Wiener process construction in Matlab

Matlab function that lets you generate sample paths of a Wiener process in the interval [0, 1] using the wavelet method.

Usage

Execute the function by passing as arguments:

1. the numer of samples of the path
2. and the number of iterations of the wavelet construction method.

For example:

w = wprocess(2048, 1000);

The number of samples in the path must be a power of 2. The higher the numer of iterations, the more accurate the output Wiener process sample path will be.

Now it is possible to plot the sample path:

x = linspace(0, 1, 2048);
plot(x, w);