dcElerian {sde} | R Documentation |
Approximated conditional densities for X(t) | X(t0) = x0
of a diffusion process
dcElerian(x, t, x0, t0, theta, d, s, sx, log=FALSE)
x |
vector of quantiles. |
t |
lag or time. |
x0 |
the value of the process at time t0 . See details. |
t0 |
intial time. |
theta |
parameter of the process. See details. |
log |
logical; if TRUE, probabilities p are given as log(p). |
d |
drift coefficient as a function. See details. |
s |
diffusion coefficient as a function. See details. |
sx |
partial derivative wrt x of the
diffusion coefficient. See details. |
This function returns the value of the conditional density of
X(t) | X(t0) = x0
at point x
.
All the functions d
, s
and sx
must be functions of t
, x
and theta
.
x |
a numeric vector |
Stefano Maria Iacus
Elerian, O. (1998) A note on the existence of a closed form conditional density for the Milstein scheme, Working Paper, Nuffield College, Oxford University. Available at http://www.nuff.ox.ac.uk/economics/papers/