could anybody define what is meant by stochastic drift?

I think I have a rough idea, say on a random walk X(n)= a + X(n-1) + Z(n) where Z(n) are iid zero mean and constant variance, then E[X(n)] = na. Is this stochastic drift?

Many thanks

  • $\begingroup$ The term $Z(n)$ is your stochastic drift term. As it is stated, you have a deterministic drift term also $a$. $\endgroup$
    – usεr11852
    Apr 2, 2013 at 13:21

1 Answer 1


Wikipedia gives a definition:

stochastic drift is the change of the average value of a stochastic (random) process.

If you look further down that page, it's clear that the final term in your model is the source of stochastic drift.


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