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authorPrefetch2021-11-07 19:34:18 +0100
committerPrefetch2021-11-07 19:34:18 +0100
commit62759ea3f910fae2617d033bf8f878d7574f4edd (patch)
treeb958409ec1870e916e6f3a2ca91fc1aae4e1f3c5 /content/know/concept/wiener-process
parentf091bf0922c26238d16bf175a8ea916a16d11fba (diff)
Expand knowledge base, reorganize measure theory, update gitignore
Diffstat (limited to 'content/know/concept/wiener-process')
-rw-r--r--content/know/concept/wiener-process/index.pdc32
1 files changed, 5 insertions, 27 deletions
diff --git a/content/know/concept/wiener-process/index.pdc b/content/know/concept/wiener-process/index.pdc
index 3602b44..f8610a2 100644
--- a/content/know/concept/wiener-process/index.pdc
+++ b/content/know/concept/wiener-process/index.pdc
@@ -13,14 +13,13 @@ markup: pandoc
# Wiener process
-The **Wiener process** is a stochastic process that provides
-a pure mathematical definition of the physical phenomenon of **Brownian motion**,
+The **Wiener process** is a [stochastic process](/know/concept/stochastic-process/)
+that provides a pure mathematical definition
+of the physical phenomenon of **Brownian motion**,
and hence is also called *Brownian motion*.
A Wiener process $B_t$ is defined as any
-time-indexed [random variable](/know/concept/random-variable/)
-$\{B_t: t \ge 0\}$ (i.e. stochastic process)
-that has the following properties:
+stochastic process $\{B_t: t \ge 0\}$ that satisfies:
1. Initial condition $B_0 = 0$.
2. Each **increment** of $B_t$ is independent of the past:
@@ -49,28 +48,7 @@ Another consequence is invariance under "time inversion",
by defining $\sqrt{\alpha} = t$, such that $W_t = t B_{1/t}$.
Despite being continuous by definition,
-the **total variation** $V(B)$ of $B_t$ is infinite
-(informally, the curve is infinitely long).
-For $t_i \in [0, 1]$ in $n$ steps of maximum size $\Delta t$:
-
-$$\begin{aligned}
- V_t
- = \lim_{\Delta t \to 0} \sup \sum_{i = 1}^n \big|B_{t_i} - B_{t_{i-1}}\big|
- = \infty
-\end{aligned}$$
-
-However, curiously, the **quadratic variation**, written as $[B]_t$,
-turns out to be deterministically finite and equal to $t$,
-while a differentiable function $f$ would have $[f]_t = 0$:
-
-$$\begin{aligned}
- \:[B]_t
- = \lim_{\Delta t \to 0} \sum_{i = 1}^n \big|B_{t_i} - B_{t_{i - 1}}\big|^2
- = t
-\end{aligned}$$
-
-Therefore, despite being continuous by definition,
-the Wiener process is not differentiable,
+the Wiener process is not differentiable in general,
not even in the mean square, because:
$$\begin{aligned}