Stochastic Increments

Asked Jan 08 '14 at 23:05

Active Jan 08 '14 at 23:05

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Can anybody help me generate the increments $\Delta$$W_n$ in mathematica. I Know $W_{i+1}=w_i+Z_{i+1}\sqrt{\Delta t}$ where the $Z_i$ are independent and standard normal. But I cant make any code to generate the increments on Mathematica. There are codes availabe for it on Matlab which I dont understand. Kindly help

asked Jan 08 '14 at 23:05

user119079

Try RandomVariate[NormalDistribution[0, Sqrt[dt]], len] but mathematica.SE would be more appropriate site to get answer on Mathematica. – Sasha Jan 08 '14 at 23:21
Thanks. But what do you mean by len in [0, Sqrt[dt]], len] – user119079 Jan 08 '14 at 23:40
len denotes the number of $\Delta W_n$ you intend to generate. – Sasha Jan 09 '14 at 02:43

Stochastic Increments

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