Some of the things I've learned every day since Oct 10, 2016
36: Scale-Invariance of Brownian Motion
November 15, 2016Posted by on
Brownian motion (also known as the Wiener process (after Norbert Wiener)) is scale-invariant, a feature which distinguishes it from other stochastic processes like standard random walks. This means that if is a Wiener process, then for any non-zero constant ,
is also a Wiener process.