Brownian Path Simulation - Plotting more than one path
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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
Answers (1)
Abhishek Ballaney
on 7 Feb 2018
Edited: Walter Roberson
on 11 Feb 2018
0 votes
1 Comment
Natesha Alexander
on 18 Nov 2018
How can I adjust to simulate a scaled Brownian path sqrt(2D)*Wt?
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