Properties of Brownian Motion

Brownian motion is a continuous-time random process used to describe the cumulative effect of pure noise. It exhibits many properties of interest, such as its martingale properties and analytical properties. In particular, the analytical properties can be extended to develop the field of stochastic analysis, which when combined with its martingale properties, has many applications in finance. The purpose of this project is to study these properties of Brownian motion in a depth greater than what is offered in undergraduate courses, as well as to explore some of the applications in financial mathematics.

Pu Ti Dai

Monash University

Pu Ti is an undergraduate mathematics student at Monash University with an interest in probability, statistics and mathematical finance. He has a background in machine learning and previously studied civil engineering before his interest in mathematics got the better of him. In his spare time, he has a rather niche hobby of translating Chinese web novels into English.

You may be interested in

Ashley Hanson

Ashley Hanson

The Price of Anarchy, the Price of Stability, and the Price of Communication in Interacting Intensive Care Units
Liam Barnes

Liam Barnes

Coriolis Force acting on Magnetic Active Regions on the Sun Project
Dibyendu Roy

Dibyendu Roy

The Polynomial Method in Additive Combinatorics
Daniel Dunmore

Daniel Dunmore

C*-Algebras of Discrete Groups
Contact Us

We're not around right now. But you can send us an email and we'll get back to you, asap.

Not readable? Change text.