DBridge {sde} | R Documentation |
Simulation of diffusion bridge.
DBridge(x=0, y=0, t0=0, T=1, delta, drift, sigma, ...)
x |
initial 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 coefficient: an expression of two variables t and x . |
sigma |
diffusion coefficient: an expression of two variables t and x . |
T |
final time. |
... |
passed to the sde.sim function. |
The function returns a trajectory of the diffusion bridge
starting at 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 information about the
argument ``...
''
X |
an invisible ts object |
Stefano Maria Iacus
Bladt, M., Soerensen, M. (2007) Simple simulation of diffusion bridges with application to likelihood inference for diffusions, mimeo.
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)