Brownian motion

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Brownian motion (named after Robert Brown, who first observed the motion in 1827, when he examined pollen grains in water), or pedesis (from Greek: πήδησις "leaping") is the seemingly random movement of particles suspended in a fluid (i.e. a liquid such as water or a gas such as air) or the mathematical model used to describe such random movements, often called a particle theory.

The mathematical model of Brownian motion has several real-world applications. An often quoted example is stock market fluctuations. However, movements in share prices may arise due to unforeseen events which do not repeat themselves, and physical and economic phenomena are not comparable.

Brownian motion is among the simplest of the continuous-time stochastic (or probabilistic) processes, and it is a limit of both simpler and more complicated stochastic processes (see random walk and Donsker's theorem). This universality is closely related to the universality of the normal distribution. In both cases, it is often mathematical convenience rather than the accuracy of the models that motivates their use. This is because Brownian motion, whose time derivative is everywhere infinite, is an idealized approximation to actual random physical processes, which always have a finite time scale.

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History

The Roman Lucretius's scientific poem "On the Nature of Things" (c. 60 BC) has a remarkable description of Brownian motion of dust particles. He uses this as a proof of the existence of atoms:

"Observe what happens when sunbeams are admitted into a building and shed light on its shadowy places. You will see a multitude of tiny particles mingling in a multitude of ways... their dancing is an actual indication of underlying movements of matter that are hidden from our sight... It originates with the atoms which move of themselves [i.e. spontaneously]. Then those small compound bodies that are least removed from the impetus of the atoms are set in motion by the impact of their invisible blows and in turn cannon against slightly larger bodies. So the movement mounts up from the atoms and gradually emerges to the level of our senses, so that those bodies are in motion that we see in sunbeams, moved by blows that remain invisible."

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