Description Usage Arguments References Examples
This function generates a a time series of one dimension geometric Brownian motion.
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x0 |
the start value of x, with the default value 10 |
w0 |
the start value of w, with the default value 0 |
mu |
the interest/drifting rate, with the default value 1. |
sigma |
the diffusion coefficient, with the default value 0.5. |
time |
the temporal interval at which the system will be generated. Default seq(0,by=0.01,len=101). |
do.plot |
a logical value. If TRUE (default value), a plot of the generated system is shown. |
Yanping Chen, http://cos.name/wp-content/uploads/2008/12/stochastic-differential-equation-with-r.pdf
1 2 | set.seed(123)
x <- data.gen.gbm()
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