Book contents
- Frontmatter
- Contents
- Preface
- 1 Preliminaries, notations and conventions
- 2 Basic notions in functional analysis
- 3 Conditional expectation
- 4 Brownian motion and Hilbert spaces
- 5 Dual spaces and convergence of probability measures
- 6 The Gelfand transform and its applications
- 7 Semigroups of operators and Lévy processes
- 8 Markov processes and semigroups of operators
- 9 Appendixes
- References
- Index
4 - Brownian motion and Hilbert spaces
Published online by Cambridge University Press: 14 January 2010
- Frontmatter
- Contents
- Preface
- 1 Preliminaries, notations and conventions
- 2 Basic notions in functional analysis
- 3 Conditional expectation
- 4 Brownian motion and Hilbert spaces
- 5 Dual spaces and convergence of probability measures
- 6 The Gelfand transform and its applications
- 7 Semigroups of operators and Lévy processes
- 8 Markov processes and semigroups of operators
- 9 Appendixes
- References
- Index
Summary
The Wiener mathematical model of the phenomenon observed by an English botanist Robert Brown in 1828 has been and still is one of the most interesting stochastic processes. Kingman writes that the deepest results in the theory of random processes are concerned with the interplay of the two most fundamental processes: Brownian motion and the Poisson process. Revuz and Yor point out that the Wiener process “is a good topic to center a discussion around because Brownian motion is in the intersection of many fundamental classes of processes. It is a continuous martingale, a Gaussian process, a Markov process or more specifically a process with independent increments”. Moreover, it belongs to the important class of diffusion processes. It is actually quite hard to find a book on probability and stochastic processes that does not describe this process at least in a heuristic way. Not a serious book, anyway.
Historically, Brown noted that pollen grains suspended in water perform a continuous swarming motion. Years (almost a century) later Bachelier and Einstein derived the probability distribution of a position of a particle performing such a motion (the Gaussian distribution) and pointed out its Markovian nature – lack of memory, roughly speaking. But it took another giant, notably Wiener, to provide a rigorous mathematical construction of a process that would satisfy the postulates of Einstein and Bachelier.
It is hard to overestimate the importance of this process.
- Type
- Chapter
- Information
- Functional Analysis for Probability and Stochastic ProcessesAn Introduction, pp. 121 - 146Publisher: Cambridge University PressPrint publication year: 2005