Nonincrease Everywhere of the Brownian Motion Process
Nonincrease Everywhere of the Brownian Motion Process
复制标题
布朗运动过程处处不增
DOI:
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发表时间:
1961
期刊:
影响因子:
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通讯作者:
S. Kakutani
中科院分区:
文献类型:
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作者:
A. Dvoretzky;S. Kakutani
The (linear, separable) Brownian motion process has been studied more than any other stochastic process. It has many applications and, at least since Bachelier, probabilists have been at(tract,ed by its delicate and curious properties. It furnished, in the hands of N. Jyiener, the first instance of a satisfactorily defined nondiscrete stochastic process n-ith continuous time parameter, and it is this work on Browninn motion (also known as Wiener space) that suggested t,he, now universally adopted, method of A. N. Kolmogorov for defining stochastic processes. Moat advanced books on probability devote some space to t,his process but the more delicate results are beyond their scope. A notable exception is P. L&y [2] which contains a x.ery profound study of t,he process. However, though the proof of our principal result could be expedited by appealing to some advanced work on Brownian motion xe preferred a presentation using only the simpler and better known properties of the process. The Brownian motion process can be described as a probability space whose elements are all continuous functions defined on the whole real line and vanishing at the origin. The principal aim of this paper is to pro-e the, to US rather unexpected, result that the probabilify of the set of fw&ions uAich increase at least at one point is zero. [A function is said to increase at a point if its values slightly to t#he right (left) of this point are not smaller (larger) t,han its value at the point,.] A formal statement of this result, will be given in the nest section and its significance will be discussed in the following one. Section 4 will give an interesting, though wrong and leading to a wrong result, heuristic argument. The