Seonglae Cho무작위로 움직이는 경로를 모델링하는 데 사용됩
- 두 시간 구간에 대한 증분은 서로 독립적입니다. 즉, 과거의 움직임이 미래의 움직임에 영향을 미치지 않는다
- 특정 시간 구간 동안의 변화량은 평균이 0이고 분산이 그 시간 구간의 길이에 비례하는 정규 분포
- continous-time real-valued
Wiener process
In mathematics, the Wiener process is a real-valued continuous-time stochastic process named in honor of American mathematician Norbert Wiener for his investigations on the mathematical properties of the one-dimensional Brownian motion. It is often also called Brownian motion due to its historical connection with the physical process of the same name originally observed by Scottish botanist Robert Brown. It is one of the best known Lévy processes and occurs frequently in pure and applied mathematics, economics, quantitative finance, evolutionary biology, and physics.
https://en.wikipedia.org/wiki/Wiener_process
