Creates an object to represent the drift rate of a stochastic differential
equation (SDE).
DriftRate(t, X_t) = A(t) + B(t) * X_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: A An NVARS-by-1 vector or a function. As a function, A
returns an NVARS-by-1 vector and has either exactly one input (time:
A(t)) or exactly two inputs (time and space: A(t, X_t)).
- Variable: B An NVARS-by-NVARS matrix or a function. As a function,
B returns an NVARS-by-NVARS matrix and has either exactly one input
(time: B(t)) or exactly two inputs (time and space: B(t, X_t)).
See also: diffusion.