower rank
are called assistant adjutant-generals.
Adjutant-General’s Department. In the United States, consists
of 1 adjutant-general with the rank of brigadier-general; 2 assistant
adjutant-generals, colonels; 4 lieutenant-colonels, and 10 majors;
also about 400 enlisted clerks and messengers. The officers are
generally on duty with general officers who command corps,
divisions, departments, etc. “They shall also perform the duties of
inspectors when circumstances require it.” The lowest grades must
be selected from the captains of the army.
Administration. Conduct, management; in military affairs, the
execution of the duties of an office.
Administration, Council of. A board of officers periodically
assembled at a post for the administration of certain business.
Admissions. In a military sense, the judge-advocate is authorized
when he sees proper to admit what a prisoner expects to prove by
absent witnesses.
Adobe (Sp.). An unburnt brick, dried in the sun, made from earth
of a loamy character, containing about two-thirds fine sand mixed
intimately with one-third or less of clayey dust or fine sand.
Adour. A river in the southwest of France, which Lord Wellington,
after driving the armies of Napoleon Bonaparte across the Pyrenees,
passed in the face of all opposition, on the 26th of February, 1814.
Adrana. A river in Germany, at present called Eder. Germanicus
defeated the Germans on its bank in 15.
Adrianople. A Turkish city named after the Emperor Adrian;
unsuccessfully besieged by the Goths in the 4th century; the army of
Murad I. took the city in 1361; unconditionally surrendered to the
Russians in August, 1829; peace was declared in this city between
Russia and Turkey, September 14, 1829, and the city relinquished to
the Turks.
Adrumetum, or Hadrumetum. An ancient African city, now in
ruins, situated on the Mediterranean, southeast from Carthage. The
Moors took this city from the Romans in 549, but it was retaken soon
after by a priest named Paul.
Advance. Before in place, or beforehand in time; used for
advanced; as, advance-guard, or that before the main guard or body
of an army; to move forward.
Advanced Covered Way. Is a terre plein on the exterior of the
advanced ditch, similar to the first covered way.
Advanced Ditch. Is an excavation beyond the glacis of the
enceinte, having its surface on the prolongation of that slope, that
an enemy may find no shelter when in the ditch.
Advanced Guard. A detachment of troops which precedes the
march of the main body.
Advanced Guard Equipage. See Pontons.
Advanced Lunettes. Works resembling bastions or ravelins,
having faces or flanks. They are formed upon or beyond the glacis.
Advanced Works. Are such as are constructed beyond the
covered way and glacis, but within range of the musketry of the
main works.
Advancement. In a military sense, signifies honor, promotion, or
preferment in the army, regiment, or company.
Advantage Ground. That ground which affords the greatest
facility for annoyance or resistance.
Adversary. Generally applied to an enemy, but strictly an
opponent in single combat.
Advising to Desert. Punishable with death or otherwise, as a
court-martial may direct. See Appendix, Articles of War, 51.
Advocate, Judge-. See Judge-Advocate.
Adynati. Ancient name for invalid soldiers receiving pension from
the public treasury.
 Ægide (Æges). A name, according to Homer, for a protecting
covering wound around the left arm in the absence of a shield; used
by Jupiter, Minerva, and Apollo.
Ægolethron (Gr.). A plant. This word means goat and death. It
was believed by the ancients that this plant would kill goats only, if
eaten by them. Xenophon reports that the soldiers of the army of the
“Ten Thousand” tasted of some honey prepared from this plant
which caused them to be affected with hallucinations.
Ægospotamos (“Stream of the Goat”). A small river flowing into
the Hellespont, in the Thracian Chersonese; is famous for the defeat
of the Athenian fleet by the Lacedæmonians under Lysander, which
put an end to the Peloponnesian war, and to the predominance of
Athens in Greece, 405 B.C.
Æneatores. In military antiquity, the musicians in an army,
including those who sounded the trumpets, horns, etc.
Ærarium Militare. In Roman antiquity, the war treasury of Rome,
founded by Augustus; in addition to other revenues, the one-
hundredth part of all merchandise sold in Rome was paid into it.
Æro. A basket used by the Roman soldiers to carry earth in to
construct fortifications.
Ærumnula. A wooden pole or fork, introduced among the
Romans by Consul Marius. Each soldier was provided with one of
these poles, which had attached thereto a saw, hatchet, a sack of
wheat, and baggage; and he was compelled to carry it on a march.
Affair. An action or engagement, not of sufficient magnitude to be
termed a battle.
Affamer (Fr.). To besiege a place so closely as to starve the
garrison and inhabitants.
Affidavit. In military law is an oath duly subscribed before any
person authorized to administer it. In the U. S. service, in the
absence of a civil officer any commissioned officer is empowered to
administer an oath.
Afforciament. An old term for a fortress or stronghold.
 Afghanistan. A large country in Central Asia, at war with England
1838, and 1878-79.
Afrancesados (Sp.). Name given to the Spaniards who upheld
the oath of allegiance to king Joseph Bonaparte; also called
Josephins (in the Peninsular war).
Aga. Rank of an officer in the Turkish army; the same as a general
with us.
Age. In a military sense, a young man must be 14 years old
before he can become an officer in the English army, or be entered
as a cadet at Woolwich, in the English military academy. For
admission to the military academy at West Point, U. S., the age is
from 17 to 22 years. Men are enlisted for soldiers at from 17 to 45 in
the English army, and in the U. S. army at from 18 to 35. Officers in
the U. S. army may be retired, at the discretion of the President, at
62 years of age.
Agema (Gr.). In the ancient military art, a kind of soldiery, chiefly
in the Macedonian army. The word is Greek, and denotes
vehemence, to express the strength and eagerness of this corps.
Agen. Principal place of the department Lot-et-Garonne, France,
on the right bank of the river Garonne, which has a city of the same
name, and was the scene of many battles.
Agency. A certain proportion of money which is ordered to be
subtracted from the pay and allowances of the British army, for
transacting the business of the several regiments comprising it.
Agent, Army. A person in the civil department of the British
army, between the paymaster-general and the paymaster of the
regiment, through whom every regimental concern of a pecuniary
nature is transacted.
Agger. In ancient military writings, denotes the middle part of a
military road raised into a ridge, with a gentle slope on each side to
make a drain for the water, and keep the way dry; it is also used for
a military road. Agger also denotes a work or fortification, used both
for the defense and attack of towns, camps, etc., termed among the
moderns, lines. Agger is also used for a bank or wall erected against
the sea or some great river to confine or keep it within bounds, and
called by modern writers, dam, sea-wall.
Agiades. In the Turkish armies are a kind of pioneers, or rather
field engineers, employed in fortifying the camp, etc.
Agiem-clich. A very crooked sabre, rounded near the point; an
arm much in use in Persia and Turkey.
Agincourt, or Azincourt. A village of France, celebrated for a
great battle fought near it in 1415, wherein Henry V. of England
defeated the French.
Agmen. Roman name for an army on the march.
Agminalis. Name given by the ancients to a horse which carried
baggage, equipments, etc., on its back; now termed pack-horse.
Agnadello. Village in the duchy of Milan, on a canal between the
rivers Adda and Serio, celebrated by the victory of Louis XII., king of
France, over the Venetian and Papal troops in 1509, and by a battle
between Prince Eugene and the Duke of Vendôme in 1705.
Agrigente (now Girgenti). City in Sicily, situated on the
Mediterranean; sacked by the Carthaginians under Amilcar in 400
B.C., and taken twice by the Romans in 262 and 210 B.C.
Aguebelle. City in the province of Maurienne, in Savoy. The
French and Spaniards defeated the troops of the Duke of Savoy in
1742.
Aguerri (Fr.). A term applied to an officer or soldier experienced
in war.
Agustina. See Saragossa, Maid of.
Ahmednuggur. A strong fortress in the Deccan, 30 miles from
Poonah, which was formerly in the possession of Scindia, but fell to
the British arms during the campaign conducted by Gen. Wellesley.
Aidan (Prince). See Scotland.
Aid-de-camp. An officer selected by a general to carry orders;
also to represent him in correspondence and in directing movements.
Aid-major (Fr.). The adjutant of a regiment.