sde_rk2: Runge-Kutta solver for Ito SDEs
In shill1729/sdes: Stochastic differential equation solver
Description
Usage
Arguments
Value
Description
The stochastic Runge-Kutta for SDEs. See wikipedia for mathematical details.
Usage
1
sde_rk2(x0, tt, drift, diffusion, n = 1000)
Arguments
x0
initial value of the process
tt
length to simulate over
drift
the drift coefficient function of space-time in the order (t, x)
diffusion
the diffusion coefficient function of space-time, in the order (t, x)
n
number of sub-intervals in time-discretization
Value
data.frame
shill1729/sdes documentation built on Aug. 30, 2021, 6:36 p.m.
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Description Usage Arguments Value
Description
The stochastic Runge-Kutta for SDEs. See wikipedia for mathematical details.
Usage
1 | sde_rk2(x0, tt, drift, diffusion, n = 1000)
|
Arguments
x0 |
initial value of the process |
tt |
length to simulate over |
drift |
the drift coefficient function of space-time in the order |
diffusion |
the diffusion coefficient function of space-time, in the order |
n |
number of sub-intervals in time-discretization |
Value
data.frame
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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