setIntegral: Integral of Stochastic Differential Equation
In yuima: The YUIMA Project Package for SDEs

setIntegral

R Documentation

Integral of Stochastic Differential Equation

Description

'setIntegral' is the constructor of an object of class yuima.Integral

Usage

setIntegral(yuima, integrand, var.dx, lower.var, upper.var,
 out.var = "", nrow = 1, ncol = 1)

Arguments

`yuima`	an object of class `yuima.model` that is the SDE.
`integrand`	A matrix or a vector of strings that describe each component of the integrand.
`var.dx`	A label that indicates the variable of integration
`lower.var`	A label that indicates the lower variable in the support of integration, by default `lower.var = 0`.
`upper.var`	A label that indicates the upper variable in the support of integration, by default `upper.var = t`.
`out.var`	Label for the output
`nrow`	Dimension of output if `integrand` is a vector of string.
`ncol`	Dimension of output if `integrand` is a vector of string.

Value

The constructor returns an object of class yuima.Integral.

Author(s)

The YUIMA Project Team

References

Yuima Documentation

Examples

## Not run: 
# Definition Model

Mod1<-setModel(drift=c("a1"), diffusion = matrix(c("s1"),1,1),
  solve.variable = c("X"), time.variable = "s")

# In this example we define an integral of SDE such as
# \[
# I=\int^{t}_{0} b*exp(-a*(t-s))*(X_s-a1*s)dX_s
# \]

integ <- matrix("b*exp(-a*(t-s))*(X-a1*s)",1,1)

Integral <- setIntegral(yuima = Mod1,integrand = integ,
  var.dx = "X", lower.var = "0", upper.var = "t",
  out.var = "", nrow =1 ,ncol=1)

# Structure of slots

is(Integral)
# Function h in the above definition
Integral@Integral@Integrand@IntegrandList
# Dimension of Intgrand
Integral@Integral@Integrand@dimIntegrand

# all parameters are $\left(b,a,a1,s1\right)$
Integral@Integral@param.Integral@allparam

# the parameters in the integrand are $\left(b,a,a1\right)$ \newline
Integral@Integral@param.Integral@Integrandparam

# common parameters are $a1$
Integral@Integral@param.Integral@common

# integral variable dX_s
Integral@Integral@variable.Integral@var.dx
Integral@Integral@variable.Integral@var.time

# lower and upper vars
Integral@Integral@variable.Integral@lower.var
Integral@Integral@variable.Integral@upper.var


## End(Not run)

yuima documentation built on Nov. 14, 2022, 3:02 p.m.