Explain 'Brownian Motion'.

Explain 'Brownian Motion'.

Approach: Define the continuous-time stochastic process.

A mathematical model used to describe random motion. A Wiener process W_t has: W_0 = 0, independent increments, and W_t - W_s ~ N(0, t-s). It is the limit of a random walk.

Follow-up: What is Geometric Brownian Motion (GBM)?

Key concepts: wiener process, normal distribution, independent increments.