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In probability and statistics, a probability distribution assigns a probability to each measurable subset of the possible outcomes of a random experiment, survey, or procedure of statistical inference.
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The supreme distribution of Brownian motion increment
Let $W_t$ be an one-dimensional standard Brownian motion, and $\theta_s$ is the shift such that $\theta_s( W_t)=W_{t+s}-W_s$, then are there any reference available regarding the distribution of the f …
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Question about infinite-dimensional BM
Suppose we are given an $L^2(\mathcal{D})$-valued Brownian motion $W_t$ defined by
$$W_t:=\sum_{k=1}^{\infty}\sqrt{\sigma_k}W_t^k\phi_k(x),$$
where $\mathcal{D}$ is bounded domain in $\mathbb{R}^d$, $ …