RANDOM.BROWNIAN function

This article describes the formula syntax of the RANDOM.BROWNIAN function

Description

Generate Brownian samples at given times.

Syntax

RANDOM.BROWNIAN(times, sigma, mu, _rng)

times is an array of times at which to sample the Brownian motion.
sigma is the optional volatility of the Brownian motion. Default is 1.
mu is the optional drift of the Brownian motion. Default is 0.
_rng is an optional handle to a random number generator.

Generate Brownian sample paths \(\mu t + \sigma B_t\) at times where \(B_t\) is standard Brownian motion using a random number generator.

See Also

\RANDOM