Brownian motion

Updated: Aug 20, 2021

A Gaussian process with independent non-overlapping increments. It is named after Robert Brown (1773-1858), a botanist who in 1827 first observed under a microscope the random movement of pollen or dust particles floating in water. The name is used both for this phenomenon and for the mathematical model that describes it; the latter is also known as the Wiener process.

Reference: Oxford Press Dictonary of Economics, 5th edt.

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