Multidimensional Brownian Motion

Geon Ho Choe
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Geon Ho Choe: Korea Advanced Institute of Science and Technology, Department of Mathematical Sciences

Chapter Chapter 9 in Quantitative Methods for Finance with Simulations II, 2026, pp 169-181 from Springer

Abstract: Abstract Financial derivatives may have multiple underlying assets, each of which is random, modeled by a stochastic diffe3rential equation defined by a Brownian motion, and such Brownian motions are correlated with each other. In this chapter we study multidimensional Brownian motion.

Date: 2026
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DOI: 10.1007/978-3-032-12331-2_9

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