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[Solved] Generate monotonic stochastic process

Posted 2 months ago
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Hello all,

I am interested in generating a monotonic stochastic process in Mathematica, both decreasing or increasing, starting from a given initial value. It should be discrete in time and continuous in space.

I want to generate something similar to this:

Example

Any idea how can this be done using Mathematica?

Thank you in advance for any help!

2 Replies
Posted 2 months ago

Like this?

monoStochProc[init_, window_, n_] := NestList[RandomReal[{# window, #}] &, init, n]

ListLogPlot[monoStochProc[10^11, 0.7, 59], Joined -> True, Mesh -> All, Filling -> Axis, Frame -> True]

enter image description here

Thank you for your answer!

Yes, that is what I wanted. It didn't come to mind

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