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Math Help - Stochastic time series

  1. #1
    Junior Member
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    May 2010
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    Stochastic time series

    Does anyone know how to make a time series using the stochastic differential equation:

    ds/s = sigmadX + mudt where dX is a random variable drawn from the normal distribution with mean zero and variance dt?

    Also does anyone know any sites which talk about fat tails in the log return probability distribution of the geometric Brownian motion I could use for this financial calculus course??
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  2. #2
    Junior Member
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    May 2010
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    I forgot to mention it is using Excel to making a time series
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