solve_general_sde: Simulates an SDE explicitly (derivative free)

In rossklin/SimpleSDESampler: Simple SDE Sampler

Description

For an Ito form SDE dx = f(x) dt + g(x) E sqrt(dt)

Usage

solve_general_sde(d_det, d_stoch, start, from, to, steps)

Arguments

d_det	R function representing f(x)
d_stoch	R function representing g(x) E
start	numeric vector with initial state
from	scalar with initial time
to	scalar with final time
steps	number of steps to take

rossklin/SimpleSDESampler documentation built on May 27, 2019, 11:37 p.m.