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Article | REF: A565 V1

Relationship between probabilities and partial differential equations

Author: Jean-Pierre FOUQUE

Publication date: April 10, 1996

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2. The Wiener process (or Brownian motion)

In this paragraph, we recall the essential definitions of the theory of Markov processes. We add to the article [A 1 346] in this treatise, Methods for studying classical stochastic dynamics problems, on the special and fundamental case of the Wiener process or Brownian motion. We show that the solution of a Laplace problem with Dirichlet condition can be expressed as the expectation of a Brownian motion functional.

2.1 Additional information on processes

The following definitions complete article [A 1 346] of this treaty

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The Wiener process (or Brownian motion)
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