Concepedia

Multidimensional Brownian Motion

Multidimensional Brownian Motion is a stochastic process in probability theory that generalizes one-dimensional Brownian motion by consisting of a vector of independent standard Brownian motions evolving simultaneously across multiple spatial dimensions.

165

Publications

9.7K

Citations

247

Authors

171

Institutions

Publications per year

2017–2026

23

Variants

Multi-dimensional Brownian Motion

Parents

Publications

165

MULTI-DIMENSIONAL DIFFUSION PROCESSES

J. F. C. Kingmán · Bulletin of the London Mathematical Society · 1980 · 1.3K citations

, , +10

Martingale and Duality Methods for Utility Maximization in an Incomplete Market

Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve et al. · SIAM Journal on Control and Optimization · 1991 · 828 citations

, , +16

Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation

Shigē Péng · Stochastic Processes and their Applications · 2008 · 582 citations

, , +13

Multidimensional advection and fractional dispersion

Mark M. Meerschaert, David A. Benson, Boris Bäumer · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 1999 · 295 citations

, , +13

Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions

Philippe Biane, Jim Pitman, Marc Yor · Bulletin of the American Mathematical Society · 2001 · 261 citations · Full text

, , +12

1–5 of 165

Authors

247

  1. KB
    Krzysztof Burdzy

    University of Washington, United States

    7 publications · 154 citations

    7

    h-index

  2. EP
    Edwin Perkins

    University of British Columbia, Canada

    3 publications · 146 citations

    3

    h-index

  3. JL
    Jean‐François Le Gall

    Université Paris-Sud, France

    3 publications · 178 citations

    3

    h-index

  4. MS
    Mykhaylo Shkolnikov

    Princeton University, United States

    3 publications · 65 citations

    3

    h-index

  5. JM
    J. Michael Harrison

    Stanford University, United States

    3 publications · 334 citations

    3

    h-index

1–5 of 247

Institutions

171

  1. Sorbonne Université

    Paris, France

    8 h-index

    13 publications

    541 citations

  2. Centre National de la Recherche Scientifique

    Paris, France

    5 h-index

    11 publications

    1.2K citations

  3. University of Washington

    Seattle, United States

    5 h-index

    10 publications

    257 citations

  4. University of Kansas

    Lawrence, United States

    5 h-index

    5 publications

    236 citations

  5. Columbia University

    New York, United States

    4 h-index

    6 publications

    134 citations

  6. Stanford University

    Stanford, United States

    4 h-index

    5 publications

    176 citations

  7. Laboratoire de Probabilités et Modèles Aléatoires

    Paris, France

    4 h-index

    4 publications

    203 citations

  8. University of Oslo

    Oslo, Norway

    4 h-index

    7 publications

    171 citations

1–8 of 171

Venues

  1. The Annals of Probability

    20 publications · 1.1K citations

    16

    h-index

  2. Probability Theory and Related Fields

    7 publications · 175 citations

    7

    h-index

  3. The Annals of Applied Probability

    7 publications · 229 citations

    7

    h-index

  4. Transactions of the American Mathematical Society

    TRAN · 6 publications · 372 citations

    6

    h-index

  5. Journal of Applied Probability

    JAP · 6 publications · 286 citations

    6

    h-index

1–5