Creates an object to represent the diffusion rate of a stochastic
differential equation (SDE).
DiffusionRate(t, X_t) = diag(X_t.^Alpha(t)) * V(t)
dX_t = DriftRate(t, X_t)dt + DiffusionRate(t, X_t)dW_t.
- (X_t) is an NVARS-dimensional process;
- (W_t) is an NBROWNS-dimensional Wiener process.
- Variable: Alpha An NVARS-by-1 vector or a function. As a function,
Alpha returns an NVARS-by-1 vector and has either exactly one input
(time: Alpha(t)) or exactly two inputs (time and space:
Alpha(t, X_t)).
- Variable: Sigma An NVARS-by-NBROWNS matrix or a function. As a
function, Sigma returns an NVARS-by-NBROWNS matrix and has either
exactly one input (time: Sigma(t)) or exactly two inputs (time and
space: Sigma(t, X_t)).
See also: drift.