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Time inversion of Brownian motion
...
Mathematics
Area of mathematics
Probability and statistics
Probability theory
Stochastic process
Brownian motion
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Words: 26
If
W
is
Brownian motion
, then
B
0
=
0
,
B
t
=
t
W
1/
t
(
t
>
0
)
(35)
is also Brownian motion. Its covariance is
min
(
s
,
t
)
, and continuity at zero follows from
W
u
/
u
→
0
almost surely.
Ancestors
(7)
Brownian motion
Stochastic process
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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