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| 1 | - | %EM Euler-Maruyama method on linear SDE |
| 1 | + | %EM Euler-Maruyama method on linear SDE |
| 2 | - | % |
| 2 | + | % |
| 3 | - | % SDE is dX = lambda*X dt + mu*X dW, X(0) = Xzero, |
| 3 | + | % SDE is dX = lambda*X dt + mu*X dW, X(0) = Xzero, |
| 4 | - | % where lambda = 2, mu = 1 and Xzero = 1. |
| 4 | + | % where lambda = 2, mu = 1 and Xzero = 1. |
| 5 | - | % |
| 5 | + | % |
| 6 | - | % Discretized Brownian path over [0,1] has dt = 2^(-8). |
| 6 | + | % Discretized Brownian path over [0,1] has dt = 2^(-8). |
| 7 | - | % Euler-Maruyama uses timestep R*dt. |
| 7 | + | % Euler-Maruyama uses timestep R*dt. |
| 8 | - | randn(’state’,100) |
| 8 | + | randn(’state’,100) |
| 9 | - | lambda = 2; mu = 1; Xzero = 1; % problem parameters |
| 9 | + | lambda = 2; mu = 1; Xzero = 1; % problem parameters |
| 10 | - | T = 1; N = 2^8; dt = 1/N; |
| 10 | + | T = 1; N = 2^8; dt = 1/N; |
| 11 | - | dW = sqrt(dt)*randn(1,N); % Brownian increments |
| 11 | + | dW = sqrt(dt)*randn(1,N); % Brownian increments |
| 12 | - | W = cumsum(dW); % discretized Brownian path |
| 12 | + | W = cumsum(dW); % discretized Brownian path |
| 13 | - | Xtrue = Xzero*exp((lambda-0.5*mu^2)*([dt:dt:T])+mu*W); |
| 13 | + | Xtrue = Xzero*exp((lambda-0.5*mu^2)*([dt:dt:T])+mu*W); |
| 14 | - | plot([0:dt:T],[Xzero,Xtrue],’m-’), hold on |
| 14 | + | plot([0:dt:T],[Xzero,Xtrue],’m-’), hold on |
| 15 | - | R = 4; Dt = R*dt; L = N/R; % L EM steps of size Dt = R*dt |
| 15 | + | R = 4; Dt = R*dt; L = N/R; % L EM steps of size Dt = R*dt |
| 16 | - | Xem = zeros(1,L); % preallocate for efficiency |
| 16 | + | Xem = zeros(1,L); % preallocate for efficiency |
| 17 | - | Xtemp = Xzero; |
| 17 | + | Xtemp = Xzero; |
| 18 | - | for j = 1:L |
| 18 | + | for j = 1:L |
| 19 | - | Winc = sum(dW(R*(j-1)+1:R*j)); |
| 19 | + | Winc = sum(dW(R*(j-1)+1:R*j)); |
| 20 | - | Xtemp = Xtemp + Dt*lambda*Xtemp + mu*Xtemp*Winc; |
| 20 | + | Xtemp = Xtemp + Dt*lambda*Xtemp + mu*Xtemp*Winc; |
| 21 | - | Xem(j) = Xtemp; |
| 21 | + | Xem(j) = Xtemp; |
| 22 | - | end |
| 22 | + | end |
| 23 | - | plot([0:Dt:T],[Xzero,Xem],’r--*’), hold off |
| 23 | + | plot([0:Dt:T],[Xzero,Xem],’r--*’), hold off |
| 24 | - | xlabel(’t’,’FontSize’,12) |
| 24 | + | xlabel(’t’,’FontSize’,12) |
| 25 | - | ylabel(’X’,’FontSize’,16,’Rotation’,0,’HorizontalAlignment’,’right’) |
| 25 | + | ylabel(’X’,’FontSize’,16,’Rotation’,0,’HorizontalAlignment’,’right’) |
| 26 | emerr = abs(Xem(end)-Xtrue(end)) |