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The brownian motion is a function very commonly used in Stochastic Calculus. It is a continous process but not a differentiable function.
The file/function simulate a Brownian Motion Path using the quadratic variation process <W>_t=t
As a word of caution one of the the inputs for the function is t which is not time vector but the upper limit of time till which computation is required ( Eg : t=1sec).
Moreover, to make the function simple and self contained the command "Cumulative-Sum(cumsum)" is not used. This is done to make things clear so that any beginner can also follow the code.
Cite As
Abhirup Lahiri (2024). Brownian Motion (https://www.mathworks.com/matlabcentral/fileexchange/18060-brownian-motion), MATLAB Central File Exchange. Retrieved .
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Version | Published | Release Notes | |
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1.0.0.0 | Minor Changes in Description |