[Numpy-discussion] Ignorance question
josef.pktd@gmai...
josef.pktd@gmai...
Sun Nov 1 20:26:22 CST 2009
On Sun, Nov 1, 2009 at 9:58 PM, David Goldsmith <d.l.goldsmith@gmail.com> wrote:
> I Googled scipy brownian and the top hit was the doc for numpy.random.wald,
> but said doc has a "tone" that suggests there are more "sophisticated" ways
> to generate a random Brownian signal? Or is wald indeed SotA? Thanks!
>
> DG
Do you mean generating a random sample of a Brownian motion? The
standard approach, I have seen, is just cumsum of random normals, with
time steps depending on the usage, e.g.
http://groups.google.com/group/sympy/browse_thread/thread/65bf82164cae83be?pli=1
However, I never really checked the details of how they generate
Brownian Motions or Brownian Bridges in larger Monte Carlo studies.
Josef
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