[Numpy-discussion] Ignorance question

josef.pktd at gmail.com josef.pktd at gmail.com
Sun Nov 1 21:26:22 EST 2009

On Sun, Nov 1, 2009 at 9:58 PM, David Goldsmith <d.l.goldsmith at 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.

However, I never really checked the details of how they generate
Brownian Motions or Brownian Bridges in larger Monte Carlo studies.


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