Re: Brownian motion

[Stephen Montgomery-Smith]

Wing wrote:
> Hello everyone.
>
> I have a question about a standard Brownian motion, W(t). Is it
> possible to express dW? Because I would like to observe the small
> change of W over time and compare my simulation.

I think that dW/dt is a distribution.  If phi is a smooth enough 
function (Borel measurable should be enough) then

int phi dW := W(phi)

is a gaussian random variable who mean is zero and variance is

int |phi(t)|^2 dt.