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RNG.BROWNIAN function

Generate Brownian samples at given times.

Description

Generate Brownian sample paths μt + σBt where Bt is standard Brownian motion.

Syntax

RNG.BROWNIAN(times, stdev, mean)

  • times is an array of times at which to sample the Brownian motion.

  • stdev is the optional volatility of the Brownian motion. Default is 1.

  • mean is the optional drift of the Brownian motion. Default is 0.