Interpolating Brownian motion

Let W(t) be a standard Wiener process, a.k.a. a one-dimensional Brownian motion. We can produce a discrete realization of W by first setting W(0) = 0. Then let W(1) be a sample from a N(0, 1) random variable. Then let W(2) be W(1) plus another N(0, 1) sample. At each integer n > 0, W(n) […] The post Interpolating Brownian motion first appeared on John D. Cook....

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