
DWP(N, M, t0, T, x0, output = FALSE)
t0
.output = TRUE
write a output
to an Excel (.csv).(X(t) - X(t)^3) :drift coefficient
and 1 is diffusion coefficient
, W(t)
is Wiener process,and the discretization dt = (T-t0)/N
.
This model is challenging in the sense that the Milstein approximation.CEV
Constant Elasticity of Variance Models, CIR
Cox-Ingersoll-Ross Models, CIRhy
modified CIR and hyperbolic Process, CKLS
Chan-Karolyi-Longstaff-Sanders Models, GBM
Model of Black-Scholes, HWV
Hull-White/Vasicek Models, INFSR
Inverse of Feller s Square Root models, JDP
Jacobi Diffusion Process, PDP
Pearson Diffusions Process, ROU
Radial Ornstein-Uhlenbeck Process, diffBridge
Diffusion Bridge Models, snssde
Simulation Numerical Solution of SDE.## Double-Well Potential Model
## dX(t) = (X(t) - X(t)^3) * dt + dW(t)
## One trajectorie
DWP(N=1000,M=1,T=1,t0=0,x0=1)
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