# Stochastic delay differantial equations

16 visualizaciones (últimos 30 días)
miray boldan el 21 de Jun. de 2021
Comentada: miqin el 2 de En. de 2023
ı write this matlab code but it doesnt work.
% Euler-Maruyama method on linear SDE Stock Price.
%SDE is dS= ((mu*S)+(c*S(t-tau)-d) dt + ((a*S)+(b*S(t-tau))dW, S(0) = Szero,
%where mu = -3, c = 2e^-1 , d = 3-2e^-1 , a= 0.1 , b= 0.1 , tau = 1 and Szero = 100.
%Discretized Brownian path over [0,1] has dt = 2^(-8).
%Euler-Maruyama uses timestep R*dt.
randn('state',100)
mu = -3; a = 0.1 ; b = 0.1 ; Szero = 100;
T = 2; N = 2^8; dt = 1/N;
dW = sqrt(dt)*randn(1,N);
W = cumsum(dW);
%Strue = Szero*exp((mu-0.5*sigma^2)*([dt:dt:T])+sigma*W);
%plot([0:dt:T],[Szero,Strue],'m-'), hold on
R =8; Dt = R*dt; L = N/R;
Xem = zeros(1,L);
Xtemp = Szero;
linetypes={'b-','g--*'};
for j = 1:L
Winc = sum(dW(R*(j-1)+1:R*j));
Xtemp = Xtemp + Dt*mu*Xtemp + a*Xtemp*Winc;
Xem(j) = Xtemp;
end
plot([0:Dt:T],[Szero,Xem],'g--*'), hold off
legend(': Exact solution',': Euler-Maruyama')
xlabel('t','FontSize',12)
ylabel('S','FontSize',12,'Rotation',0,'HorizontalAlignment','right')
emerr = abs(Xem(end)-Strue(end))
what is my mistake?
##### 0 comentariosMostrar -1 comentarios más antiguosOcultar -1 comentarios más antiguos

Iniciar sesión para comentar.

### Respuestas (1)

Divija Aleti el 24 de Jun. de 2021
Hi Miray,
The error is occurring in the line where you are using the plot function. This is because the values you have given to the function are of different lengths.
0:Dt:T has 65 elements whereas [Szero,Xem] has 33 elements.
To use the plot function, both these vectors should be of the same length.
I suggest you to review your problem statement, all the variable values and the code you have written to figure out which of the above vectors should be changed.
Hope this helps!
Regards,
Divija
##### 2 comentariosMostrar 1 comentario más antiguoOcultar 1 comentario más antiguo
miqin el 2 de En. de 2023

Iniciar sesión para comentar.

### Categorías

Más información sobre Stochastic Differential Equation (SDE) Models en Help Center y File Exchange.

### Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by