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Is it correct to write the following matlab code for the strong solution of SDE in the form of dx(t)=a*x(t)+b*x(t)*dw(t)? w(t) is brownian motion and a and b are constant
N=1;%number of path T=20; x_0=1000; x=zeros(T/dt+1,N); for t=1:T/dt dw=randn(T/dt,N); x(t+1,:) = x(t,:) +a*x(t)*dt +b*x(t)...
plus de 5 ans il y a | 1 réponse | 0
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réponseQuestion
I have a code in which the variable changes in every loop iteration for a fixed time point t=5, by assuming that x is changing between 0 and 5, and t=0 to 30. how can I plot the changes ?
r = 0.02; mu = 0.08; sigma = 0.2; T = 30; ...
plus de 5 ans il y a | 1 réponse | 0
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réponseQuestion
I have a question regarding time dependent loop, as I want to have a variable changing with time in the loop from 0 to 30
gamma(t) =4-(6/90*t);
plus de 5 ans il y a | 1 réponse | 0
