General implicit SDE simulator
1 2 | solve_implicit_sde(d_det, jacobian, sigma, start, from, to, steps, x_tol = 0,
algorithm = "TNEWTON")
|
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 |
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