I am trying to approximate the solution to:

$\int_{0}^{t} f(s) db(\omega,s) = f(s)b(\omega,s)|^{t}_{0} - \int_{0}^{t} f'(s) b(\omega,s) ds$

where $f(t) = sin(t)$ and $t \in [0,2\pi]$ for both sides of this equation.

My code for the left side is:

N = 2000;  Tend = 2*pi;  dt = Tend/N;  t = 0:dt:Tend;
f = sin(t)*sqrt(dt);
f = [0 ff(1:end-1)];
[fL,junk] = meshgrid(f,1);
dW = cumsum([0 randn(1,N)].*fL,2);

but I can't figure out the right side at all, which is much harder. Can anyone help?


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.