independent increment
A stochastic process of real-valued
random variables
, where is linearly ordered
, is said have
independent increments if for any such that , and are independent
random
variables.
Remark. In case when is monotonically non-decreasing,
as in the case of a counting process, it is customary to write
and instead of the above to emphasize the
comparison of two positive quantities (for example, the numbers of
occurrences of a certain event in some time intervals).
Title | independent increment |
---|---|
Canonical name | IndependentIncrement |
Date of creation | 2013-03-22 15:01:22 |
Last modified on | 2013-03-22 15:01:22 |
Owner | CWoo (3771) |
Last modified by | CWoo (3771) |
Numerical id | 4 |
Author | CWoo (3771) |
Entry type | Definition |
Classification | msc 60G51 |