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I am trying to simulate (for the first time) a 2-dimensional SDE, in Matlab.

$$X(t)=F(t,X(t))\,dt + \sigma(t,X(t))\,dBt$$

I have no problem using the Euler-Maruyama method in the one dimensional case, but I am not sure if I am correct with the 2-dimensional Brownian motion $B=(B_1,B_2)$.

I need to simulate two sequences $dB_1$ and $dB_2$. Can I just simulate 2 sequences in Matlab $\sqrt{dt}*randn$? Will they be independent ?

I tried to search for tutorials on simulation of two independent Brownian motions. Can you help me with this? What is the easiest way of generating two independent sequences of normally distributed random numbers?

Thank you :) Bilka

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3 Answers

The following code

>> X = cumsum(0.01 * randn(10000,2));
>> plot(X(:,1), X(:,2))
>> axis equal

generates this plot. Adjust parameters to taste.

enter image description here

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You can find the code for a complete 2d simulation here. In any case, this is kind of things where tons of material can be found just using google.

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"Can I just simulate 2 sequences ..."

Yes you can just do it in the straightforward way, and it will do the right thing.

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This does not provide an answer to the question. To critique or request clarification from an author, leave a comment below their post. –  Sasha Sep 9 '12 at 3:09
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