Simulation of Brownian Motion in M Dimensions

BROWNIAN_MOTION_SIMULATION, a Python 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 )


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 and a Python version.

Related Data and Programs:

DUEL_SIMULATION, a Python program which simulates N repetitions of a duel between two players, each of whom has a known firing accuracy.

SNAKES_AND_LADDERS, Python programs which simulate the game of Snakes and Ladders.

Source Code:

Some plots are made by the test program.

Last revised on 30 September 2012.