solve_implicit_sde: General implicit SDE simulator

In rossklin/SimpleSDESampler: Simple SDE Sampler

Description

General implicit SDE simulator

Usage

solve_implicit_sde(d_det, jacobian, sigma, start, from, to, steps, x_tol = 0,
  algorithm = "TNEWTON")

Arguments

d_det	Deterministic component: an R function: (m x n matrix of m states, scalar time) -> m x n matrix of m time derivatives
jacobian	Jacobian of deterministic component: an R function: (1 x n matrix state, scalar time) -> n x n matrix df_i / du_j
sigma	Amplitude of noise: scalar
start	Initial position: n vector
from	Initial time: scalar
to	Final time: scalar
steps	Number of points to take, s.t. dt = (from - to) / (steps + 1): integer

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