Econometrics pp 276-278 | Cite as

Wiener Process

  • A. G. Malliaris
Part of the The New Palgrave book series


Brownian motion is the most renowned, and historically the first stochastic process that was thoroughly investigated. It is named after the English botanist, Robert Brown who in 1827 observed that small particles immersed in a liquid exhibited ceaseless irregular motion. Brown himself mentions several precursors starting at the beginning with Leeuwenhoek (1632–1723). In 1905 Einstein, unaware of the existence of earlier investigations about Brownian motion, obtained a mathematical derivation of this process from the laws of physics. The theory of Brownian motion was further developed by several distinguished mathematical physicists until Norbert Wiener gave it a rigorous mathematical formulation in his 1918 dissertation and in later papers. This is why the Brownian motion is also called the Wiener process. For a brief history of the scientific developments of the process see Nelson (1967).


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. Billingsley, P. 1979. Probability and Measure. New York: John Wiley.Google Scholar
  2. Cootner, P.H. 1964. The Random Character of Stock Market Prices, Cambridge, Mass. MIT Press.Google Scholar
  3. Harrison, J. M. 1985. Brownian Motion and Stochastic Flow Systems. New York: John Wiley.Google Scholar
  4. Knight, F.B. 1981. Essentials of Brownian Motion and Diffusion. Mathematical Surveys, Number 18. The American Mathematical Society, Providence, Rhode Island.Google Scholar
  5. Malliaris, A.G. and Brock, W.A. 1982. Stochastic Methods in Economics and Finance. Amsterdam: North-Holland Publishing Company.Google Scholar
  6. Merton, R.C. 1975. Theory of finance from the perspective of continuous time. Journal of Financial and Quantitative Analysis 10, 659–74.CrossRefGoogle Scholar
  7. Nelson, E. 1967. Dynamical Theories of Brownian Motion. Princeton, New Jersey: Princeton University Press.Google Scholar

Copyright information

© Palgrave Macmillan, a division of Macmillan Publishers Limited 1990

Authors and Affiliations

  • A. G. Malliaris

There are no affiliations available

Personalised recommendations