R: Approximated conditional law of a diffusion process

dcEuler {sde}

R Documentation

Approximated conditional law of a diffusion process

Approximated conditional densities for X(t) | X(t_0) = x_0 of a diffusion process.

dcEuler(x, t, x0, t0, theta, d, s, log=FALSE)

`x`	vector of quantiles.
`t`	lag or time.
`x0`	the value of the process at time `t0`; see details.
`t0`	initial 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.

This function returns the value of the conditional density of X(t) | X(t_0) = x_0 at point x.

The functions d and s must be functions of t, x, and theta.

`x`	a numeric vector

Stefano Maria Iacus

[Package sde version 2.0.18 Index]