simulate-jumpDiffusion-method: Simulation of jump diffusion process

Description Usage Arguments Examples

Description

Simulation of jump diffusion process dY_t = b(φ,t,Y_t)dt + s(γ,t,Y_t)dW_t + h(η,t,Y_t)dN_t.

Usage

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## S4 method for signature 'jumpDiffusion'
simulate(object, nsim = 1, seed = NULL, t, y0,
  start = c(0, 0), mw = 1, plot.series = TRUE)

Arguments

object

class object of parameters: "jumpDiffusion"

nsim

number of trajectories to simulate. Default is 1.

seed

optional: seed number for random number generator

t

vector of time points

y0

starting point of process

start

vector: start[1] starting point time, start[2] starting point for Poisson process

mw

mesh width for finer Euler approximation to simulate time-continuity

plot.series

logical(1), if TRUE, simulated series are depicted grafically

Examples

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model <- set.to.class("jumpDiffusion",
   parameter = list(theta = 0.1, phi = 0.05, gamma2 = 0.1, xi = c(3, 1/4)),
   Lambda = function(t, xi) (t/xi[2])^xi[1])
t <- seq(0, 1, by = 0.01)
data <- simulate(model, t = t, y0 = 0.5)

SimoneHermann/BaPreStoPro documentation built on May 10, 2017, 1:42 p.m.