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 |
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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 |