Brownian Path Simulation - Plotting more than one path
13 vues (au cours des 30 derniers jours)
Afficher commentaires plus anciens
I am to create a discrete sample Brownian path. I believe I have the code complete, but if any mistakes, please do not hesitate in letting me know. I am trying to figure out how to generate 100, 1000, 10000 paths with T = 1 and n = 200. I'm not sure where exactly that goes. Thank you.
function [W] = brownianPath (T,n)
%t = 0, T/n, 2T/n, ..., T where T = termination time & n = steps%
stepsize = T/n;
t = 0:stepsize:T;
dW = zeros(1,n);
W = zeros(1,n);
dW(1) = randn/sqrt(stepsize);
W(1) = dW(1); %W(0) = 0 with probability 1%
for m = 2:n
dW(m) = randn/sqrt(stepsize);
W(m) = W(m-1) + dW(m);
end
plot([0:stepsize:T],[0 W], 'g-');
xlabel('t')
ylabel('W(t)')
end
0 commentaires
Réponses (1)
Voir également
Catégories
En savoir plus sur Surfaces, Volumes, and Polygons dans Help Center et File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!