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18: Brownian Motion

  • Page ID
    10309
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    Brownian motion is a stochastic process of great theoretical importance, and as the basic building block of a variety of other processes, of great practical importance as well. In this chapter we study Brownian motion and a number of random processes that can be constructed from Brownian motion. We also study the Ito stochastic integral and the resulting calculus, as well as two remarkable representation theorems involving stochastic integrals.


    18: Brownian Motion is shared under a CC BY 2.0 license and was authored, remixed, and/or curated by Kyle Siegrist via source content that was edited to conform to the style and standards of the LibreTexts platform; a detailed edit history is available upon request.

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