Man pages for Uffe-H-Thygesen/SDEtools
Utilities for Stochastic Differential Equations
| cell.centers | Get center of grid cells for a retangular grid |
| CrossVariation | Cross-variation of two stochastic processes |
| dCIR | The Cox-Ingersoll-Ross process |
| dLinSDE | Transition probabilities in a linear SDE dX = A*X*dt + u*dt +... |
| dOU | The Ornstein-Uhlenbeck process |
| euler | Euler simulation of an Ito stochastic differential equation... |
| fvade | Discretize scalar advection-diffusion equation using finite... |
| fvade2d | Compute generator for a 2D advection-diffusion equation |
| heun | Heun's method for simulation of a Stratonovich stochastic... |
| HMMfilterSDE | Estimate states in a scalar stochastic differential equation... |
| itointegral | Ito integral of a stochastic process w.r.t. another |
| lqr | Solve the time-varying LQR (Linear Quadratic Regulator)... |
| lyap | Algebraic Lyapunov equation A*X+X*t(A)+Q=0 |
| pack.field | Convert a tabulated function on the plane to a vector |
| PolicyIterationRegular | Solve the optimal control problem using policy iteration,... |
| PolicyIterationSingular | Solve the optimal control problem using policy iteration,... |
| prob2pdf | Convert cell probabilities to (average) probability densities |
| QuadraticVariation | Discretized quadratic variation of a stochastic process |
| QuasiStationaryDistribution | Compute the quasi-stationary distribution for a terminating... |
| rBM | Simulate a sample path of Brownian motion |
| rBrownianBridge | Simulate a Brownian bridge |
| rvBM | Simulate a multivariate Brownian motion |
| StationaryDistribution | Compute the stationary distribution for a Continuous Time... |
| stochint | Integrate one sample path of a stochastic process w.r.t.... |
| TransientModes | Compute the first transient modes (forward and backward) for... |
| unpack.field | Convert a vector to a function on the plane |
