Abstract
Empirically, Brownian motion was discovered by the biologist Robert Brown, who observed, and was puzzled by, microscopic movement of tiny particles suspended in water (at that time, the reason for this motion was not yet understood). Due to the irregular thermal motion of individual water molecules, each such particle will be pushed around, following an irregular path in all three dimensions. We study only the single-particle, one-dimensional version of this phenomenon. To make the issue more interesting, we often assume the existence of an absorbing state (or a barrier) that, when reached, terminates the particle’s motion.
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Vrbik, J., Vrbik, P. (2013). Brownian Motion. In: Informal Introduction to Stochastic Processes with Maple. Universitext. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-4057-4_10
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DOI: https://doi.org/10.1007/978-1-4614-4057-4_10
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