sde_2d: Solve arbitrary first order SDE systems

In shill1729/sdes: Stochastic differential equation solver

Description

A general Euler scheme implementation for arbitrary first-order SDE systems with two state variables.

Usage

sde_2d(
  IC,
  t0 = 0,
  tn = 1,
  drifts,
  diffusions,
  rho = 0,
  n = 1000,
  plotPhaseSpace = TRUE
)

Arguments

IC	a list of variables with the same names as the non-time input as drifts, in the same order with initial values
t0	initial time
tn	ending time
drifts	a list of drift functions with as many variables as IC, and in the same order with the names
diffusions	a list of volatility functions with as many variables as IC, and in the same order with the names
rho	the correlation factor
n	number of sub-intervals in time-grid
plotPhaseSpace	whether to plot the phase-space graph in the function body

Details

The list of functions must have syntax h(t,x,y) for each element matching the elements of IC as list(x = y0, y = y0) for example.

Value

numeric data.frame

shill1729/sdes documentation built on Aug. 30, 2021, 6:36 p.m.