Mathematical Experiment Design Based on Random Simulation Method

Based on Monte Carlo method and Matlab programming, two mathematical experiment cases are designed in this paper. One is the simulation of the Brownian movement, the other is the numerical simulation of the It stochastic differential equation. These cases will enrich the content of mathematical experiment course as well as deepen the understanding of differential equation of random process. It would help the development of comprehensive ability of the students centering on creative thought ability and self-learning ability.