4 The canonical model
Often we encounter the statement ‘Let X be a random variable with law μ’ where μ is an a priori given probability distribution. There is no reference to the underlying probability space ( 
), and actually the nature of this space is not important: While X is defined by the probability distribution, there is considerable freedom in the choice of our model (
). The same situation is true for stochastic processes: Brownian motion ...
Get Brownian Motion, 2nd Edition now with the O’Reilly learning platform.
O’Reilly members experience live online training, plus books, videos, and digital content from nearly 200 publishers.
