Standard Brownian motion
Standard Brownian motion has B(0)=0, almost surely continuous paths and independent increments with B(t)−B(s)∼N(0,t−s) for 0≤s<t.
Key knowledge
Standard Brownian motion has B(0)=0, almost surely continuous paths and independent increments with B(t)−B(s)∼N(0,t−s) for 0≤s<t. It is a mean-zero Gaussian process with Cov(B(s),B(t))=min(s,t).
Conditions and scope
- Time is nonnegative; a physical diffusion process uses a separately specified scaling/model.
- Continuous sample paths are not assumed differentiable.
Sources · 1
References
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Evidence and review
Definitions 17.13–17.14 Gaussian process and Brownian motion; equivalent finite-dimensional Gaussian description.
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Entry details
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