5Brownian motion

III Advanced Probability



5 Brownian motion
Finally, we can begins studying Brownian motion. Brownian motion was first
observed by the botanist Robert Brown in 1827, when he looked at the random
movement of pollen grains in water. In 1905, Albert Einstein provided the first
mathematical description of this behaviour. In 1923, Norbert Wiener provided
the first rigorous construction of Brownian motion.

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