Description Usage Arguments Value
Integral Y[t] obtained via simple trapezoid rule.
1 2 | rBAPtransition2.trapezoid(X0, mu, kappa, sigma, lambda = 0, zeta = 1,
horizon, ticks = 100)
|
X0 |
Initial condition X=X0 |
mu |
Drift of process. |
kappa |
Mean reversion of process. |
sigma |
Volatility of process. |
lambda |
Jump arrival rate of process. |
zeta |
Mean of jump size distribution. |
horizon |
time t |
ticks=100 |
is approximate number of knot points in [0,horizon] |
List (X=Xt,Y=Yt) of process at time t.
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