sde_system: Solve arbitrary first order SDE systems

In shill1729/sdes: Stochastic differential equation solver

Description

A general Eule-Maruyama scheme implementation for arbitrary first-order SDE systems of finite dimension.

Usage

sde_system(
  IC,
  t0 = 0,
  tn = 1,
  drifts,
  diffusions,
  independent = FALSE,
  n = 1000
)

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
independent	boolean to simulate processes driven by one Brownian motion (false) or as many independent Brownian motions as there are state variables
n	number of sub-intervals in time-grid

Details

The list of functions must have syntax h(t,x,y,z) for each element matching the elements of IC as list(x = y0, y = y0, z = z0) for example.

Value

data.frame

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