Code covered by the BSD License  

Highlights from
Simulation of Stochastic Processes

from Simulation of Stochastic Processes by Ingemar Kaj Raimundas Gaigalas
Simulates and plots trajectories of simple stochastic processes.

rw3plot(npoints, ntrajs, p)
function [rwproc] = rw3plot(npoints, ntrajs, p)
% RW3PLOT generate and plot some trajectories of the process
%   (X(n), Y(n), Z(n)), where X, Y and Z are random walks which
%   start at 0, jump up with probability p and down with
%   probability 1-p  
%
% [rwproc] = rw3plot(npoints, ntrajs, p)
%
% Inputs: npoints - length of the trajectory 
%         ntrajs - number of trajectories to plot
%         p - probability of the jump upwards
%
% Outputs: rwproc - npoints x 3 matrix with values of the process

% Authors: R.Gaigalas, I.Kaj
% v1.2 07-Oct-02

  % default parameter values
  if (nargin==0)
    npoints = 10000;
    ntrajs = 4;
    p = 0.5;
  end

  clf;
  colorstr='brgy';          
  for k=1:ntrajs
    rwproc = [zeros(1, 3); cumsum(2.*(rand(npoints-1, 3)<p)-1)];
    plot3(rwproc(:,1), rwproc(:,2), rwproc(:,3), colorstr(rem(k, 4)+1));
    hold on;  
  end
  grid on;
  hold off;

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