Questions related to Brownian motion, a continuous stochastic process denoted by $W_t$, $t\geq 0$, with independent increments, such that $W(t)-W(s)$ is normally distributed, with $0$ mean and variance $t-s$.

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18
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2answers
521 views

Does Brownian motion visit every point uncountably many times?

Let $B_t$ be a one-dimensional standard Brownian motion. Is it true that, almost surely, for every $x \in \mathbb{R}$ the set $\{t : B_t = x\}$ is uncountable? Let $A_x$ be the event that $\{t : ...
15
votes
2answers
922 views

Brownian bridge expression for a Brownian motion

Let $B_t$ be a standard Brownian motion in $\mathbb R$, then the Brownian bridge on $[0,1]$ is defined as $$ Y_t = a(1-t)+bt+(1-t)\int\limits_0^t\frac{\mathrm dB_s}{1-s} $$ for $0\leq t<1$. Here ...
13
votes
3answers
2k views

The Laplace transform of the first hitting time of Brownian motion

Let $B_t$ be the standard Brownian motion process, $a > 0$, and let $H_a = \inf \{ t : B_t > a \}$ be a stopping time. I want to show that the Laplace transform of $H_a$ is ...
11
votes
2answers
256 views

A planar Brownian motion has area zero

I'm looking for proofs of Paul Lévy's theorem that a planar Brownian motion has Lebesgue measure $0$. I know of only two proofs: one is in Lévy's original paper (Théorème 12, p. 532) and the other is ...
11
votes
3answers
2k views

Can I apply the Girsanov theorem to an Ornstein-Uhlenbeck process?

Let $W_t$ be a standard Brownian motion, and $X_t$ a measurable adapted process. Girsanov's theorem says that under certain conditions, the Brownian motion with drift $Y_t = W_t - \int_0^t X_s\,ds$ ...
10
votes
2answers
517 views

What is the importance of the infinitesimal generator of Brownian motion?

I have read that the infinitesimal generator of Brownian motion is $\frac{1}{2}\small\triangle$. Unfortunately, I have no background in semigroup theory, and the expositions of semigroup theory I have ...
10
votes
2answers
270 views

Problem about partial sum of exponential random variable

Let $X_1, X_2, \dots,X_n, X_{n+1}$ be independent random variable of exponential distribution, and the mean is 1. Let $S_i = X_1 + \dots + X_i$ I want to know ...
10
votes
2answers
321 views

Area enclosed by 2-dimensional random curve

Consider a 2-dimensional Wiener process $(W_t)_{t \in [0,1]}$. Color every area which is enclosed by the line parametrised by $W_t$ (this means that, when the Wiener process makes a loop and ...
9
votes
4answers
1k views

Showing that Brownian motion is bounded with non-zero probability

How do you show, that for every bound $\epsilon$, there is a non-zero probability that the motion is bounded on a finite interval. i.e. $$\mathbb{P} (\sup_{t\in[0,1]} |B(t)| < \epsilon) > 0$$ I ...
9
votes
2answers
611 views

Joint moments of Brownian motion

My approach to this SE question uses the following joint moments of Brownian motion. For $n=1,2$ they are obvious and well-known, the others are not terribly hard to work out. Is there a reference ...
9
votes
2answers
1k views

Hitting time of Brownian Motion with a drift

Let $X_t =x+bt+\sqrt{2}W_t$, where $W_t$ is a standard Brownian motion. Let $T=\inf\{t: |X_t|=1\}$. I am trying to find $\mathbb{E}[T]$ for the case $b\neq0$. Firstly, I am going to apply Girsanov to ...
9
votes
0answers
190 views

Uniqueness of Brownian motion

May be it is a dumb question, but it vexed me a little bit. I understand the construction of the Brownian motion (first use Kolmogorov extension theorem to construct value at dyadic times and then use ...
9
votes
1answer
1k views

Quadratic variation of Brownian motion and almost-sure convergence

Say that $W(t)$ is a Brownian motion. The quadratic variation $[W,W](t)$ is defined in terms of a partition $\Pi = \{0 = t_0 < t_1 < \cdots < t_n = t\}$ by $$ \begin{split} [W,W](t) &= ...
8
votes
2answers
543 views

Sobolev meets Wiener

Even though the Wiener process (Brownian motion) is continuous, it has no derivative at any point. Does it at least have weak derivatives?
7
votes
1answer
566 views

Calculate $\mathbb{E}(W_t^k)$ for a Brownian motion $(W_t)_{t \geq0}$ using Itô's Lemma

Show by using Ito's Lemma, for $k \geq 2$ the following result hold. $$E[W(t)^k] = \frac{1}{2} k(k-1)\int_0^t E[W(s)^{k-2}]ds$$ where $W(t) = N(0,t)$ is standard Brownian motion. I think ...
7
votes
1answer
315 views

Definition of the Brownian motion

The way I understood the definition of a Brownian motion $B_t$ in $\mathbb R$ is that it consists of two parts: We first define the finite-dimensional distributions $$ ...
7
votes
1answer
143 views

Must $n$ independent Wiener processes be simultaneously positive at some time?

Consider $n$ independent one-dimensional Wiener processes $(W_i)_{1\leqslant i\leqslant n}$. Is there with probability $1$ some time $t\in[0,1]$ such that $W_i(t)>0$ for every $1\leqslant ...
7
votes
2answers
193 views

Construction of Brownian Motion

In Wiener's construction of Brownian Motion, it is assumed that there exists a probability space $(\Omega,\mathcal F,\mathbb P)$ and random variables $X_n:\Omega\rightarrow\mathbb R$ for $n\in\mathbb ...
7
votes
1answer
231 views

Integral of the positive part of a Brownian motion

Let $X(t)$ be the standard Brownian motion, I need to find the distribution of $S=\int_{0}^T(X(t))^+dt$, where $(x)^+=\max\{0,x\}$. I want to use the distribution to get a concentration bound for ...
7
votes
1answer
146 views

Two people are looking for each other. Is it faster for both to actively search, or for one to search while the other stays still?

Choose among two actors randomly and place the chosen actor at the origin. Place the other actor in the unit circle uniformly at random. Both actors move at the same speed. Both actors are said to ...
6
votes
3answers
880 views

Expected value of average of Brownian motion

For a standard one-dimensional Brownian motion $W(t)$, calculate: $$E\bigg[\Big(\frac{1}{T}\int\limits_0^TW_t\, dt\Big)^2\bigg]$$ Note: I am not able to figure out how to approach this problem. All ...
6
votes
2answers
1k views

Prove the time inversion formula is brownian motion

Let $B=(B_t)_{t\geq 0}$ be a brownian motion. Show the time inversion formula $\hat{B}=(B_t)_t\geq0$ is a brownian motion, where for $t \geq 0$ we set $\hat{B}=0$ for $t=0$ and $\hat{B}=tB_{1/t}$ for ...
6
votes
2answers
115 views

Estimating the maximum of a Brownian motion over the unit interval

Let $\left(B_t\right)_{t \in \left[0,\infty\right)}$ be a standard Brownian motion over the probability space $\left(\Omega, \mathcal{A}, P\right)$. For each $x \in \left(0, \infty\right)$, give an ...
6
votes
1answer
280 views

Expected Value of Brownian motion using ito isometry

Find $$ E\ \left[\left(\int_{0}^T e^{s+W_s}dW_s \right)^2\right], $$ where $(W_s)$ is a Brownian motion. I tried to use Ito isometry to solve this question, but still not yet to find the right ...
6
votes
1answer
89 views

Converge to Brownian Motion problem

Consider the following sequence of SDEs: $dX^n_t = \sin(nX^n_t)dt + dW_t, X^n_0 = 0\,\,\,$ Show that the solutions $X^n$ converge in finite dimensional distribution to Brownian Motion. I have been ...
6
votes
2answers
396 views

Laplace transform of integrated geometric Brownian motion

Is there any closed form of the Laplace transform of an integrated geometric Brownian motion ? A geometric Brownian motion $X=(X_t)_{t \geq 0}$ satisifies $dX_t = \sigma X_t \, dW_t$ where ...
6
votes
1answer
142 views

lower bound of expectation of stochastic differential equation

I'm looking for a lower bound on the expected value of a smooth, non-negative, increasing function $\mathbb{E}f(X_t)$, $f(0)=0$ of the solution to a stochastic differential equation $X_t = x + ...
6
votes
0answers
196 views

Does this random variable have a density?

I have a persistent problem, which I'm almost certain can be answered using elementary probabilistic arguments, but for some reason I've been stuck for some time. Here is the problem. Let $(B_s, s ...
6
votes
1answer
778 views

Expectation of an integral w.r.t. Brownian Motion

I know the following statement: if $f$ is a deterministic function and continuous, i.e. $f\in C^0([0,T],\mathbb{R})$, then $\int f(s)dW_s$ is normally distributed with mean zero and variance $\int ...
6
votes
0answers
378 views

Hölder Continuity of Fractional Brownian Motion

I would like to prove the following theorem: Let $H\in (0,1)$. The fractional Brownian motion $B_H$ admits a version whose sample paths are $a.s.$ Hölder continuous of order strict less than $H$. ...
6
votes
2answers
343 views

Confidence band for Brownian Motion with uniformly distributed hitting position

Let $(B_t)$ denote the standard Brownian motion on the interval $[0,1]$. For a given confidence level $\alpha \in (0,1)$ a confidence band on $[0,1]$ is any function $u$ with the property that $$ ...
5
votes
1answer
364 views

Brownian motion: changing the order of expectation and integration in $E \left( \int_s^t B_x dx \mid F_s \right)$

Let $B$ be a standard Brownian motion with induced filtration $F$. Is it true that, for $s<t$, $$ E \left( \int_s^t B_x dx \mid F_s \right) = \int_s^t E \left( B_x \mid F_s\right) dx \;? $$ To ...
5
votes
2answers
3k views

Integral of Brownian motion is Gaussian?

Let $(W_t)$ be a standard Brownian motion, so that $W_t \sim N(0,t)$. I'm trying to show that the random variable defined by $Z_t = \int_0^t W_s \ ds$ is a Gaussian random variable, but have not ...
5
votes
1answer
364 views

Hausdorff dimension of graphs of one-dimensional Brownian motion

First question here, my apologies if it is a duplicate or inappropriate. There is a page on Wikipedia listing fractals by Hausdorff dimension and it includes the graph of a "regular Brownian ...
5
votes
2answers
172 views

Submartingale example: proof

I am trying to prove if the process $M_t = e^{W_t^2-t}$ is a submartingale ($W_t$ is the Wiener Process). The proof becomes a bit difficult, to the point where I am unsure how to move forward. Let ...
5
votes
1answer
354 views

$\int_0^tB_s^2\ dB_s$ - Gaussian Process and independent increments?

For $(B_t)_{t\ge0}$ a standard Brownian motion (Wiener process) define the stochastic process $X_t:=\int_0^tB_s^2\ dB_s$. I am currently trying to assess if $(X_t)_{t\ge0}$ is a Gaussian process and ...
5
votes
1answer
101 views

Is $t^{-\frac{1}{2}}B_{t^2}$ a Brownian Motion?

I think the title says it all. Let $X_t = t^{-\frac{1}{2}}B_{t^2}$, with $B_t$ being a brownian motion started at $0$. I think I have proved continuity at $0$ by doing the following: $$ X_t = ...
5
votes
3answers
1k views

On hitting time of Brownian motion and Ito's lemma

I have two possibly related questions. Let $\tau:=\min\{t\geq0:B_t=1\}$, where $B_t$ is a standard Brownian motion. I am supposed to derive the fact that $\mathbf{E}\tau=\infty$ by applying some ...
5
votes
2answers
196 views

Ornstein-Uhlenbeck process: increments

I'm new to the forum so I hope this first question goes well. Let the Ornstein-Uhlenbeck process be defined as: $$ dV_t = - \beta V_t dt + \sigma dW_t $$ with $V_0 = v$, where $W_t$ is a Wiener ...
5
votes
1answer
846 views

Brownian motion - characteristic function

Let me remind first the construction of Brownian motion. Fix a vector $x \in \mathbb{R}^n$ and define $p(t,x,y) := (2\pi t )^{-\frac{n}{2}} \cdot \exp{\left( - \frac{|x-y|^2}{2t} \right)},$ for $y ...
5
votes
2answers
613 views

Dominated convergence problems with Wald's identity for the Brownian Motion

In the course of proving Wald's second identity $E(B^2_T)=E(T)$, where $(B_t)_{t\geq0}$ is the Brownian motion and $T$ is a stopping time with $E(T)<\infty$, I got stuck with the following problem. ...
5
votes
1answer
320 views

Computing the limit of the expectation of a function of a stochastic process (phew!)

I state my problem in a few lines then describe what I have already done. I have a quite simple stochastic differential equation (SDE): $dx=-2x \, dt+\sqrt{1-x^2} \, dW$ with $W$ a brownian. I ...
5
votes
2answers
262 views

Brownian Motion Covariance: max instead of min

It is known that $\operatorname{Cov}(B_t,B_s)=\min(t,s)$ where $B$ is Brownian motion. Can one think of an Ito process or integral (preferrably plain Gaussian process) $W$ such that ...
5
votes
1answer
855 views

Quadratic Variation of Brownian Motion

Quadratic Variation of a Brownian motion $B$ over the interval $[0,t]$ is defined as the limit in probability of any sequence of partitions $\Pi_n([0,t])=\{0=t^n_0<\cdots<t^n_{k(n)}=t\}$ of the ...
5
votes
0answers
41 views

Accelerated Eigenfunction Expansions of Random Functions

I am interested in eigenfunction expansions of random functions. We know that the autocorrelation of brownian motion, $\{ B_t \}_{t \geq 0}$, is given by $$ E[B_t B_s] = \min\{s,t \}, $$ which can ...
5
votes
0answers
30 views

The probability that a linear Brownian motion will hit a curve

Summary I am trying to estimate the probability that a standard linear Brownian motion will hit some curve. To make things a bit simple, I can assume that the curve is a graph of a function, that is ...
5
votes
0answers
236 views

How to prove Brownian motion is Gaussian Process?

I'm reading Bernt Oksendal's "Stochastic Differential Equations" and this is one of the proof that I'm totally lost. This is from Ch2.2, page 12-13 (sixth edition). First, Brownian motion is ...
5
votes
0answers
145 views

Intuition for the optimality of bold play

There is a standard result (I think originally by Dubins and Savage) that if one wants to maximise the probability of winning a certain amount in an unfair game of chance then an optimal strategy is ...
5
votes
3answers
1k views

expected value of brownian motion

How can you find this expected value? $$ \mathbb{E}[|W_{t}^2 - t|] $$ where $W_{t}$ is a brownian motion.
4
votes
1answer
282 views

Stopping time and Brownian motion (specific example)

Let $B$ be a Brownian motion. I want to show that $$ \inf\{t\geq0 \mid B(t)=\max_{x\in [0,1]}B(s)\} $$ is not a stopping time w.r.t. the standard filtration. How can one intuitively see that this ...