Correlated Wiener Processes
Correlated Wiener Processes
This Demonstration displays the paths of two correlated Wiener processes.
The concept of correlated stochastic processes is extremely important, particularly in areas of finance such as portfolio theory, but it can be somewhat counterintuitive, since highly correlated processes with very different diffusion and drift coefficients can look very different. You can gain an intuitive understanding of this concept by varying each of the parameters independently and observing the changes in the shape of the correlated paths.