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independent increments process

См. также в других словарях:

  • Lévy process — In probability theory, a Lévy process, named after the French mathematician Paul Lévy, is any continuous time stochastic process that starts at 0, admits càdlàg modification and has stationary independent increments this phrase will be explained… …   Wikipedia

  • Wiener process — In mathematics, the Wiener process is a continuous time stochastic process named in honor of Norbert Wiener. It is often called Brownian motion, after Robert Brown. It is one of the best known Lévy processes (càdlàg stochastic processes with… …   Wikipedia

  • Poisson process — A Poisson process, named after the French mathematician Siméon Denis Poisson (1781 ndash; 1840), is the stochastic process in which events occur continuously and independently of one another (the word event used here is not an instance of the… …   Wikipedia

  • Gaussian process — A Gaussian process is a stochastic process which generates samples over time { X t } t ∈ T such that no matter which finite linear combination of the X t one takes (or, more generally, any linear functional of the sample function X t ), that… …   Wikipedia

  • Stochastic process — A stochastic process, or sometimes random process, is the counterpart to a deterministic process (or deterministic system) in probability theory. Instead of dealing with only one possible reality of how the process might evolve under time (as is… …   Wikipedia

  • Gamma process — A Gamma process is a Lévy process with independent Gamma increments. Often written as Gamma(t;gamma,lambda), it is a pure jump increasing Levy process with intensity measure u(x)=gamma x^{ 1}exp( lambda x), for positive x. Thus jumps whose size… …   Wikipedia

  • Non-homogeneous Poisson process — In probability theory, a non homogeneous Poisson process is a Poisson process with rate parameter λ(t) such that the rate parameter of the process is a function of time.[1] Non homogeneous Poisson process have been shown to describe numerous… …   Wikipedia

  • Brownian motion — This article is about the physical phenomenon; for the stochastic process, see Wiener process. For the sports team, see Brownian Motion (Ultimate). For the mobility model, see Random walk. Brownian motion (named after the botanist Robert Brown)… …   Wikipedia

  • Infinite divisibility — The concept of infinite divisibility arises in different ways in philosophy, physics, economics, order theory (a branch of mathematics), and probability theory (also a branch of mathematics). One may speak of infinite divisibility, or the lack… …   Wikipedia

  • Infinite divisibility (probability) — In probability theory, to say that a probability distribution F on the real line is infinitely divisible means that if X is any random variable whose distribution is F , then for every positive integer n there exist n independent identically… …   Wikipedia

  • Itō calculus — Itō calculus, named after Kiyoshi Itō, extends the methods of calculus to stochastic processes such as Brownian motion (Wiener process). It has important applications in mathematical finance and stochastic differential equations.The central… …   Wikipedia

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