Lecture

Wiener Process: Definition and Properties

In course

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Description

This lecture covers the definition and properties of the Wiener process, a stochastic process with continuous paths. It explains the covariance function, negative definiteness, and independence properties of the Wiener process. The lecture also delves into the generation of Wiener processes using algorithms and the importance of continuous paths in the process.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_0szr4r65

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