Senior Honors Projects, 2010-2019
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Date of Graduation
Spring 2014
Document Type
Thesis
Degree Name
Bachelor of Science (BS)
Department
Department of Computer Science
Advisor(s)
Stephen Lucas
Ramon Mata-Toledo
Xunhua Wang
Abstract
Wiener Processes, wt, are random processes with mean zero, variance t. Wiener processes are difficult to work with as any realization is continuous and nowhere differentiable. Through the use of Karhunen-Lo`eve expressions one can approximate the Wiener Process and run simulations to determine how long it takes before the truncated estimation is no longer a true Wiener Process. This project shows the necessary statistical tests needed to determine this information, along with many simulation examples and results. Furthermore, with the results of the approximated Wiener Process, one can solve stochastic differential equations that would ordinarily be extremely difficult to solve.
Recommended Citation
Wooten, Branden James, "Approximating the wiener process" (2014). Senior Honors Projects, 2010-2019. 500.
https://commons.lib.jmu.edu/honors201019/500
