Lean formalization of a Brownian motion

Our goal is to formalize Brownian motions in Lean using Mathlib. There are two main parts to this formalization:

  • develop the theory of Gaussian distributions and build a projective family of Gaussian distributions and define its projective limit by the Kolmogorov extension theorem,

  • prove the Kolmogorov-Chentsov continuity theorem.

For more information, see the project home page, in particular the blueprint.

The project is ongoing.