ex7a.m

fokker-planck example

dt=1;

r=randn(100,1);

t=zeros(100,1);
w=zeros(100,1);

w0=0;
t(1)=1;

k1=0.1;
s1=1;

for i=2:100
  t(i)=i;
  w(i)=w(i-1)+sqrt(dt)*r(i);
end  

b=0.01;
 
%the numerical solution of the BOD model with the Euler scheme
x0=20.0;
x(1)=x0-k1*x0*dt+s1*dt+0.5*x0*b*dt-x0*b*sqrt(dt)*r(1);
for i=2:100
  x(i)=x(i-1)-k1*x(i-1)*dt+s1*dt+0.5*x(i-1)*b*dt-x0*b*sqrt(dt)*r(i);
end  

 
plot(t,x,'-');
title('Simulation of a Sample BOD realization-Stratonovitch')
xlabel('Distance')
ylabel('B(t)')