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https://github.com/crodriguezvega/wiener-process
Construction of Wiener process sample paths in Matlab using the wavelet method.
https://github.com/crodriguezvega/wiener-process
matlab wavelet-method wiener-process
Last synced: about 10 hours ago
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Construction of Wiener process sample paths in Matlab using the wavelet method.
- Host: GitHub
- URL: https://github.com/crodriguezvega/wiener-process
- Owner: crodriguezvega
- Created: 2014-03-10T18:54:22.000Z (over 10 years ago)
- Default Branch: master
- Last Pushed: 2014-09-08T18:53:15.000Z (about 10 years ago)
- Last Synced: 2023-08-18T00:38:28.284Z (about 1 year ago)
- Topics: matlab, wavelet-method, wiener-process
- Language: Matlab
- Homepage:
- Size: 203 KB
- Stars: 4
- Watchers: 3
- Forks: 1
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
Awesome Lists containing this project
README
Wiener process construction in Matlab
=====================================
Matlab function that lets you generate sample paths of a [Wiener process](http://en.wikipedia.org/wiki/Wiener_process, "Wikipedia entry for Wiener process") in the interval [0, 1] using the wavelet method.
Usage
=====
Execute the function by passing as arguments:
1. the numer of samples of the path
2. and the number of iterations of the wavelet construction method.
For example:
```matlab
w = wprocess(2048, 1000);
```
The number of samples in the path must be a power of 2. The higher the numer of iterations, the more accurate the output Wiener process sample path will be.
Now it is possible to plot the sample path:
```matlab
x = linspace(0, 1, 2048);
plot(x, w);
```
