dcElerian: Approximated conditional law of a diffusion process by...

In sde: Simulation and Inference for Stochastic Differential Equations

Approximated conditional law of a diffusion process by Elerian's method

Description

Approximated conditional densities for X(t) | X(t0) = x0 of a diffusion process.

Usage

dcElerian(x, t, x0, t0, theta, d, s, sx, log=FALSE)

Arguments

x	vector of quantiles.
t	lag or time.
x0	the value of the process at time t0; see details.
t0	initial time.
theta	parameter of the process; see details.
log	logical; if TRUE, probabilities p are given as log(p).
d	drift coefficient as a function; see details.
s	diffusion coefficient as a function; see details.
sx	partial derivative w.r.t. x of the diffusion coefficient; see details.

Details

This function returns the value of the conditional density of X(t) | X(t0) = x0 at point x.

All the functions d, s, and sx must be functions of t, x, and theta.

Value

x	a numeric vector

Author(s)

Stefano Maria Iacus

References

Elerian, O. (1998) A note on the existence of a closed form conditional density for the Milstein scheme, Working Paper, Nuffield College, Oxford University. Available at http://www.nuff.ox.ac.uk/economics/papers/

sde documentation built on Sept. 9, 2022, 3:07 p.m.