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inst/book/ex2.07.R
In sde: Simulation and Inference for Stochastic Differential Equations
# ex2.07.R
# Cox-Ingersoll-Ross (CIR-2)
d <- expression( 6-3*x )
s <- expression( 2*sqrt(x) )
s.x <- expression( 1/sqrt(x) )
require(sde)
set.seed(123)
sde.sim(X0=10, drift=d, sigma=s, sigma.x=s.x,
method="milstein") -> X
plot(X,main="Cox-Ingersoll-Ross")
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sde documentation built on Sept. 9, 2022, 3:07 p.m.
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# ex2.07.R
# Cox-Ingersoll-Ross (CIR-2)
d <- expression( 6-3*x )
s <- expression( 2*sqrt(x) )
s.x <- expression( 1/sqrt(x) )
require(sde)
set.seed(123)
sde.sim(X0=10, drift=d, sigma=s, sigma.x=s.x,
method="milstein") -> X
plot(X,main="Cox-Ingersoll-Ross")
Try the sde package in your browser
Any scripts or data that you put into this service are public.
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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