逼近隨機積分與維納過程（MATLAB）

Question

是否有一個工具箱或可用的MATLAB功能，讓我來解決隨機積分的如下近似，其中Z是一個維納過程：

Answer 1

%Lets say n is 100 and dt is 1/252 and k = .1 
    n = 100; 
    dt = 1/252; 
    k = 0.1; 
    dz = randn(n,1); %get random increments: normal 
    %dz = 2*(randi(2,n,1)-1.5); % or plus/minus ones : bernoulli 
    fnt = exp(-k*(n*dt - [0:n-1]*dt))*sqrt(dt)*dz;