yuima.model-class: Classes for the mathematical description of stochastic...
In yuima: The YUIMA Project Package for SDEs

yuima.model-class

R Documentation

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.