rMRCPtransition: Draw from MRCP transition density, i.e., X[t] given X[0]

Description Usage Arguments Value

Description

Draw from MRCP transition density, i.e., X[t] given X[0]

Usage

1
rMRCPtransition(X0, mu, kappa, lambda = 0, zeta = 1, horizon)

Arguments

X0

Initial conditions (scalar).

mu

Drift of process.

kappa

Mean reversion of process.

lambda

Jump arrival rate of process.

zeta

Mean of jump size distribution.

horizon

time t

Value

Xlist list containing X[horizon], X[jumptimes-], jump times and sizes.

Xt Value of processes at time t.


michaelgordy/basicAffineProcess documentation built on May 22, 2019, 9:50 p.m.