DBridge {sde}R Documentation

Simulation of diffusion bridge

Description

Simulation of diffusion bridge

Usage

DBridge(x=0, y=0, t0=0, T=1, delta, drift, sigma, ...)

Arguments

x intial value of the process at time t0.
y terminal value of the process at time T.
t0 initial time.
delta time-step of the simulation.
drift drift coeffcient: an expression of two variables t and x.
sigma diffusion coeffcient: an expression of two variables t and x.
T final time.
... passed to the sde.sim function

Details

The function returns a trajectory of the Diffusion Bridge starting in x at time t0 and ending at y at time T.

The function uses the sde.sim function to simulate the paths internally. Refer to the sde.sim documentation for further informations about the args ...

Value

X an invisible ts object

Author(s)

Stefano Maria Iacus

References

Bladt, M., Soerensen, M. (2007) Simple simulation of diffusion bridges with application to likelihood inference for diffusions, mimeo.

See Also

sde.sim, BBridge

Examples

d <- expression((3-x))
s <- expression(1.2*sqrt(x))
par(mar=c(3,3,1,1))
par(mfrow=c(2,1)) 
set.seed(123)
X <- DBridge(x=1.7,y=0.5, delta=0.01, drift=d, sigma=s)
plot(X)
X <- DBridge(x=1,y=5, delta=0.01, drift=d, sigma=s)
plot(X)

[Package sde version 1.9.33 Index]