Stochastic Processes Simulation — Brownian Motion, The Basics
Part 1 of the Stochastic Processes Simulation series. Simulate correlated Brownian motions in Python from scratch.
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5 min readMay 2, 2022
Brownian motion is the building block of stochastic calculus and therefore, the key to simulating stochastic processes. Although is not easy to observe pure Brownian…