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TL;DR

Another name for standard Brownian motion, named after Norbert Wiener. The terms are used interchangeably in mathematical finance.

By Valenke Exam Prep Team·Last updated 2026-06-03

Wiener Process

Another name for standard Brownian motion, named after Norbert Wiener. The terms are used interchangeably in mathematical finance.

Why it matters for interviews

Understanding that Wiener process and Brownian motion are synonymous prevents confusion when reading different textbook traditions. The Wiener measure underpins the rigorous probability foundation of stochastic calculus.

Definition and Mathematical Foundation

Another name for standard Brownian motion, named after Norbert Wiener. The terms are used interchangeably in mathematical finance.

Application in Quantitative Finance

Understanding that Wiener process and Brownian motion are synonymous prevents confusion when reading different textbook traditions. The Wiener measure underpins the rigorous probability foundation of stochastic calculus.

Related Concepts

Brownian Motion (Wiener Process)

Related Terms

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Frequently Asked Questions

Is there any difference between Wiener process and Brownian motion?▼
No mathematical difference. 'Brownian motion' comes from physics (Robert Brown's observation of pollen particles), while 'Wiener process' honors the mathematician who provided the rigorous construction.
What is the Wiener measure?▼
The probability measure on the space of continuous functions that makes the coordinate process a Brownian motion. It provides the rigorous foundation for stochastic integration.
What is a generalized Wiener process?▼
A process \( X_t = at + bW_t \) with constant drift \( a \) and volatility \( b \). It generalizes standard Brownian motion to include non-zero mean and arbitrary scale.