Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

What does it mean when in stochastic process, we say that the process has unit variance? What is its exact definition?

share|cite|improve this question

Dunno, maybe that $\mathrm{var}(X_t)=1$ for every $t$.

share|cite|improve this answer
This link to Wolfram Mathworld seems to support this answer: "A standard normal distribution is a normal distribution with zero mean (mu=0) and unit variance (sigma^2=1)" – AfterWorkGuinness Aug 29 '15 at 20:32

"Did" has posted a guess. Here's another. Some processes $\{X_t\}_{t\ge0}$ satisfy $\operatorname{var}(X_t)=ct$ (Poisson processes, Wiener processes, many others). Possibly it could mean $c=1$.

(But if something like the Ornstein–Uhlenbeck process is being written about, probably "Did"'s guess is right.)

share|cite|improve this answer

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.