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  • Weiner Process

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    nasro taha
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    This code simulates a Wiener process over time T by discretizing the interval into N steps of size dt. It initializes arrays to store the increments dW and accumulated values W at each step. It sets the first dW value and initializes W, then loops to calculate each subsequent dW as a random number and update W by adding the increment to the previous value.

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    This code simulates a Wiener process over time T by discretizing the interval into N steps of size dt. It initializes arrays to store the increments dW and accumulated values W at each step. It sets the first dW value and initializes W, then loops to calculate each subsequent dW as a random number and update W by adding the increment to the previous value.

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    © All Rights Reserved
    Download as TXT, PDF, TXT or read online from Scribd
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    4 views1 page

    Weiner Process

    Uploaded by

    nasro taha
    This code simulates a Wiener process over time T by discretizing the interval into N steps of size dt. It initializes arrays to store the increments dW and accumulated values W at each step. It sets the first dW value and initializes W, then loops to calculate each subsequent dW as a random number and update W by adding the increment to the previous value.

    Copyright:

    © All Rights Reserved
    Download as TXT, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    T = 1; N = 500;

    dt = T/N;
    dW = zeros(1,N); % preallocate arrays ...
    W = zeros(1,N); % for efficiency
    dW(1) = sqrt(dt)*randn; % first approximation outside the loop ...
    W(1) = dW(1); % since W(0) = 0 is not allowed
    for j = 2:N
    dW(j) = sqrt(dt)*randn; % general increment
    W(j) = W(j-1) + dW(j);
    end

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