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Results tagged with brownian-motion
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user 10479
Brownian motion is the random motion of particles (eg atoms) that make up a gas. The math used to model Brownian motion is sometimes used in statistics to describe stochastic processes over time.
4
votes
Simulating a stochastic integral
Let $X_i := B(t_i) [B(t_{i+1}) - B(t_i)]$ for $i=0$ to $n-1$. The rv.s
$X_i$ are gaussian and independent due to the independence of the
increments of $B(t)$. Moreover $\mathbb{E}(X_i) = 0$ and
$$
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