The Probability Space of Brownian Motion英文资料.pdfVIP

Chapter 2 The Probability Space of Brownian Motion 2.1 Introduction According to Einstein’s description, the Brownian motion can be defined by the following two properties: first, it has continuous trajectories (sample paths) and second, the increments of the paths in disjoint time intervals are independent zero mean Gaussian random variables with variance proportional to the duration of the time interval (it is assumed, for definiteness, that the possible trajectories of a Brow- nian particle start at the origin). These properties have far-reaching implic