随机过程matab程序.docVIP

% PPT 例2 一维正态密度与二维正态密度 syms x y; s=1; t=2; mu1=0; mu2=0; sigma1=sqrt((1+s^2)); sigma2=sqrt((1+t^2)); x=-6:0.1:6; f1=1/sqrt(2*pi*sigma1)*exp(-(x-mu1).^2/(2*sigma1^2)); f2=1/sqrt(2*pi*sigma2)*exp(-(x-mu2).^2/(2*sigma2^2)); plot(x,f1,r-,x,f2,k-.) rho=(1+s*t)/(sigma1*sigma2); f=1/(2*pi*sigma1*sigma2*sqrt(1-rho^2))*exp(-1/(2*(1-rho^2))*((x-mu1)^2/sigma1^2-2*rho*(x-mu1)*(y-mu2)/(sigma1*sigma2)+(y-mu2)^2/sigma2^2)); ezsurf(f) % % The daily log returns on the stock have a mean of 0.05/year and a standard deviation of 0.23/year. These can be converted to rates per trading day by deviding by 25