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BUILT-IN MATHEMATICA SYMBOL
WienerProcess
WienerProcess[
, 
]
represents a Wiener process with a drift and volatility .
WienerProcess[]
represents a standard Wiener process with drift 0 and volatility 1.
Details
- WienerProcess is also known as Brownian motion, a continuous-time random walk, or integrated white Gaussian noise.
- WienerProcess is a continuous-time and continuous-state random process.
- The state at time t follows NormalDistribution[ t,
]. - The parameter can be any real number and the parameter can be any positive real number.
- WienerProcess can be used with such functions as Mean, PDF, Probability, and RandomFunction.
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