• Thumbnail for Wiener process
    In mathematics, the Wiener process (or Brownian motion, due to its historical connection with the physical process of the same name) is a real-valued continuous-time...
    35 KB (5,874 words) - 00:48, 9 July 2025
  • Thumbnail for Stochastic process
    stochastic processes. Examples of such stochastic processes include the Wiener process or Brownian motion process, used by Louis Bachelier to study price changes...
    168 KB (18,657 words) - 11:11, 30 June 2025
  • Thumbnail for Reflection principle (Wiener process)
    probability for stochastic processes, the reflection principle for a Wiener process states that if the path of a Wiener process f(t) reaches a value f(s)...
    7 KB (1,317 words) - 21:37, 8 June 2025
  • Thumbnail for Norbert Wiener
    Technology (MIT). A child prodigy, Wiener later became an early researcher in stochastic and mathematical noise processes, contributing work relevant to electronic...
    54 KB (6,091 words) - 09:54, 18 July 2025
  • Thumbnail for Ornstein–Uhlenbeck process
    such a process is called mean-reverting. The process can be considered to be a modification of the random walk in continuous time, or Wiener process, in...
    30 KB (4,640 words) - 11:23, 7 July 2025
  • motion (the Wiener process). The best known of these is attributed to Paul Lévy (1939). All three laws relate path properties of the Wiener process to the...
    4 KB (475 words) - 21:41, 28 November 2020
  • Thumbnail for Itô calculus
    Itô calculus (redirect from Itô process)
    extends the methods of calculus to stochastic processes such as Brownian motion (see Wiener process). It has important applications in mathematical...
    31 KB (4,554 words) - 03:50, 6 May 2025
  • Thumbnail for Random walk
    Random walk (category Stochastic processes)
    Lawler, Schramm and Werner. A Wiener process enjoys many symmetries a random walk does not. For example, a Wiener process walk is invariant to rotations...
    56 KB (7,703 words) - 20:27, 29 May 2025
  • Thumbnail for Girsanov theorem
    Girsanov theorem (category Stochastic processes)
    theorem first for the special case when the underlying stochastic process is a Wiener process. This special case is sufficient for risk-neutral pricing in...
    8 KB (1,576 words) - 12:50, 26 June 2025
  • filter Wiener's lemma Wiener process Generalized Wiener process Wiener sausage Wiener series Wiener–Hopf method Wiener–Ikehara theorem Wiener–Khinchin...
    1 KB (87 words) - 18:45, 21 March 2022
  • sports club in Vienna Wiener process, a mathematical model related to Brownian motion Wiener equation, named after Norbert Wiener, assumes the current...
    2 KB (274 words) - 07:16, 22 February 2025
  • Thumbnail for Classical Wiener space
    (usually n-dimensional Euclidean space). Classical Wiener space is useful in the study of stochastic processes whose sample paths are continuous functions....
    8 KB (1,381 words) - 04:40, 10 May 2025
  • In statistics, a generalized Wiener process (named after Norbert Wiener) is a continuous time random walk with drift and random jumps at every point in...
    800 bytes (100 words) - 02:57, 14 March 2025
  • Thumbnail for Fokker–Planck equation
    Fokker–Planck equation (category Stochastic processes)
    Nikolay Krylov. In one spatial dimension x, for an Itô process driven by the standard Wiener process W t {\displaystyle W_{t}} and described by the stochastic...
    35 KB (6,546 words) - 09:17, 19 July 2025
  • Lévy process may thus be viewed as the continuous-time analog of a random walk. The most well known examples of Lévy processes are the Wiener process, often...
    12 KB (1,723 words) - 04:25, 1 May 2025
  • In signal processing, the Wiener filter is a filter used to produce an estimate of a desired or target random process by linear time-invariant (LTI) filtering...
    17 KB (3,022 words) - 20:06, 2 July 2025
  • norm in Rn and W is an n-dimensional Wiener process (Brownian motion). For any n, the n-dimensional Bessel process is the solution to the stochastic differential...
    3 KB (347 words) - 00:23, 19 June 2024
  • best-known stochastic process to which stochastic calculus is applied is the Wiener process (named in honor of Norbert Wiener), which is used for modeling...
    5 KB (620 words) - 23:30, 1 July 2025
  • wide-sense-stationary random process has a spectral decomposition given by the power spectral density of that process. Norbert Wiener proved this theorem for...
    14 KB (1,803 words) - 06:35, 14 April 2025
  • Natural filtration (category Stochastic processes)
    notation that allows more direct contact with the Wiener process. The Bernoulli process is the process X {\displaystyle X} of coin-flips. The sample space...
    7 KB (1,447 words) - 14:03, 13 May 2025
  • terms up to first order in the time increment and second order in the Wiener process increment. The lemma is widely employed in mathematical finance, and...
    28 KB (5,921 words) - 04:54, 12 May 2025
  • Wiener process. Property (3) means that every non-degenerate mean-square continuous Gauss–Markov process can be synthesized from the standard Wiener process...
    4 KB (473 words) - 21:31, 5 July 2023
  • Gaussian process whose covariance function is a generalisation of that of the Wiener process. Let f {\displaystyle f} be a mean-zero Gaussian process { X t...
    44 KB (5,929 words) - 11:10, 3 April 2025
  • statistics, econometrics, and signal processing, an autoregressive (AR) model is a representation of a type of random process; as such, it can be used to describe...
    34 KB (5,409 words) - 21:53, 16 July 2025
  • Thumbnail for Markov chain
    Markov chain (redirect from Markov process)
    important examples of Markov processes are the Wiener process, also known as the Brownian motion process, and the Poisson process, which are considered the...
    96 KB (12,900 words) - 04:11, 18 July 2025
  • Thumbnail for Brownian motion
    Brownian motion (category Wiener process)
    traditional mathematical formulation of Brownian motion is that of the Wiener process, which is often called Brownian motion, even in mathematical sources...
    55 KB (7,209 words) - 21:32, 16 July 2025
  • dW_{t}^{\nu },} and W t S , W t ν {\displaystyle W_{t}^{S},W_{t}^{\nu }} are Wiener processes (i.e., continuous random walks) with correlation ρ. The value ν t {\displaystyle...
    14 KB (1,771 words) - 12:28, 15 April 2025
  • the stochastic processes that by definition possess independent increments are the Wiener process, all Lévy processes, all additive process and the Poisson...
    3 KB (538 words) - 04:12, 11 July 2025
  • statistics, diffusion processes are a class of continuous-time Markov process with almost surely continuous sample paths. Diffusion process is stochastic in...
    5 KB (1,099 words) - 13:27, 10 July 2025
  • transform. An important example of a centered real stochastic process on [0, 1] is the Wiener process; the Karhunen–Loève theorem can be used to provide a canonical...
    47 KB (10,719 words) - 12:47, 29 June 2025