Reflection principle (Wiener process)
id:
reflection-principle-wiener-process-275-9663424
title:
Reflection principle (Wiener process)
text:
In the theory of probability for stochastic processes, the reflection principle for a Wiener process states that if the path of a Wiener process f(t) reaches a value f(s) = a at time t = s, then the subsequent path after time s has the same distribution as the reflection of the subsequent path about the value a. More formally, the reflection principle refers to a lemma concerning the distribution of the supremum of the Wiener process, or Brownian motion. The result relates the distribution of th
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encyclopedia
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original url:
https://en.wikipedia.org/wiki/Reflection_principle_(Wiener_process)
date created:
date modified:
2024-04-18T04:02:33Z
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image:
{"content_url":"https://upload.wikimedia.org/wikipedia/commons/6/63/Wiener_process_and_its_reflection_upon_reaching_a_crossing_point.png","width":792,"height":612}
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13
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14