Tagged Questions

10

votes

2answers

270 views

Efficient GeometricBrownianMotionProcess Monte Carlo simulation

Following the answers in this post, I'm trying to implement something similar. If the GBM stays inside the corridor [L, U] between predefined times it should return ...

simulation stochastic-calculus

asked Mar 3 at 17:14

user6174
612

4

votes

1answer

436 views

Monte Carlo simulation using geometric Brownian motion

I'm relatively new to Mathematica programming, so forgive my rather unsophisticated question: I'm trying to do a Monte Carlo simulation using geometric Brownian motion (GBM). I want to write a ...

simulation stochastic-calculus

asked Jan 28 at 17:22

rainer
11615

newest simulation stochastic-calculus questions feed

Technology			Life / Arts	Culture / Recreation	Science	Other
Stack Overflow Server Fault Super User Web Applications Ask Ubuntu Webmasters Game Development TeX - LaTeX	Programmers Unix & Linux Ask Different (Apple) WordPress Answers Geographic Information Systems Electrical Engineering Android Enthusiasts IT Security	Database Administrators Drupal Answers SharePoint User Experience Mathematica more (14)	Photography Science Fiction & Fantasy Seasoned Advice (cooking) Home Improvement more (13)	English Language & Usage Skeptics Mi Yodeya (Judaism) Travel Arqade (gaming) Bicycles Role-playing Games more (22)	Mathematics Cross Validated (stats) Theoretical Computer Science Physics more (7)	Stack Apps Meta Stack Overflow Area 51 Stack Overflow Careers

rev 2013.5.17.690

Mathematica is a registered trademark of Wolfram Research, Inc. While the mark is used herein with the limited permission of Wolfram Research, Stack Exchange and this site disclaim all affiliation therewith.