# Which Brownian motion property is the most important? [closed]

Which Brownian motion property is the most important?

A standard Brownian motion is a stochastic process $(W_t, t\geqslant 0)$ indexed by nonnegative real numbers t with the following properties:

1. $W_0=0$;
2. With probability 1, the function $t \to W_t$ is continuous in t;
3. The process $(W_t, t\geqslant 0)$ has stationary, independent increments;
4. The increment $W_{t+s}-W_s$ has the $\mathrm{NORMAL}(0, t)$ distribution.

## closed as primarily opinion-based by Nate Eldredge, Did, Davide Giraudo, Alexander Gruber♦May 10 '14 at 17:03

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• What do you mean by "most important"? Most important with regard to what...? Actually, all these properties are very imporant. – saz May 10 '14 at 11:53
• Actually I think the same - that all are important. However, during the exam I got the question: "Which Brownian motion property is the most important?" and got confused... So now I am curious if I can exclude some property as the most important one. – kevi May 10 '14 at 11:58

I agree with @FooBar that the first property, i.e. that the initial point equals $0$ a.s., is not an important one - in the sense that this property is not needed in order to characterize the Brownian motion. In fact, the shifted process $(x+W_t)_{t \geq 0}$ is called Brownian motion started at $x \in \mathbb{R}$, and there are further generalizations which basically allow to consider arbitrary initial distributions.
Concerning the continuity of the sample paths: Any process $(W_t)_{t \geq 0}$ which satisfies the properties 3+4 has a modification which has (a.s) continuous sample paths. This follows from the Kolmogorov-Chentsov theorem. (Obviously, this does not mean that the continuity is not important.)
Concerning the stationary independent increments: If a process $(L_t)_{t \geq 0}$ has stationary independent increments (and is stochastically continuous), then it is called a Lévy process. This is a rather important class of stochastic processes and, in particular the sample path properties differ from these of the Brownian motion. Most importantly, the sample paths can have jumps. In fact, the Brownian motion is the only Lévy process with continuous sample paths. This means that the properties 2+3 imply property 4.
I would just exclude $W_0$. The initial value is quite irrelevant and is typically chosen to be zero only for normalization purposes. If you compare it to discrete-time, the Brownian motion is the equivalent of an iid $N(0,\sigma)$ process.