At Fri, 21 Jan 2011 13:22:10 +0100, Toralf Niebuhr wrote: > I was wondering if there is a (numerical) good way to simulate randoms > diffusion processes with gsl. > > For example: > if W_t is an n-Dimensional Brownian motion > Simulate the Process Y_t with > dY_t = mu(Y_t)dt + sigma(Y_t)dW_t
Apart from the usual random variate routines, there's nothing specifically for that. -- Brian Gough _______________________________________________ Help-gsl mailing list [email protected] http://lists.gnu.org/mailman/listinfo/help-gsl
