A continuous-time stochastic process B_t with B_0=0, independent increments, B_t−B_s ∼ N(0, t−s), and continuous sample paths. Canonical example of a continuous martingale.
A continuous-time stochastic process B_t with B_0=0, independent increments, B_t−B_s ∼ N(0, t−s), and continuous sample paths. Canonical example of a continuous martingale.