ex4.m

fokker-planck example

dt=1;
a=0.2;
b=0.3;

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  

x=a*t+b*w;
 
plot(t,x,'-');
title('Simulation of a Generalized Wiener Process')
xlabel('time t')
ylabel('X(t)')