simulate,Diffusion-method {BaPreStoPro} | R Documentation |
Simulation of a stochastic process dY_t = b(φ,t,Y_t)dt + γ \widetilde{s}(t,Y_t)dW_t.
## S4 method for signature 'Diffusion' simulate(object, nsim = 1, seed = NULL, t, y0, mw = 1, plot.series = TRUE)
object |
class object of parameters: "Diffusion" |
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 the 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("Diffusion", parameter = list(phi = 0.5, gamma2 = 0.01)) t <- seq(0, 1, by = 0.01) data <- simulate(model, t = t, y0 = 0.5, plot.series = TRUE)