title: Generalized Wiener process
text: # Generalized Wiener process
  
  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:
  
      $a(x,t)dt+b(x,t)\eta {\sqrt {dt}}$
  
  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.
  
  