Book contents
- Frontmatter
- Contents
- Preface
- Introduction
- The story in a nutshell
- I Basics
- II Abstract theory of rough paths
- III Stochastic processes lifted to rough paths
- 13 Brownian motion
- 14 Continuous (semi-)martingales
- 15 Gaussian processes
- 16 Markov processes
- IV Applications to stochastic analysis
- Appendices
- Frequently used notation
- References
- Index
13 - Brownian motion
from III - Stochastic processes lifted to rough paths
Published online by Cambridge University Press: 05 June 2012
- Frontmatter
- Contents
- Preface
- Introduction
- The story in a nutshell
- I Basics
- II Abstract theory of rough paths
- III Stochastic processes lifted to rough paths
- 13 Brownian motion
- 14 Continuous (semi-)martingales
- 15 Gaussian processes
- 16 Markov processes
- IV Applications to stochastic analysis
- Appendices
- Frequently used notation
- References
- Index
Summary
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- Type
- Chapter
- Information
- Multidimensional Stochastic Processes as Rough PathsTheory and Applications, pp. 327 - 385Publisher: Cambridge University PressPrint publication year: 2010