Stochastic differential equation Gompertz plotting a graph
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I have come stuck when entering the model which has a log(x(t) into my code and when looking at the Weiner process deciding what my value of dt would need to be. Because at the moment when producing the graph using this code it is blank and I don't understand why that is happening when I introduce the log(x(t)) as I get a graph when it isn't intrdocued.I have coded
th = 0.1;
mu = 0.3;
sig = 0.1;
dt = 1e-1 ;
t = 0:dt:50; % Time vector
x = zeros(1,length(t)); % Allocate output vector, set initial condition
rng(1); % Set random seed
for i = 1:length(t)-1
x(i+1) = x(i)+th*x(i)*dt-mu*x(i)*dt-mu*log(x(i))*dt+sig*sqrt(dt)*randn;
end
figure;
plot(t,x);
采纳的回答
Alan Stevens
2022-2-26
0 个投票
You have x(1) = 0, so log(x(1)) is -Inf, which means that subsequent values of x will be NaNs.
2 个评论
George Hendry
2022-2-26
Torsten
2022-2-26
It's the "Wiener Process", not the "Weiner Process".
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