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Imagine we have $k$ Brownian particles diffusing in a three-dimensional solution, where each particle has the same diffusion coefficient $D$ (measured in $\mu^2/sec$). Now imagine that we have a hypothetical particle $C$ that sits at the centroid of the $k$ Brownian particles. What diffusion coefficient / properties does $C$ have?

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up vote 4 down vote accepted

The displacement $B_t^j-B_s^j$ of the $j$th particle is a normal random variables with mean zero and variance $D(t-s)$. These random variables, $j=1,\dots,k$, are independent. Therefore, their average is also normal, with mean zero and variance $\frac{D}{k}(t-s)$. (Variance adds up under summation, and then gets divided by $k^2$).

Conclusion: the centroid is also experiencing Brownian motion, but slower, with coefficient $D/k$.

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@H.M. Time variable. $B_t$ is the position at time $t$. Actually, it seems that $W_t$ may be more common, honoring Wiener rather than Brown. See en.wikipedia.org/wiki/Wiener_process –  user53153 Feb 6 '13 at 5:33
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