File:WienerProcess3D.svg
Summary
| Description |
English: SVG version of  |
| Date | |
| Source | Own work |
| Author | Shiyu Ji |
Python/Matplotlib Code
# A simulation of Wiener process with time step dt = .0001
from mpl_toolkits.mplot3d import axes3d
import matplotlib.pyplot as pl
import numpy as np
t0 = 0.0
dt = 0.0001
t_final = 2
T = np.arange(t0, t_final, dt)
ax = pl.figure().add_subplot(111, projection='3d')
ax.set_xlabel('X')
ax.set_ylabel('Y')
ax.set_zlabel('Z')
x, y, z = 0.0, 0.0, 0.0
np.random.seed(1)
for t in T:
new_x = x + np.random.normal(0, dt)
new_y = y + np.random.normal(0, dt)
new_z = z + np.random.normal(0, dt)
ax.plot([x, new_x], [y, new_y], [z, new_z], 'b-', linewidth=0.5)
x, y, z = new_x, new_y, new_z
pl.show()
Licensing
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