# 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 and the Poisson point process.

## Definition for stochastic processes

Let ${\displaystyle (X_{t})_{t\in T}}$  be a stochastic process. In most cases, ${\displaystyle T=\mathbb {N} }$  or ${\displaystyle T=\mathbb {R} ^{+}}$ . Then the stochastic process has independent increments iff for every ${\displaystyle m\in \mathbb {N} }$  and any choice ${\displaystyle t_{0},t_{1},t_{2},\dots ,t_{m-1},t_{m}\in T}$  with

${\displaystyle t_{0}
${\displaystyle (X_{t_{1}}-X_{t_{0}}),(X_{t_{2}}-X_{t_{1}}),\dots ,(X_{t_{m}}-X_{t_{m-1}})}$

## Definition for random measures

A random measure ${\displaystyle \xi }$  has got independent increments iff the random variables ${\displaystyle \xi (B_{1}),\xi (B_{2}),\dots ,\xi (B_{m})}$  are stochastically independent for every selection of pairwise disjoint measurable sets ${\displaystyle B_{1},B_{2},\dots ,B_{m}}$  and every ${\displaystyle m\in \mathbb {N} }$ . [2]

## Independent S-increments

Let ${\displaystyle \xi }$  be a random measure on ${\displaystyle S\times T}$  and define for every bounded measurable set ${\displaystyle B}$  the random measure ${\displaystyle \xi _{B}}$  on ${\displaystyle T}$  as

${\displaystyle \xi _{B}(\cdot ):=\xi (B\times \cdot )}$

Then ${\displaystyle \xi }$  is called a random measure with independent S-increments, if for all bounded sets ${\displaystyle B_{1},B_{2},\dots ,B_{n}}$  and all ${\displaystyle n\in \mathbb {N} }$  the random measures ${\displaystyle \xi _{B_{1}},\xi _{B_{2}},\dots ,\xi _{B_{n}}}$  are independent.[3]

## Application

Independent increments are a basic property of many stochastic processes and are often incorporated in their definition. The notion of independent increments and independent S-increments of random measures plays an important role in the characterization of Poisson point process and infinite divisibility

## References

1. ^ Klenke, Achim (2008). Probability Theory. Berlin: Springer. p. 190. doi:10.1007/978-1-84800-048-3. ISBN 978-1-84800-047-6.
2. ^ Klenke, Achim (2008). Probability Theory. Berlin: Springer. p. 527. doi:10.1007/978-1-84800-048-3. ISBN 978-1-84800-047-6.
3. ^ Kallenberg, Olav (2017). Random Measures, Theory and Applications. Switzerland: Springer. p. 87. doi:10.1007/978-3-319-41598-7. ISBN 978-3-319-41596-3.