Brownian process

См. также в других словарях:

• Brownian motion — This article is about the physical phenomenon; for the stochastic process, see Wiener process. For the sports team, see Brownian Motion (Ultimate). For the mobility model, see Random walk. Brownian motion (named after the botanist Robert Brown)… …   Wikipedia

• Brownian bridge — A Brownian bridge is a continuous time stochastic process whose probability distribution is the conditional probability distribution of a Wiener process B ( t ) (a mathematical model of Brownian motion) given the condition that B (0) = B (1) = 0 …   Wikipedia

• Brownian motion — Any of various physical phenomena in which some quantity is constantly undergoing small, random fluctuations. It was named for Robert Brown, who was investigating the fertilization process of flowers in 1827 when he noticed a rapid oscillatory… …   Universalium

• Brownian tree — A Brownian tree, whose name is derived from Robert Brown via Brownian motion, is a form of computer art that was briefly popular in the 1990s, when home computers started to have sufficient power to simulate Brownian motion. Brownian trees are… …   Wikipedia

• Wiener process — In mathematics, the Wiener process is a continuous time stochastic process named in honor of Norbert Wiener. It is often called Brownian motion, after Robert Brown. It is one of the best known Lévy processes (càdlàg stochastic processes with… …   Wikipedia

• Fractional Brownian motion — A normalized fractional Brownian motion (denoted fBm) B^H(t) on [0,T] , Tin mathbb{R} is a continuous time Gaussian process starting at zero, with mean zero, and having the following correlation function::E [B^H(t) B^H(s)] =frac{1}{2}… …   Wikipedia

• Ornstein–Uhlenbeck process — Not to be confused with Ornstein–Uhlenbeck operator. In mathematics, the Ornstein–Uhlenbeck process (named after Leonard Ornstein and George Eugene Uhlenbeck), is a stochastic process that, roughly speaking, describes the velocity of a massive… …   Wikipedia

• Geometric Brownian motion — A geometric Brownian motion (GBM) (occasionally, exponential Brownian motion) is a continuous time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion, or a Wiener process. It is applicable to… …   Wikipedia

• Stopped process — In mathematics, a stopped process is a stochastic process that is forced to assume the same value after a prescribed (possibly random) time.DefinitionLet * (Omega, mathcal{F}, mathbb{P}) be a probability space; * (mathbb{X}, mathcal{A}) be a… …   Wikipedia

• Markov process — noun a simple stochastic process in which the distribution of future states depends only on the present state and not on how it arrived in the present state • Syn: ↑Markoff process • Hypernyms: ↑stochastic process • Hyponyms: ↑Markov chain,… …   Useful english dictionary

• Stochastic process — A stochastic process, or sometimes random process, is the counterpart to a deterministic process (or deterministic system) in probability theory. Instead of dealing with only one possible reality of how the process might evolve under time (as is… …   Wikipedia