Solution to 4. A generalised random walk is given by dS = a(x,t)dt + b(x,t)dW where a(x,t),b(x,t) … - Sikademy
Author Image

Mirian Woke

4. A generalised random walk is given by dS = a(x,t)dt + b(x,t)dW where a(x,t),b(x,t) are given functions of space and time and dW is a Weiner process i.e. and is a random number normally distributed with a mean of 0 and a variance of 1. Simulate this random walk in 1 dimension with your own choice of a(x,t) and b(x,t) (you may choose to keep these constant, e.g. a=1). Estimate the expected value for your walk after 2500 steps. [2

Hmmm... This is a tough one :(

We need the Motivation and Support! 💪

Our expert tutor in charge of answering this question
needs a cup of coffee to get pumped!

Buy her a cup or more ☕

And unlock the solution to this question.

Related Answers

Was this answer helpful?

Join our Community to stay in the know

Get updates for similar and other helpful Answers

Question ID: mtid-4-stid-47-sqid-4326-qpid-45