Article contents
Properties and applications of stochastic processes with stationary nth-order increments
Published online by Cambridge University Press: 01 July 2016
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.
- Type
- Research Article
- Information
- Copyright
- Copyright © Applied Probability Trust 1974
References
- 5
- Cited by