Variation analysis of uncertain stationary independent increment processes

Xiaowei Chen

European Journal of Operational Research, 2012, vol. 222, issue 2, 312-316

Abstract: 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.

Keywords: Uncertainty theory; Uncertain process; Stationary independent increment process; Variation analysis (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:222:y:2012:i:2:p:312-316

DOI: 10.1016/j.ejor.2012.05.010

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