Re: Weiner process
- To: mathgroup at smc.vnet.net
- Subject: [mg63899] Re: Weiner process
- From: Janusz Kawczak <jkawczak at uncc.edu>
- Date: Sat, 21 Jan 2006 01:50:45 -0500 (EST)
- References: <dqqc98$m0j$1@smc.vnet.net>
- Sender: owner-wri-mathgroup at wolfram.com
Don, nobody can generate samples of Brownian motion! And, of course, there cannot be a database holding them. What you can do, however, is to use one of the representations for the discretized BM process and simulate based on it. Thus, you will end up with 'some' approximation to the BM. Whether it is good or bad approximation remains to be answered. In general, the quality of the sample paths is questionable. One of the simplest approaches is to use the ordinary Random Walk as an approximation. You will have some control over the steps and the number of them. Also, you need to pay attention to the Pseudo (Quasi) Random Number Generator you are using for the simulation. If you are generating something of order 10^10, and higher, steps the generator will start playing a significant role in the quality of the approximation. This is just a short note on this undertaking. A little Google search will point you to many simple or less simple codes to use. Also, you should be able to write your own code of one or two lines to do what you want. Best, Janusz. Don wrote: > For a Monte Carlo simulation I need samples of the Brownian motion > (Wiener)process X(t), 0<t<1. Does anyone know of a data base where I can > find them, or of a program to generate them? > >