# \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.