Authors
Xiaowei Chen
Publication date
2012/10/16
Journal
European Journal of Operational Research
Volume
222
Issue
2
Pages
312-316
Publisher
North-Holland
Description
A stationary independent increment process is an uncertain process with stationary and independent increments. This paper aims to calculate the variance of stationary independent increment processes, and gains that, for each fixed time, the variance is a constant multiplying the square of time. Based on this result, it is proved that the total variation of stationary independent increment process with finite variance is bounded almost surely. Besides, the quadratic variation of stationary independent increment process with finite variance is 0 almost surely and in mean.
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