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Brownian motion

  1. May 28, 2005 #1
    Describe the process of simulating a brownian motion with drift of 4 units and diffusion of 2 units. write a program in any application to imulate such a brownian motion.

    Anyone knows where should i start first if i use excel to do it. I dont know what equation to use.
  2. jcsd
  3. May 28, 2005 #2
    You can probably start here:

    http://www.kellogg.nwu.edu/faculty/myerson/ftp/ch7time.pdf [Broken]
    Last edited by a moderator: May 2, 2017
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