Properties and applications of stochastic processes with stationarynth-order increments

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Abstract
Many physical problems are described by stochastic processes with stationary increments. We present a general description of such processes. In particular we give an expression of a process in terms of its increments and we show that there are two classes of processes: diffusion and asymptotically stationary. Moreover, we show that thenth increments are given by a linear filtering of an arbitrary stationary process.

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