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Fae ba


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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
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)...

1 month ago | 0 answers | 0

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