\BROWNIAN function

This article describes the formula syntax of the \BROWNIAN function

Description

Create a handle to multi-dimensional Brownian motion.

Syntax

\BROWNIAN(mu, sigma, rho)

mu is an array of drifts.
sigma is an array of volatilities.
rho is a lower triangular Cholesky correlation matrix.

Specify multi-dimensional Brownian.

The drift \(\mu\) and volatility \(\sigma\) are vectors determining the number of dimensions. The Cholesky factor \(\rho\) is a lower-triangular matrix specifying the points on the unit sphere to use for the correlation.

See Also

BROWNIAN.SAMPLE , CHOLESKY