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working paper
STOCHASTIC PROCESSES AND CONSTRUCTION OF BROWNIAN MOTION
2013
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.
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Name
BrownianMotion2.pdf
Access type
openaccess
Size
544 KB
Format
Adobe PDF
Checksum (MD5)
7ace113f0e90458e271c017a062cdd84