Diffusion process

The use of diffusion process is used quite extensively in many areas, one being the modelling of stock price movement. This concept helps us to to cover topics as important as Black-Schole's model of option pricing which is derived using the basic concepts of stochastic differential equation. A good example of diffusion process is the Brownian motion, and the basic concept of Brownian motion is derived from Wiener's process. For the interest of the reader we should mention that even though Robert Brown the Scottish botanist is credited with the discovery of this phenomenon, which is named after him, yet it was the Dutch physiologist, chemist and botanist, Jan Ingenhousz who discovered the Brownian motion phenomenon before Robert Brown.