Random Walks and A Sojourn Density Process of Brownian Motion
نویسندگان
چکیده
منابع مشابه
Random Walks and Brownian Motion
In today’s lecture we present the Brownian motion (BM). We start with an intuitive discussion, describing the BM as a limit of SRW. We present some of the BM properties and try to explain why we can expect these properties from a limit of SRW. We then give a formal definition for BM and prove such a process exists (Wiener 1923). Before the proof we give some important facts about the normal dis...
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ژورنال
عنوان ژورنال: Transactions of the American Mathematical Society
سال: 1963
ISSN: 0002-9947
DOI: 10.2307/1993647