yuima (version 1.15.27)

setIntegral: Integral of Stochastic Differential Equation

Description

'setIntegral' is the constructor of an object of class yuima.Integral

Usage

setIntegral(yuima, integrand, var.dx, lower.var, upper.var,
 out.var = "", nrow = 1, ncol = 1)

Value

The constructor returns an object of class yuima.Integral.

Arguments

yuima

an object of class yuima.model that is the SDE.

integrand

A matrix or a vector of strings that describe each component of the integrand.

var.dx

A label that indicates the variable of integration

lower.var

A label that indicates the lower variable in the support of integration, by default lower.var = 0.

upper.var

A label that indicates the upper variable in the support of integration, by default upper.var = t.

out.var

Label for the output

nrow

Dimension of output if integrand is a vector of string.

ncol

Dimension of output if integrand is a vector of string.

Author

The YUIMA Project Team

References

Yuima Documentation

Examples

if (FALSE) {
# Definition Model

Mod1<-setModel(drift=c("a1"), diffusion = matrix(c("s1"),1,1),
  solve.variable = c("X"), time.variable = "s")

# In this example we define an integral of SDE such as
# \[
# I=\int^{t}_{0} b*exp(-a*(t-s))*(X_s-a1*s)dX_s
# \]

integ <- matrix("b*exp(-a*(t-s))*(X-a1*s)",1,1)

Integral <- setIntegral(yuima = Mod1,integrand = integ,
  var.dx = "X", lower.var = "0", upper.var = "t",
  out.var = "", nrow =1 ,ncol=1)

# Structure of slots

is(Integral)
# Function h in the above definition
Integral@Integral@Integrand@IntegrandList
# Dimension of Intgrand
Integral@Integral@Integrand@dimIntegrand

# all parameters are $\left(b,a,a1,s1\right)$
Integral@[e-mail]@allparam

# the parameters in the integrand are $\left(b,a,a1\right)$ \newline
Integral@[e-mail]@Integrandparam

# common parameters are $a1$
Integral@[e-mail]@common

# integral variable dX_s
Integral@[e-mail]@var.dx
Integral@[e-mail]@var.time

# lower and upper vars
Integral@[e-mail]@lower.var
Integral@[e-mail]@upper.var

}