Wiener Process
المؤلف:
Finch, S.
المصدر:
"Ornstein-Uhlenbeck Process." May 15, 2004. https://algo.inria.fr/csolve/ou.pdf.
الجزء والصفحة:
...
25-3-2021
1643
Wiener Process
A continuous-time stochastic process 
for 
with 
and such that the increment 
is Gaussian with mean 0 and variance 
for any 
, and increments for nonoverlapping time intervals are independent. Brownian motion (i.e., random walk with random step sizes) is the most common example of a Wiener process.
REFERENCES:
Finch, S. "Ornstein-Uhlenbeck Process." May 15, 2004. https://algo.inria.fr/csolve/ou.pdf.
Karatsas, I. and Shreve, S. Brownian Motion and Stochastic Calculus, 2nd ed. New York: Springer-Verlag, 1997.
Papoulis, A. "Wiener-Lévy Process." §15-3 in Probability, Random Variables, and Stochastic Processes, 2nd ed. New York: McGraw-Hill, pp. 292-293, 1984.
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