On Sun, Nov 1, 2009 at 7:26 PM, <josef.p...@gmail.com> wrote: > On Sun, Nov 1, 2009 at 9:58 PM, David Goldsmith <d.l.goldsm...@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. >
Oddly enough, if you divide an interval into an infinite integer number of samples this also works for the theory side ;) Euler would understand, but such odd constructions with extended number systems have fallen out of favour... Chuck
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