Return n points sampled from a diffusion process starting at X0, with covariance matrix A and constant drift omega. This path approximately integrates the stochastic differential equation dX_t = omega dt + A dW_t, where W_t is a Wiener process.
n
X0
A
omega
number of points
starting location
covariance matrix
drift direction
List of points from the diffusion process
Return
n
points sampled from a diffusion process starting atX0
, with covariance matrixA
and constant driftomega
. This path approximately integrates the stochastic differential equation dX_t = omega dt + A dW_t, where W_t is a Wiener process.