Function File: SDE = sdeld (A, B, Alpha, Sigma)

Function File: SDE = sdeld (A, B, Alpha, Sigma, OptionName, OptionValue, …)

Creates an object to represent a stochastic differential equation (SDE) in linear drift-rate form.

dX_t = (A(t) + B(t) * X_t)dt + (diag(X_t.^Alpha(t)) * Sigma(t))dW_t

• (X_t) is an NVARS-dimensional process;
• (W_t) is an NBROWNS-dimensional Wiener process.

The parameters A and B appear in the @sde/drift documentation.

The parameters Alpha and Sigma appear in the @sde/diffusion documentation.

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

See also: drift, diffusion, sde.

Package: financial