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Stationarity

 
 
RAB333
 
Reply Sat 19 Aug, 2017 05:37 am
Hello

I would appreciate to know if this is true for a Winer process:

For t around 0 (Δ𝑑→0)
γ€–π‘Š_𝑑=π‘Š_𝑑 βˆ’π‘Š_0β‰‘π‘‘π‘Šγ€—_𝑑 βˆΌπ’©(0,𝑑𝑑)≑𝒩(0,π‘‘βˆ’0)≑𝒩(0,𝑑)

For any 𝑠<𝜏 (Δ𝑠=(πœβˆ’π‘ )β†’0)
π‘Š_𝜏 βˆ’π‘Š_π‘ β‰‘γ€–π‘‘π‘Šγ€—_𝑠 βˆΌπ’©(0,𝑑𝑠)≑𝒩(0,πœβˆ’π‘ )
π‘Š_𝜏 βˆ’π‘Š_π‘ βˆΌπ’©(0,𝜏)βˆ’π’©(0,𝑠)=𝒩(0,πœβˆ’π‘ )
π‘Š_𝜏 βˆ’π‘Š_π‘ β‰‘γ€–π‘‘π‘Šγ€—_𝑠=π‘Š_𝑑𝑠=π‘Š_(πœβˆ’π‘ )


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