A multiscale guide to Brownian motion
We revise the Levy's construction of Brownian motion as a simple though 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 weigh...
| Main Authors: | , , |
|---|---|
| Format: | Journal article |
| Published: |
Institute of Physics
2015
|