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PRODID:-//Iowa State University CALS LAS Web Team//sites.iastate.edu//EN
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UID:20190311T211000-675-www.stat.iastate.edu
DTSTART:20190311T211000Z
SEQUENCE:0
TRANSP:OPAQUE
DTEND:20190311T220000Z
LOCATION:3105 Snedecor
SUMMARY:What is Brownian motion?
CLASS:PUBLIC
DESCRIPTION:Krishna&nbsp\;Athreya\nIowa State University\n\n&nbsp\;\n\nWhat
  is Brownian motion?\n\nA simple answer is it is a Gaussian process on [0\
 , infinity]&nbsp\;with&nbsp\; mean function zero&nbsp\; and covariance&nbs
 p\; function min s and t&nbsp\;N. Wiener gave an alternate construction vi
 a iid N(0\,1) rv and a complete&nbsp\;ortho normal&nbsp\; set in L2{0\,1] 
 that had the right distribution and the trajectories&nbsp\;that are contin
 uous but not differentiable.&nbsp\;We describe this and give a few propert
 ies.&nbsp\;We also give an ergodic thm due to G. Kallianpur and H. Robbins
 .&nbsp\;We conclude with an application to European option pricing formula
 &nbsp\;or stocks.\n\n\nRefreshments at 3:45pm&nbsp\;in Snedecor&nbsp\;2101
 .\n\nMore information at: https://www.stat.iastate.edu/event/2019/what-bro
 wnian-motion
DTSTAMP:20260411T175655Z
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