telegraph_model: Compute the PDF of the telegraph process under three methods

In shill1729/telegrapher: Study the telegrapher PDE and process numerically

Description

Compute and plot the PDFs and CDFs of the telegraph process at a given time and initial point, using the exact semi-analytic formula, a Monte-Carlo scheme and a numerical PDE solver.

Usage

telegraph_model(
  x0,
  tt,
  sp = 1,
  ntime = 250,
  N = 400,
  M = 400,
  npaths = 50,
  xscale = 1.5
)

Arguments

x0	initial point
tt	time horizon
sp	speed of light
ntime	number of time sub-intervals in sample-paths
N	number of time sub-intervals in PDE grid
M	number of space sub-intervals in PDE grip
npaths	number of paths in ensemble for Monte-Carlo scheme
xscale	the scale of the region for the PDE.

Value

list of the three pdfs plus a list of the input.

shill1729/telegrapher documentation built on Dec. 23, 2021, 1:23 a.m.