We may use Eq. (11.16) to generate sample paths of the generalized Wiener process by Monte Carlo sampling. We rewrite the equation for a small time step,

and express the increment of the Wiener process as

where  is a sequence of i.i.d. variables. As before, we multiply the standard normal by the square root of the time step, to obtain the correct distribution of the increment. This boils down to the updating rule

Data From Equation  (11.16)

Data From Fig. 11.7

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