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1000 paths of Brownian motion

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Stefka
Stefka on 7 Jan 2014
Answered: Laurent on 7 Jan 2014
I am trying to get 1000 simulations of Wiener process paths, each path consisting of 2000 Wt in a matrix 1000x2000. I am getting an error that the index of the matrix is out of bounds. Can someone help me how to get these 1000 paths in one matrix? Here is the code I have so far:
n=1000;
T=2;
dt=1/1000;
K=T/dt;
t=[0:dt:T];
W=[];
W(1,:)=0;
for k=1:n
for i=1:K
W(i+1,k)=W(i,k)+sqrt(dt)*randn;
end
end

Answers (1)

Laurent
Laurent on 7 Jan 2014
You have to set the correct size of W before you do the loop. So instead of W=[]; you should use something like:
W=zeros(K+1,n);
Also you can then remove the W(1,:)=0; line

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