How to create a unit wiener process
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I want to create a wiener process with mean = 0, and variance 1. I wrote the following script and get mean values close to zero but the variance is much smaller than 1. What can i do?
T = 1; N = 500;
dt = T/N;
dW = zeros(1,N); % preallocate arrays ...
W = zeros(1,N); % for efficiency
dW(1) = sqrt(dt)*randn; % first approximation outside the loop ...
W(1) = dW(1); % since W(0) = 0 is not allowed
for j = 2:N
dW(j) = sqrt(dt)*randn; % general increment
W(j) = W(j-1) + dW(j);
end
1 comentario
Torsten
el 21 de Ag. de 2017
How do you calculate "variance" from the piece of code from above ?
Best wishes
Torsten.
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