finite variation process
In the theory of stochastic processes
, the term finite-variation process is used to refer to a process 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.
| Title | finite variation process |
|---|---|
| Canonical name | FiniteVariationProcess |
| Date of creation | 2013-03-22 18:36:41 |
| Last modified on | 2013-03-22 18:36:41 |
| Owner | gel (22282) |
| Last modified by | gel (22282) |
| Numerical id | 5 |
| Author | gel (22282) |
| Entry type | Definition |
| Classification | msc 60G07 |