Brownian Motion
★★★★☆Undergraduate
📖Definition
Fundamental continuous-time, continuous-state stochastic process. Also called Wiener process
📐Formulas
W(0) = 0
W(t) - W(s) ~ N(0, t-s)
Independent increments
Continuous paths
✏️Examples
예제 1
Stock price model
예제 2
Particle diffusion
예제 3
Heat equation
⚡Applications
Financial math
Physics
Biology
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#브라운#Brownian#위너#Wiener