[Help-gsl] Simulatiing random diffusion processes

[Toralf Niebuhr]

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Hi

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

Toralf Niebuhr
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