A multiscale guide to Brownian motion

DOI10.1088/1751-8113/49/4/043001zbMATH Open1344.65016arXiv1505.04525OpenAlexW3105435770MaRDI QIDQ2994585FDOQ2994585

Authors: D. S. Grebenkov, Peter Jones, Dmitry V. Belyaev 

Publication date: 2 August 2016

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Abstract: We revise the Levy's construction of Brownian motion as a simple though still rigorous approach to operate with various Gaussian processes. A Brownian path is explicitly constructed as a linear combination of wavelet-based "geometrical features" at multiple length scales with random weights. Such a wavelet representation gives a closed formula mapping of the unit interval onto the functional space of Brownian paths. This formula elucidates many classical results about Brownian motion (e.g., non-differentiability of its path), providing intuitive feeling for non-mathematicians. The illustrative character of the wavelet representation, along with the simple structure of the underlying probability space, is different from the usual presentation of most classical textbooks. Similar concepts are discussed for fractional Brownian motion, Ornstein-Uhlenbeck process, Gaussian free field, and fractional Gaussian fields. Wavelet representations and dyadic decompositions form the basis of many highly efficient numerical methods to simulate Gaussian processes and fields, including Brownian motion and other diffusive processes in confining domains.

Full work available at URL: https://arxiv.org/abs/1505.04525

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zbMATH Keywords

Gaussian processesOrnstein-Uhlenbeck processBrownian motionmultiscalenumerical examplefractalGaussian free fieldwaveletBrownian bridge[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+construction&go=Go L��vy construction]

Mathematics Subject Classification ID

Gaussian processes (60G15) Numerical methods for wavelets (65T60) Brownian motion (60J65) Fractals (28A80)

Cited In (6)

• An Optimal Polynomial Approximation of Brownian Motion
• Product formalisms for measures on spaces with binary tree structures: representation, visualization, and multiscale noise
• IFSM Representation of Brownian Motion with Applications to Simulation
• Wavelet-Based Methods for High-Frequency Lead-Lag Analysis
• Reconstruction of substrate's diffusion landscape by the wavelet analysis of single particle diffusion tracks
• Brownian Motion

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