Description Usage Arguments Value Examples

Computes the drift of the WN diffusion in 2D in a vectorized way.

1 |

`x` |
a matrix of dimension |

`A` |
drift matrix of size |

`mu` |
a vector of length |

`sigma` |
vector of length |

`rho` |
correlation coefficient of |

`maxK` |
maximum absolute value of the windings considered in the computation of the WN. |

`expTrc` |
truncation for exponential: |

A matrix of size `c(n, 2)`

containing the drift evaluated at `x`

.

1 2 3 4 5 6 7 8 9 10 | ```
alpha <- 3:1
mu <- c(0, 0)
sigma <- 1:2
rho <- 0.5
Sigma <- diag(sigma^2)
Sigma[1, 2] <- Sigma[2, 1] <- rho * prod(sigma)
A <- alphaToA(alpha = alpha, sigma = sigma, rho = rho)
x <- rbind(c(0, 1), c(1, 0.1), c(pi, pi), c(-pi, -pi), c(pi / 2, 0))
driftWn2D(x = x, A = A, mu = mu, sigma = sigma, rho = rho)
driftWn(x = x, A = A, mu = c(0, 0), Sigma = Sigma)
``` |

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