Bernoulli process[edit]

Main article: Bernoulli process

One of the simplest stochastic processes is the Bernoulli process,[81] which is a sequence
of independent and identically distributed (iid) random variables, where each random variable
takes either the value one or zero, say one with probability  and zero with probability . This
process can be linked to repeatedly flipping a coin, where the probability of obtaining a head
is  and its value is one, while the value of a tail is zero. [82] In other words, a Bernoulli process is a
sequence of iid Bernoulli random variables, [83] where each coin flip is an example of a Bernoulli
trial.[84]

Random walk[edit]
Main article: Random walk
Random walks are stochastic processes that are usually defined as sums of iid random variables
or random vectors in Euclidean space, so they are processes that change in discrete time. [85][86][87][88]
[89]
 But some also use the term to refer to processes that change in continuous time, [90] particularly
the Wiener process used in finance, which has led to some confusion, resulting in its criticism.
[91]
 There are other various types of random walks, defined so their state spaces can be other
mathematical objects, such as lattices and groups, and in general they are highly studied and
have many applications in different disciplines.[90][92]
A classic example of a random walk is known as the simple random walk, which is a stochastic
process in discrete time with the integers as the state space, and is based on a Bernoulli
process, where each Bernoulli variable takes either the value positive one or negative one. In
other words, the simple random walk takes place on the integers, and its value increases by one
with probability, say, , or decreases by one with probability , so the index set of this random walk
is the natural numbers, while its state space is the integers. If the , this random walk is called a
symmetric random walk.[93][94]

Wiener process[edit]
Main article: Wiener process
The Wiener process is a stochastic process with stationary and independent increments that
are normally distributed based on the size of the increments.[2][95] The Wiener process is named
after Norbert Wiener, who proved its mathematical existence, but the process is also called the
Brownian motion process or just Brownian motion due to its historical connection as a model
for Brownian movement in liquids.[96][97][98]

Realizations of Wiener processes (or Brownian motion processes) with drift (blue) and without drift (red).

Playing a central role in the theory of probability, the Wiener process is often considered the
most important and studied stochastic process, with connections to other stochastic processes. [1]
[2][3][99][100][101][102]
 Its index set and state space are the non-negative numbers and real numbers,
respectively, so it has both continuous index set and states space. [103] But the process can be
defined more generally so its state space can be -dimensional Euclidean space.[92][100][104] If
the mean of any increment is zero, then the resulting Wiener or Brownian motion process is said
to have zero drift. If the mean of the increment for any two points in time is equal to the time
difference multiplied by some constant , which is a real number, then the resulting stochastic
process is said to have drift .[105][106][107]
Almost surely, a sample path of a Wiener process is continuous everywhere but nowhere
differentiable. It can be considered as a continuous version of the simple random walk. [50][106] The
process arises as the mathematical limit of other stochastic processes such as certain random
walks rescaled,[108][109] which is the subject of Donsker's theorem or invariance principle, also
known as the functional central limit theorem. [110][111][112]
The Wiener process is a member of some important families of stochastic processes, including
Markov processes, Lévy processes and Gaussian processes.[2][50] The process also has many
applications and is the main stochastic process used in stochastic calculus. [113][114] It plays a central
role in quantitative finance,[115][116] where it is used, for example, in the Black–Scholes–Merton
model.[117] The process is also used in different fields, including the majority of natural sciences as
well as some branches of social sciences, as a mathematical model for various random