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Diffstat (limited to 'content/know/concept/wiener-process')
-rw-r--r-- | content/know/concept/wiener-process/index.pdc | 32 |
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} |