Homework 11 – SDE Simulator
Euler–Maruyama · Wiener Process · ABM / GBM
About this simulator

This page implements the Homework 11 requirement: simulate a Wiener process (Brownian motion) using the Euler–Maruyama method, and optionally generalize to other SDEs such as Geometric Brownian Motion.

Set ABM with μ = 0, σ = 1, and X₀ = 0 to obtain a standard Wiener process.

Standard Wiener: model = ABM, X₀ = 0, μ = 0, σ = 1.
● Sample paths   -- Theoretical mean
Terminal distribution at t = T
Convergence analysis
MetricTheoretical FormulaTheoretical ValueEmpirical ValueConvergence