Skip to main content

A Historical Note on Brownian Motion

  • Chapter
  • First Online:
  • 4644 Accesses

Part of the book series: Universitext ((UTX))

Abstract

Historically, the mathematical roots of Brownian motion lie in the central limit theorem (CLT).

This is a preview of subscription content, log in via an institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   29.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   39.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Notes

  1. 1.

    DeMoivre (1718).

  2. 2.

    Laplace, P.-S. (1878–1912).

  3. 3.

    Lyapunov, A.M. (1901). Nouvelle forme du théorème sur la limite de probabilités. Mem. Acad. Imp. Sci. St.-Petersberg 12 (5), 1–24.

  4. 4.

    Lindeberg, J.W. (1922). Eine neue Herleitung des Exponentialgesetzes in der Wahrscheinlichkeitsrechnung. Math. Zeitschr. 15, 211–225.

  5. 5.

    Feller, W. (1935). Über den zentralen Grenzwertsatz der Wahrscheinlichkeitsrechnung. Math. Zeitschr. 40, 521–559. Also, ibid (1937), 42, 301–312.

  6. 6.

    Lévy, P. (1925).

  7. 7.

    Bachelier, L. (1900). Théorie de la spéculation. Ann. Sci. École Norm. Sup. 17, 21–86; also see M. Davis & A. Etheridge (2006) for an English translation with a forward by Paul Samuelson.

  8. 8.

    Brown, R. (1828). A brief account of microscopical observations made in the months of June, July, and August, 1827, on the particles contained in the pollen of plants; and on the general existence of active molecules in organic and inorganic bodies. Philos. Magazine N.S. 14, 161–173.

  9. 9.

    Einstein, A. (1905): Uber die von der molekularkinetischen Theorie der Warme geforderte Bewegung von in ruhenden Flussigkeiten suspendierten Teilchen, Ann. der Physik, 322 (8), 549560. Similar discoveries of Brownian motion were being made in Poland by the physicist Marian Smoluchoski who published his basic results in the paper von Smoluchowski, M. (1906): Zur kinetischen Theorie der Brownschen Molekularbewegung und der Suspensionen, Ann. der Physik, 326 (14), 756–780.

  10. 10.

    We have generally adapted a convention in which D is referred to as the diffusion coefficient, however this may not be universally held.

  11. 11.

    Einstein, A. (1906). On the theory of the Brownian movement. Ann. der Physik 19, 371–381. An English translation appears in F\(\ddot{r}\)uth (1954).

  12. 12.

    Jean Perrin (1990),  (French original, 1913).

  13. 13.

    Wiener, N. (1923). Differential space. J. Math. Phys. 2, 131–174.

  14. 14.

    Paley, R.E.A.C., Wiener, N. and Zygmund, A. (1933). Notes on random functions. Math. Zietschr. 37, 647–668.

  15. 15.

    Uhlenbeck, G.E. and Ornstein, L.S. (1930). On the theory of Brownian motion. Phys. Rev. 36, 823–841; reprinted in Wax (1954). Also see Chandrasekhar, S. (1943). Stochastic problems in physics and astronomy. Rev. Modern Physics 15, 2–91; reprinted in Wax (1954).

  16. 16.

    Langevin, P. (1908). Sur La théorie du movement brownien. C.R. Acad. Sci. Paris 146, 530–533.

  17. 17.

    For a complete dynamical description see Nelson, E. (1967).

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to Rabi Bhattacharya .

Rights and permissions

Reprints and permissions

Copyright information

© 2016 Springer International Publishing AG

About this chapter

Cite this chapter

Bhattacharya, R., Waymire, E.C. (2016). A Historical Note on Brownian Motion. In: A Basic Course in Probability Theory. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-319-47974-3_12

Download citation

Publish with us

Policies and ethics