0
votes
0answers
31 views

STINT Approximate stochastic integrals

This is a matlab code to simulate stochastic integrals: ...
0
votes
2answers
1k views

command randn(1,N) in matlab

This program is in Matlab to simulate Brownian motion Generating GBM: ...
1
vote
1answer
270 views

What are the differences between the random walk and the gaussian random walk?

I know the random walk mobility model, but I can not understand what are the differences with respect to gaussian random walk. In other words, I know how to implement the two-dimensional random walk: ...
4
votes
1answer
191 views

Pseudo random number generator: Why not to use “too many” random variables in one application

I found statement in an article "Good Practice in ( Pseudo ) Random Number Generation for Bioinformatics Applications" that you should not use too many random variables in a single simulation. Authors ...
1
vote
0answers
159 views

Markov Chains - Using Gibbs & Metropolis algorithm.

Suppose $f_x,_y$ is bivariate normal distribution. I was given the parameters $(μ_1, μ_2, σ_1^2, σ_2^2)$ and $ρ=0.95$ the correlation coefficient. I want to generate $(x_1,y_1), ...
3
votes
0answers
173 views

Simulation and Stochastic Processes

Supposing we want to take a sample from the distribution $p(x)=cp^*(x)$ where $c$ is the normalization constant and $p^*(x)$ is given by $$p^*(x)=0.5\exp(-(x-\mu_1)^2)+0.5\exp(-(x-\mu_2)^2).$$ ...
0
votes
1answer
156 views

Algorithms and Simulation

Supposing we want to take a sample from a $N(0,1)$ distribution and i can take a sample from a $N(0,σ^2)$. (a) Construct a disposal/rejection algorithm with function $N(0,σ^2)$, which generates a ...