[Q] Simulating Brownian Motion
- To: mathgroup at smc.vnet.net
- Subject: [mg36324] [Q] Simulating Brownian Motion
- From: Janusz Kawczak <jkawczak at math.uncc.edu>
- Date: Sat, 31 Aug 2002 01:26:11 -0400 (EDT)
- Sender: owner-wri-mathgroup at wolfram.com
Hello, does anyone know whether there is an effective way of simulating paths of Brownian motion (Wiener process) in dimensions 1, 2, 3? I could you a random walk approach, but this seems to be computationally not very efficient and I am not sure whether it is even a good approximation to the 3-D BM. Any help on Mathematica coding and in the forms of algorithms will be greatly appreciated. Janusz Kawczak.