Wiener Process
So a Wiener process can be modeled by the following difference equation:
W(t) = W(t-1) + N(0,1)
where N(0,1) = normal distribution with mean 0 and unit variance 1.
Somewhere I saw someone use the following closed form for it:
W(t)= sqrt(t) * N(0,1)
Is the closed form an approximation for the difference equation? If not can someone show the steps to reach to the close form from the difference equation?
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