Classes for the mathematical description of stochastic differential equations

Description

The yuima.model class is a class of the yuima package.

Slots

drift:

is an R expression which specifies the drift coefficient (a vector).

diffusion:

is an R expression which specifies the diffusion coefficient (a matrix).

hurst:

the Hurst parameter of the gaussian noise. If h=0.5, the process is Wiener otherwise it is fractional Brownian motion with that precise value of the Hurst index. Can be set to NA for further specification.

jump.coeff:

a matrix of expressions for the jump component.

measure:

Levy measure for jump variables.

measure.type:

Type specification for Levy measures.

state.variable

a vector of names identifying the names used to denote the state variable in the drift and diffusion specifications.

parameter:

which is a short name for “parameters”, is an object of class model.parameter-class. For more details see model.parameter-class documentation page.

state.variable:

identifies the state variables in the R expression.

jump.variable:

identifies the variable for the jump coefficient.

time.variable:

the time variable.

noise.number:

denotes the number of sources of noise. Currently only for the Gaussian part.

equation.number:

denotes the dimension of the stochastic differential equation.

dimension:

the dimensions of the parameter given in the parameter slot.

solve.variable:

identifies the variable with respect to which the stochastic differential equation has to be solved.

xinit:

contains the initial value of the stochastic differential equation.

J.flag:

wheather jump.coeff include jump.variable.

Author(s)

The YUIMA Project Team

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