A Tutorial on Brownian Motion for Biostatisticians
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Abstract
This manuscript provides an in-depth exploration of Brownian Motion, a fundamental stochastic process in probability theory for Biostatisticians. It begins with foundational definitions and properties, including the construction of Brownian motion and its Markovian characteristics. The document delves into advanced topics such as the Karhunen-Loeve expansion, reflection principles, and Levy's modulus of continuity. Through rigorous proofs and theorems, the manuscript examines the non-differentiability of Brownian paths, the behavior of zero sets, and the significance of local time. The notes also cover important results like Donsker's theorem and Blumenthal's 0-1 law, emphasizing their implications in the study of stochastic processes.
