布朗运动matlab程序(7个)

布朗运动matlab 程序（7个）

目录

Br1.m 模拟 10()y r dr σω⎰

Br2.m 模拟10()y r r dr σω⎰

Br3.m 模拟[]120()y r dr σω⎰

Br4.m 模拟10()()y x x y r d r σσωω⎰

Br5.m 模拟1

1()()i Mx y i i i r r dr λσγλω=-∑⎰

时间序列在不同的时点【i λ】在不同的规模i γ具有多个Mx 趋势突

变

Br6.m 模拟(1)y σω

Br7.m 同时模拟Br1…..Br6

% Wiener 1

function [W]=Br1(S);

e=randn(1000,1);

S1=0;

for i=1:1000;

S1=sum(e(1:i))+S1;

end;

W=S*(1000^(-1.5)*S1);

% Wiener 2

function [W]=Br2(S);

e=randn(1000,1);

S1=0;

for i=1:1000;

S1=i*sum(e(1:i))+S1; end;

W=S*1000^(-2.5)*S1;

% Wiener 3

function [W]=Br3(S);

e=randn(1000,1);

S1=0;

for i=1:1000;

S1=(sum(e(1:i)))^2+S1; end;

W=(S^2)*1000^(-2)*S1;

%Wiener 4

function [W]=Br4(Sx,Sy);

ex=randn(1000,1);

ey=randn(1000,1);

S1=0;

for i=1:1000;

S1=ex(i)*sum(ey(1:i))+S1; end;

W=Sx*Sy*S1*(1000^(-1));

% Wiener 5

function [W]=Br5(S,Mx,Gx,Lx);

e=randn(1000,1);

for i=1:Mx;

tps(:,i)=[zeros(1000*Lx(i),1);seqa(1,1,1000*(1-Lx(i))) ];

end;

S1=zeros(Mx,1);

for j=1:Mx;

for i=1:1000;

S1(j)=tps(i,j)*sum(e(1:i))+S1(j);

end;

S2(j)=1000^(-2.5)*S1(j);

end;

W=sum(Gx.*S2');

%Wiener 6

function [W]=Br6(S);

e=randn(1000,1);

W=S*1000^(-0.5)*sum(e);

% Wiener 7

function [W]=Br7(Sx,Sy);

ex=randn(1000,1);

ey=randn(1000,1);

S1=0;

for i=1:1000;

S1=sum(ey(1:i))+S1;

end;

W1=Sy*(1000^(-1.5)*S1);

S1b=0;

for i=1:1000;

S1b=sum(ex(1:i))+S1b; end;

W2=Sx*(1000^(-1.5)*S1b);

S2=0;

for i=1:1000;

S2=i*sum(ey(1:i))+S2; end;

W3=Sy*1000^(-2.5)*S2;

S3=0;

for i=1:1000;

S3=(sum(ey(1:i)))^2+S3; end;

W4=(Sy^2)*1000^(-2)*S3;

S4=0;

for i=1:1000;

S4=ex(i)*sum(ey(1:i))+S4; end;

W5=Sx*Sy*S4*(1000^(-1)); W6=Sx*1000^(-0.5)*sum(ex); W=[W1;W2;W3;W4;W5;W6];