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Re: [Help-gsl] Simulatiing random diffusion processes
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From: |
Brian Gough |
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Subject: |
Re: [Help-gsl] Simulatiing random diffusion processes |
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Date: |
Tue, 25 Jan 2011 20:35:32 +0000 |
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User-agent: |
Wanderlust/2.15.6 (Almost Unreal) Emacs/23.2 Mule/6.0 (HANACHIRUSATO) |
At Fri, 21 Jan 2011 13:22:10 +0100,
Toralf Niebuhr wrote:
> 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
Apart from the usual random variate routines, there's nothing
specifically for that.
--
Brian Gough