Continuous Trajectories Process

It is a process Y(t) normally distributed with mean and variance given:

defined along the time axis t [0, + ∞) which can be divided into an arbitrarily large number of intervals in which the increments of the process are independent and identically distributed. Therefore, the knowledge of all the possible increments caused by the process up to the instant t is equal to the knowledge of the trajectory up to t.



AA.VV., Matematica Finanziaria, Monduzzi Editore, 1998.

Grinstead M. C., Snell J. L., Introduction to Probability, American Mathematical Society, 1997.


Editor: Giuliano DI TOMMASO