[R] Simulation of Stochastic processes

Achim Zeileis zeileis at ci.tuwien.ac.at
Tue Apr 15 17:32:10 CEST 2003

On Tue, 15 Apr 2003, Ravi Varadhan wrote:

> Hi:
> I was wondering whether I can find some help for computer simulation of 
> stochastic processes (e.g. Brownian motion), for 
> pedagogicl/instructional purposes. Any help would be appreciated.

You could have a look at the function rwiener and rbridge in the package
e1071. To simulate a Brownian motion you could do

R> x <- rwiener()
R> plot(x)


> thanks,
> Ravi.
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