rTrajectoryOUDef: Generation of a random trajectory of an OU process starting...
| rTrajectoryOUDef | R Documentation |
Generation of a random trajectory of an OU process starting from a given initial state (only for test purpose)
Description
Generation of a random trajectory of an OU process starting from a given initial state (only for test purpose)
Usage
rTrajectoryOUDef(z0, t, alpha, theta, sigma, steps = 1)
Arguments
z0 |
Numeric value, initial state. |
t |
Numeric value or vector of size steps, denoting the time-step(s). |
alpha, theta, sigma |
Numeric values, parameters of the OU process. |
steps |
Integer, number of steps. |
Details
Used for test purpose only. This is an internal function and is appropriate for small time-steps only.
