Is it correct to write the following matlab code for the strong solution of SDE in the form of dx(t)=ax(t)+bx(t)*dw(t)? w(t) is brownian motion and a and b are constant

조회 수: 5 (최근 30일)

Fae ba 2020년 4월 26일

편집: Fae ba 2020년 4월 26일

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)*dw(t,:);

end

MATLAB Language Fundamentals

Help Center 및 File Exchange에서 Language Fundamentals에 대해 자세히 알아보기

Find the treasures in MATLAB Central and discover how the community can help you!

Translated by

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