By Kardi Teknomo, PhD.

stochastic process

Share this: Google+
< Previous | Contents | Next >

Simulation of Brownian motion in Excel

Brownian motion can be simulated in a spreadsheet using inverse cumulative distribution of standard normal distribution.

1.Start with W0=0. This is by definition of Brownian motion.

2.Then, compute W1=W0 + NORM.S.INV(RAND()). See the picture below for the actual implementation in spreadsheet.

3.Copy the formula until certain time, say t=250

4.Plot the path of Brownian motion

< Previous | Contents | Next >

Do you have question regarding this Stochastic Process tutorial? Ask your question here

Share and save this tutorial
Add to: Add to: Digg Add to: StumbleUpon Add to: Reddit Add to: Slashdot Add to: Technorati Add to: Netscape Add to: Newsvine Add to: Mr. Wong Add to: Webnews Add to: Folkd Add to: Yigg Add to: Linkarena Add to: Simpy Add to: Furl Add to: Yahoo Add to: Google Add to: Blinklist Add to: Blogmarks Add to: Diigo Add to: Blinkbits Add to: Ma.Gnolia Information

These tutorial is copyrighted .

Preferable reference for this tutorial is

Teknomo, Kardi. (2017) Stochastic Process Tutorial .