Numerical evidence for the square root of a Wiener process


Brownian motion is a very kind mathematical object being very keen to numerical simulations. There are a plenty of them for any platform and software so that one is able to check very rapidly the proper working of a given hypothesis. For these aims, I have found very helpful the demonstration site by Wolfram and specifically this program by Andrzej Kozlowski. Andrzej gives the code to simulate Brownian motion and compute Itō integral to verify Itō lemma. This was a very good chance to check my theorems recently given here by some numerical work. So, I have written a simple code on Matlab that I give here (rename from .doc to .m to use with Matlab).

Here is a sample of output:

As you could note, the agreement is almost perfect. I have had to rescale with a multiplicative factor as the square root appears somewhat magnified after the square but the pattern is there. You can do checks by yourselves. So, all my equations are perfectly defined as is a possible square root of a Wiener process.

Of course, improvements, advices or criticisms are very welcome.

Update: I have simplified the code and added a fixed scale factor to make identical scale. The code is available at Simulation. Here is an example of output:

Marco Frasca (2012). Quantum mechanics is the square root of a stochastic process arXiv arXiv: 1201.5091v2

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