I have learnt about Levy's construction of brownian motion (the Wiener process), and its construction from the random walk.
1) I was wondering what other famous (or useful) examples are there of other continuous time stochastic processes constructed from discrete ones.
2) I also wanted to know if there are any discrete time stochastic processes constructed from discrete versions. i.e the reverse of 1)
3) Why is brownian motion the first continuous time process people are taught. (is it the most fundamental or useful or simplest?)
Thanks