Process_with_independent_increments Process_with_independent_increments

Process with independent increments - Definition and Overview
Related Words: Affluent, Alien, Apathetic, Autonomous, Beyond, Bold, Centrist, Discrete

A process with independent increments is a stochastic process in which, given

x1 < ... < xn,

all of the random variables

f(xk + 1) − f(xk)

are independent. To make sense of the definition, one assumes the domain of the xk is at least partially ordered.


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