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Wiener Processes (WP)

In: Stochastic Processes and Calculus

Author

Listed:
  • Uwe Hassler

    (Goethe University Frankfurt)

Abstract

The Wiener process (or the Brownian motion) is the starting point and the basis for all the following chapters. This is why we will consider this process more explicitly. It is a continuous-time process having as prominent a position in stochastic calculus as the Gaussian distribution in statistics. After introducing its defining properties intuitively, we will discuss important characteristics in the third section. Examples derived from the Wiener process will conclude the exposition.

Suggested Citation

  • Uwe Hassler, 2016. "Wiener Processes (WP)," Springer Texts in Business and Economics, in: Stochastic Processes and Calculus, edition 1, chapter 7, pages 151-177, Springer.
    • Handle: RePEc:spr:sptchp:978-3-319-23428-1_7
    DOI: 10.1007/978-3-319-23428-1_7
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