This article describes the formula syntax of the \BROWNIAN function.
Create a handle to multi-dimensional Brownian motion.
\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.