Uncorrelated and Independent Increments

If the increments X (t 2 ) − X (t1 ) and X (t 4 ) − X (t 3 ) of a process X (t ) are

uncorrelated (or independent) for any t1 < t 2 ≤ t 3 < t 4 , then X (t ) is a process with
uncorrelated (or independent) increments. The Poisson and the Wiener processes are
independent increment processes.

Cross-Correlation and Cross-Covariance

Given two stochastic processes X (t ) and Y (t ) , we define

R XY (t1 , t 2 ) = E{X (t1 )Y (t 2 )} = RYX (t 2 , t1 )

as their cross-correlation and

C XY (t1 , t 2 ) = E{[ X (t1 ) − η X (t1 )][Y (t 2 ) − η Y (t 2 )]} = R XY (t1 , t 2 ) − η X (t1 )η Y (t 2 )

as their cross-covariance.

Two processes are orthogonal if

R XY (t1 , t 2 ) = 0 for every t1 and t 2 .

They are uncorrelated if

C XY (t1 , t 2 ) = 0 for every t1 and t 2 .

Two processes are independent if the group of random variables X (t1 ) ,…, X (t n ) are
independent of the group Y (t1′ ) ,…, Y (t m′ ) for any t1 ,…, t n , t1′ ,…, t m′ , i.e.

f ( x1 ,..., x n , y1 ,..., y m ) = f ( x1 ,..., x n ) f ( y1 ,..., y m ) .