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Properties and applications of stochastic processes with stationary nth-order increments

Published online by Cambridge University Press:  01 July 2016

B. Picinbono
B. Picinbono*
Affiliation:
Université de Paris-Sud
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Abstract

Many physical problems are described by stochastic processes with stationary increments. We present a general description of such processes. In particular we give an expression of a process in terms of its increments and we show that there are two classes of processes: diffusion and asymptotically stationary. Moreover, we show that the nth increments are given by a linear filtering of an arbitrary stationary process.

Keywords

STOCHASTIC PROCESSESSTATIONARYDIFFUSIONLINEAR FILTERINGCORRELATION THEORY
Type
Research Article
Information
Advances in Applied Probability , Volume 6 , Issue 3 , September 1974 , pp. 512 - 523
Copyright
Copyright © Applied Probability Trust 1974 

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References

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