nLab Brownian motion

Contents

Contents

Idea

Brownian motion is an example of a stochastic process. Brownian motion B tB_t is a stochastic process on [0,)[0,\infty) with the following properties:

  • B 0=0B_0=0 almost surely.

  • The increments B tB sB_t-B_s are independent and normally distributed N(0,ts)N(0,t-s) for t>st \gt s.

  • The function tB tt\mapsto B_t is continuous.

References

Introduction:

  • Tamas Szabados, An elementary introduction to the Wiener process and stochastic integrals, Studia Scientiarum Mathematicarum Hungarica 31 (1996) 249-297 [arXiv:1008.1510]

History:

See also:

Last revised on November 30, 2023 at 09:29:38. See the history of this page for a list of all contributions to it.