Brownian Motion

  • Sidney I. Resnick

Abstract

THE BROWNIAN motion process, sometimes called the Wiener pro-cess, was originally posed by the English botanist Robert Brown as a model for the motion of a small particle immersed in a liquid and thus subject to molecular collisions. Brownian motion assumes a central role in the modern theory of stochastic processes and in the modern large sample theory of statistics. It is basic to descriptions of financial markets, the construction of a large class of Markov processes called diffusions, approximations to many queueing models and the calculation of asymptotic distributions in large sample statistical estimation problems.

Keywords

Covariance Assure 

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Copyright information

© Springer Science+Business Media New York 2002

Authors and Affiliations

  • Sidney I. Resnick
    • 1
  1. 1.School of Operations Research and Industrial EngineeringCornell UniversityIthacaUSA

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