The Wiener process (or Brownian motion)
Relationship between probabilities and partial differential equations

Add to my library

A565 V1 Article

The Wiener process (or Brownian motion)
Relationship between probabilities and partial differential equations

Author : Jean-Pierre FOUQUE

Publication date: April 10, 1996 | Lire en français

Add to my library Add to my library

Logo Techniques de l'Ingenieur You do not have access to this resource.
Request your free trial access! Free trial

Already subscribed?

2. The Wiener process (or Brownian motion)

In this paragraph, we recall the essential definitions of the theory of Markov processes. We add to the article [A 1 346] in this treatise, Methods for studying classical stochastic dynamics problems, on the special and fundamental case of the Wiener process or Brownian motion. We show that the solution of a Laplace problem with Dirichlet condition can be expressed as the expectation of a Brownian motion functional.

2.1 Additional information on processes

The following definitions complete article [A 1 346] of this treaty

You do not have access to this resource.
Logo Techniques de l'Ingenieur

Exclusive to subscribers. 97% yet to be discovered!

You do not have access to this resource. Click here to request your free trial access!

Already subscribed?

Article included in this offer

"Mathematics"

( 168 articles )

Complete knowledge base

Updated and enriched with articles validated by our scientific committees

Services

A set of exclusive tools to complement the resources

View offer details
Contact us
Contact our team FAQ