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

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Fae ba 2020 年 4 月 26 日

編集済み: Fae ba 2020 年 4 月 26 日

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

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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