BROWNIAN_MOTION_SIMULATION is a MATLAB library which simulates Brownian motion in an M-dimensional region.
Brownian motion is a physical phenomenon which can be observed, for instance, when a small particle is immersed in a liquid. The particle will move as though under the influence of random forces of varying direction and magnitude.
There is a mathematical idealization of this motion, and from there a computational discretization that allows us to simulate the successive positions of a particle undergoing Brownian motion.
x = brownian_motion_simulation ( n, m, d, t )where
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
BROWNIAN_MOTION_SIMULATON is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.
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Some plots are made by the test program.
You can go up one level to the MATLAB source codes.