Creates an object to represent a stochastic differential equation (SDE) in
in mean-reverting drift-rate form.
dX_t = (Speed(t) * (Level(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.
- Variable: Speed An NVARS-by-NVARS matrix or a function. As a function,
Speed returns an NVARS-by-NVARS matrix and has either exactly one input
(time: Speed(t)) or exactly two inputs (time and space:
Speed(t, X_t)).
- Variable: Level An NVARS-by-1 vector or a function. As a function,
Level returns an NVARS-by-1 vector and has either exactly one input
(time: Level(t)) or exactly two inputs (time and space:
Level(t, X_t)).
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.