ex2.m

fokker-planck example

dt=1;

t=zeros(100,1);
mean=zeros(100,1);
var=zeros(100,1);


for i=1:100
  t(i)=i;
end  


for j=1:100  

  r=randn(100,1);

  w=zeros(100,1);

  w(1)=w0;
  for i=2:100
    w(i)=w(i-1)+sqrt(dt)*r(i);
  end  
  
  mean=mean+w;
  
  var=var+w.*w;
  
end

mean=mean/100;

var=var/100;

plot(t,mean,'.',t,var,'- ');
title('Mean and Variance of 100 samples of standard Wiener Process')
xlabel('time t')
ylabel('Mean and Variance')
legend('Mean','Variance',0)