wiener-process

A library of noise processes for stochastic systems like stochastic differential equations (SDEs) and other systems that are present in scientific machine learning (SciML)

Predicting stock prices using Geometric Brownian Motion and the Monte Carlo method

Ministry of Random Walks

Construction of Wiener process sample paths in Matlab using the wavelet method.

Exercise solution to Stochastic Processes course

Julia stochastic processes package.

wiener process.

High-frequency statistical arbitage trading framework

From Random Walks to Brownian Motion.

Random walk in d dimentions and central limit theory.

Investigating Wiener Processes

Reinforcement learning models of human decision making in time allocation behavioral experiments

Gives analytic formulas to calculate autocovariance matrix and autocorrelation matrix for averaged Wiener process with equal-distance time points. Is supplemented with Python numpy code to verify those formulas with a Monte Carlo simulation.

Scilab

An example inspire by a recent post on Brownian motion GIF generation with R. Some tweaks and fixes to the original code an explanation in the README.

Stochastic particle method for the nonlinear diffusion equation.

We derive asymptotic behavior of the probability of high-level excursion for the maximal increment of the Wiener process.