STOCHASTIC PROCESSES AND CONSTRUCTION OF BROWNIAN MOTION

This project offers a rigorous introduction to the tools needed to construct a continuous stochastic process. Among other things, we give a very detailed proof of the Kolmogorov continuity criterion. We then construct a Brownian Motion following the formalism of D. Revuz and M. Yor. That is, we see the BM as a linear isometry from a Hilbert space into a Gaussian space.


Year:
2013
Publisher:
Lausanne, EPFL
Keywords:
Laboratories:




 Record created 2014-02-04, last modified 2018-09-13

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