1000 paths of Brownian motion
4 Ansichten (letzte 30 Tage)
Ältere Kommentare anzeigen
I am trying to get 1000 simulations of Wiener process paths, each path consisting of 2000 Wt in a matrix 1000x2000. I am getting an error that the index of the matrix is out of bounds. Can someone help me how to get these 1000 paths in one matrix? Here is the code I have so far:
n=1000;
T=2;
dt=1/1000;
K=T/dt;
t=[0:dt:T];
W=[];
W(1,:)=0;
for k=1:n
for i=1:K
W(i+1,k)=W(i,k)+sqrt(dt)*randn;
end
end
0 Kommentare
Antworten (1)
Laurent
am 7 Jan. 2014
You have to set the correct size of W before you do the loop. So instead of W=[]; you should use something like:
W=zeros(K+1,n);
Also you can then remove the W(1,:)=0; line
0 Kommentare
Siehe auch
Kategorien
Mehr zu Financial Toolbox finden Sie in Help Center und File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!