wiener.m

Matlab求解方程

% wiener-process
Sigma=1;					%方差
t0=0;
t=100;
Times=1000;					%样本数

t=t0:1:t;
Num=size(t,2);
X=zeros(Times,Num);
X(1:1:Times,1)=0;

for j=1:1:Times
	Z(j,2:1:Num)=random('norm',0,Sigma,1,Num-1);
	for i=2:1:Num
		X(j,i)=Z(j,i)+X(j,i-1);	
	end
	figure(1);
	Xlabel('t');
	Ylabel('X(t)');
	plot(t,X(j,:))
	hold on;
end
a=mean(X,1)
b=var(X)
c=mean(X,2)

for i=1:1:Times
    d(i)=var(X(i,1:1:Num)')
end