Last modified: June 26, 2007
Here is an applet for simulating Brownian motion on the time interval [0,1]. This is a work in progress, but seems to perform reasonably well. It will continue to be updated as improvements are made.
The simulation is actually of a scaled-random walk (which, of course, converges to Brownian motion). The parameter Num steps gives the number of steps in the random walk. Choose something large, say 10000. Changing the random seed will produce different realizations.
In addition to the simulation, the maximum value and the minimum value of the path are displayed.
This applet was written by Kevin Petrychyn of the University of Regina.