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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

15 votes
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Wiener process related counterexample

The Wiener process is defined by the three properties: 1. $W(0) = 0$, 2. $W(t)$ is almost surely continuous, and 3. $W(t)$ has independent increments with $W(t) - W(s) \sim N(0, t-s)$ (for $0 ≤ s < …