Questions about stochastic calculus in Mathematica, for example how to use `ItoProcess` and `RandomFunction`.
4
votes
1answer
437 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 ...
2
votes
0answers
201 views
ItoProcess for stochastic reaction-diffusion equation
I am trying to simulate a stochastic differential equation in time and space, but I'm unsure if this can be done in Mathematica. The sde that I would like to study is:
$$
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