WienerProcess

WienerProcess[μ,σ]

represents a Wiener process with a drift μ and volatility σ.

WienerProcess[]

represents a standard Wiener process with drift 0 and volatility 1.

Details

Examples

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Basic Examples  (3)

Simulate a Wiener process:

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Mean and variance functions:

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Covariance function:

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Scope  (12)

Generalizations & Extensions  (1)

Applications  (7)

Properties & Relations  (12)

Neat Examples  (3)

See Also

FractionalBrownianMotionProcess  RandomWalkProcess  BrownianBridgeProcess  GeometricBrownianMotionProcess  OrnsteinUhlenbeckProcess  NormalDistribution  BinormalDistribution  MultinormalDistribution

Introduced in 2012
(9.0)