Discretetime continuous-value process

Reference no: EM131083574

For a Brownian motion process X(t), let X₀ = X(0), X₁ = X(1), . . . represent samples of a Brownian motion process with variance αt. The discretetime continuous-value process Y=, Y₂,... defined by Y_n = X_n - X_n-1is called an increments process. Show that Y_n is an iid random sequence.

Reference no: EM131083574

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