Stochastic Processes Simulation — Brownian Motion, The Basics

Stochastic Processes Simulation — Brownian Motion, The Basics

Part 1 of the Stochastic Processes Simulation series. Simulate correlated Brownian motions in Python from scratch.

Brownian motion is the building block of stochastic calculus and therefore, the key to simulating stochastic processes. Although is not easy to observe pure Brownian motions in real-world data, we can combine them and rescale them to build more complex processes that successfully approximate the data.

Wiener processes, the other name given to …

basics monte-carlo-simulation processes simulation stochastic stochastic process time-series-analysis