Stoch Lesson 38 parameters of BM

Lawler defined BM with 2 params – drift and variance v, but the meaning of variance is tricky.

Note a BM is about a TVRV and notice the difference between a N@T vs TVRV. A N@T could be modeled by a Gaussian variable with a variance. The variance v of a BM is about the variance of increment. Specifically, the increment over deltaT is a regular Gaussian RV with a variance = deltaT*v

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