随机积分理论中的几何布朗运动——Brown Motion and Stochastic Process

近期在学习随机微分理论，其中比较有趣的是：随机游走($Stochastic$ $Process$) 和布朗运动 $Brown$ $Motion$ ,因此选出课本上的特例来进行上机实验，

程序具体和实现结果具体如下：

	T = 4;       %总时间区间time span
	N = 1000;
	dt = T/N;
	t= linspace(0,T,N);
	number = input('请输入你的学号:','s');
	sigma = 0.3;r = 0.1;S0 = 1;%参数初始化
	for i =1:N
	    W = [0,cumsum(dt^2.*randn(1,N))];
	    S = S0*exp((r-sigma^2/2)*t(i)+sigma*W);
	end
	plot(0:N,S);
	hold on 
	for i =1:N
	    W1 = [0,cumsum(dt^2.*randn(1,N))];
	    S1 = S0*exp((r-sigma^2/2)*t(i)+sigma*W1);
	end
	plot(0:N,S1,'r-');
	hold on
	for i = 1:N
	    W2 = [0,cumsum(dt^2.*randn(1,N))];
	    S2 = S0*exp((r-sigma^2/2)*t(i)+sigma*W2);
	end
	plot(0:N,S2,'g-');
	hold on
	for i =1:N
	    W3 = [0,cumsum(dt^2.*randn(1,N))];
	    S3 = S0*exp((r-sigma^2/2)*t(i)+sigma*W3);
	end
	plot(0:N,S3,'b-');
	legend('The First','The Second','The Third','The Forth' );
	title(gca,['The Geometric Brown motion  ',num2str(number)]);
	xlabel('The length of steps ');
	ylabel('Primary asset price');
	

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$https://blog.csdn.net/Edwor{d}_{a}dra/article/details/110748578$