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Results tagged with brownian-motion
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user 30227
In mathematics, Brownian motion is described by the Wiener process; a continuous-time stochastic process named in honor of Norbert Wiener.
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Are the increments of a stochastic process driven by fractional Brownian motion independent?
I'm studying the following equation
$$\tag1
dX_t = \mu X_t dt + \sigma X_t dB^H_t
$$
where $B^H$ is the fractional Brownian motion (fBm) of Hurst parameter $H\in(0,1)$, that is a continuous Gaussi …
- 147
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Does the Lévy characterization imply that the price process of any asset is a Brownian motion?
While studying Brownian motion applied to mathematical finance, I came across these lecture notes by prof Steve Lalley. In the prologue, he gives this explanation for the occurrence of Brownian motion …
- 147