用Wiener过程逼近随机积分（MATLAB）

Question

是否有工具箱或可用的MATLAB函数可以解决随机积分的近似逼近，其中z是Wiener过程：

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;