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Simulating of GBM
I have a question regarding the simulation of a GBM. I have found similar questions here but nothing which takes reference to my specific problem:
Given a GBM of the form
$dS(t) = \mu S(t) dt + ...
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3answers
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Simulation of 2-dimensional Brownian motion
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 ...