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A package to simulate stochastic processes

Project description

About the package

This is a package dedicated to simulation of stochastic processes. In it you will find some simulations of trajectories of various stochastic processes:

  • Simple Random Walk,
  • Pearson Random Walk,
  • Poisson Process,
  • Brownian Motion,
  • Brownian Bridge,
  • Brownian Motion with drift and volatility coefficient, and
  • Geometric Brownian Motion

References

For further reference : Stochastic Simulation

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