Talk:Reflected Brownian motion

From Wikipedia, the free encyclopedia
Jump to: navigation, search
WikiProject Statistics (Rated Start-class, Low-importance)
WikiProject icon

This article is within the scope of the WikiProject Statistics, a collaborative effort to improve the coverage of statistics on Wikipedia. If you would like to participate, please visit the project page or join the discussion.

Start-Class article Start  This article has been rated as Start-Class on the quality scale.
 Low  This article has been rated as Low-importance on the importance scale.
 
WikiProject Mathematics (Rated Start-class, Low-importance)
WikiProject Mathematics
This article is within the scope of WikiProject Mathematics, a collaborative effort to improve the coverage of Mathematics on Wikipedia. If you would like to participate, please visit the project page, where you can join the discussion and see a list of open tasks.
Mathematics rating:
Start Class
Low Importance
 Field:  Probability and statistics

Simulation[edit]

Is anyone aware of any freely available code for RBM simulation in multiple dimensions? I'm aware of QNET for stationary simulation, however this code is twenty years old and doesn't readily compile on a modern machine. (A colleague has managed to get the 16-bit windows code running using DOSBox.) I have not yet found any code for transient simulation. Gareth Jones (talk) 14:11, 5 December 2012 (UTC)

Error?[edit]

There seem to be sign errors in the formulas for transient and stationary distribution. For example, if the Brownian motion is dz=mu*dt+sigma*dW, mu<0, then it seems as if the stationary distribution should be 1-Exp[2*mu/sigma^2*z] (without the minus sign in front of mu in the exponent). — Preceding unsigned comment added by 216.165.95.68 (talk) 21:21, 10 December 2014 (UTC)