Task:

Make the sample path of the Brownian Motion Process from the White Gaussian Noise. And
draw the sample path of the Brownian Motion Process in the case of 1D & 2D.

Answer:

1. The White Gaussian Noise:

A White Gaussian Noise process γ(t, ω) is a stochastic process such that its p.d.f (probability
density function) is Gaussian and its spectral density S(λ) is represented by:

Sγ(λ) = S0 = constant

By recalling the well-known Wiener - Kintchine formula as follows:

1 ∞
ψΥ(τ) =2π ∫−∞ Sγ(λ) . exp(jλτ) dλ

Where ψΥ(τ) is the auto-correlation function of stationary γ(t, ϖ) - process, with:

ψΥ(τ) =ε{γ(t, ϖ)γ(t + τ, ϖ)}

Then we have,
1 ∞
ψΥ(τ) =2π ∫−∞ Sγ(λ) . exp(jλτ) dλ = S0. δ(τ)

And,

ψΥ(τ) =ε{γ(t, ϖ)γ(t + τ, ϖ)} = S0. δ(τ)

2. Brownian Motion Process:

A stochastic process {ω(t, ϖ), t ≥ 0} is called the Brownian Motion Process or Wiener
Process if satisfies:

(i) {ω(t, ϖ), t ≥ 0} is a Gaussian Random Process

(ii) mϖ(t) = ε{ω(t, ϖ)}=0

σ2 t (t ≤ s)
ω(t, s)= ε{ω(t, ϖ)ω(s, ϖ)}={ 2
σ s (s ≤ t)

(iii) ω(0, ϖ) = 0 (w.p.1)

Characteristics of Brownian Motion Process

+ Probability Density Function:

Since:

ε{ω(t, ϖ)}=0 and ε{ω2 (t, ϖ)}=σ2 t

Its p.d.f is defined as below:

ϖ2
1 (− )
p (t, ϖ) = e 2σ2t
√2πt.σ

+ At nth , the order joint p.d.f:

(ϖn −ϖ )2
1 (− 2 n−1 )
p (t1, ϖ1 ; t 2 , ϖ2 … ; t n , ϖn ) = ∏N
D=1 √2π(t −t e 2σ (tn −tn−1 )
D D−1 ).σ

+ Independent Increments
ε{[ω(t 3 , ϖ) − ω(t 2 , ϖ)][ω(t 2 , ϖ) − ω(t1 , ϖ)]} = 0; (t1 < t2 < t3)
+ Small Increments:
ε{dω(t, ϖ)} = 0
{
ε{[dω(t, ϖ)]2 } = σ2 dt
Properties of Brownian Motion Process
+ Brownian Motion Process is a Markov Process:
We have,
P[ϖn ≤ α| ϖ1 , ϖ2 , ϖ3 … ϖn−1 ]
+∞
=∫−∞ p(t n Z|t1 , ϖ1 ; t 2 , ϖ2 ; … ; t n−1 , ϖn−1 ). dZ
(Z−ϖ
n−1 )2
+∞ 1 (− )
=∫−∞ e 2σ2(tn−tn−1) .dZ
√2π(tn −tn−1 ).σ

=P[ϖn ≤ α| ϖn−1] ↔ Markov Process

+ Brownian Motion Process is a Martingale

ε{ω(t, ϖ)|{ω(τ, ϖ), 0 ≤ τ ≤ s}}

= ε{ω(s, ϖ) + [ω(t, ϖ) − ω(s, ϖ)]|{ω(τ, ϖ), 0 ≤ τ ≤ s}}

= ω(s, ϖ) (w.p.1)
Thus,

ε{ω(t, ϖ) − ω(s, ϖ)|{ω(τ, ϖ), 0 ≤ τ ≤ s}} = 0

+ Brownian Motion Process is continuous in probability
P[|x(tth,ϖ) − x(t, ϖ)| ≥ ε] → 0 (h → 0)
which implies that ω(t,ϖ) process is continuous in probability.
3. Relation between Brownian Motion Process and White Gaussian Noise
Consider the stationary Gaussian Process θ(t, ϖ) whose mean value is 0, ε{θ(t, ϖ)} =
0 and its auto − correlation function is given by:

ψθ(τ) =α. e(−β|τ|) (α, β > 0)

Also, consider the process η(t, ϖ) given by:

t
η(t, ϖ) = ∫0 θ(t, ϖ) dτ

Then by using the Wiener-Kintchine formula, we have for the special density Sθ(λ) of the
θ(t, ϖ) − process:
∞

Sθ(λ) = ∫ ψθ(τ) e(−jλτ) dτ

−∞
2αβ
= β2 +α2

And,
α 1 2α
lim (Sθ(λ) )= lim (2(β) 1+(α)2 )= β = const
α,β → ∞ α,β → ∞ β
α α
=const =const
β β

Also consider the η(t, ϖ) − process, we have

(i) Since θ(t, ϖ) − process is Gaussian and the integrator is linear, the output process η(t, ϖ)
is also Gaussian.
(ii) Mean value:
t t
ε{η(t, ϖ)}= ε {∫0 θ(τ, ϖ) dτ}=∫0 ε{θ(τ, ϖ)}dτ = 0

And variance:
t t
ε{η2 (t, ϖ)}= ε {∫0 ∫0 θ(s1 , ϖ) θ(s2 , ϖ)ds1 ds2 }
2α 2α 2α
= β t + β2 e(−βt)- β2 →α,β →∞ σ2 t
α
=const
β
2α
=σ2
β

(iii) Initial value

η(0, ϖ) = 0 (w.p.1)
Therefore, the limit process of η(t, ϖ) satisfies the condition of the Brownian Motion Process,
t
ω(t, ϖ)=∫0 γ(τ, ϖ)dτ
or formally : dω(t, ϖ) = γ(t, ϖ)dt
4. The sample path of the Brownian Motion Process:
The sample path is a trajectory of one particle, included number of samples for generating is
NS.
In this case, the value of NS is set to 1500.
The Matlab command is as below:
N=1500;
x= randn(N,1);
y= cumsum(x);
plot(y);
ylabel('Position w(t)');
xlabel('Time (t)');
title('Brownian Motion Process with position & time in 1D');

In case of 2D:
N=1500;
ptcl = struct();
ptcl.x = cumsum( randn(N, 1) );
ptcl.y = cumsum( randn(N, 1) );
plot(ptcl.x, ptcl.y);
ylabel('Position w2(t)');
xlabel('Position w1(t)');
title('Brownian Motion Process with position & time in 2D');