ex1.m

fokker-planck example

dt=1;
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  

plot(t,w,'-');
title('Simulation of a single sample of standard Wiener Process')
xlabel('time t')
ylabel('W(t)')