Creates an object to represent a stochastic differential equation (SDE).
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: DriftRate A drift object or function that returns an
NVARS-by-1 vector.
- Variable: DiffusionRate A diffusion object or function that returns an
NVARS-by-NBROWNS matrix.
A list of options recognized by sde are given below:
- StartTime - Time of the first observation. If unspecified, the default
is 0.
- StartState - Scalar, NVARS-dimensional column vector, or
NVARS-by-NTRIALS matrix of initial values of the state
variables.
If unspecified, X_0 is taken to be a vector of ones.
- Correlation - NBROWNS-by-NBROWNS real symmetric positive definite
matrix specifying correlations between Wiener processes.
For nonconstant correlation, a function of time returning
an NBROWNS-by-NBROWNS matrix can be specified.
If unspecified, the identity matrix is used.
- Simulation - Function handle pointing to simulation method.
If unspecified, simByEuler is used.
See also: drift, diffusion.