We define correlated Brownian motions and compare their space—time correlations with uncorrelated Brownian motions. Further, some simple properties of correlated Brownian motions are derived.
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© 2008 Springer Science+Business Media, LLC
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(2008). Qualitative Behavior of Correlated Brownian Motions. In: Stochastic Ordinary and Stochastic Partial Differential Equations. Stochastic Modelling and Applied Probability formerly: Applications of Mathematics, vol 58. Springer, New York, NY. https://doi.org/10.1007/978-0-387-74317-2_5
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DOI: https://doi.org/10.1007/978-0-387-74317-2_5
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-74316-5
Online ISBN: 978-0-387-74317-2
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