Wiener’s Construction of the Brownian Motion

Andreas Löffler and Lutz Kruschwitz
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Andreas Löffler: Free University of Berlin
Lutz Kruschwitz: Free University of Berlin

Chapter 6 in The Brownian Motion, 2019, pp 87-101 from Springer

Abstract: Abstract In many economic textbooks which address the Brownian motion one finds representations resembling those of Fig. 6.1. Let us initially focus on the blue path, a function frequently used to illustrate a typical path of a Brownian motion. Almost everyone would accept that the price of a share could develop as shown. In particular, economists find such a representation plausible. However, such an interpretation is more likely to mislead rather than to contribute to the understanding of what the Brownian motion is all about. Even worse, they convey a misconception of the Brownian motion. Let us explain this phenomenon by looking at a coin toss.

Date: 2019
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DOI: 10.1007/978-3-030-20103-6_6

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