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Martingale = Independent Increments?

  1. Oct 28, 2009 #1
    Here's a stupid question: for a Gaussian process, are these two properties equivalent?
     
  2. jcsd
  3. Oct 28, 2009 #2
    No - the increments can be independent without having zero expectation, and vice-versa.
     
  4. Oct 30, 2009 #3
    Right, thank you, I have a centered Gaussian process in mind (should've mentioned it).
     
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