Independent increments

In probability theory, independent increments are a property of stochastic processes and random measures. Most of the time, a process or random measure has independent increments by definition, which underlines their importance. Some of the stochastic processes that by definition possess independent increments are the Wiener process, all Lévy processes, all additive process[1] and the Poisson point process.

  1. ^ Sato, Ken-Ito (1999). Lévy processes and infinitely divisible distributions. Cambridge University Press. pp. 31–68. ISBN 9780521553025.