Simulation of diffusion bridge

Description

Simulation of diffusion bridge.

Usage

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DBridge(x=0, y=0, t0=0, T=1, delta, drift, sigma, ...)

Arguments

x

initial value of the process at time t0.

y

terminal value of the process at time T.

t0

initial time.

delta

time step of the simulation.

drift

drift coefficient: an expression of two variables t and x.

sigma

diffusion coefficient: an expression of two variables t and x.

T

final time.

...

passed to the sde.sim function.

Details

The function returns a trajectory of the diffusion bridge starting at x at time t0 and ending at y at time T.

The function uses the sde.sim function to simulate the paths internally. Refer to the sde.sim documentation for further information about the argument “...

Value

X

an invisible ts object

Author(s)

Stefano Maria Iacus

References

Bladt, M., Soerensen, M. (2007) Simple simulation of diffusion bridges with application to likelihood inference for diffusions, mimeo.

See Also

sde.sim, BBridge

Examples

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d <- expression((3-x))
s <- expression(1.2*sqrt(x))
par(mar=c(3,3,1,1))
par(mfrow=c(2,1)) 
set.seed(123)
X <- DBridge(x=1.7,y=0.5, delta=0.01, drift=d, sigma=s)
plot(X)
X <- DBridge(x=1,y=5, delta=0.01, drift=d, sigma=s)
plot(X)

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