Anders Martin-Löf: Construction of the Wiener process, the most basic Gaussian stochastic process with continuous trajectories
Time: Thu 2015-09-24 12.20
Location: Room 3721, Lindstedtsvägen 25, 7th floor, Department of mathematics, KTH
Participating: Anders Martin-Löf, Stockholm university
Inspired by the Brownian motion Wiener in 1923 constructed a stochastic process, which has turned out to be a basic building block in the theory of stochastic processes. I will explain an elegant simple construction of this process due to Levy which shows that it is Gaussian and continuous.