Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2018/iii/paper-201/4/a/solution

A standard one-dimensional Brownian motion is a real-valued stochastic process satisfying almost surely, having continuous paths almost surely, and having independent increments with
Here is the normal distribution with zero expected value and variance . Thus the increments are also stationary increments.
If Brownian motion is defined relative to a specified filtration , additionally require that it is an adapted process and that is independent of . For its natural filtration, this follows from independent increments. These are the defining properties of standard Brownian motion.

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