# \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