yuima (version 1.15.27)

aeExpectation: Asymptotic Expansion - Functionals

Description

Compute the expected value of functionals.

Usage

aeExpectation(f, bounds, ae, eps = 1, order = NULL, ...)

Value

return value of cubintegrate. The expectation of the functional provided.

Arguments

f

character. The functional.

bounds

named list of integration bounds in the form list(x = c(xmin, xmax), y = c(ymin, ymax), ...)

ae

an object of class yuima.ae-class.

eps

numeric. The intensity of the perturbation.

order

integer. The expansion order. If NULL (default), it uses the maximum order used in ae.

...

additional arguments passed to cubintegrate.

Examples

if (FALSE) {
# model
gbm <- setModel(drift = 'mu*x', diffusion = 'sigma*x', solve.variable = 'x')

# settings
xinit <- 100
par <- list(mu = 0.01, sigma = 0.2)
sampling <- setSampling(Initial = 0, Terminal = 1, n = 1000)

# asymptotic expansion
approx <- ae(model = gbm, sampling = sampling, order = 4, true.parameter = par, xinit = xinit)

# compute the mean via integration
aeExpectation(f = 'x', bounds = list(x = c(0,1000)), ae = approx)

# compare with the mean computed by differentiation of the characteristic function
aeMean(approx)
}