Wiener process


Also found in: Wikipedia.

Wiener process

[′vē·nər ‚prä·səs]
(mathematics)
A stochastic process with normal density at each stage, arising from the study of Brownian motion, which represents the limit of a sequence of experiments. Also known as Gaussian noise.
References in periodicals archive ?
Wiener process or the Brownian movement is a mathematical description of the random motion of a large particle immersed in the fluid and is not subject to any other interaction shocks with small molecules of the surrounding fluid it results a very irregular movement of the large particle the phenomenon was observed for the first time by the English botanist Robert Brown in 1828 [6], another interpretation was given in notes published between 1877-1880 "The Brownian movements would be in my way of looking at the phenomenon, the result of the calorific movements of molecular surrounding liquid" [7].
A research concerning stochastic fuzzy differential (or integral) equations driven by a Wiener process has been initiated in different forms in [30-33], and it can be applied in modeling of phenomenons where two kinds of uncertainties, that is, randomness and fuzziness, are incorporated simultaneously.
The generalized Wiener process results in an ending stock price [S.
Merton, 'On the Role of the Wiener Process in Finance Theory and Practice: The Case of Replicating Portfolios', Proceedings of Symposia in Pure Mathematics, 60.
The result of the Wiener process control by suggested adaptive NMPC is shown in Fig.
genocide; group aspects in the physical interpretation of general relativity theory; the periodic system for understanding group processes and work; and the law of the Wiener process and path groups.
We model future revenue growth as a continuous-time random walk with drift (called a Wiener process or a Brownian motion with drift) and use this model to estimate the maximum rate of spending growth consistent with present-value balance, given a jurisdiction's existing revenue structure and volatility.
v] is volatility of the value (V) of the project, and; [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII] is the increment of the standard Wiener process.
where dw is the local change in a standard Wiener process.
The map in (1) has the form of a Wiener process, and the [w.
3) The value of the firm, V, follows a Wiener process.
In Volume 2, continuous time models are explored by presenting the necessary material from continuous martingales, measure theory and stochastic differential equations as models for various assets, such as the Wiener process, Brownian motion, etc.