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[parent] finite variation process (Definition)

In the theory of stochastic processes, the term finite-variation process is used to refer to a process $X_t$ whose paths are right-continuous and have finite total variation over every compact time interval, with probability one. See, for example, the Poisson process.

It can be shown that any function on the real numbers with finite total variation has left and right limits everywhere. Consequently, finite variation processes are always cadlag.




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Keywords:  stochastic process

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Cross-references: cadlag, real numbers, function, Poisson process, interval, compact, total variation, finite, stochastic processes
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This is version 2 of finite variation process, born on 2008-12-13, modified 2008-12-16.
Object id is 11345, canonical name is FiniteVariationProcess.
Accessed 715 times total.

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AMS MSC60G07 (Probability theory and stochastic processes :: Stochastic processes :: General theory of processes)

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