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- 11/3/08
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i have a diffusion process with nonlinear drift on the form:
(\mu(dt) = (\alpha1+\alpha2*x+\alpha3*(x2)+\alpha4/x) dt)
i have simulate the drift on matlab but the graph i get is empty .
this is the program
can you help me and tell me where is the problem.
(\mu(dt) = (\alpha1+\alpha2*x+\alpha3*(x2)+\alpha4/x) dt)
i have simulate the drift on matlab but the graph i get is empty .
this is the program
Code:
clf
load TRB.txt % Load Data
X = TRB(1:T,1)/100;
T = rows(TRB);
N = 2087; Delta = 1/T;
% simulation du processus de CIR-SR
alpha1 = -4.0224; alpha2 = 0.08893; alpha3 = -0.0608; alpha4 = 7.1945;
for X = 1:T
mu = (alpha1 +alpha2*X + alpha3*(X^2) + alpha4/X)* Delta;
plot(X,mu);
end