dcElerian

Approximated conditional densities for \(X(t) | X(t_0) = x_0\) of a diffusion process.

datagen

Companion package to the book Simulation and Inference for
Stochastic Differential Equations With R Examples, ISBN
978-0-387-75838-1, Springer, NY.

Stefano M. Iacus

Simulation and Inference for Stochastic Differential Equations

dcElerian function

<dl> <dt>x</dt>
<dd>vector of quantiles.</dd> <dt>t</dt>
<dd>lag or time.</dd> <dt>x0</dt>
<dd>the value of the process at time <code>t0</code>; see details.</dd> <dt>t0</dt>
<dd>initial time.</dd> <dt>theta</dt>
<dd>parameter of the process; see details.</dd> <dt>log</dt>
<dd>logical; if TRUE, probabilities \(p\) are given as \(\log(p)\).</dd> <dt>d</dt>
<dd>drift coefficient as a function; see details.</dd> <dt>s</dt>
<dd>diffusion coefficient as a function; see details.</dd> <dt>sx</dt>
<dd>partial derivative w.r.t. <code>x</code> of the
 diffusion coefficient; see details.</dd></dl>

Arguments

Author

Approximated conditional law of a diffusion process by Elerian's method — dcElerian

<dl>

 <dt>x</dt>
<dd>vector of quantiles.</dd>

 <dt>t</dt>
<dd>lag or time.</dd>

 <dt>x0</dt>
<dd>the value of the process at time <code>t0</code>; see details.</dd>

 <dt>t0</dt>
<dd>initial time.</dd>

 <dt>theta</dt>
<dd>parameter of the process; see details.</dd>

 <dt>log</dt>
<dd>logical; if TRUE, probabilities \(p\) are given as \(\log(p)\).</dd>

 <dt>d</dt>
<dd>drift coefficient as a function; see details.</dd>

 <dt>s</dt>
<dd>diffusion coefficient as a function; see details.</dd>

 <dt>sx</dt>
<dd>partial derivative w.r.t. <code>x</code> of the
 diffusion coefficient; see details.</dd>

</dl>

dcElerian: Approximated conditional law of a diffusion process by Elerian's method

Description

Usage

Value

Arguments

Author

Details

References