Variants of Brownian Motion
Published Online: 15 FEB 2011
Copyright © 2010 John Wiley & Sons, Inc. All rights reserved.
Wiley Encyclopedia of Operations Research and Management Science
How to Cite
Bhamidi, S. and Greenwood, P. E. 2011. Variants of Brownian Motion. Wiley Encyclopedia of Operations Research and Management Science. .
- Published Online: 15 FEB 2011
Variants of Brownian motion and related processes arise in diverse contexts. Examples include scaling limits of discrete models like queueing networks, combinatorial structures such as random trees, physical models of particles diffusing through disordered media, and the evolution of stock process in finance. Here, we describe some of these variants, including reflected Brownian motion, geometric Brownian motion, the Brownian sheet, Brownian excursions, and fractional Brownian motion.
- brownian motion;
- feometric Brownian motion;
- excursion theory;
- brownian bridge;
- brownian sheet;
- Schramm–Lowener evolution;
- fractional Brownian motion;