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 |