Generalized Wiener process

In statistics a generalized Wiener process (named after Norbert Wiener) is a continuous time random walk with drift and random jumps at every point in time. Formally:

$a(x,t)dt+b(x,t)c(dt)^{1/2}$

where:

a and b are deterministic functions, t is a continuous index for time, x is a set of exogenous variables that may change with time, dt is a differential in time, and c is a random draw from a standard normal distribution at each instant.

See also

Wiener process