simulate,jumpDiffusion-method {BaPreStoPro} | R Documentation |
Simulation of jump diffusion process dY_t = b(φ,t,Y_t)dt + s(γ,t,Y_t)dW_t + h(η,t,Y_t)dN_t.
## S4 method for signature 'jumpDiffusion' simulate(object, nsim = 1, seed = NULL, t, y0, start = c(0, 0), mw = 1, plot.series = TRUE)
object |
class object of parameters: "jumpDiffusion" |
nsim |
number of trajectories to simulate. Default is 1. |
seed |
optional: seed number for random number generator |
t |
vector of time points |
y0 |
starting point of process |
start |
vector: start[1] starting point time, start[2] starting point for Poisson process |
mw |
mesh width for finer Euler approximation to simulate time-continuity |
plot.series |
logical(1), if TRUE, simulated series are depicted grafically |
model <- set.to.class("jumpDiffusion", parameter = list(theta = 0.1, phi = 0.05, gamma2 = 0.1, xi = c(3, 1/4)), Lambda = function(t, xi) (t/xi[2])^xi[1]) t <- seq(0, 1, by = 0.01) data <- simulate(model, t = t, y0 = 0.5)