Function File: SDE = sdeddo (DriftRate, DiffusionRate)
Function File: SDE = sdeddo (DriftRate, DiffusionRate, OptionName, OptionValue, …)

Creates an object to represent a stochastic differential equation (SDE) using drift and diffusion objects.

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.
  • Variable: DiffusionRate A diffusion object.

See the @sde documentation for a list of optional arguments.

See also: drift, diffusion, sde.

Package: financial