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If I understand correctly, a homogeneous process must be homogeneous-increment, because for example, $L(X_{t_2} - X_{t_1}) = L(X_{t_2 + \tau} - X_{t_1 + \tau})$ can be proven by $$L(X_{t_2} - X_{t_1}, X_{t_1}) = L(X_{t_2}, X_{t_1}) = L(X_{t_2 + \tau}, X_{t_1 + \tau}) = L(X_{t_2 + \tau} - X_{t_1 + \tau}, X_{t_1 + \tau})$$ and then marginalize $L(X_{t_2} - X_{t_1}, X_{t_1})$ wrt $X_{t_1}$, and $L(X_{t_2 + \tau} - X_{t_1 + \tau}, X_{t_1 + \tau})$ wrt $ X_{t_1 + \tau}$ and the equality still holds.

I am now wondering about the reverse.

  1. What are some homogeneous-increment process that are not homogeneous?

  2. Is it possible to have some necessary and sufficient condition for a homogeneous-increment process to be homogeneous?

Thanks and regards!

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1 Answer 1

What are some homogeneous-increment process that are not homogeneous?

$$X_t=t$$

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+1 Thanks! Do you happen to know some necessary and/or sufficient condition for a homogeneous-increment process to be homogeneous? –  Tim Dec 12 '12 at 15:45

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