BROWNIAN_MOTION_SIMULATION
Simulation of Brownian Motion in M Dimensions


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.

Usage:

x = brownian_motion_simulation ( n, m, d, t )
where

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

BROWNIAN_MOTION_SIMULATON is available in a C version and a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version.

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Source Code:

Examples and Tests:

Some plots are made by the test program.

You can go up one level to the MATLAB source codes.


Last revised on 30 September 2012.