On Sun, Nov 1, 2009 at 9:58 PM, David Goldsmith <d.l.goldsm...@gmail.com> wrote: > I Googled scipy brownian and the top hit was the doc for numpy.random.wald, > but said doc has a "tone" that suggests there are more "sophisticated" ways > to generate a random Brownian signal? Or is wald indeed SotA? Thanks! > > DG
Do you mean generating a random sample of a Brownian motion? The standard approach, I have seen, is just cumsum of random normals, with time steps depending on the usage, e.g. http://groups.google.com/group/sympy/browse_thread/thread/65bf82164cae83be?pli=1 However, I never really checked the details of how they generate Brownian Motions or Brownian Bridges in larger Monte Carlo studies. Josef > _______________________________________________ > NumPy-Discussion mailing list > NumPy-Discussion@scipy.org > http://mail.scipy.org/mailman/listinfo/numpy-discussion > > _______________________________________________ NumPy-Discussion mailing list NumPy-Discussion@scipy.org http://mail.scipy.org/mailman/listinfo/numpy-discussion
