Qualitative Behavior of Correlated Brownian Motions
Part of the Stochastic Modelling and Applied Probability formerly: Applications of Mathematics book series (SMAP, volume 58)
We define correlated Brownian motions and compare their space—time correlations with uncorrelated Brownian motions. Further, some simple properties of correlated Brownian motions are derived.
KeywordsBrownian Motion Qualitative Behavior Dirichlet Form Brownian Particle Equilibrium Measure
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© Springer Science+Business Media, LLC 2008