ex3.m

fokker-planck example

dt=.1;
b=0.2;
randn('seed',717171)

r=randn(100,1);

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

w0=0;
t(1)=1;
w(1)=w0;

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

ew=exp(b*w); 
 
plot(t,w,'-',t,ew,'.');
title('Generation of a Stochastic Process')
xlabel('time t')
ylabel('W(t),X(t)')
legend('W(t)','X(t)',0)