From Wikipedia, the free encyclopedia.
The Wiener process, so named in honor of Norbert Wiener, is a continuous-time Gaussian stochastic process used in modelling Brownian motion and some random phenomena observed in financial markets. For each positive number t, denote the value of the process at time t by Wt. Then the process is characterized by the following conditions: If 0 < s < t, then
("N(μ, σ)" denotes the normal distribution with expected value μ and variance σ2.)
If 0 < s < t < u < v, then
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