[交流] 【原创】一维brown运动在经济学中的应用

function data = BrownM(Npoints,Mean,Std,Opt)
dt=1;
if Opt==1
    %%
%standard Brownian motion
  temp=cumsum(dt^0.5.*random('Normal',0,1,1,1000))
  data=[0,temp];
  figure
  plot(0:Npoints,data);
elseif Opt==2
    figure
    data=cumsum([zeros(1,3);dt^0.5*random(...
    'Normal',Mean,std,1,Npoints-1,3)]);
    plot3(data(:,1),data(:,2),data(:,3),'k');
    pcol=(data-repmat(min(data),Npoints,1))./...
        repmat(max(data)-min(data),Npoints,1);
    hold on;
    scatters(data(:,1),data(:,2),data(:,3),...
        10,pcol,'filled');
    grid on;
    hold off;
else
    error('Opt=1 or Opt=2')
end