Abstract
Wiener (1923) and Lévy (1939) mathematically gave the theoretical foundation and construction of the Brownian Motion based on the phenomenon of small particles observed by Brown (1827) and Einstein (1905). This is called the Brownian Motion or Wiener process, and is an example of a Markov process with continuous time and state space. This is now one of the most useful stochastic processes in applied sciences such as physics, economics, communication theory, biology, management science, and mathematical statistics, and recently, it is also used to make several valuable models in finance.
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Nakagawa, T. (2011). Brownian Motion and Lévy Processes. In: Stochastic Processes. Springer Series in Reliability Engineering. Springer, London. https://doi.org/10.1007/978-0-85729-274-2_7
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DOI: https://doi.org/10.1007/978-0-85729-274-2_7
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