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Wiener ProcessIn mathematics, the Wiener process, so named in honor of Norbert Wiener, is a continuous-time Gaussian stochastic process with independent increments used in modelling Brownian motion and some random phenomena observed in finance. It is one of the most well-known Lvy processes. For each positive number t, denote the value of the process at time t by Wt. Then the process is characterized by the following two conditions: -
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- ("N(μ, σ2)" denotes the normal distribution with expected value μ and variance σ2.)
- If 0 ≤ s ≤ t ≤ u ≤ v, (i.e., the two intervals t and v do not overlap) then
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- are independent random variables.
The paths are almost surely continuous. The Wiener measure is the probability law on the space of continuous functions g, with g(0) = 0, induced by the Wiener process. An integral based on Wiener measure may be called a Wiener integral.
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