Iterative algorithms for modeling various types of diffusion processes (Brownian motion, Brownian Bridge, Bachelier process, Ornstein–Uhlenbeck process, Bessel process) were discussed. These algorithms have the form of autoregression discrete equations of the first order where an input signal was taken by Gaussian white noise.

Regression Equations Modelling Diffusion Processes. V.M.Anikin, Y.A.Barulina, A.F.Goloubentsev: Applied Surface Science, 2003, 215[1-4], 185-90