Generalized Wiener process

{{Short description|In statistics, a continuous time random walk with drift and random jumps at every point in time}}

In statistics, a generalized Wiener process (named after Norbert Wiener) is a continuous time random walk with drift and random jumps at every point in time. Formally:

:$a(x,t)\; dt\; +\; b(x,t)\; \backslash eta\; \backslash sqrt\{dt\}$

where a and b are deterministic functions, t is a continuous index for time, x is a set of exogenous variables that may change with time, dt is a differential in time, and η is a random draw from a standard normal distribution at each instant.