随机过程matlab程序.docVIP

%PPT例2一维正态密度与二维正态密度

symsxy;

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)

%%Thedailylogreturnsonthestockhaveameanof0.05/yearandastandarddeviationof0.23/year.Thesecanbeconvertedtoratespertradingdaybydevidingby253andsqrt(253),respectively.

Question1:Whatistheprobabilitythatthevalueofthestockwillbebelow$950,000atthe

closedayofatleastoneofthenext45tradingdays?

clear;

niter=1.0E5;%numberofiterations

below=repmat(0,1,niter);%setupstorage

randn(seed,0);

fori=1:niter

r=normrnd(0.05/253,0.23/sqrt(253),1,45);%generaterandomnumbers

logPrice=log(1.0E6)+cumsum(r);

minlogP=min(logPrice);%minmumpriceovernext45days

below(i)=sum(minlogPlog(950000));

end

Pro=mean(below)

%P29随机相位正弦波仿真

%1timesimulation

w=2;N=1000;mu=2;sigma=3;

s=rand(state);

A=mu+sigma*randn(1,N);%A=normrnd(mu,sigma,1,N)

theta=-pi+2*pi*rand(1,N);

t=1:N;

x=A.*cos(w*t+theta);

capmu=mean(x)

tao=1

x1=A.*cos(w*(t+tao)+theta);

capgamma=mean((x-capmu).*(x1-capmu))

%mtimesimulation

clear;

w=2;N=1000;mu=2;sigma=3;

m=500;capmu1=[];capgamma1=[];

fori=1:m

s=rand(state);

A=mu+sigma*randn(1,N);

theta=-pi+2*pi*rand(1,N);

t=1:N;

x=A.*cos(w*t+theta);

capmu=mean(x);

capmu1=[capmu1,capmu];

tao=1;

x1=A.*cos(w*(t+tao)+theta);

capgamma=mean((x-capmu).*(x1-capmu));

capgamma1=[capgamma1,capgamma];

end

plot(1:m,capmu1,*,1:m,capgamma1,o)

capmu=mean(capmu1);

capgamma=mean(capgamma1);

err1=mean((capmu1-0).^2);

gamma=(sigma^2+mu^2)*cos(w*tao)/2;

err2=mean((capgamma1-gamma).^2);

[capmu