A multiscale guide to Brownian motion

A multiscale guide to Brownian motion

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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...

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Bibliografiske detaljer
Main Authors:	Belyaev, D, Grebenkov, D, Jones, P
Format:	Journal article
Udgivet:	Institute of Physics 2015

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