Timeline for Discretization simulation of a Wiener Process
Current License: CC BY-SA 4.0
9 events
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| Dec 9 at 11:40 | comment | added | mlofton | UPDATE AND CORRECTION: Here is a correction for how I described the BM generation in the answer. Karl Sigman explains in his note that, once you generate the normally distributed $Z_i$, you add them up but you add them in a more complex way than I described. Otherwise, you won't obtain the properties of BM when you try to generate it. columbia.edu/~ks20/4404-Sigman/4404-Notes-sim-BM.pdf Apologies for correction. | |
| May 5, 2019 at 14:07 | comment | added | mlofton | and thanks to whoever edited my answer. | |
| May 5, 2019 at 14:06 | history | edited | mlofton | CC BY-SA 4.0 |
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| May 5, 2019 at 14:04 | comment | added | mlofton | don't worry about upvote. I'm. glad to help. If you take a math-stat class or a stochastic processes class first, all of this will be more easily understood..sometimes difference in background makes things more difficult. try to check out Hamilton's text. It's mostly time-series but there's a small section on brownian motion derivation and it's not so difficult math-wise. | |
| May 5, 2019 at 11:49 | comment | added | recon | I really want to upvote your answer but sadly I dnt even have 15 points to do that :( | |
| May 5, 2019 at 11:48 | comment | added | recon | Thank you so much! (so frustrated taking a stat department course...barely know anything lol, anyway thanks again! you make this much more ezier!) | |
| May 5, 2019 at 11:45 | vote | accept | recon | ||
| May 5, 2019 at 5:28 | history | edited | mlofton | CC BY-SA 4.0 |
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| May 5, 2019 at 5:23 | history | answered | mlofton | CC BY-SA 4.0 |