Journal article icon

Journal article

A Multiscale Guide to Brownian Motion

Abstract:

We revise the Levy's construction of Brownian motion as a simple though still rigorous approach to operate with various Gaussian processes. A Brownian path is explicitly constructed as a linear combination of wavelet-based "geometrical features" at multiple length scales with random weights. Such a wavelet representation gives a closed formula mapping of the unit interval onto the functional space of Brownian paths. This formula elucidates many classical results about Brownian motion (e.g., n...

Expand abstract

Actions


Authors


Grebenkov, DS More by this author
More by this author
Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Institute
Publication date:
2015-05-18
URN:
uuid:f4268cad-5223-4ba2-a961-8c6eb4f11d5d
Source identifiers:
523453
Local pid:
pubs:523453

Terms of use


Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP