How can I create Wiener Process (Wiener-Levy or Brownian)
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For the first 100 seconds of the Wiener Process, I want to write a code that generates 100 sample functions using Matlab. Meanwhile, I am trying to find the mean and variance functions of the Wiener Process. Below is the stage I have reached. But it's not working the way I hope. Which part I am doing mistake? Is there any missing function or any other thing that I forgot?
T = 1; N = 500;
dt = T/N;
dW = zeros(1,N);
W = zeros(1,N);
dW(1) = sqrt(dt)*randn;
W(1) = dW(1);
for j = 2:N
dW(j) = sqrt(dt)*randn;
W(j) = W(j-1) + dW(j);
end
clearvars;
x(1)=0;
for i=1:100
dx(i)=2*randn()+0.1;
x(i+1)=x(i)+dx(i);
plot(x)
mean(x)
var(x)
end
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