<p>Wiener process generation written in matlab.</p><p> </p>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 写成这样，还拿出来？？

同样关注

<p></p><p></p><p>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 有SAS的程序没有，</p><p></p>

另外，二楼卖我的matlab程序，有个地方想问下，randn(NumPaths, NumTimeSteps);生成的是标准正态分布的随机数不？？<br/>？？？？程序如下：：： <p></p>function [WienerPath] = WienerProcess(NumPaths, NumTimeSteps, Maturity, ranState)<br/>SqrtTimeStep = sqrt(Maturity/NumTimeSteps);<br/>% Simulates but does not plot a Wiener Process<br/>% Requires the state of randn, so you can reset its seeds.<br/>WienerPath = zeros(NumPaths, NumTimeSteps+1);<br/>randn('state',ranState);<br/>NormRandNums = SqrtTimeStep*randn(NumPaths, NumTimeSteps);<br/>for i = 2:NumTimeSteps+1<br/>&nbsp;&nbsp; &nbsp; WienerPath(:,i) = WienerPath(:,i-1) + NormRandNums(:,i-1);<br/>end<br/>end <p></p>

[此贴子已经被作者于2009-4-21 23:58:14编辑过]