page 19 of http://www.math.tifr.res.in/~publ/ln/tifr64.pdf gives a defintion of Wiener measure Ft1,t2,..,tk. But how can we show it is a probability measure and it satisfies the consistency condition given in Kolmogrov extension theorem ? Also , how to show the independence and normal distribution part? These are Excercise 1 a,b,c following the difinition. Could anyone show me how to do it ? Thanks in advance
How to show Wiener measure induces basic properties of Brownian motion?
0
$\begingroup$
functional-analysis
measure-theory
probability-theory
stochastic-analysis
-
0@did but how to get measure of whole space is 1 ? there seems no defintion for little p in the notes ? – 2012-10-17
1 Answers
0
The definition of $p$ is on page 9 of the notes.